SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
-----
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15 (d)
OF THE SECURITIES EXCHANGE ACT OF 1934
Date of Report (date of earliest event reported) MARCH 19, 1998
CONTISECURITIES ASSET FUNDING CORP.
(Exact name of registrant as specified in its charter)
DELAWARE 333-39505 13-2937238
(State or other jurisdiction (Commission (IRS Employer
of incorporation) File Number) ID Number)
3811 WEST CHARLESTON BOULEVARD, LAS VEGAS, NEVADA 89102
(Address of principal executive offices) (Zip Code)
Registrant's Telephone Number,
including area code: (702)822-5386
277 PARK AVENUE, NEW YORK, NEW YORK 10172
(Former name or former address, if changed since last report)
<PAGE>
Item 5. OTHER EVENTS
FILING OF COMPUTATIONAL MATERIALS AND CONSENT OF INDEPENDENT ACCOUNTANTS.
This Current Report on Form 8-K is being filed to file a copy of the
Final Computational Materials (as defined below) prepared by Merrill Lynch
Pierce, Fenner & Smith Incorporated as an underwriter, in connection with the
issuance by ContiMortgage Home Equity Loan Trust 1998-1 of Home Equity Loan
Pass-Through Certificates, Series 1998-1. The term "Computational Materials"
shall have the meaning given in the No-Action Letter of May 20, 1994 issued by
the Securities and Exchange Commission (the "SEC") to Kidder, Peabody Acceptance
Corporation I, Kidder, Peabody & Co. Incorporated and Kidder Structured Asset
Corporation, as made applicable to other issuers and underwriters by the
Commission in response to the request of the Public Securities Association dated
May 24, 1994, and as supplemented in the No-Action Letter of February 17, 1995
issued by the SEC to the Public Securities Association.
Item 7. FINANCIAL STATEMENTS, PRO FORMA FINANCIAL INFORMATION AND
EXHIBITS.
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 Computational Materials
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
CONTISECURITIES ASSET FUNDING CORP.,
as Depositor
By:/s/ Susan E. O'Donovan
Name: Susan E. O'Donovan
Title: Authorized Signatory
Dated: March 19, 1998
<PAGE>
EXHIBIT INDEX
EXHIBIT PAGE
99.1 Computational Materials
------------------------------------------
$1,700,000,000
CONTIMORTGAGE
HOME EQUITY LOAN TRUST 1998-1
HOME EQUITY ABS
-------------------------------------------
COMPUTATIONAL MATERIALS
<PAGE>
The attached tables and other statistical analyses (the "Computational
Materials") are privileged and confidential and are intended for use by the
addressee only. These Computational Materials are furnished to you solely by
Merrill Lynch, Pierce, Fenner & Smith Incorporated ("Merrill Lynch") and not by
the issuer of the securities or any of its affiliates. The issuer of these
securities has not prepared or taken part in the preparation of these materials.
Neither Merrill Lynch, the issuer of the securities or any of its affiliates
makes any representation as to the accuracy or completeness of the information
herein. The information herein is preliminary, and will not be superseded by the
applicable Prospectus Supplement and by any other information subsequently filed
with the Securities and Exchange Commission. The information herein may be not
be provided by the addressees to any third party other than the addressee's
legal, tax, financial and/or accounting advisors for the purposes of evaluating
said material.
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated therein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the computational Materials and/or
assumptions upon which they are based reflect present market conditions or
future market performance. These Computational Materials should not be construed
as either projections or predictions or as legal, tax, financial or accounting
device.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment assumptions and actual prepayment experience may
dramatically affect such yields or weighted average lives. In addition, it is
possible that prepayments on the underlying assets will occur at rates slower or
faster than the rates assumed in the attached Computational Materials.
Furthermore, unless otherwise provided, the Computational Materials assume no
losses on the underlying assets and no interest shortfall. The specific
characteristics of the securities may differ from those shown in the
Computational Materials due to differences between the actual underlying assets
and the hypothetical assets used in preparing the Computational Materials. The
principal amount and designation of any security described in the Computational
Materials are subject to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
securities discussed in this communication has been filed with the Securities
and Exchange Commission and is effective, the final prospectus supplement
relating to the securities discussed in this communication has not been filed
with the Securities and Exchange Commission. This communication shall not
constitute an offer to sell or the solicitation of any offer to buy nor shall
there be any sale of the securities discussed in this communication in any state
in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the securities discussed in this communication for
definitive Computational Materials on any matter discussed in this
communication. A final prospectus and prospectus supplement may be obtained by
contacting the Merrill Lynch Trading Desk at (212) 449-3659.
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST, SERIES 1998-1
<TABLE>
<CAPTION>
Class Description Rating Size(6) %Pool
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
A-1 Fixed Money Market P-1/F-1+/A-1+ $103.075 6.06%
A-2(1) Fixed Seq. PAC Aaa/AAA/AAA $340.466 20.03%
A-3(1) Fixed Seq. PAC Aaa/AAA/AAA $369.608 21.74%
A-4 Fixed Seq. PAC Aaa/AAA/AAA $126.682 7.45%
A-5 Fixed Seq. PAC Aaa/AAA/AAA $121.211 7.13%
A-6 Fixed Seq. PAC Aaa/AAA/AAA $80.668 4.75%
A-7 Fixed Seq. PAC Aaa/AAA/AAA $110.490 6.50%
A-8(2) LIBOR Seq. COMP. Aaa/AAA/AAA $26.231 1.54%
A-9(3) Auction Rate Seq. COMP Aaa/AAA/AAA $192.425 11.32%
A-10(2) LIBOR Floater Aaa/AAA/AAA $171.344 10.08%
B Fixed Subordinate Baa3/BBB/BBB $57.800 3.40%
A-11 IO(5) Interest Only Aaa/AAA/AAA -- --
-------------------
$1,700.00
PRINCIPAL WINDOWS
Class First Last Window WAL Pricing Day Count
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
A-1 1 6 6 0.31 Maturity Act/360
A-2(1) 7 17 11 0.95 Maturity 30/360
A-3(1) 17 33 17 2.01 Maturity 30/360
A-4 33 43 11 3.08 Maturity 30/360
A-5 43 55 13 4.01 Maturity 30/360
A-6 55 69 15 5.10 Maturity 30/360
A-7 69 129 61 7.40 Maturity 30/360
A-8(2) 6 37 32 1.30 Call/Mat 30/360
A-9(3) 37 178 142 7.53 Maturity Act/360
A-10(2) 1 87/178 87/178 2.56/2.67 Call/Mat Act/360
B 37 111 75 5.06 Maturity 30/360
A-11 IO(5) 1 30 30 Maturity 30/360
</TABLE>
(1) A portion or all of the Class A-2 and Class A-3 Certificates may be swapped
and issued as LIBOR-based Certificates.
(2) Class A-8 and Class A-10 Certificates are priced to call. The spread to
LIBOR for the Class A-8 and Class A-10 Certificates doubles after the
clean-up call date.
(3) The Auction Rate Certificates will be sole managed by Merrill Lynch.
(4) The Class A-10 LIBOR Floater is collateralized by a separate ARM collateral
group. All the other Certificates will be collateralized by a combined
group of ARM and Fixecd rate collateral.
(5) The Class A-11 IO will be sole managed by Bear Stearns.
(6) Classes are based upon collateral from 2/23/98 Statistical Calculation
Date. See "Pricing Prepayment Speed" on following page.
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
SUMMARY OF TERMS
SELLER AND SERVICER: ContiMortgage Corporation.
TRUSTEE: Manufacturers and Traders Trust Company.
UNDERWRITERS: Bear Stearns & Co. Inc. (lead manager),
ContiFinancial Services Corp., Credit Suisse First
Boston, Greenwich Capital Markets, Inc., Merrill
Lynch & Co., Morgan Stanley Dean Witter, and
Nomura Securities International, Inc.
(co-managers).
FIXED RATE CERTIFICATES: All the "AAA" Fixed Rate Certificates
with the exception of the Class A-1 will be
Planned Amortization Class ("PAC") Certificates.
The PAC classes will pay principal according to a
specified amortization schedule. The "BBB" Fixed
Rate Certificates will not be a PAC class and will
provide credit support to the "AAA" Fixed and
Floating Rate Certificates.
FLOATING RATE CERTIFICATES: There will be [five] classes of Floating
Rate Certificates, each of which is rated "AAA":
[the Class A-2 and A-3 up to PAC Certificates
(which may be swapped to LIBOR)], the Class A-8
LIBOR Companion, the Class A-9 Auction Rate
Companion, and the separate Class A-10 LIBOR
certificate collateralized by a separate pool of
ARMs.
[GRANTOR TRUST CERTIFICATES: ContiMortgage may choose to include a
swap of the Class A-2 and Class A-3 REMIC
Certificates. In this case, the Class A-2 and
Class A-3 REMIC Certificates will be deposited
into ContiMortgage Grantor Trust, Series 1998-A
(the "Grantor Trust"). Simultaneously to the
deposit of the Class A-2 and Class A-3 REMIC
Certificates, Bear Stearns will enter into a swap
agreement with, and the Certificate Insurer will
issue an insurance policy for, the Grantor Trust.
Under the Bear Stearns Swap Agreement, Bear
Stearns will be entitled to receive the fixed rate
coupon of the Class A-2 and Class A-3 REMIC
Certificates, respectively, and be obligated to
pay a floating rate of interest on the outstanding
principal balance of the Class A-2 and Class A-3
REMIC Certificates, respectively. The Grantor
Trust will issue Class A-1 and Class A-2
Certificates with i) principal balances equal to
the Class A-2 and Class A-3 REMIC Certificate
balances respectively and ii) with a floating rate
coupon for the Class A-1 and Class A-2
Certificates, respectively.]
PRICING PREPAYMENT SPEED: FIXED RATE GROUP: 130% of the prepayment
assumption ("PPC") will be applied for pricing
purposes. 100% PPC describes prepayments starting
at 4.0% CPR in month 1, increasing by 1.455% CPR
per month to 20% CPR in month 12, and remaining at
20% CPR thereafter.
ADJUSTABLE RATE GROUP: 100% of the
prepayment assumption ("PPC") will be applied for
pricing purposes. 100% PPC describes prepayments
starting at 4.0% CPR in month 1, increasing by
1.824% CPR per month to 35% CPR in month 18, and
remaining at 35% CPR thereafter.
PRICING DATE: [March 5, 1998].
CUT-OFF DATE: Close of Business, March 20, 1998.
EXPECTED SETTLEMENT: March 26, 1998 through DTC and Euroclear or CEDEL.
DISTRIBUTION DATES: The 15th of each month, beginning April 1998.
OPTIONAL CALL: 10% Clean-up call (10% of original aggregate
loan balances).
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
SUMMARY OF TERMS (CONT.)
[CAPITALIZED INTEREST
ACCOUNT: On the Closing Date, cash will be
deposited in a trust account (the "Capitalized
Interest Account") in the name of, and maintained
by, the Trustee on behalf of the Trust. The amount
on deposit in the Capitalized Interest Account,
including the reinvestment income thereon, will be
used by the Trustee to fund the excess, if any, of
i) the sum of the amount of interest accruing
during the first Accrual Period at the weighted
average pass through rate of the Fixed Rate
Certificates and the Adjustable Rate Certificates
over the excess of ii) the actual collections of
interest during the related Accrual Period from
Loan Group I and Loan Group II less the sum of the
Trustee Fee, Servicing Fee, Certificate Insurer
Fee, Auction Agent Fee and Broker-Dealer Fee.]
AVAILABLE FUNDS CAP: The Pass-Through Rate with respect to
the adjustable-rate Class A-8 LIBOR and Class A-9
Auction Rate companion certificates and the fixed-
rate Class A-4 through A-7 PAC certificates will
on any payment date equal the lesser of (x) the
Pass-Through Rate for such Class and (y) the
weighted average Coupon Rate of the Loan Group I
Home Equity Loans as of the opening of business on
the first day of the related Remittance Period,
less the sum of (i) approximately [0.58%] per
annum, (ii) after the 6th payment date, 0.50% per
annum, (iii) an amount, expressed as an annual
percentage rate of the outstanding aggregate Loan
Balance of the Loan Group I Home Equity Loans as
of the opening of business on the first day of the
related Remittance Period, equal to the Auction
Agent Fee and the Broker-Dealer Fee for the Class
A-9 Auction Rate companion certificates and (iv),
for the 1st through 30th Payment Dates, the
product of (a) [6.50]% per annum and (b) the Class
A-11 IO Notional Principal Amount divided by the
outstanding aggregate Loan Balance of the Loan
Group I Home Equity Loans as of the opening of
business on the first day of the related
Remittance Period.
The Pass-Through Rate with respect to
the Class A-10 LIBOR Adjustable Rate Certificates
will on any payment date equal the lesser of (x)
the Pass-Through Rate for such Class and (y) the
weighted average Coupon Rate of the Loan Group II
Home Equity Loans as of the opening of business on
the first day of the related Remittance Period,
less the sum of (i) approximately [0.58%] per
annum and (ii) after the 6th payment date, 0.50%
per annum.
The Pass-Through Rate with respect to
the Class B Certificates will on any payment date
equal the lesser of (A) the Pass-Through Rate for
the Class B Certificates and (B) the lesser of (a)
clause (y) from the preceding paragraph and (b)
clause (y) from the second preceding paragraph.
TAX STATUS: REMIC (except for the Class A-2 and
Class A-3 Certificates which, in the event a swap
is used, will be Grantor Trust Certificates).
ERISA ELIGIBILITY: The Class A certificates are ERISA eligible.
SMMEA ELIGIBILITY: Only the Class A-10 certificates are
expected to be SMMEA eligible.
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
TRANSACTION STRUCTURE OVERVIEW
Certificates will be collateralized by loans from 3 collateral pools (fixed-rate
pool, adjustable-rate pool 1 and adjustable-rate pool 2) separated into two
groups ("Loan Groups"):
- - LOAN GROUP I will include all of the fixed rate collateral and the
adjustable-rate pool 1, consisting of 2/28 and 3/27 hybrid loans
- - LOAN GROUP II will include adjustable-rate pool 2, consisting of 2/28
hybrid loans and 6-month LIBOR loans
COLLATERAL CASH FLOWS FROM LOAN GROUP I WILL BE PRIORITIZED TO PAY THE PAC AND
COMPANION CERTIFICATES;
COLLATERAL CASH FLOWS FROM LOAN GROUP II WILL BE PRIORITIZED TO PAY THE CLASS
A-10 LIBOR CERTIFICATE;
LOAN GROUP I AND LOAN GROUP II WILL BE CROSS-COLLATERALIZED FOR THE PURPOSES OF
ATTAINING A SINGLE OC TARGET AND PAYING DOWN THE SINGLE CLASS OF SUBORDINATED
CLASS B CERTIFICATES.
- - Principal Collections on each Loan Group (including accelerated cash to
build to overcollateralization target) will be allocated as outlined below:
PRIOR TO THE STEPDOWN DATE:
LOAN GROUP I:
100% of the Loan Group I principal collections (including excess interest until
the Targeted Overcollateralization Amount is reached) will be allocated (as
described on page 6 under "Principal Cashflow Priority") to the Class A-1
through Class A-9 certificates.
LOAN GROUP II:
100% of the Loan Group II principal collections (including excess interest until
the Targeted Overcollateralization Amount is reached) will be allocated to the
Class A-10 certificates.
WITH RESPECT TO ANY PAYMENT DATE, TO THE EXTENT THE SENIOR ENHANCEMENT
PERCENTAGE FOR LOAN GROUP I OR LOAN GROUP II EQUALS OR EXCEEDS THE SENIOR
SPECIFIED ENHANCEMENT PERCENTAGE FOR THE RESPECTIVE LOAN GROUPS, SUCH PRINCIPAL
(INCLUDING EXCESS INTEREST UNTIL THE TARGETED OVERCOLLATERALIZATION AMOUNT IS
REACHED) WILL BE APPLIED TO THE OTHER LOAN GROUP UNTIL THE SENIOR ENHANCEMENT
PERCENTAGE EQUALS THE RESPECTIVE SENIOR SPECIFIED ENHANCEMENT PERCENTAGE FOR THE
OTHER LOAN GROUP. THERE WILL BE ONLY ONE STEPDOWN DATE AND THE SENIOR SPECIFIED
ENHANCEMENT WILL BE THE SAME FOR EACH LOAN GROUP.
ON AND AFTER THE STEPDOWN DATE:
LOAN GROUP I:
Loan Group I principal collections (including excess interest) will be allocated
to the Class A-1 through Class A-9 certificates such that the Loan Group I
Senior Optimal Balance is maintained.
LOAN GROUP II:
Loan Group II principal collections (including excess interest) will be
allocated to the Class A-10 certificates such that the Loan Group II Senior
Optimal Balance is maintained.
THE SENIOR OPTIMAL BALANCE WILL BE THE SAME FOR EACH LOAN GROUP.
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
TRANSACTION STRUCTURE OVERVIEW (CONT.)
Certificate Insurer will wrap the Class A Certificates only.
Class A-1 will be a rated P-1/ A-1+/ F-1 and will receive 100% of the Loan
Group I principal collections until retired, resulting in an expected
principal lock-out period of approximately 5 months for the Class A-2
through the A-7 PAC bonds and the Class A-8 LIBOR Companion and Class A-9
Auction Rate Companion bonds.
The Class A-2 through Class A-7 Certificates will be PAC Certificates:
1) The Class A-2 through A-7 PAC Certificates will pay principal
sequentially according to an expected amortization schedule.
2) The PAC prepayment bands are expected to be:
- FRMs - 125% PPC to 175% PPC
- ARMs - 95% PPC to 130% PPC
The Class A-8 and Class A-9 Adjustable Rate Certificates will be Companion
bonds, with the Class A-9 coupon determined pursuant to monthly Auction
Rate Procedures.
The Class A-11 IO interest will be i) calculated on the basis of a Notional
Principal Balance equal to the aggregate principal balance of the Class A-6 and
Class A-7 Certificates, and ii) payable only from the 1st through 30th Payment
Dates at a Pass-Through Rate equal to 6.50% per annum.
CREDIT ENHANCEMENT
COMPONENTS
CLASS A CREDIT ENHANCEMENT:
1. Excess cash;
2. Overcollateralization building up to a requirement of 1.30% of
the aggregate original loan balance;
3. Subordination of Class B certificates, totaling 3.40% of the
aggregate original loan balance; 4. Certificate Insurer surety.
CLASS B CREDIT ENHANCEMENT:
1. Excess cash;
2. Overcollateralization building up to a requirement of 1.30% of the
aggregate original loan balance.
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
EXCESS CASH
Excess cash will equal the difference between the interest payments received on
the aggregate home equity loans net of the Servicing Fee, Trustee Fee,
Certificate Insurer Fee, Auction Agent Fee and Broker-Dealer Fee (for the Class
A-8 only), and Certificate Interest.
OVERCOLLATERALIZATION
THE TARGETED OVERCOLLATERALIZATION AMOUNT MEANS:
1. Before the Stepdown Date, overcollateralization initially
builds to 1.30% of the aggregate original loan balance of the Loan
Group I and II (subject to the Certificate Insurer performance
triggers). TO THE EXTENT THE SENIOR SPECIFIED ENHANCEMENT PERCENTAGE
IS ATTAINED FOR ONE LOAN GROUP AND NOT FOR THE OTHER, EXCESS CASH WILL
BE REDIRECTED TO HELP ATTAIN THE TARGET FOR THE OTHER LOAN GROUP;
2. On and after the Stepdown Date, and so long as no trigger
event is in effect, the overcollateralization will step down monthly
to 2.795% of the outstanding aggregate loan balance of Loan Group I
and II;
3. The overcollateralization step down will be subject to a
floor of 0.50% of the aggregate original loan balance of Loan Groups I
and II (subject to Certificate Insurer trigger events).
4. There will be no funding of the overcollateralization for
the first 6 months of the transaction (until October 15, 1998).
PRINCIPAL CASHFLOW PRIORITY
PRINCIPAL COLLECTIONS (INCLUDING ACCELERATED CASH TO BUILD
OVERCOLLATERALIZATION) WILL BE ALLOCATED BY LOAN GROUP IN THE REPAYMENT OF
PRINCIPAL ON THE BONDS IN THE FOLLOWING PRIORITY PRIOR TO THE STEPDOWN DATE
IF NO TRIGGER EVENT IS IN EFFECT:
<TABLE>
<CAPTION>
PRINCIPAL FROM LOAN GROUP I PRINCIPAL FROM LOAN GROUP II
--------------------------- ----------------------------
<S> <C>
1. First to the Class A-1 1. First to the Class A-10 until the balance is reduced
until the balance is reduced to zero to zero;
and then sequentially to the PAC Classes
A-2 through A-7, to their scheduled balance;
2. Remaining principal sequentially to the Class A-8 LIBOR
Floater Companion and then the Class A-9 Auction Rate Floater
companion until retired;
3. Remaining principal sequentially to the PAC Classes
A-2 through A-7, until retired;
</TABLE>
WITH RESPECT TO ANY PAYMENT DATE, TO THE EXTENT THE SENIOR ENHANCEMENT
PERCENTAGE FOR LOAN GROUP I OR LOAN GROUP II EQUALS OR EXCEEDS THE SENIOR
SPECIFIED ENHANCEMENT PERCENTAGE FOR THE RESPECTIVE LOAN GROUPS, SUCH PRINCIPAL
(INCLUDING EXCESS INTEREST UNTIL THE TARGETED OVERCOLLATERALIZATION AMOUNT IS
REACHED) WILL BE APPLIED TO THE OTHER LOAN GROUP UNTIL THE SENIOR ENHANCEMENT
PERCENTAGE EQUALS THE RESPECTIVE SENIOR SPECIFIED ENHANCEMENT PERCENTAGE FOR THE
OTHER LOAN GROUP. THERE WILL BE ONLY ONE STEPDOWN DATE AND THE SENIOR SPECIFIED
ENHANCEMENT WILL BE THE SAME FOR EACH LOAN GROUP.
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
PRINCIPAL CASHFLOW PRIORITY (CONT.)
PRINCIPAL COLLECTIONS (INCLUDING ACCELERATED CASH TO BUILD
OVERCOLLATERALIZATION) WILL BE ALLOCATED BY LOAN GROUP IN THE REPAYMENT OF
PRINCIPAL ON THE BONDS IN THE FOLLOWING PRIORITY ON AND AFTER THE STEPDOWN
DATE IF NO TRIGGER EVENT IS IN EFFECT:
A. First, determine the "AAA" Principal Distribution Amount per the
Subordination Test (as described below); and then:
<TABLE>
<CAPTION>
PRINCIPAL FROM LOAN GROUP I PRINCIPAL FROM LOAN GROUP II
<S> <C>
1. First to the Class A-1 1. First to the Class A-10 until the balance is reduced
until the balance is reduced to zero to zero;
and then sequentially to the PAC Classes
A-2 through A-7, to their scheduled balance;
2. Remaining principal sequentially to the Class A-8 LIBOR
Floater Companion and then the Class A-9 Auction Rate Floater
companion until retired;
3. Remaining principal sequentially to the PAC Classes
A-2 through A-7, until retired;
4. Non "AAA" Principal Amounts the Class B 2. Non "AAA" Principal Amounts the Class B
Certificates on or after the Step Down Date Certificates on or after the Step Down Date
until retired; until retired;
5. Monthly Excess Cashflow amounts. 3. Monthly Excess Cashflow amounts
</TABLE>
COLLECTIONS OF PRINCIPAL (INCLUDING ACCELERATED CASH) ON AND AFTER THE
STEPDOWN DATE, AND IF NO TRIGGER EVENT IS IN EFFECT WILL BE ALLOCATED IN
THE FOLLOWING PRIORITY:
Principal payments for Class A certificates and the Class B certificates in
accordance with enhancement targets, equal to 2.15 times the initial
enhancement for each class:
<TABLE>
<CAPTION>
TARGETED % OF POOL TARGET CREDIT ENHANCEMENT
<S> <C> <C>
Class A 89.895% 10.105%
Class B 7.310% 2.795%
Overcollateralization 2.795%
100.00%
</TABLE>
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
PRINCIPAL CASHFLOW PRIORITY (CLASS B SUBORDINATED CERTIFICATES):
The Class B Certificates will not receive payments of principal until
on and after the Stepdown Date, unless the Class A Certificates have been
retired.
SUBORDINATION TEST (TO DETERMINE "AAA" PRINCIPAL DISTRIBUTION AMOUNT):
Before the Stepdown Date, the Class A Certificates receive 100% of the
collateral principal revenues and the excess cash to build to an OC target
of 1.30% (based on the aggregate original balance). After the Stepdown
Date, the Class A Certificates receive collateral principal to maintain
10.105% credit enhancement.
STEP DOWN DATE:
The earlier of: (i) the later of (a) the April 2001 Payment Date and (b)
the first Payment Date on which the Senior Enhancement Percentage (i.e. the
sum of the Subordinated Certificates and OC amount divided by the aggregate
of the Fixed and Adjustable Rate Home Equity Loans) is at least 10.105%,
and (ii) the Payment Date on which the aggregate Class A Balance has been
reduced to zero.
SENIOR ENHANCEMENT PERCENTAGE:
The percentage obtained by dividing (x) the sum of (i) the aggregate
Certificate Principal Balance of the Subordinated Certificates and (ii) the
Overcollateralization Amount by (y) the aggregate Loan Balance of the Home
Equity Loans as of the last day of the related Remittance Period.
APPLICATION OF MONTHLY EXCESS CASHFLOW AMOUNTS:
Monthly Excess Cashflow Amounts which equal the sum of Monthly Excess
Interest Amounts and Overcollateralization Release Amounts will be
allocated in the following priority:
1. Class A Interest Carry Forward Amount
2. Extra Principal Distribution Amount
3. Class B Interest Carry Forward Amount
4. Unpaid Class B Realized Loss Amortization Amounts
5. Servicer for any unreimbursed Delinquency Advances or Servicing
Advances
6. Class C Certificates
7. Class R Certificates
NOTE: Interest will not accrue or be payable on any written down
amounts with respect to the Class B Certificates.
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
DELINQUENCY TRIGGER:
After the Stepdown Date, a Delinquency Trigger Event has occurred if on any
Payment Date 50% of the 60+ Day Delinquencies (including Bankruptcies,
Foreclosures and REO properties) for Loan Group I and Loan Group II equals
or exceeds the Senior Specified Enhancement Percentage (10.105% = 2.15 X
4.70%).
Upon the occurrence and continuance of a Delinquency Trigger Event, the
Class A Certificates will receive 100% of all principal distribution
amounts (excluding excess interest).
CUMULATIVE REALIZED LOSS TRIGGER EVENT:
A Cumulative Realized Loss Trigger Event occurs on any date of
determination if the amount of Cumulative Realized Losses expressed as a
percentage of the original aggregate loan balance of Loan Group I and Loan
Group II equals or exceeds the following amounts:
DATE PERCENTAGES
April 1998-March 2000 1.05%
April 2000-March 2001 1.80%
April 2001-March 2002 2.40%
April 2002-March 2003 2.85%
April 2003 and thereafter 3.00%
Upon the occurrence and during the continuance of a Cumulative Realized
Loss Trigger Event, the overcollateralization amount shall increase to
2.14% of the aggregate original balance of Loan Group I and Loan Group II.
INTEREST CASHFLOW PRIORITY
INTEREST COLLECTIONS (NET OF SERVICING, CERTIFICATE INSURER FEE,
TRUSTEE FEE, AUCTION AGENT FEE AND BROKER-DEALER FEE) WILL BE ALLOCATED
IN THE FOLLOWING PRIORITY:
1. Current Interest and Carry-over Interest to the Class A Certificates;
2. Current Interest to the Class B Certificates;
3. To Overcollateralization to build up to its target amount;
4. To Monthly Excess Cashflow Amounts.
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
TERM SHEET (GRANTOR TRUST SERIES 1998-A)
(ONLY APPLICABLE IF CLASS A-2 OR CLASS A-3
ARE SWAPPED TO LIBOR-BASED CERTIFICATES)
SECURITIES OFFERED: Class A-1 and Class A-2
Certificates.
ORIGINAL PRINCIPAL AMT.: Class A-1: $[340,466,000]
Class A-2 $[369,608,000]
CLASS A-1 CERTIFICATE RATE One Month LIBOR plus ___ bps
subject to a cap of [10]%.
CLASS A-2 CERTIFICATE RATE One Month LIBOR plus ___ bps
subject to a cap of [10]%.
INTEREST METHODOLOGY: Actual/360.
DISTRIBUTION DATES: The 15th of each month,
beginning April 1998.
ACCRUAL PERIOD: From the preceding
Distribution Date (or, in the case of
the Initial Distribution Date, from the
Closing Date) to, but not including, the
subsequent Distribution Date.
CLOSING DATE: March 26, 1998.
TRUSTEE: Manufacturers and Traders
Trust Company ("M&T").
TRUST ASSETS: Class A-2 and Class A-3
Planned Amortization Class ("PAC") from
ContiMortgage Home Equity Loan Trust;
Series 1998-1; Bear Stearns Swap
Agreement; Certificate Insurer Insurance
Policy.
CLASS A-2 PAC: $[340,466,000], [___]% fixed
rate PAC with an expected range of 125%
to 175% PPC on the fixed rate loans and
95% to 130% PPC on the adjustable rate
loans.
CLASS A-3 PAC: $[369,608,000], [___]% fixed
rate PAC with an expected range of 125%
to 175% PPC on the fixed rate loans and
95% to 130% PPC on the adjustable rate
loans.
SWAP AGREEMENT.: Bear Stearns will make
interest payments i) to the Class A-1
Certificateholders at a rate equal to
one month LIBOR plus ___bps based upon
the actual balance of the Class A-2 PAC
and ii) to the Class A-2
Certificateholders at a rate equal to
one month LIBOR plus ___bps based upon
the actual balance of the Class A-3 PAC.
Bear Stearns will be entitled to receive
i) the fixed rate coupon of the A-2 PAC
based upon the actual balance of the
Class A-2 PAC and ii) the fixed rate
coupon of the A-3 PAC based upon the
actual balance of the Class A-3 PAC.
CERTIFICATE INSURER
INSURANCE POLICY: An insurance policy will
guarantee timely interest and ultimate
principal payments to the holders of the
Class A Certificates (the "Grantor Trust
Policy").
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CLASS A DISTRIBUTIONS: Class A-1 and Class A-2
Certificates are entitled to principal
and interest distributions on the Class
A-2 and Class A-3 REMIC Certificates as
follows:
<TABLE>
<CAPTION>
Grantor Trust Certificates INTEREST PRINCIPAL
<S> <C> <C>
Class A-1 Swapped from a fixed rate to a floating Distributions of principal will reflect all
rate based upon the actual balance of the principal distributions on the Class A-2
Class A-2 REMIC Certificates REMIC Certificates
Class A-2 Swapped from a fixed rate to a floating Distributions of principal will reflect all
rate based upon the actual balance of the principal distributions on the Class A-3
Class A-3 REMIC Certificates REMIC Certificates
</TABLE>
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
HOME EQUITY LOAN MBIA
TRUST SERIES 1998-1 REMIC
POLICY
CLASS A-2 (PAC) CLASS A-3 (PAC)
FIXED RATE FIXED RATE
CERTIFICATES CERTIFICATES
CLASS A-2 REMIC
FIXED [__]%
(ACTUAL BALANCE)
CLASS A-3 REMIC
FIXED [___]%
BEAR (ACTUAL BALANCE)
STEARNS SWAP
(RATED A2/A) AGREEMENT GRANTOR TRUST 1998-1 MBIA
CLASS A-3 REMIC GRANTOR
LIBOR + [___]% TRUST
(ACTUAL BALANCE) POLICY
CLASS A-2 REMIC
LIBOR + [___]%
(ACTUAL BALANCE)
LIBOR + [___]% LIBOR + [___]%
SUBJECT TO A CA OF [10]% SUBJECT TO A CAP OF [10]%
CLASS A-1 CLASS A-2
GRANTOR TRUST GRANTOR TRUST
CERTIFICATEHOLDERS CERTIFICATEHOLDERS
REMIC Policy - guarantees timely interest and ultimate principal on the
Home Equity Loan Trust 1998-1 Certificates offered to investors.
Grantor Trust Policy - guarantees timely interest and ultimate principal
on the Grantor Trust Notes offered to investors.
Bear Stearns Swap Agreement - obligates Bear Stearns to make interest
payments according to the Class A-2 REMIC and Class A-3 REMIC Certificate
actual balances.
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
CLASS A-1 (TO MATURITY)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
FIXED % PPC 50% 75% 100% 130% 140% 160% 200%
RAMP TO % CPR 10% 15% 20% 26% 28% 32% 40%
ARMS % PPC 50% 67% 83% 100% 107% 120% 160%
RAMP TO % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
- -----------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 0.51 0.42 0.36 0.31 0.30 0.27 0.24
FIRST PRINCIPAL 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98
PAYMENT
LAST PRINCIPAL 01/15/99 11/15/98 10/15/98 09/15/98 09/15/98 09/15/98 08/15/98
PAYMENT
PRINCIPAL LOCKOUT 0 0 0 0 0 0 0
(MONTHS)
PRINCIPAL WINDOW 10 8 7 6 6 6 5
(MONTHS)
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS A-2 (TO MATURITY)
- -----------------------------------------------------------------------------------------------------------------------------------
FIXED % PPC 50% 75% 100% 130% 140% 160% 200%
RAMP TO % CPR 10% 15% 20% 26% 28% 32% 40%
ARMS % PPC 50% 67% 83% 100% 107% 120% 160%
RAMP TO % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
- -----------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 1.79 1.34 1.10 0.95 0.95 0.95 0.95
FIRST PRINCIPAL 01/15/99 11/15/98 10/15/98 10/15/98 10/15/98 10/15/98 10/15/98
PAYMENT
LAST PRINCIPAL 02/15/01 04/15/00 11/15/99 08/15/99 08/15/99 08/15/99 08/15/99
PAYMENT
PRINCIPAL LOCKOUT 9 7 6 6 6 6 6
(MONTHS)
PRINCIPAL WINDOW 26 18 14 11 11 11 11
(MONTHS)
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS A-3 (TO MATURITY)
- -----------------------------------------------------------------------------------------------------------------------------------
FIXED % PPC 50% 75% 100% 130% 140% 160% 200%
RAMP TO % CPR 10% 15% 20% 26% 28% 32% 40%
ARMS % PPC 50% 67% 83% 100% 107% 120% 160%
RAMP TO % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
- -----------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 4.35 3.11 2.43 2.01 2.01 2.01 1.81
FIRST PRINCIPAL 02/15/01 04/15/00 11/15/99 08/15/99 08/15/99 08/15/99 08/15/99
PAYMENT
LAST PRINCIPAL 03/15/04 07/15/02 07/15/01 12/15/00 12/15/00 12/15/00 07/15/00
PAYMENT
PRINCIPAL LOCKOUT 34 24 19 16 16 16 16
(MONTHS)
PRINCIPAL WINDOW 38 28 21 17 17 17 12
</TABLE>
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS A-4 (TO MATURITY)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
FIXED % PPC 50% 75% 100% 130% 140% 160% 200%
RAMP TO % CPR 10% 15% 20% 26% 28% 32% 40%
ARMS % PPC 50% 67% 83% 100% 107% 120% 160%
RAMP TO % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
- -----------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 6.76 4.80 3.70 3.08 3.08 3.08 2.59
FIRST PRINCIPAL 03/15/04 07/15/02 07/15/01 12/15/00 12/15/00 12/15/00 07/15/00
PAYMENT
LAST PRINCIPAL 10/15/05 08/15/03 05/15/02 10/15/01 10/15/01 10/15/01 02/15/01
PAYMENT
PRINCIPAL LOCKOUT 71 51 39 32 32 32 27
(MONTHS)
PRINCIPAL WINDOW 20 14 11 11 11 11 8
(MONTHS)
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS A-5 (TO MATURITY)
- -----------------------------------------------------------------------------------------------------------------------------------
FIXED % PPC 50% 75% 100% 130% 140% 160% 200%
RAMP TO % CPR 10% 15% 20% 26% 28% 32% 40%
ARMS % PPC 50% 67% 83% 100% 107% 120% 160%
RAMP TO % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
- -----------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 8.47 6.02 4.63 4.01 4.01 4.01 3.40
FIRST PRINCIPAL 10/15/05 08/15/03 05/15/02 10/15/01 10/15/01 10/15/01 02/15/01
PAYMENT
LAST PRINCIPAL 09/15/07 12/15/04 05/15/03 10/15/02 10/15/02 10/15/02 03/15/02
PAYMENT
PRINCIPAL LOCKOUT 90 64 49 42 42 42 34
(MONTHS)
PRINCIPAL WINDOW 24 17 13 13 13 13 14
(MONTHS)
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS A-6 (TO MATURITY)
- -----------------------------------------------------------------------------------------------------------------------------------
FIXED % PPC 50% 75% 100% 130% 140% 160% 200%
RAMP TO % CPR 10% 15% 20% 26% 28% 32% 40%
ARMS % PPC 50% 67% 83% 100% 107% 120% 160%
RAMP TO % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
- -----------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 10.17 7.27 5.59 5.10 5.10 5.10 4.39
FIRST PRINCIPAL 09/15/07 12/15/04 05/15/03 10/15/02 10/15/02 10/15/02 03/15/02
PAYMENT
LAST PRINCIPAL 03/15/09 02/15/06 04/15/04 12/15/03 12/15/03 12/15/03 03/15/03
PAYMENT
PRINCIPAL LOCKOUT 113 80 61 54 54 54 47
(MONTHS)
PRINCIPAL WINDOW 19 15 12 15 15 15 13
(MONTHS)
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
CLASS A-7 (TO MATURITY)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
FIXED % PPC 50% 75% 100% 130% 140% 160% 200%
RAMP TO % CPR 10% 15% 20% 26% 28% 32% 40%
ARMS % PPC 50% 67% 83% 100% 107% 120% 160%
RAMP TO % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
- -----------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 12.23 8.84 7.45 7.40 7.40 7.40 6.46
FIRST PRINCIPAL 03/15/09 02/15/06 04/15/04 12/15/03 12/15/03 12/15/03 03/15/03
PAYMENT
LAST PRINCIPAL 11/15/11 12/15/08 12/15/08 12/15/08 12/15/08 12/15/08 02/15/08
PAYMENT
PRINCIPAL LOCKOUT 131 94 72 68 68 68 59
(MONTHS)
PRINCIPAL WINDOW 33 35 57 61 61 61 60
(MONTHS)
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS A-8 (TO MATURITY)
- -----------------------------------------------------------------------------------------------------------------------------------
FIXED % PPC 50% 75% 100% 130% 140% 160% 200%
RAMP TO % CPR 10% 15% 20% 26% 28% 32% 40%
ARMS % PPC 50% 67% 83% 100% 107% 120% 160%
RAMP TO % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
- -----------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 14.02 10.13 6.82 1.30 0.59 0.47 0.40
FIRST PRINCIPAL 11/15/11 12/15/07 09/15/04 09/15/98 09/15/98 09/15/98 08/15/98
PAYMENT
LAST PRINCIPAL 08/15/12 10/15/08 06/15/05 04/15/01 02/15/99 09/15/98 09/15/98
PAYMENT
PRINCIPAL LOCKOUT 163 116 77 5 5 5 4
(MONTHS)
PRINCIPAL WINDOW 10 11 10 32 6 1 2
(MONTHS)
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS A-9 (TO MATURITY)
- -----------------------------------------------------------------------------------------------------------------------------------
FIXED % PPC 50% 75% 100% 130% 140% 160% 200%
RAMP TO % CPR 10% 15% 20% 26% 28% 32% 40%
ARMS % PPC 50% 67% 83% 100% 107% 120% 160%
RAMP TO % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
- -----------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 16.43 13.74 11.05 7.53 5.94 3.15 0.81
FIRST PRINCIPAL 08/15/12 10/15/08 06/15/05 04/15/01 02/15/99 09/15/98 09/15/98
PAYMENT
LAST PRINCIPAL 03/15/24 02/15/19 03/15/15 01/15/13 11/15/12 12/15/10 07/15/99
PAYMENT
PRINCIPAL LOCKOUT 172 126 86 36 10 5 5
(MONTHS)
PRINCIPAL WINDOW 140 125 118 142 166 148 11
(MONTHS)
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
CLASS A-10 (TO MATURITY)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
FIXED % PPC 50% 75% 100% 130% 140% 160% 200%
RAMP TO % CPR 10% 15% 20% 26% 28% 32% 40%
ARMS % PPC 50% 67% 83% 100% 107% 120% 160%
RAMP TO % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
- ----------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 5.16 3.93 3.20 2.67 2.49 2.22 1.64
FIRST PRINCIPAL 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98
PAYMENT
LAST PRINCIPAL 03/15/24 02/15/19 03/15/15 01/15/13 11/15/12 12/15/10 02/15/08
PAYMENT
PRINCIPAL LOCKOUT 0 0 0 0 0 0 0
(MONTHS)
PRINCIPAL WINDOW 312 251 204 178 176 153 119
(MONTHS)
- ----------------------------------------------------------------------------------------------------------------------------------
CLASS B (TO MATURITY)
- -----------------------------------------------------------------------------------------------------------------------------------
FIXED % PPC 50% 75% 100% 130% 140% 160% 200%
RAMP TO % CPR 10% 15% 20% 26% 28% 32% 40%
ARMS % PPC 50% 67% 83% 100% 107% 120% 160%
RAMP TO % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
- -----------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 10.94 8.32 6.45 5.06 4.73 4.23 3.60
FIRST PRINCIPAL 03/15/04 07/15/02 07/15/01 04/15/01 04/15/01 04/15/01 04/15/01
PAYMENT
LAST PRINCIPAL 12/15/13 01/15/13 02/15/10 06/15/07 10/15/06 09/15/05 12/15/03
PAYMENT
PRINCIPAL LOCKOUT 71 51 39 36 36 36 36
(MONTHS)
PRINCIPAL WINDOW 118 127 104 75 67 54 33
(MONTHS)
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
CLASS A-11 IO (TO MATURITY)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FIXED % PPC 50% 75% 100% 130% 140% 160% 200% 220%
RAMP TO % CPR 10% 15% 20% 26% 28% 32% 40% 77%
ARMS % PPC 50% 67% 83% 100% 107% 120% 160% 180%
RAMP TO % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00% 63.00%
- -----------------------------------------------------------------------------------------------------------------------------------
YIELD AS PRICED TO 6.49% 6.49% 6.49% 6.49% 6.49% 6.49% 6.49% 6.49%
6.50% COUPON
MODIFIED DURATION 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.22
(YEARS)
FIRST INTEREST 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98
PAYMENT
LAST INTEREST PAYMENT 09/15/00 09/15/00 09/15/00 09/15/00 09/15/00 09/15/00 09/15/00 09/15/00
CASHFLOW WINDOW 30 30 30 30 30 30 30 30
(MONTHS)
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
CLASS A-6 (TO CALL)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
FIXED % PPC 50% 75% 100% 130% 140% 160% 200%
RAMP TO % CPR 10% 15% 20% 26% 28% 32% 40%
ARMS % PPC 50% 67% 83% 100% 107% 120% 160%
RAMP TO % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
- ----------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 10.17 7.27 5.59 5.10 5.10 5.10 4.26
FIRST PRINCIPAL 09/15/07 12/15/04 05/15/03 10/15/02 10/15/02 10/15/02 03/15/02
PAYMENT
LAST PRINCIPAL PAYMENT 03/15/09 02/15/06 04/15/04 12/15/03 12/15/03 12/15/03 08/15/02
PRINCIPAL LOCKOUT 113 80 61 54 54 54 47
(MONTHS)
PRINCIPAL WINDOW 19 15 12 15 15 15 6
(MONTHS)
- ----------------------------------------------------------------------------------------------------------------------------------
CLASS A-7 (TO CALL)
- -----------------------------------------------------------------------------------------------------------------------------------
FIXED % PPC 50% 75% 100% 130% 140% 160% 200%
RAMP TO % CPR 10% 15% 20% 26% 28% 32% 40%
ARMS % PPC 50% 67% 83% 100% 107% 120% 160%
RAMP TO % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
- -----------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 12.23 8.84 7.37 6.79 6.46 5.80 4.39
FIRST PRINCIPAL 03/15/09 02/15/06 04/15/04 12/15/03 12/15/03 12/15/03 08/15/02
PAYMENT
LAST PRINCIPAL PAYMENT 11/15/11 12/15/08 06/15/07 06/15/05 11/15/04 01/15/04 08/15/02
PRINCIPAL LOCKOUT 131 94 72 68 68 68 52
(MONTHS)
PRINCIPAL WINDOW 33 35 39 19 12 2 1
(MONTHS)
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS A-9 (TO CALL)
- -----------------------------------------------------------------------------------------------------------------------------------
FIXED % PPC 50% 75% 100% 130% 140% 160% 200%
RAMP TO % CPR 10% 15% 20% 26% 28% 32% 40%
ARMS % PPC 50% 67% 83% 100% 107% 120% 160%
RAMP TO % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
- -----------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 14.79 11.72 8.89 6.00 4.68 2.54 0.81
FIRST PRINCIPAL 08/15/12 10/15/08 06/15/05 04/15/01 02/15/99 09/15/98 09/15/98
PAYMENT
LAST PRINCIPAL PAYMENT 01/15/13 02/15/10 06/15/07 06/15/05 11/15/04 01/15/04 07/15/99
PRINCIPAL LOCKOUT 172 126 86 36 10 5 5
(MONTHS)
PRINCIPAL WINDOW 6 17 25 51 70 65 11
(MONTHS)
</TABLE>
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS A-10 (TO CALL)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
FIXED % PPC 50% 75% 100% 130% 140% 160% 200%
RAMP TO % CPR 10% 15% 20% 26% 28% 32% 40%
ARMS % PPC 50% 67% 83% 100% 107% 120% 160%
RAMP TO % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
- ----------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 4.98 3.81 3.09 2.56 2.39 2.13 1.59
FIRST PRINCIPAL 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98
PAYMENT
LAST PRINCIPAL PAYMENT 01/15/13 02/15/10 06/15/07 06/15/05 11/15/04 01/15/04 08/15/02
PRINCIPAL LOCKOUT 0 0 0 0 0 0 0
(MONTHS)
PRINCIPAL WINDOW 178 143 111 87 80 70 53
(MONTHS)
- ----------------------------------------------------------------------------------------------------------------------------------
CLASS B (TO CALL)
- ----------------------------------------------------------------------------------------------------------------------------------
FIXED % PPC 50% 75% 100% 130% 140% 160% 200%
RAMP TO % CPR 10% 15% 20% 26% 28% 32% 40%
ARMS % PPC 50% 67% 83% 100% 107% 120% 160%
RAMP TO % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
- ----------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 10.93 8.11 6.27 4.93 4.60 4.12 3.51
FIRST PRINCIPAL 03/15/04 07/15/02 07/15/01 04/15/01 04/15/01 04/15/01 04/15/01
PAYMENT
LAST PRINCIPAL PAYMENT 01/15/13 02/15/10 06/15/07 06/15/05 11/15/04 01/15/04 08/15/02
PRINCIPAL LOCKOUT 71 51 39 36 36 36 36
(MONTHS)
PRINCIPAL WINDOW 107 92 72 51 44 34 17
(MONTHS)
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
Percentage of Initial Certificate Balance
CLASS A-1
(TO MATURITY)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FIXED PPC 0% 50% 75% 100% 130% 140% 160% 200%
ARM PPC 0% 50% 67% 83% 100% 107% 120% 160%
Mar-98 100% 100% 100% 100% 100% 100% 100% 100%
Mar-99 0% 0% 0% 0% 0% 0% 0% 0%
Mar-00 0% 0% 0% 0% 0% 0% 0% 0%
Mar-01 0% 0% 0% 0% 0% 0% 0% 0%
Mar-02 0% 0% 0% 0% 0% 0% 0% 0%
Mar-03 0% 0% 0% 0% 0% 0% 0% 0%
Mar-04 0% 0% 0% 0% 0% 0% 0% 0%
Mar-05 0% 0% 0% 0% 0% 0% 0% 0%
Mar-06 0% 0% 0% 0% 0% 0% 0% 0%
Mar-07 0% 0% 0% 0% 0% 0% 0% 0%
Mar-08 0% 0% 0% 0% 0% 0% 0% 0%
Mar-09 0% 0% 0% 0% 0% 0% 0% 0%
Mar-10 0% 0% 0% 0% 0% 0% 0% 0%
Mar-11 0% 0% 0% 0% 0% 0% 0% 0%
Mar-12 0% 0% 0% 0% 0% 0% 0% 0%
Mar-13 0% 0% 0% 0% 0% 0% 0% 0%
Mar-14 0% 0% 0% 0% 0% 0% 0% 0%
Mar-15 0% 0% 0% 0% 0% 0% 0% 0%
Mar-16 0% 0% 0% 0% 0% 0% 0% 0%
Mar-17 0% 0% 0% 0% 0% 0% 0% 0%
Mar-18 0% 0% 0% 0% 0% 0% 0% 0%
Mar-19 0% 0% 0% 0% 0% 0% 0% 0%
Mar-20 0% 0% 0% 0% 0% 0% 0% 0%
Mar-21 0% 0% 0% 0% 0% 0% 0% 0%
Mar-22 0% 0% 0% 0% 0% 0% 0% 0%
Mar-23 0% 0% 0% 0% 0% 0% 0% 0%
Mar-24 0% 0% 0% 0% 0% 0% 0% 0%
Mar-25 0% 0% 0% 0% 0% 0% 0% 0%
Mar-26 0% 0% 0% 0% 0% 0% 0% 0%
Mar-27 0% 0% 0% 0% 0% 0% 0% 0%
Weighted 0.86 0.51 0.42 0.36 0.31 0.30 0.27 0.24
Average
Life Years (1)
</TABLE>
(1) The weighted average life of the Offered Certificates is determined by
(i) multiplying the amount of each principal payment by the number of
years from the date of issuance to the related Payment Date, (ii)
dividing the sum by the initial respective Certificate Principal
Balance for such Class of Offered Certificates.
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
Percentage of Initial Certificate Balance
CLASS A-2
(TO MATURITY)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FIXED PPC 0% 50% 75% 100% 130% 140% 160% 200%
ARM PPC 0% 50% 67% 83% 100% 107% 120% 160%
Mar-98 100% 100% 100% 100% 100% 100% 100% 100%
Mar-99 100% 88% 72% 57% 41% 41% 41% 41%
Mar-00 100% 39% 5% 0% 0% 0% 0% 0%
Mar-01 100% 0% 0% 0% 0% 0% 0% 0%
Mar-02 100% 0% 0% 0% 0% 0% 0% 0%
Mar-03 97% 0% 0% 0% 0% 0% 0% 0%
Mar-04 90% 0% 0% 0% 0% 0% 0% 0%
Mar-05 82% 0% 0% 0% 0% 0% 0% 0%
Mar-06 73% 0% 0% 0% 0% 0% 0% 0%
Mar-07 62% 0% 0% 0% 0% 0% 0% 0%
Mar-08 52% 0% 0% 0% 0% 0% 0% 0%
Mar-09 41% 0% 0% 0% 0% 0% 0% 0%
Mar-10 28% 0% 0% 0% 0% 0% 0% 0%
Mar-11 14% 0% 0% 0% 0% 0% 0% 0%
Mar-12 0% 0% 0% 0% 0% 0% 0% 0%
Mar-13 0% 0% 0% 0% 0% 0% 0% 0%
Mar-14 0% 0% 0% 0% 0% 0% 0% 0%
Mar-15 0% 0% 0% 0% 0% 0% 0% 0%
Mar-16 0% 0% 0% 0% 0% 0% 0% 0%
Mar-17 0% 0% 0% 0% 0% 0% 0% 0%
Mar-18 0% 0% 0% 0% 0% 0% 0% 0%
Mar-19 0% 0% 0% 0% 0% 0% 0% 0%
Mar-20 0% 0% 0% 0% 0% 0% 0% 0%
Mar-21 0% 0% 0% 0% 0% 0% 0% 0%
Mar-22 0% 0% 0% 0% 0% 0% 0% 0%
Mar-23 0% 0% 0% 0% 0% 0% 0% 0%
Mar-24 0% 0% 0% 0% 0% 0% 0% 0%
Mar-25 0% 0% 0% 0% 0% 0% 0% 0%
Mar-26 0% 0% 0% 0% 0% 0% 0% 0%
Mar-27 0% 0% 0% 0% 0% 0% 0% 0%
Weighted 9.91 1.79 1.34 1.10 0.95 0.95 0.95 0.95
Average
Life Years (1)
</TABLE>
(1) The weighted average life of the Offered Certificates is determined by
(i) multiplying the amount of each principal payment by the number of
years from the date of issuance to the related Payment Date, (ii)
dividing the sum by the initial respective Certificate Principal
Balance for such Class of Offered Certificates.
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
Percentage of Initial Certificate Balance
CLASS A-3
(TO MATURITY)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FIXED PPC 0% 50% 75% 100% 130% 140% 160% 200%
ARM PPC 0% 50% 67% 83% 100% 107% 120% 160%
Mar-98 100% 100% 100% 100% 100% 100% 100% 100%
Mar-99 100% 100% 100% 100% 100% 100% 100% 100%
Mar-00 100% 100% 100% 75% 48% 48% 48% 28%
Mar-01 100% 95% 53% 15% 0% 0% 0% 0%
Mar-02 100% 60% 10% 0% 0% 0% 0% 0%
Mar-03 100% 28% 0% 0% 0% 0% 0% 0%
Mar-04 100% 0% 0% 0% 0% 0% 0% 0%
Mar-05 100% 0% 0% 0% 0% 0% 0% 0%
Mar-06 100% 0% 0% 0% 0% 0% 0% 0%
Mar-07 100% 0% 0% 0% 0% 0% 0% 0%
Mar-08 100% 0% 0% 0% 0% 0% 0% 0%
Mar-09 100% 0% 0% 0% 0% 0% 0% 0%
Mar-10 100% 0% 0% 0% 0% 0% 0% 0%
Mar-11 100% 0% 0% 0% 0% 0% 0% 0%
Mar-12 99% 0% 0% 0% 0% 0% 0% 0%
Mar-13 0% 0% 0% 0% 0% 0% 0% 0%
Mar-14 0% 0% 0% 0% 0% 0% 0% 0%
Mar-15 0% 0% 0% 0% 0% 0% 0% 0%
Mar-16 0% 0% 0% 0% 0% 0% 0% 0%
Mar-17 0% 0% 0% 0% 0% 0% 0% 0%
Mar-18 0% 0% 0% 0% 0% 0% 0% 0%
Mar-19 0% 0% 0% 0% 0% 0% 0% 0%
Mar-20 0% 0% 0% 0% 0% 0% 0% 0%
Mar-21 0% 0% 0% 0% 0% 0% 0% 0%
Mar-22 0% 0% 0% 0% 0% 0% 0% 0%
Mar-23 0% 0% 0% 0% 0% 0% 0% 0%
Mar-24 0% 0% 0% 0% 0% 0% 0% 0%
Mar-25 0% 0% 0% 0% 0% 0% 0% 0%
Mar-26 0% 0% 0% 0% 0% 0% 0% 0%
Mar-27 0% 0% 0% 0% 0% 0% 0% 0%
Weighted 14.75 4.35 3.11 2.43 2.01 2.01 2.01 1.81
Average
Life Years (1)
</TABLE>
(1) The weighted average life of the Offered Certificates is determined by
(i) multiplying the amount of each principal payment by the number of
years from the date of issuance to the related Payment Date, (ii)
dividing the sum by the initial respective Certificate Principal
Balance for such Class of Offered Certificates.
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
Percentage of Initial Certificate Balance
CLASS A-4
(TO MATURITY)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FIXED PPC 0% 50% 75% 100% 130% 140% 160% 200%
ARM PPC 0% 50% 67% 83% 100% 107% 120% 160%
Mar-98 100% 100% 100% 100% 100% 100% 100% 100%
Mar-99 100% 100% 100% 100% 100% 100% 100% 100%
Mar-00 100% 100% 100% 100% 100% 100% 100% 100%
Mar-01 100% 100% 100% 100% 47% 47% 47% 0%
Mar-02 100% 100% 100% 14% 0% 0% 0% 0%
Mar-03 100% 100% 30% 0% 0% 0% 0% 0%
Mar-04 100% 100% 0% 0% 0% 0% 0% 0%
Mar-05 100% 34% 0% 0% 0% 0% 0% 0%
Mar-06 100% 0% 0% 0% 0% 0% 0% 0%
Mar-07 100% 0% 0% 0% 0% 0% 0% 0%
Mar-08 100% 0% 0% 0% 0% 0% 0% 0%
Mar-09 100% 0% 0% 0% 0% 0% 0% 0%
Mar-10 100% 0% 0% 0% 0% 0% 0% 0%
Mar-11 100% 0% 0% 0% 0% 0% 0% 0%
Mar-12 100% 0% 0% 0% 0% 0% 0% 0%
Mar-13 0% 0% 0% 0% 0% 0% 0% 0%
Mar-14 0% 0% 0% 0% 0% 0% 0% 0%
Mar-15 0% 0% 0% 0% 0% 0% 0% 0%
Mar-16 0% 0% 0% 0% 0% 0% 0% 0%
Mar-17 0% 0% 0% 0% 0% 0% 0% 0%
Mar-18 0% 0% 0% 0% 0% 0% 0% 0%
Mar-19 0% 0% 0% 0% 0% 0% 0% 0%
Mar-20 0% 0% 0% 0% 0% 0% 0% 0%
Mar-21 0% 0% 0% 0% 0% 0% 0% 0%
Mar-22 0% 0% 0% 0% 0% 0% 0% 0%
Mar-23 0% 0% 0% 0% 0% 0% 0% 0%
Mar-24 0% 0% 0% 0% 0% 0% 0% 0%
Mar-25 0% 0% 0% 0% 0% 0% 0% 0%
Mar-26 0% 0% 0% 0% 0% 0% 0% 0%
Mar-27 0% 0% 0% 0% 0% 0% 0% 0%
Weighted 14.80 6.76 4.80 3.70 3.08 3.08 3.08 2.59
Average
Life
Years (1)
</TABLE>
(1) The weighted average life of the Offered Certificates is determined by
(i) multiplying the amount of each principal payment by the number of
years from the date of issuance to the related Payment Date, (ii)
dividing the sum by the initial respective Certificate Principal
Balance for such Class of Offered Certificates.
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
Percentage of Initial Certificate Balance
CLASS A-5 (TO MATURITY)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FIXED PPC 0% 50% 75% 100% 130% 140% 160% 200%
ARM PPC 0% 50% 67% 83% 100% 107% 120% 160%
Mar-98 100% 100% 100% 100% 100% 100% 100% 100%
Mar-99 100% 100% 100% 100% 100% 100% 100% 100%
Mar-00 100% 100% 100% 100% 100% 100% 100% 100%
Mar-01 100% 100% 100% 100% 100% 100% 100% 74%
Mar-02 100% 100% 100% 100% 48% 48% 48% 0%
Mar-03 100% 100% 100% 14% 0% 0% 0% 0%
Mar-04 100% 100% 50% 0% 0% 0% 0% 0%
Mar-05 100% 100% 0% 0% 0% 0% 0% 0%
Mar-06 100% 75% 0% 0% 0% 0% 0% 0%
Mar-07 100% 21% 0% 0% 0% 0% 0% 0%
Mar-08 100% 0% 0% 0% 0% 0% 0% 0%
Mar-09 100% 0% 0% 0% 0% 0% 0% 0%
Mar-10 100% 0% 0% 0% 0% 0% 0% 0%
Mar-11 100% 0% 0% 0% 0% 0% 0% 0%
Mar-12 100% 0% 0% 0% 0% 0% 0% 0%
Mar-13 57% 0% 0% 0% 0% 0% 0% 0%
Mar-14 37% 0% 0% 0% 0% 0% 0% 0%
Mar-15 15% 0% 0% 0% 0% 0% 0% 0%
Mar-16 0% 0% 0% 0% 0% 0% 0% 0%
Mar-17 0% 0% 0% 0% 0% 0% 0% 0%
Mar-18 0% 0% 0% 0% 0% 0% 0% 0%
Mar-19 0% 0% 0% 0% 0% 0% 0% 0%
Mar-20 0% 0% 0% 0% 0% 0% 0% 0%
Mar-21 0% 0% 0% 0% 0% 0% 0% 0%
Mar-22 0% 0% 0% 0% 0% 0% 0% 0%
Mar-23 0% 0% 0% 0% 0% 0% 0% 0%
Mar-24 0% 0% 0% 0% 0% 0% 0% 0%
Mar-25 0% 0% 0% 0% 0% 0% 0% 0%
Mar-26 0% 0% 0% 0% 0% 0% 0% 0%
Mar-27 0% 0% 0% 0% 0% 0% 0% 0%
Weighted 15.71 8.47 6.02 4.63 4.01 4.01 4.01 3.40
Average
Life
Years (1)
</TABLE>
(1) The weighted average life of the Offered Certificates is determined by
(i) multiplying the amount of each principal payment by the number of
years from the date of issuance to the related Payment Date, (ii)
dividing the sum by the initial respective Certificate Principal
Balance for such Class of Offered Certificates.
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
Percentage of Initial Certificate Balance
CLASS A-6 (TO MATURITY)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FIXED PPC 0% 50% 75% 100% 130% 140% 160% 200%
ARM PPC 0% 50% 67% 83% 100% 107% 120% 160%
Mar-98 100% 100% 100% 100% 100% 100% 100% 100%
Mar-99 100% 100% 100% 100% 100% 100% 100% 100%
Mar-00 100% 100% 100% 100% 100% 100% 100% 100%
Mar-01 100% 100% 100% 100% 100% 100% 100% 100%
Mar-02 100% 100% 100% 100% 100% 100% 100% 90%
Mar-03 100% 100% 100% 100% 56% 56% 56% 0%
Mar-04 100% 100% 100% 3% 0% 0% 0% 0%
Mar-05 100% 100% 73% 0% 0% 0% 0% 0%
Mar-06 100% 100% 0% 0% 0% 0% 0% 0%
Mar-07 100% 100% 0% 0% 0% 0% 0% 0%
Mar-08 100% 60% 0% 0% 0% 0% 0% 0%
Mar-09 100% 0% 0% 0% 0% 0% 0% 0%
Mar-10 100% 0% 0% 0% 0% 0% 0% 0%
Mar-11 100% 0% 0% 0% 0% 0% 0% 0%
Mar-12 100% 0% 0% 0% 0% 0% 0% 0%
Mar-13 100% 0% 0% 0% 0% 0% 0% 0%
Mar-14 100% 0% 0% 0% 0% 0% 0% 0%
Mar-15 100% 0% 0% 0% 0% 0% 0% 0%
Mar-16 87% 0% 0% 0% 0% 0% 0% 0%
Mar-17 46% 0% 0% 0% 0% 0% 0% 0%
Mar-18 5% 0% 0% 0% 0% 0% 0% 0%
Mar-19 0% 0% 0% 0% 0% 0% 0% 0%
Mar-20 0% 0% 0% 0% 0% 0% 0% 0%
Mar-21 0% 0% 0% 0% 0% 0% 0% 0%
Mar-22 0% 0% 0% 0% 0% 0% 0% 0%
Mar-23 0% 0% 0% 0% 0% 0% 0% 0%
Mar-24 0% 0% 0% 0% 0% 0% 0% 0%
Mar-25 0% 0% 0% 0% 0% 0% 0% 0%
Mar-26 0% 0% 0% 0% 0% 0% 0% 0%
Mar-27 0% 0% 0% 0% 0% 0% 0% 0%
Weighted 18.90 10.17 7.27 5.59 5.10 5.10 5.10 4.39
Average
Life
Years (1)
</TABLE>
(1) The weighted average life of the Offered Certificates is determined by
(i) multiplying the amount of each principal payment by the number of
years from the date of issuance to the related Payment Date, (ii)
dividing the sum by the initial respective Certificate Principal
Balance for such Class of Offered Certificates.
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
Percentage of Initial Certificate Balance
CLASS A-7
(TO MATURITY)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FIXED PPC 0% 50% 75% 100% 130% 140% 160% 200%
ARM PPC 0% 50% 67% 83% 100% 107% 120% 160%
Mar-98 100% 100% 100% 100% 100% 100% 100% 100%
Mar-99 100% 100% 100% 100% 100% 100% 100% 100%
Mar-00 100% 100% 100% 100% 100% 100% 100% 100%
Mar-01 100% 100% 100% 100% 100% 100% 100% 100%
Mar-02 100% 100% 100% 100% 100% 100% 100% 100%
Mar-03 100% 100% 100% 100% 100% 100% 100% 96%
Mar-04 100% 100% 100% 100% 87% 87% 87% 55%
Mar-05 100% 100% 100% 53% 53% 53% 53% 29%
Mar-06 100% 100% 91% 29% 29% 29% 29% 13%
Mar-07 100% 100% 39% 14% 14% 14% 14% 5%
Mar-08 100% 100% 5% 5% 5% 5% 5% 0%
Mar-09 100% 98% 0% 0% 0% 0% 0% 0%
Mar-10 100% 57% 0% 0% 0% 0% 0% 0%
Mar-11 100% 21% 0% 0% 0% 0% 0% 0%
Mar-12 100% 0% 0% 0% 0% 0% 0% 0%
Mar-13 100% 0% 0% 0% 0% 0% 0% 0%
Mar-14 100% 0% 0% 0% 0% 0% 0% 0%
Mar-15 100% 0% 0% 0% 0% 0% 0% 0%
Mar-16 100% 0% 0% 0% 0% 0% 0% 0%
Mar-17 100% 0% 0% 0% 0% 0% 0% 0%
Mar-18 100% 0% 0% 0% 0% 0% 0% 0%
Mar-19 85% 0% 0% 0% 0% 0% 0% 0%
Mar-20 63% 0% 0% 0% 0% 0% 0% 0%
Mar-21 40% 0% 0% 0% 0% 0% 0% 0%
Mar-22 14% 0% 0% 0% 0% 0% 0% 0%
Mar-23 0% 0% 0% 0% 0% 0% 0% 0%
Mar-24 0% 0% 0% 0% 0% 0% 0% 0%
Mar-25 0% 0% 0% 0% 0% 0% 0% 0%
Mar-26 0% 0% 0% 0% 0% 0% 0% 0%
Mar-27 0% 0% 0% 0% 0% 0% 0% 0%
Weighted 22.52 12.23 8.84 7.45 7.40 7.40 7.40 6.46
Average Life
Years (1)
</TABLE>
(1) The weighted average life of the Offered Certificates is determined by
(i) multiplying the amount of each principal payment by the number of
years from the date of issuance to the related Payment Date, (ii)
dividing the sum by the initial respective Certificate Principal
Balance for such Class of Offered Certificates.
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
Percentage of Initial Certificate Balance
CLASS A-8
(TO MATURITY)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FIXED PPC 0% 50% 75% 100% 130% 140% 160% 200%
ARM PPC 0% 50% 67% 83% 100% 107% 120% 160%
Mar-98 100% 100% 100% 100% 100% 100% 100% 100%
Mar-99 100% 100% 100% 100% 57% 0% 0% 0%
Mar-00 100% 100% 100% 100% 17% 0% 0% 0%
Mar-01 100% 100% 100% 100% 3% 0% 0% 0%
Mar-02 100% 100% 100% 100% 0% 0% 0% 0%
Mar-03 100% 100% 100% 100% 0% 0% 0% 0%
Mar-04 100% 100% 100% 100% 0% 0% 0% 0%
Mar-05 100% 100% 100% 24% 0% 0% 0% 0%
Mar-06 100% 100% 100% 0% 0% 0% 0% 0%
Mar-07 100% 100% 100% 0% 0% 0% 0% 0%
Mar-08 100% 100% 65% 0% 0% 0% 0% 0%
Mar-09 100% 100% 0% 0% 0% 0% 0% 0%
Mar-10 100% 100% 0% 0% 0% 0% 0% 0%
Mar-11 100% 100% 0% 0% 0% 0% 0% 0%
Mar-12 100% 50% 0% 0% 0% 0% 0% 0%
Mar-13 100% 0% 0% 0% 0% 0% 0% 0%
Mar-14 100% 0% 0% 0% 0% 0% 0% 0%
Mar-15 100% 0% 0% 0% 0% 0% 0% 0%
Mar-16 100% 0% 0% 0% 0% 0% 0% 0%
Mar-17 100% 0% 0% 0% 0% 0% 0% 0%
Mar-18 100% 0% 0% 0% 0% 0% 0% 0%
Mar-19 100% 0% 0% 0% 0% 0% 0% 0%
Mar-20 100% 0% 0% 0% 0% 0% 0% 0%
Mar-21 100% 0% 0% 0% 0% 0% 0% 0%
Mar-22 100% 0% 0% 0% 0% 0% 0% 0%
Mar-23 38% 0% 0% 0% 0% 0% 0% 0%
Mar-24 0% 0% 0% 0% 0% 0% 0% 0%
Mar-25 0% 0% 0% 0% 0% 0% 0% 0%
Mar-26 0% 0% 0% 0% 0% 0% 0% 0%
Mar-27 0% 0% 0% 0% 0% 0% 0% 0%
Weighted 24.91 14.02 10.13 6.82 1.30 0.59 0.47 0.40
Average Life
Years (1)
</TABLE>
(1) The weighted average life of the Offered Certificates is determined by
(i) multiplying the amount of each principal payment by the number of
years from the date of issuance to the related Payment Date, (ii)
dividing the sum by the initial respective Certificate Principal
Balance for such Class of Offered Certificates.
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
Percentage of Initial Certificate Balance
CLASS A-9 (TO MATURITY)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FIXED PPC 0% 50% 75% 100% 130% 140% 160% 200%
ARM PPC 0% 50% 67% 83% 100% 107% 120% 160%
Mar-98 100% 100% 100% 100% 100% 100% 100% 100%
Mar-99 100% 100% 100% 100% 100% 96% 74% 27%
Mar-00 100% 100% 100% 100% 100% 81% 41% 0%
Mar-01 100% 100% 100% 100% 100% 77% 33% 0%
Mar-02 100% 100% 100% 100% 84% 63% 26% 0%
Mar-03 100% 100% 100% 100% 73% 54% 22% 0%
Mar-04 100% 100% 100% 100% 60% 44% 18% 0%
Mar-05 100% 100% 100% 100% 49% 35% 14% 0%
Mar-06 100% 100% 100% 87% 40% 29% 12% 0%
Mar-07 100% 100% 100% 72% 32% 23% 9% 0%
Mar-08 100% 100% 100% 59% 25% 18% 7% 0%
Mar-09 100% 100% 91% 47% 19% 13% 5% 0%
Mar-10 100% 100% 74% 36% 12% 7% 2% 0%
Mar-11 100% 100% 60% 26% 7% 4% 0% 0%
Mar-12 100% 100% 48% 19% 4% 1% 0% 0%
Mar-13 100% 40% 15% 3% 0% 0% 0% 0%
Mar-14 100% 33% 11% 1% 0% 0% 0% 0%
Mar-15 100% 27% 8% 0% 0% 0% 0% 0%
Mar-16 100% 21% 5% 0% 0% 0% 0% 0%
Mar-17 100% 16% 3% 0% 0% 0% 0% 0%
Mar-18 100% 12% 1% 0% 0% 0% 0% 0%
Mar-19 100% 9% 0% 0% 0% 0% 0% 0%
Mar-20 100% 7% 0% 0% 0% 0% 0% 0%
Mar-21 100% 5% 0% 0% 0% 0% 0% 0%
Mar-22 100% 3% 0% 0% 0% 0% 0% 0%
Mar-23 100% 1% 0% 0% 0% 0% 0% 0%
Mar-24 88% 0% 0% 0% 0% 0% 0% 0%
Mar-25 68% 0% 0% 0% 0% 0% 0% 0%
Mar-26 47% 0% 0% 0% 0% 0% 0% 0%
Mar-27 22% 0% 0% 0% 0% 0% 0% 0%
Weighted 27.75 16.43 13.74 11.05 7.53 5.94 3.15 0.81
Average Life
Years (1)
</TABLE>
(1) The weighted average life of the Offered Certificates is determined by
(i) multiplying the amount of each principal payment by the number of
years from the date of issuance to the related Payment Date, (ii)
dividing the sum by the initial respective Certificate Principal
Balance for such Class of Offered Certificates.
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
Percentage of Initial Certificate Balance
CLASS A-10 (TO MATURITY)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FIXED PPC 0% 50% 75% 100% 130% 140% 160% 200%
ARM PPC 0% 50% 67% 83% 100% 107% 120% 160%
Mar-98 100% 100% 100% 100% 100% 100% 100% 100%
Mar-99 98% 88% 85% 82% 79% 77% 75% 66%
Mar-00 98% 72% 64% 57% 50% 47% 42% 27%
Mar-01 97% 58% 48% 39% 30% 27% 22% 9%
Mar-02 97% 47% 35% 28% 20% 18% 14% 5%
Mar-03 96% 38% 27% 19% 13% 11% 8% 2%
Mar-04 95% 30% 21% 14% 9% 7% 5% 1%
Mar-05 94% 26% 16% 10% 6% 4% 3% 0%
Mar-06 93% 21% 12% 7% 4% 3% 1% 0%
Mar-07 92% 17% 9% 5% 2% 2% 1% 0%
Mar-08 91% 14% 7% 3% 1% 1% 0% 0%
Mar-09 90% 11% 5% 2% 1% 1% 0% 0%
Mar-10 89% 9% 4% 2% 0% 0% 0% 0%
Mar-11 87% 7% 3% 1% 0% 0% 0% 0%
Mar-12 85% 6% 2% 1% 0% 0% 0% 0%
Mar-13 79% 5% 1% 0% 0% 0% 0% 0%
Mar-14 77% 4% 1% 0% 0% 0% 0% 0%
Mar-15 75% 3% 1% 0% 0% 0% 0% 0%
Mar-16 72% 2% 0% 0% 0% 0% 0% 0%
Mar-17 69% 2% 0% 0% 0% 0% 0% 0%
Mar-18 66% 1% 0% 0% 0% 0% 0% 0%
Mar-19 62% 1% 0% 0% 0% 0% 0% 0%
Mar-20 57% 1% 0% 0% 0% 0% 0% 0%
Mar-21 53% 0% 0% 0% 0% 0% 0% 0%
Mar-22 47% 0% 0% 0% 0% 0% 0% 0%
Mar-23 41% 0% 0% 0% 0% 0% 0% 0%
Mar-24 34% 0% 0% 0% 0% 0% 0% 0%
Mar-25 27% 0% 0% 0% 0% 0% 0% 0%
Mar-26 18% 0% 0% 0% 0% 0% 0% 0%
Mar-27 8% 0% 0% 0% 0% 0% 0% 0%
Weighted 21.39 5.16 3.93 3.20 2.67 2.49 2.22 1.64
Average Life
Years (1)
</TABLE>
(1) The weighted average life of the Offered Certificates is determined by
(i) multiplying the amount of each principal payment by the number of
years from the date of issuance to the related Payment Date, (ii)
dividing the sum by the initial respective Certificate Principal
Balance for such Class of Offered Certificates.
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
Percentage of Initial Certificate Balance
CLASS B
(TO MATURITY)
FIXED PPC 0% 50% 75% 100% 130% 140% 160% 200%
ARM PPC 0% 50% 67% 83% 100% 107% 120% 160%
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Mar-98 100% 100% 100% 100% 100% 100% 100% 100%
Mar-99 100% 100% 100% 100% 100% 100% 100% 100%
Mar-00 100% 100% 100% 100% 100% 100% 100% 100%
Mar-01 100% 100% 100% 100% 100% 100% 100% 100%
Mar-02 100% 100% 100% 84% 63% 57% 46% 23%
Mar-03 100% 100% 87% 65% 45% 39% 26% 7%
Mar-04 100% 100% 71% 50% 29% 23% 12% 0%
Mar-05 100% 87% 58% 38% 17% 11% 3% 0%
Mar-06 100% 75% 48% 26% 8% 3% 0% 0%
Mar-07 100% 65% 39% 17% 1% 0% 0% 0%
Mar-08 100% 56% 29% 9% 0% 0% 0% 0%
Mar-09 100% 49% 21% 4% 0% 0% 0% 0%
Mar-10 100% 42% 14% 0% 0% 0% 0% 0%
Mar-11 100% 35% 9% 0% 0% 0% 0% 0%
Mar-12 100% 27% 4% 0% 0% 0% 0% 0%
Mar-13 86% 2% 0% 0% 0% 0% 0% 0%
Mar-14 83% 0% 0% 0% 0% 0% 0% 0%
Mar-15 78% 0% 0% 0% 0% 0% 0% 0%
Mar-16 73% 0% 0% 0% 0% 0% 0% 0%
Mar-17 68% 0% 0% 0% 0% 0% 0% 0%
Mar-18 63% 0% 0% 0% 0% 0% 0% 0%
Mar-19 59% 0% 0% 0% 0% 0% 0% 0%
Mar-20 54% 0% 0% 0% 0% 0% 0% 0%
Mar-21 50% 0% 0% 0% 0% 0% 0% 0%
Mar-22 44% 0% 0% 0% 0% 0% 0% 0%
Mar-23 38% 0% 0% 0% 0% 0% 0% 0%
Mar-24 30% 0% 0% 0% 0% 0% 0% 0%
Mar-25 20% 0% 0% 0% 0% 0% 0% 0%
Mar-26 9% 0% 0% 0% 0% 0% 0% 0%
Mar-27 0% 0% 0% 0% 0% 0% 0% 0%
Weighted 22.10 10.94 8.32 6.45 5.06 4.73 4.23 3.60
Average
Life Years (1)
</TABLE>
(1) The weighted average life of the Offered Certificates is determined by
(i) multiplying the amount of each principal payment by the number of
years from the date of issuance to the related Payment Date, (ii)
dividing the sum by the initial respective Certificate Principal
Balance for such Class of Offered Certificates.
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
COLLATERAL SUMMARY
Collateral statistics are based on pools as of 2/23/98 ("Statistical
Calculation Date"). The statistics of the pools as of the Closing Date
may vary.
<TABLE>
<CAPTION>
FIXED RATE POOL ARM Pool
<S> <C> <C>
TOTAL $985,610,830.81 $296,920,926.29
OUTSTANDING
BALANCE:
NUMBER OF LOANS: 15,273 3,107
AVERAGE
REMAINING BALANCE: $64,532.89 $95,565.15
INTEREST RATE 100.00% fixed rate loans $ 36,805,359.17 3/27 (GROUP I)
INDEX: (GROUP I) $125,312,679.74 2/28 (GROUP I)
$87,835,874.41 2/28 (GROUP II)
$46,967,012.97 6-m LIBOR (GROUP II)
AMORTIZATION METHOD: 53.40% fully amortizing 100% fully amortizing
/46.60% balloons
WA GROSS COUPON: 10.68% (range: 7.10% - (20.49%) 10.15% (range: 6.13% - 14.75%)
WA GROSS MARGIN
/WA LIFE CAP: N/A 6.21% / 16.37%
WA PERIODIC
INTEREST
RATE CAPS: N/A 1.047%
WA MONTHS TO
ROLL: N/A 20.5 months
ORIGINAL 231.89 months (range: 48 359.90 (range: 180 - 360
WEIGHTED - 360 months) months)
AVERAGE TERM:
REMAINING 229.61 (range: 44 - 360 357.80 (range: 176 - 360
WEIGHTED months) months)
AVERAGE TERM:
SEASONING: 2.27 months (range: 0 - 33 2.10 months (range: 0 - 17
months) months)
LIEN POSITION: 93.83% first / 6.17% second 100% first lien
ORIGINAL LTV 74.12% (range: 2.00% - 79.38% (range: 14.00% -
RATIO: 100.00%) 100.00%)
ORIGINAL CLTV 77.21% (range: 2.00% - N/A
RATIO: 100.00%)
WA DEBT TO 38.36% (range: 2.00% - 39.75% (range: 6.00% -
INCOME RATIO: 78.00%) 61.00%)
CREDIT GRADE: 61.44% A, 22.46% B, 13.40% 61.35% A, 24.52% B, 12.42%
C, 2.70% D C, 1.70% D
DOCUMENTATION: 80.43% full doc, 8.50% 79.46% full doc, 10.67% no
FNMA, 7.12% limited doc, doc, 9.61% limited doc,
3.95% no doc 0.26% FNMA
PROPERTY TYPE: 89.61% single family, 87.92% single family,
5.96% 2-4 family, 3.56% PUD, 5.67% 2-4
1.23% PUD, 3.21% other family, 2.85% other
OWNER OCCUPANCY: 95.84% owner occupied, 95.04% owner occupied,
4.16% investor owned 4.96% investor owned
LOAN PURPOSE: 72.32% debt consolidation 51.35% debt consolidation
and home improvement, and home improvement,
8.19% purchase, 19.49% 33.13% purchase, 15.51%
other other
GEOGRAPHIC MI (10.73%), OH (9.41%), CA (16.14%), MI (12.07%),
DISTRIBUTION: IL (7.54%), NC (6.80%), FL (6.00%), IL (5.70%),
PA (6.26%), NY (5.96%), FL TX (5.62%), UT: (5.23%),
(5.55%), with all other OH (5.11%), with all
remaining states under other remaining states
5.00% under 5.00%
</TABLE>
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
- -------------------------------------------------------------------------------
Computational Material
ContiMortgage Home Equity Loan Trust Series 1998-1
- -------------------------------------------------------------------------------
FIXED RATE COLLATERAL
Geographic Distribution of Mortgaged Properties - Fixed Rate Loans
Number of Aggregate % of Aggregate
State Home Equity Loans Loan Balance Loan Balance
Arizona 177 $11,344,785.81 1.15 %
Arkansas 90 4,204,959.54 0.43
California 398 39,748,111.38 4.03
Colorado 161 12,105,109.88 1.23
Connecticut 108 10,152,387.93 1.03
Delaware 25 1,677,614.58 0.17
District of Columbia 43 3,497,726.73 0.35
Florida 892 54,703,310.85 5.55
Georgia 523 35,212,944.75 3.57
Hawaii 9 1,378,815.69 0.14
Idaho 27 1,626,066.01 0.16
Illinois 1,128 74,283,040.93 7.54
Indiana 836 44,350,127.61 4.50
Iowa 59 3,010,775.81 0.31
Kansas 72 3,940,148.31 0.40
Kentucky 347 18,443,489.88 1.87
Louisiana 138 6,612,888.99 0.67
Maine 21 1,410,811.65 0.14
Maryland 402 29,889,634.73 3.03
Massachusetts 356 26,580,573.77 2.70
Michigan 1,952 105,762,752.00 10.73
Minnesota 152 10,289,957.69 1.04
Mississippi 88 4,219,155.31 0.43
Missouri 337 18,175,080.21 1.84
Montana 20 1,666,155.99 0.17
Nebraska 36 1,979,569.50 0.20
Nevada 57 5,017,020.44 0.51
New Hampshire 44 3,475,717.24 0.35
New Jersey 424 38,234,417.33 3.88
New Mexico 134 8,278,812.53 0.84
New York 668 58,749,951.83 5.96
North Carolina 1,119 66,976,957.71 6.80
North Dakota 1 38,237.20 0.00
Ohio 1,502 92,794,488.07 9.41
Oklahoma 66 3,308,017.83 0.34
Oregon 99 8,252,428.53 0.84
Pennsylvania 1,013 61,673,895.42 6.26
Rhode Island 76 5,611,372.17 0.57
South Carolina 380 20,453,175.22 2.08
South Dakota 3 126,278.15 0.01
Tennessee 280 17,759,056.70 1.80
Texas 196 13,541,366.99 1.37
Utah 91 7,877,822.66 0.80
Vermont 3 289,447.50 0.03
Virginia 349 21,470,976.32 2.18
Washington 132 11,270,744.30 1.14
West Virginia 72 3,868,450.84 0.39
Wisconsin 159 9,782,691.15 0.99
Wyoming 8 493,509.15 0.05
15,273 $985,610,830.81 100.00%
------- ---------------- ---------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
- -------------------------------------------------------------------------------
Computational Material
ContiMortgage Home Equity Loan Trust Series 1998-1
- -------------------------------------------------------------------------------
FIXED RATE COLLATERAL
Original Loan-to-Value Ratios - Fixed Rate Loans
Range of Number of Aggregate % of Aggregate
Original LTV's Home Equity Loan Balance Loan Balance
Loans
0.00 - 5.00 % 5 $109,820.49 0.01 %
5.01 - 10.00 98 1,817,154.48 0.18
10.01 - 15.00 355 8,309,932.61 0.84
15.01 - 20.00 532 14,308,211.48 1.45
20.01 - 25.00 391 13,176,541.67 1.34
25.01 - 30.00 307 11,708,374.36 1.19
30.01 - 35.00 259 9,700,716.21 0.98
35.01 - 40.00 272 11,222,335.37 1.14
40.01 - 45.00 281 12,221,038.36 1.24
45.01 - 50.00 435 16,705,231.10 1.69
50.01 - 55.00 377 18,440,626.24 1.87
55.01 - 60.00 557 27,562,944.67 2.80
60.01 - 65.00 747 43,875,932.43 4.45
65.01 - 70.00 1,195 70,532,726.71 7.16
70.01 - 75.00 1,612 105,189,076.18 10.67
75.01 - 80.00 3,814 276,247,252.67 28.03
80.01 - 85.00 2,483 201,074,039.24 20.40
85.01 - 90.00 1,548 142,983,582.60 14.51
90.01 - 95.00 3 304,840.27 0.03
95.01 - 100.00 2 120,453.67 0.01
15,273 $985,610,830.81 100.00 %
-------- ------------------- --------
Min: 2.00
Max: 100.00
Weighted Average: 74.12
- -------------------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
FIXED RATE COLLATERAL
Combined Loan-to-Value Ratios - Fixed Rate Loans
Range of Number of Aggregate % of Aggregate
Original CLTV's Home Equity Loan Balance Loan Balance
Loans
0.00 - 5.00 % 2 $55,775.85 0.01 %
5.01 - 10.00 5 66,661.84 0.01
10.01 - 15.00 21 398,880.08 0.04
15.01 - 20.00 41 951,958.55 0.10
20.01 - 25.00 67 1,746,060.24 0.18
25.01 - 30.00 99 3,058,496.42 0.31
30.01 - 35.00 139 4,737,005.39 0.48
35.01 - 40.00 192 7,221,368.86 0.73
40.01 - 45.00 252 10,266,593.67 1.04
45.01 - 50.00 415 15,576,001.87 1.58
50.01 - 55.00 384 18,222,804.48 1.85
55.01 - 60.00 600 29,137,735.77 2.96
60.01 - 65.00 832 46,589,695.20 4.73
65.01 - 70.00 1,319 75,200,479.95 7.63
70.01 - 75.00 1,865 113,114,870.69 11.48
75.01 - 80.00 4,282 292,469,356.43 29.67
80.01 - 85.00 3,019 219,359,609.76 22.26
85.01 - 90.00 1,578 143,789,025.96 14.59
90.01 - 95.00 25 698,795.88 0.07
95.01 100.00 136 2,949,653.92 0.30
15,273 $985,610,830.81 100.00 %
-------- -------------------
Min: 2.00
Max: 100.00
Weighted Average: 77.21
- -----------------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
FIXED RATE COLLATERAL
Statistical Calculation Date Coupon Rates - Fixed Rate Loans
Range of Number of Aggregate % of Aggregate
Coupon Rates Home Equity Loans Loan Balance Loan Balance
7.01 - 8.00 % 166 $14,363,264.78 1.46 %
8.01 - 9.00 1,466 121,526,806.79 12.33
9.01 - 10.00 3,462 255,864,399.75 25.96
10.01 - 11.00 3,943 267,400,344.05 27.13
11.01 - 12.00 2,628 158,161,425.69 16.05
12.01 - 13.00 1,767 90,686,970.56 9.20
13.01 - 14.00 1,048 47,325,726.10 4.80
14.01 - 15.00 497 19,618,863.47 1.99
15.01 - 16.00 139 5,619,550.03 0.57
16.01 - 17.00 121 3,954,394.71 0.40
17.01 - 18.00 32 997,422.77 0.10
18.01 - 19.00 2 36,462.11 0.00
19.01 - 21.00 2 55,200.00 0.01
15,273 $985,610,830.81 100.00 %
---------- ------------------- --------
Min: 7.10
Max: 20.49
Weighted Average: 10.68
- ------------------- -------------------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
FIXED RATE COLLATERAL
Statistical Calculation Date Loan Balances - Fixed Rate Loans
Number of Aggregate % of Aggregate
Range of Loan Balances Home Equity Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
$0.00 - 25,000.00 1,842 $34,962,115.42 3.55 %
25,000.01 - 50,000.00 5,030 191,417,502.12 19.42
50,000.01 - 75,000.00 4,115 252,939,627.47 25.66
75,000.01 - 100,000.00 1,960 169,390,781.01 17.19
100,000.01 - 125,000.00 1,071 119,289,162.73 12.10
125,000.01 - 150,000.00 535 73,251,141.55 7.43
150,000.01 - 175,000.00 292 47,128,762.76 4.78
175,000.01 - 200,000.00 169 31,691,143.91 3.22
200,000.01 - 225,000.00 107 22,714,632.51 2.30
225,000.01 - 250,000.00 44 10,432,644.05 1.06
250,000.01 - 275,000.00 40 10,515,538.34 1.07
275,000.01 - 300,000.00 26 7,498,589.55 0.76
300,000.01 - 325,000.00 16 4,988,650.44 0.51
325,000.01 - 350,000.00 14 4,793,172.38 0.49
350,000.01 - 375,000.00 4 1,438,184.87 0.15
375,000.01 - 400,000.00 5 1,902,679.76 0.19
400,000.01 - 425,000.00 2 824,828.68 0.08
425,000.01 - 450,000.00 1 431,673.26 0.04
15,273 $985,610,830.81 100.00 %
--------- -------------------
Min: 5,000.00
Max: 431,673.26
Average: 64,532.89
- ---------
</TABLE>
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
FIXED RATE COLLATERAL
Types of Mortgaged Properties - Fixed Rate Loans
Number of Aggregate % of Aggregate
Property Types Home Equity Loans Loan Balance Loan Balance
Single Family Detached 13,249 $852,667,466.61 86.51 %
Two to Four- Family Residence 777 58,693,527.97 5.96
Single Family Attached 573 30,526,170.23 3.10
Manufactured Housing 413 21,862,959.30 2.22
Planned Unit Development 127 12,131,852.91 1.23
Condominium 99 5,895,871.74 0.60
Mixed Use 35 3,832,982.05 0.39
15,273 $985,610,830.81 100.00 %
------- -----------------
Occupancy Status - Fixed Rate Loans
Number of Aggregate % of Aggregate
Occupancy Status Home Equity Loans Loan Balance Loan Balance
Owner Occupied 14,417 $944,606,972.32 95.84 %
Investor Owned 856 41,003,858.49 4.16
15,273 $985,610,830.81 100.00 %
-------- ------------------ ----------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
FIXED RATE COLLATERAL
Distribution of Months of Seasoning - Fixed Rate Loans
Months of Number of Aggregate % of Aggregate
Seasoning Home Equity Loans Loan Balance Loan Balance
0 - 1 3,977 $267,869,869.08 27.18 %
2 - 12 11,272 716,358,831.52 72.68
13+ 24 1,382,130.21 0.14
15,273 $985,610,830.81 100.00 %
------------ -------------------
Min: 0.00
Max: 33.00
Weighted Average: 2.27
- -----------------
Distribution of Remaining Months to Maturity - Fixed Rate Loans
Months Remaining Number of Aggregate % of Aggregate
to Maturity Home Equity Loans Loan Balance Loan Balance
0 - 120 583 $17,864,531.04 1.81 %
121 - 180 9,202 584,395,929.43 59.29
181 - 240 2,233 130,031,505.04 13.19
241 - 300 254 16,399,490.27 1.66
301 - 360 3,001 236,919,375.03 24.04
15,273 $985,610,830.81 100.00 %
----------- -------------------
Min: 44.00
Max: 360.00
Weighted Average: 229.61
- -----------------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
FIXED RATE COLLATERAL
Distribution of Original Months to Maturity - Fixed Rate Loans
Original Months Number of Aggregate % of Aggregate
to Maturity Home Equity Loans Loan Balance Loan Balance
0 - 60 48 $934,231.84 0.09 %
61 - 120 535 16,930,299.20 1.72
121 - 180 9,202 584,395,929.43 59.29
181 - 240 2,233 130,031,505.04 13.19
241 - 300 254 16,399,490.27 1.66
301 - 360 3,001 236,919,375.03 24.04
15,273 $985,610,830.81 100.00 %
-------- -------------------
Min: 48.00
Max: 360.00
Weighted Average: 231.89
- -----------------
Days Delinquent - Fixed Rate Loans
Number of Aggregate % of Aggregate
Days Delinquent Home Equity Loans Loan Balance Loan Balance
0 - 30 15,099 $975,455,102.00 98.97 %
31 - 60 166 9,804,420.50 0.99
61 - 90 8 351,308.31 0.04
15,273 $985,610,830.81 100.00 %
-------- ---------------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
FIXED RATE COLLATERAL
Statistical Calculation Date Junior Lien Ratio - Fixed Rate Loans
Junior Number of Aggregate % of Aggregate
Lien Ratio Home Equity Loans Loan Balance Loan Balance
5.01 - 10.00 % 10 $167,786.19 0.28 %
10.01 - 15.00 143 2,666,815.12 4.39
15.01 - 20.00 373 8,895,927.64 14.63
20.01 - 25.00 302 8,276,665.79 13.61
25.01 - 30.00 246 8,427,352.20 13.86
30.01 - 35.00 199 7,357,133.08 12.10
35.01 - 40.00 152 5,995,430.92 9.86
40.01 - 45.00 114 4,970,813.06 8.17
45.01 - 50.00 77 3,497,581.47 5.75
50.01 - 55.00 41 2,024,612.08 3.33
55.01 - 60.00 36 1,814,956.77 2.98
60.01 - 65.00 26 1,223,933.39 2.01
65.01 - 70.00 25 1,456,217.80 2.39
70.01 - 75.00 23 1,160,837.80 1.91
75.01 - 80.00 18 709,620.93 1.17
80.01 - 85.00 16 878,370.65 1.44
85.01 - 90.00 11 746,987.12 1.23
90.01 - 95.00 7 369,209.87 0.61
95.01 - 100.00 2 170,885.56 0.28
1,821 $60,811,137.44 100.00 %
---------- -------------------
Min: 6.48
Max: 98.01
Weighted Average: 35.71
- -------------------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
FIXED RATE COLLATERAL
Statistical Calculation Date Debt to Income Ratio - Fixed Rate Loans
Range of Debt Number of Aggregate % of Aggregate
to Income Ratio Home Equity Loans Loan Balance Loan Balance
0.00 - 5.00 % 29 $1,641,270.80 0.17 %
5.01 - 10.00 99 4,724,518.22 0.48
10.01 - 15.00 332 14,663,787.23 1.49
15.01 - 20.00 779 36,011,784.63 3.65
20.01 - 25.00 1,214 63,894,730.82 6.48
25.01 - 30.00 1,712 96,792,547.12 9.82
30.01 - 35.00 2,039 125,685,985.19 12.75
35.01 - 40.00 2,378 155,405,314.23 15.77
40.01 - 45.00 2,903 199,793,530.63 20.27
45.01 - 50.00 3,303 246,258,715.06 24.99
50.01 - 55.00 463 38,147,001.78 3.87
55.01 - 60.00 16 1,877,569.38 0.19
60.01 - 65.00 2 128,604.18 0.01
65.01 - 70.00 1 59,500.00 0.01
70.01 - 75.00 2 148,000.00 0.02
75.01 - 80.00 1 377,971.54 0.04
15,273 $985,610,830.81 100.00 %
---------- -------------------
Min: 2
Max: 78
Weighted Average: 38.36
- -------------------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
FIXED RATE COLLATERAL
Lien Position - Fixed Rate Loans
Number of Aggregate % of Aggregate
Lien Position Home Equity Loans Loan Balance Loan Balance
First Lien 13,452 $924,799,693.37 93.83 %
Second Lien 1,821 60,811,137.44 6.17
15,273 $985,610,830.81 100.00 %
------- -----------------
Balloon - Fixed Rate Loans
Number of Aggregate % of Aggregate
Balloon Home Equity Loans Loan Balance Loan Balance
240/180 Balloon 2 $65,110.14 0.01 %
360/150 Balloon 1 56,000.00 0.01
360/180 Balloon 6,338 459,153,681.00 46.59
Fixed 8,893 522,567,213.83 53.02
Prog Pmt 39 3,768,825.84 0.38
15,273 $985,610,830.81 100.00 %
------- ----------------- ----------
Loan Purpose - Fixed Rate Loans
Number of Aggregate % of Aggregate
Loan Purpose Home Equity Loans Loan Balance Loan Balance
Debt Consolidation 10,869 $695,475,989.62 70.56 %
Other 3,061 192,062,864.34 19.49
Purchase 1,036 80,729,739.50 8.19
Home Improvement 299 16,952,932.97 1.72
Debt Con & HI Combo 8 389,304.38 0.04
15,273 $985,610,830.81 100.00 %
-------- ---------------- ----------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
FIXED RATE COLLATERAL
Documentation Level - Fixed Rate Loans
Number of Aggregate % of Aggregate
Documentation Level Home Equity Loans Loan Balance Loan Balance
Standard Documentation 12,674 $792,724,293.32 80.43 %
FNMA Documentation 1,154 83,781,665.11 8.50
Limited Documentation 869 70,196,749.00 7.12
No Documentation 576 38,908,123.38 3.95
15,273 $985,610,830.81 100.00 %
-------- ----------------- ---------
Credit Rating - Fixed Rate Loans
Number of Aggregate % of Aggregate
Credit Rating Home Equity Loans Loan Balance Loan Balance
A1 1,154 $83,781,665.11 8.50 %
A2 6,451 445,299,691.77 45.18
A3 600 52,058,037.49 5.28
A4 315 24,457,373.59 2.48
B1 3,274 200,075,826.96 20.30
B3 164 13,151,156.36 1.33
B4 130 8,119,686.79 0.82
C1 2,330 122,890,599.03 12.47
C3 79 4,035,707.97 0.41
C4 99 5,096,355.09 0.52
D1 619 24,458,175.56 2.48
D3 26 951,847.18 0.10
D4 32 1,234,707.91 0.13
15,273 $985,610,830.81 100.00 %
------- ----------------- ---------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
ADJUSTABLE RATE COLLATERAL
Geographic Distribution of Mortgaged Properties - Adjustable Rate Loans
Number of Aggregate % of Aggregate
State Home Equity Loans Loan Balance Loan Balance
Arizona 118 $9,917,647.81 3.34 %
Arkansas 3 225,072.88 0.08
California 331 47,937,035.66 16.14
Colorado 110 12,814,918.09 4.32
Connecticut 29 2,793,647.65 0.94
Delaware 2 255,880.93 0.09
District of Columbia 8 1,086,468.97 0.37
Florida 195 17,811,875.05 6.00
Georgia 73 6,996,291.65 2.36
Hawaii 8 1,332,433.55 0.45
Idaho 31 2,829,224.79 0.95
Illinois 168 16,913,228.64 5.70
Indiana 117 7,128,369.28 2.40
Iowa 10 624,173.60 0.21
Kansas 29 2,137,523.37 0.72
Kentucky 38 2,857,626.27 0.96
Louisiana 12 990,845.58 0.33
Maine 2 168,044.40 0.06
Maryland 42 4,424,516.72 1.49
Massachusetts 51 6,870,023.63 2.31
Michigan 450 35,843,984.90 12.07
Minnesota 65 5,718,398.37 1.93
Mississippi 17 950,117.92 0.32
Missouri 77 4,884,184.01 1.64
Montana 12 1,561,011.81 0.53
Nebraska 8 443,939.29 0.15
Nevada 44 5,016,050.21 1.69
New Hampshire 8 879,849.31 0.30
New Jersey 16 2,121,249.11 0.71
New Mexico 45 3,372,915.10 1.14
New York 12 1,435,866.08 0.48
North Carolina 41 2,699,292.62 0.91
North Dakota 1 104,400.00 0.04
Ohio 193 15,174,446.58 5.11
Oklahoma 43 3,932,512.08 1.32
Oregon 44 4,173,058.80 1.41
Pennsylvania 91 7,778,187.61 2.62
Rhode Island 14 1,306,515.52 0.44
South Carolina 10 777,432.81 0.26
Tennessee 16 1,138,586.97 0.38
Texas 184 16,700,877.84 5.62
Utah 138 15,541,927.24 5.23
Vermont 2 179,465.28 0.06
Virginia 18 2,187,115.84 0.74
Washington 123 12,801,645.50 4.31
West Virginia 11 662,513.54 0.22
Wisconsin 44 3,093,434.49 1.04
Wyoming 3 327,098.94 0.11
3,107 $296,920,926.29 100.00 %
----- --------------- --------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
ADJUSTABLE RATE COLLATERAL
Original Loan-to-Value Ratios - Adjustable Rate Loans
Range of Number of Aggregate % of Aggregate
Original LTV's Home Equity Loans Loan Balance Loan Balance
10.01 - 15.00 % 1 $10,940.40 0.00 %
20.01 - 25.00 3 96,278.23 0.03
25.01 - 30.00 13 943,921.23 0.32
30.01 - 35.00 9 462,885.30 0.16
35.01 - 40.00 17 840,312.05 0.28
40.01 - 45.00 19 1,189,805.11 0.40
45.01 - 50.00 40 2,793,291.34 0.94
50.01 - 55.00 40 3,174,793.03 1.07
55.01 - 60.00 65 4,797,905.95 1.62
60.01 - 65.00 166 11,688,539.10 3.94
65.01 - 70.00 246 20,362,956.65 6.86
70.01 - 75.00 447 39,903,597.42 13.44
75.01 - 80.00 868 82,776,494.68 27.88
80.01 - 85.00 625 67,101,777.34 22.60
85.01 - 90.00 545 60,572,708.54 20.40
90.01 - 95.00 2 143,979.97 0.05
95.01 - 100.00 1 60,739.95 0.02
3,107 $296,920,926.29 100.00 %
--------- ------------------- ---------
Min: 14.00
Max: 100.00
Weighted Average: 79.38
- -------------------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
ADJUSTABLE RATE COLLATERAL
Statistical Calculation Date Coupon Rates - Adjustable Rate Loans
Range of Current Number of Aggregate % of Aggregate
Coupon Rates Home Equity Loans Loan Balance Loan Balance
6.01 - 7.00 % 6 $840,660.02 0.28 %
7.01 - 8.00 37 6,273,316.34 2.11
8.01 - 9.00 305 36,550,433.35 12.31
9.01 - 10.00 976 101,798,698.48 34.28
10.01 - 11.00 1,097 99,782,927.01 33.61
11.01 - 12.00 528 41,174,024.56 13.87
12.01 - 13.00 113 7,755,391.58 2.61
13.01 - 14.00 37 2,378,774.15 0.80
14.01 - 15.00 8 366,700.80 0.12
3,107 $296,920,926.29 100.00 %
-------- -------------------
Min: 6.13
Max: 14.75
Weighted Average: 10.15
- -------------------
Occupancy Status - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Occupancy Status Home Equity Loans Loan Balance Loan Balance
Investor Owned 208 $14,717,387.80 4.96 %
Owner Occupied 2,899 282,203,538.49 95.04
3,107 $296,920,926.29 100.00 %
------ --------------- ---------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
ADJUSTABLE RATE COLLATERAL
Statistical Calculation Date Loan Balances - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Range of Loan Balances Home Equity Loans Loan Balance Loan Balance
$0.00 - 25,000.00 62 $1,313,219.93 0.44 %
25,000.01 - 50,000.00 555 22,008,370.49 7.41
50,000.01 - 75,000.00 772 48,530,499.40 16.34
75,000.01 - 100,000.00 636 55,353,416.10 18.64
100,000.01 - 125,000.00 413 46,012,605.62 15.50
125,000.01 - 150,000.00 241 32,956,554.88 11.10
150,000.01 - 175,000.00 138 22,284,213.19 7.51
175,000.01 - 200,000.00 90 16,868,424.99 5.68
200,000.01 - 225,000.00 68 14,390,589.76 4.85
225,000.01 - 250,000.00 33 7,871,070.03 2.65
250,000.01 - 275,000.00 37 9,656,672.87 3.25
275,000.01 - 300,000.00 29 8,302,537.55 2.80
300,000.01 - 325,000.00 9 2,816,302.69 0.95
325,000.01 - 350,000.00 16 5,468,825.45 1.84
350,000.01 - 375,000.00 5 1,833,104.10 0.62
375,000.01 - 400,000.00 2 774,519.24 0.26
475,000.01 - 500,000.00 1 480,000.00 0.16
3,107 $296,920,926.29 100.00 %
--------- -----------------
Min: 10,940.40
Max: 480,000.00
Average: 95,565.15
- ----------------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
ADJUSTABLE RATE COLLATERAL
Types of Mortgaged Properties - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Property Types Home Equity Loans Loan Balance Loan Balance
Single Family Detached 2,678 $256,512,382.74 86.39 %
Single Family Attached 59 4,536,213.71 1.53
Two to Four- Family Residence 162 16,845,302.13 5.67
Manufactured Housing 59 4,374,567.71 1.47
Mixed Use 1 59,878.25 0.02
Planned Unit Development 94 10,562,175.49 3.56
Condominium 54 4,030,406.26 1.36
1.53
3,107 $296,920,926.29 100.00 %
----- ---------------- --------
Distribution of Months of Seasoning - Adjustable Rate Loans
Months of Number of Aggregate % of Aggregate
Seasoning Home Equity Loans Loan Balance Loan Balance
0 - 1 981 $96,832,622.45 32.61 %
2 - 12 2,121 199,667,004.53 67.25
13+ 5 421,299.31 0.14
3,107 $296,920,926.29 100.00 %
-------- -----------------
Min: 0.00
Max: 17.00
Weighted Average: 2.10
- ------------------- ----------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
Distribution of Original Term to Maturity - Adjustable Rate Loans
Original Term Number of Aggregate % of Aggregate
to Maturity Home Equity Loans Loan Balance Loan Balance
121 - 180 3 $169,516.93 0.06 %
301 - 360 3,104 296,751,409.36 99.94
3,107 $296,920,926.29 100.00 %
------- -------------------
Min: 180.00
Max: 360.00
Weighted Average: 359.90
- -------------------
Distribution of Remaining Months to Maturity - Adjustable Rate Loans
Months Remaining Number of Aggregate % of Aggregate
to Maturity Home Equity Loans Loan Balance Loan Balance
121 - 180 3 169,516.93 0.06 %
301 - 360 3,104 296,751,409.36 99.94
3,107 $296,920,926.29 100.00 %
----------- -------------------
Min: 176.00
Max: 360.00
Weighted Average: 357.80
- -------------------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
ADJUSTABLE RATE COLLATERAL
Distribution of Margins - Adjustable Rate Loans
Range of Number of Aggregate % of Aggregate
Margins Home Equity Loans Loan Balance Loan Balance
1.01 - 2.00 % 1 $58,378.94 0.02 %
2.01 - 3.00 2 169,205.14 0.06
3.01 - 4.00 9 1,395,478.67 0.47
4.01 - 5.00 192 20,603,418.57 6.94
5.01 - 6.00 1,139 116,813,404.73 39.34
6.01 - 7.00 1,164 106,414,566.96 35.84
7.01 - 8.00 482 42,113,613.47 14.18
8.01 - 9.00 79 6,538,028.92 2.20
9.01 - 10.00 34 2,363,697.46 0.80
10.01 - 11.00 2 189,854.93 0.06
11.01 - 12.00 3 261,278.50 0.09
3,107 $296,920,926.29 100.00 %
--------- -------------------
Min: 2.00
Max: 11.60
Weighted Average: 6.21
- -------------------
Product Type - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Product Type Home Equity Loans Loan Balance Loan Balance
2/28 2,306 $213,148,554.15 71.79 %
3/27 352 36,805,359.17 12.40
6 month LIBOR 449 46,967,012.97 15.82
3,107 $296,920,926.29 100.00 %
----- ---------------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
ADJUSTABLE RATE COLLAERAL
Distribution of Maximum Coupon Rates - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Maximum Rate Home Equity Loans Loan Balance Loan Balance
9.01 - 10.00 % 2 $119,850.00 0.04 %
10.01 - 11.00 1 132,000.00 0.04
11.01 - 12.00 1 84,775.05 0.03
12.01 - 13.00 3 291,171.44 0.10
13.01 - 14.00 17 2,566,647.62 0.86
14.01 - 15.00 207 26,476,837.38 8.92
15.01 - 16.00 885 93,774,154.56 31.58
16.01 - 17.00 1,123 105,052,830.03 35.38
17.01 - 18.00 606 49,743,658.60 16.75
18.01 - 19.00 193 14,196,531.40 4.78
19.01 - 20.00 56 3,852,892.04 1.30
20.01 - 21.00 12 607,085.10 0.20
21.01 - 22.00 1 22,493.07 0.01
3,107 $296,920,926.29 100.00 %
------ -------------------
Min: 9.50
Max: 21.75
Weighted Average: 16.37
- -------------------
Lien Position - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Lien Position Home Equity Loans Loan Balance Loan Balance
First Lien 3,107 $296,920,926.29 100.00
3,107 $296,920,926.29 100.00 %
----- --------------- ---------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
ADJUSTABLE RATE COLLATERAL
Distribution of Minimum Coupon Rates - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Minimum Rate Home Equity Loans Loan Balance Loan Balance
5.01 - 6.00 % 2 $171,362.06 0.06 %
6.01 - 7.00 7 1,042,922.87 0.35
7.01 - 8.00 37 6,273,316.34 2.11
8.01 - 9.00 308 36,841,121.07 12.41
9.01 - 10.00 976 101,716,295.95 34.26
10.01 - 11.00 1,095 99,411,382.31 33.48
11.01 - 12.00 525 41,043,228.32 13.82
12.01 - 13.00 114 7,848,211.50 2.64
13.01 - 14.00 35 2,206,385.07 0.74
14.01 - 15.00 8 366,700.80 0.12
3,107 $296,920,926.29 100.00 %
------- -------------------
Min: 5.375
Max: 14.75
Weighted Average: 10.14
- ------------------- -------------------
Days Delinquent - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Days Delinquent Home Equity Loans Loan Balance Loan Balance
0 - 30 3,063 $292,577,726.59 98.54 %
31 - 60 40 3,568,594.23 1.20
61 - 90 4 774,605.47 0.26
3,107 $296,920,926.29 100.00 %
------ ----------------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
ADJUSTABLE RATE COLLATERAL
Distribution of Coupon Rate Change - Adjustable Rate Loans
Month of Next Coupon Number of Aggregate % of Aggregate
Rate Change Home Equity Loans Loan Balance Loan Balance
April-98 22 $1,737,941.95 0.59 %
May-98 28 2,699,931.18 0.91
June-98 117 11,890,835.98 4.00
July-98 165 17,809,739.56 6.00
August-98 101 11,689,670.98 3.94
September-98 16 1,138,893.32 0.38
November-98 1 55,242.08 0.02
June-99 2 165,214.94 0.06
July-99 5 414,354.85 0.14
August-99 11 647,262.41 0.22
September-99 25 2,506,491.10 0.84
October-99 47 4,665,081.17 1.57
November-99 142 13,197,894.02 4.44
December-99 547 46,219,698.59 15.57
January-00 865 81,769,611.18 27.54
February-00 628 59,584,266.81 20.07
March-00 33 3,923,437.00 1.32
July-00 3 331,747.34 0.11
September-00 1 62,842.58 0.02
October-00 7 761,278.70 0.26
November-00 13 1,577,092.12 0.53
December-00 46 4,563,852.61 1.54
January-01 149 15,699,498.72 5.29
February-01 117 11,919,797.10 4.01
March-01 16 1,889,250.00 0.64
3,107 $296,920,926.29 100.00 %
----- ---------------- --------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
ADJUSTABLE RATE COLLATERAL
Credit Score - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Credit Score Home Equity Loans Loan Balance Loan Balance
A1 10 $785,057.18 0.26 %
A2 1,323 138,174,947.67 46.54
A3 164 21,143,493.52 7.12
A4 199 22,063,256.19 7.43
B1 704 60,068,774.66 20.23
B3 52 6,012,300.86 2.02
B4 74 6,736,229.89 2.27
C1 464 33,486,048.70 11.28
C3 12 1,136,035.27 0.38
C4 29 2,250,731.30 0.76
D1 67 4,198,785.23 1.41
D3 1 236,000.00 0.08
D4 8 629,265.82 0.21
3,107 $296,920,926.29 100.00 %
Balloon - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Balloon Home Equity Loans Loan Balance Loan Balance
Fully Amortizing 3,107 $296,920,926.29 100.00 %
3,107 $296,920,926.29 100.00 %
----- --------------- --------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
ADJUSTABLE RATE COLLATERAL
Statistical Calculation Date Debt to Income Ratio - Adjustable Rate Loans
Range of Debt Number of Aggregate % of Aggregate
to Income Ratio Home Equity Loans Loan Balance Loan Balance
5.01 - 10.00 % 14 $1,254,685.40 0.42 %
10.01 - 15.00 55 3,427,166.12 1.15
15.01 - 20.00 130 8,782,282.08 2.96
20.01 - 25.00 218 15,694,735.55 5.29
25.01 - 30.00 298 26,233,103.00 8.84
30.01 - 35.00 388 35,175,634.11 11.85
35.01 - 40.00 473 44,629,669.39 15.03
40.01 - 45.00 604 59,563,812.28 20.06
45.01 - 50.00 669 73,060,228.01 24.61
50.01 - 55.00 226 25,710,836.32 8.66
55.01 - 60.00 31 3,263,924.03 1.10
60.01 - 65.00 1 124,850.00 0.04
3,107 $296,920,926.29 100.00 %
------ -------------------
Min: 6.00
Max: 61.00
Weighted Average: 39.75
- -------------------
Loan Purpose - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Loan Purpose Home Equity Loans Loan Balance Loan Balance
Debt Consolidation 1,578 $150,578,013.49 50.71 %
Purchase 1,003 98,381,149.96 33.13
Other 507 46,062,261.81 15.51
Home Improvement 19 1,899,501.03 0.64
3,107 $296,920,926.29 100.00 %
------ ---------------- --------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
ADJUSTABLE RATE COLLATERAL
Periodic Rate Cap - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Periodic Rate Cap Home Equity Loans Loan Balance Loan Balance
1.0 % 2,836 $270,086,479.36 90.96 %
1.5 267 26,425,637.93 8.90
2.0 1 90,472.15 0.03
3.0 3 318,336.85 0.11
3,107 $296,920,926.29 100.00 %
------- ----------------- ---------
Min: 1.00
Max: 3.00
Weighted Average: 1.05
- -------------------
Initial Periodic Cap - Adjustable Rate Loans
Initial Number of Aggregate % of Aggregate
Periodic Cap Home Equity Loans Loan Balance Loan Balance
1.0 % 451 $46,445,539.98 15.64 %
1.5 240 22,901,426.63 7.71
2.0 24 2,621,469.04 0.88
3.0 2,366 222,404,816.50 74.90
6.0 17 1,671,111.87 0.56
7.0 9 876,562.27 0.30
3,107 $296,920,926.29 100.00 %
-------- -------------------
Min: 1.00
Max: 7.00
Weighted Average: 2.59
- -------------------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
ADJUSTABLE RATE COLLATERAL
Documentation Level - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Documentation Level Home Equity Loans Loan Balance Loan Balance
Standard Documentation 2,558 $235,928,556.26 79.46 %
No Documentation 310 31,679,483.20 10.67
Limited Documentation 229 28,527,829.65 9.61
FNMA Documentation 10 785,057.18 0.26
3,107 $296,920,926.29 100.00 %
----- ---------------- --------
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
PAC SCHEDULE
<TABLE>
<CAPTION>
PAC Schedule
Period Period Period
<S> <C> <C> <C> <C> <C>
0 1,149,125,000.00 43 303,036,312.67 86 52,942,886.81
1 1,149,125,000.00 44 291,420,694.80 87 50,470,469.72
2 1,149,125,000.00 45 280,245,944.62 88 48,091,093.66
3 1,149,125,000.00 46 269,495,179.18 89 45,801,256.62
4 1,149,125,000.00 47 259,152,171.32 90 43,597,589.17
5 1,149,125,000.00 48 249,201,323.75 91 41,476,849.31
6 1,149,125,000.00 49 239,627,644.12 92 39,435,917.68
7 1,120,505,653.87 50 230,416,721.08 93 37,471,792.78
8 1,088,708,610.31 51 221,554,701.38 94 35,581,586.58
9 1,054,941,286.54 52 213,028,267.87 95 33,762,520.08
10 1,019,416,896.07 53 204,824,618.33 96 32,011,919.25
11 984,191,273.04 54 196,931,445.26 97 30,327,210.94
12 949,605,528.42 55 189,336,916.35 98 28,705,919.12
13 918,571,440.75 56 182,029,655.86 99 27,145,661.11
14 887,966,990.72 57 174,998,726.69 100 25,644,144.09
15 857,795,051.59 58 168,233,613.14 101 24,199,161.63
16 828,059,827.41 59 161,724,204.43 102 22,808,590.47
17 799,096,175.69 60 155,460,778.82 103 21,470,387.26
18 770,883,848.27 61 149,433,988.44 104 20,182,585.64
19 743,403,138.04 62 143,634,844.58 105 18,943,293.26
20 716,634,864.25 63 138,054,703.76 106 17,750,688.94
21 690,560,358.05 64 132,685,254.21 107 16,603,020.06
22 665,161,448.56 65 127,518,502.95 108 15,498,599.88
23 640,433,989.54 66 122,546,763.35 109 14,435,805.11
24 616,346,394.17 67 117,762,643.24 110 13,413,073.44
25 592,881,943.53 68 113,159,033.44 111 12,428,901.28
26 570,024,363.03 69 108,729,096.74 112 11,481,841.56
27 547,757,810.27 70 104,466,257.38 113 10,577,106.35
28 526,066,863.36 71 100,364,190.90 114 9,706,336.75
29 504,936,509.48 72 96,416,814.34 115 8,868,262.00
30 484,352,133.80 73 92,618,276.97 116 8,061,658.97
31 464,299,508.71 74 88,962,951.25 117 7,285,350.36
32 444,764,783.32 75 85,445,424.19 118 6,538,202.91
33 425,734,473.27 76 82,060,489.10 119 5,819,125.86
34 407,195,450.83 77 78,803,137.57 120 5,127,069.22
35 389,137,556.29 78 75,668,551.87 121 4,461,022.33
36 371,545,564.24 79 72,652,097.54 122 3,820,012.35
37 371,545,564.24 80 69,749,316.40 123 3,203,102.79
38 368,891,635.23 81 66,833,117.88 124 2,609,392.24
39 354,269,621.25 82 63,837,945.49 125 2,038,012.97
40 340,707,615.41 83 60,955,504.45 126 1,488,129.70
41 327,661,125.84 84 58,181,546.56 127 958,938.37
42 315,110,364.06 85 55,511,984.72 128 449,664.97
</TABLE>
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
AVAILABLE FUNDS CAP
Group1 Group2 Group1 Group2 Group1 Group2 Group1 Group2 2
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 3.00 3.09 49 9.65 10.80 97 9.54 10.79 145 9.48 10.80 7
2 9.20 9.43 50 9.65 10.80 98 9.53 10.79 146 9.48 10.80 7
3 9.20 9.45 51 9.65 10.80 99 9.54 10.79 147 9.49 10.80 7
4 9.18 9.54 52 9.64 10.80 100 9.53 10.79 148 9.48 10.80 7
5 9.17 9.67 53 9.64 10.80 101 9.52 10.79 149 9.48 10.80 7
6 9.16 9.76 54 9.64 10.80 102 9.53 10.79 150 9.49 10.80 7
7 8.64 9.27 55 9.63 10.80 103 9.52 10.79 151 9.49 10.80 7
8 8.63 9.28 56 9.63 10.80 104 9.52 10.79 152 9.49 10.80 7
9 8.60 9.30 57 9.63 10.80 105 9.51 10.79 153 9.49 10.80 7
10 8.58 9.39 58 9.63 10.80 106 9.51 10.79 154 9.49 10.80 7
11 8.56 9.52 59 9.63 10.80 107 9.53 10.79 155 9.51 10.80 7
12 8.53 9.61 60 9.62 10.80 108 9.51 10.79 156 9.50 10.80 7
13 8.51 9.62 61 9.62 10.80 109 9.51 10.79 157 9.50 10.80 6
14 8.48 9.62 62 9.62 10.80 110 9.50 10.79 158 9.50 10.80 6
15 8.45 9.62 63 9.62 10.80 111 9.50 10.79 159 9.51 10.80 6
16 8.42 9.65 64 9.61 10.80 112 9.50 10.79 160 9.50 10.80 6
17 8.39 9.72 65 9.61 10.80 113 9.49 10.79 161 9.51 10.80 6
18 8.36 9.75 66 9.61 10.80 114 9.50 10.79 162 9.51 10.80 6
19 8.32 9.76 67 9.60 10.80 115 9.49 10.79 163 9.51 10.80 6
20 8.29 9.76 68 9.61 10.80 116 9.49 10.79 164 9.52 10.80 5
21 8.25 9.76 69 9.60 10.80 117 9.49 10.79 165 9.52 10.80 6
22 8.22 10.80 70 9.60 10.80 118 9.48 10.79 166 9.52 10.80 6
23 8.35 10.80 71 9.60 10.80 119 9.50 10.79 167 9.53 10.80
24 8.30 10.80 72 9.59 10.79 120 9.48 10.79 168 9.53 10.80
25 8.27 10.80 73 9.60 10.79 121 9.49 10.79 169 9.53 10.80
26 8.22 10.80 74 9.59 10.79 122 9.48 10.79 170 9.53 10.80
27 8.18 10.80 75 9.59 10.79 123 9.48 10.79 171 9.54 10.80
28 8.14 10.80 76 9.59 10.79 124 9.47 10.79 172 9.54 10.80
29 8.09 10.80 77 9.58 10.79 125 9.47 10.79 173 9.54 10.80
30 8.05 10.80 78 9.59 10.79 126 9.48 10.79 174 9.55 10.80
31 9.65 10.80 79 9.58 10.79 127 9.47 10.79 175 9.55 10.80
32 9.65 10.80 80 9.58 10.79 128 9.47 10.79 176 9.56 10.80
33 9.65 10.80 81 9.57 10.79 129 9.46 10.79 177 9.56 10.80
34 9.65 10.80 82 9.57 10.79 130 9.46 10.79 178 9.56 10.80
35 9.69 10.80 83 9.58 10.79 131 9.48 10.79 179 9.52 10.87
36 9.68 10.80 84 9.57 10.79 132 9.46 10.79 180 9.52 10.87
37 9.68 10.80 85 9.57 10.79 133 9.47 10.79 181 9.52 10.87
38 9.68 10.80 86 9.56 10.79 134 9.47 10.79 182 9.52 10.87
39 9.68 10.80 87 9.56 10.79 135 9.47 10.79 183 9.52 10.87
40 9.67 10.80 88 9.56 10.79 136 9.47 10.79 184 9.52 10.87
41 9.67 10.80 89 9.55 10.79 137 9.47 10.80 185 9.52 10.87
42 9.67 10.80 90 9.56 10.79 138 9.48 10.80 186 9.52 10.87
43 9.67 10.80 91 9.55 10.79 139 9.47 10.80 187 9.52 10.87
44 9.67 10.80 92 9.55 10.79 140 9.48 10.80 188 9.52 10.87
45 9.66 10.80 93 9.54 10.79 141 9.47 10.80 189 9.52 10.87
46 9.66 10.80 94 9.54 10.79 142 9.47 10.80 190 9.52 10.87
47 9.66 10.80 95 9.56 10.79 143 9.49 10.80 191 9.51 10.87
48 9.65 10.80 96 9.54 10.79 144 9.48 10.80 192 9.51 10.87
Group1 Group2 Group1 Group2 Group1 Group2 Group1 Group
193 9.51 10.87 241 9.51 10.87 289 9.48 10.87 337 9.46 10.8
194 9.51 10.87 242 9.51 10.87 290 9.48 10.87 338 9.46 10.8
195 9.51 10.87 243 9.51 10.87 291 9.48 10.87 339 9.46 10.8
196 9.51 10.87 244 9.51 10.87 292 9.48 10.87 340 9.46 10.8
197 9.51 10.87 245 9.50 10.87 293 9.48 10.87 341 9.46 10.8
198 9.51 10.87 246 9.50 10.87 294 9.48 10.87 342 9.46 10.8
199 9.51 10.87 247 9.50 10.87 295 9.48 10.87 343 9.46 10.8
200 9.51 10.87 248 9.50 10.87 296 9.48 10.87 344 9.46 10.8
201 9.51 10.87 249 9.50 10.87 297 9.48 10.87 345 9.46 10.8
202 9.51 10.87 250 9.50 10.87 298 9.47 10.87 346 9.46 10.8
203 9.51 10.87 251 9.50 10.87 299 9.47 10.87 347 9.46 10.8
204 9.51 10.87 252 9.50 10.87 300 9.47 10.87 348 9.46 10.8
205 9.51 10.87 253 9.50 10.87 301 9.47 10.87 349 9.46 10.8
206 9.51 10.87 254 9.50 10.87 302 9.47 10.87 350 9.46 10.8
207 9.51 10.87 255 9.50 10.87 303 9.47 10.87 351 9.46 10.8
208 9.51 10.87 256 9.50 10.87 304 9.47 10.87 352 9.45 10.8
209 9.51 10.87 257 9.50 10.87 305 9.47 10.87 353 9.45 10.8
210 9.51 10.87 258 9.50 10.87 306 9.47 10.87 354 9.45 10.8
211 9.51 10.87 259 9.50 10.87 307 9.47 10.87 355 9.45 10.8
212 9.51 10.87 260 9.49 10.87 308 9.47 10.87 356 9.45 10.8
213 9.51 10.87 261 9.49 10.87 309 9.47 10.87 357 9.45 10.8
214 9.51 10.87 262 9.49 10.87 310 9.47 10.87 358 9.45 10.8
215 9.51 10.87 263 9.49 10.87 311 9.47 10.87 359 - -
216 9.51 10.87 264 9.49 10.87 312 9.47 10.87 360 - -
217 9.51 10.87 265 9.49 10.87 313 9.47 10.87
218 9.51 10.87 266 9.49 10.87 314 9.47 10.87
219 9.51 10.87 267 9.49 10.87 315 9.47 10.87
220 9.51 10.87 268 9.49 10.87 316 9.47 10.87
221 9.51 10.87 269 9.49 10.87 317 9.47 10.87
222 9.51 10.87 270 9.49 10.87 318 9.47 10.87
223 9.51 10.87 271 9.49 10.87 319 9.47 10.87
224 9.51 10.87 272 9.49 10.87 320 9.47 10.87
225 9.51 10.87 273 9.49 10.87 321 9.47 10.87
226 9.51 10.87 274 9.49 10.87 322 9.46 10.87
227 9.51 10.87 275 9.49 10.87 323 9.46 10.87
228 9.51 10.87 276 9.49 10.87 324 9.46 10.87
229 9.51 10.87 277 9.48 10.87 325 9.46 10.87
230 9.51 10.87 278 9.48 10.87 326 9.46 10.87
231 9.51 10.87 279 9.48 10.87 327 9.46 10.87
232 9.51 10.87 280 9.48 10.87 328 9.46 10.87
233 9.51 10.87 281 9.48 10.87 329 9.46 10.87
234 9.51 10.87 282 9.48 10.87 330 9.46 10.87
235 9.51 10.87 283 9.48 10.87 331 9.46 10.87
236 9.51 10.87 284 9.48 10.87 332 9.46 10.87
237 9.51 10.87 285 9.48 10.87 333 9.46 10.87
238 9.51 10.87 286 9.48 10.87 334 9.46 10.87
239 9.51 10.87 287 9.48 10.87 335 9.46 10.87
240 9.51 10.87 288 9.48 10.87 336 9.46 10.87
</TABLE>
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
DELINQUENCY EXPERIENCE
CONTIMORGTAGE'S SERVICING PORTFOLIO
Year Ending December 31,
1997 1996 1995 1994
Number Dollar Number Dollar Number Dollar Number Dollar
of Loans Amount of Loans Amount of Loans Amount of Loans Amount
Portfolio At 143,944 $9,122,792 93,372 $5,699,145 58,459 $3,427,190 33,270 $1,879,920
Delinquency Percentage (1)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
30-59 days 2.69% 2.37% 3.31% 3.09% 2.32% 2.02% 0.82% 0.67%
60-89 days 0.77% 0.74% 0.74% 0.72% 0.69% 0.70% 0.19% 0.20%
90 days or more 0.34% 0.31% 0.33% 0.36% 0.95% 1.01% 0.55% 0.57%
---- ---- ---- ---- ---- ---- ---- ----
Total Delinquency 3.80% 3.42% 4.38% 4.17% 3.96% 3.73% 1.56% 1.44%
Total Delinquency Amount 5,463 $311,821 4,088 $237,642 2,316 $128,063 518 $26,993
Default Percentage (2)
Foreclosure 2.66% 2.78% 2.51% 2.62% 1.17% 1.15% 0.33% 0.34%
Bankruptcy 1.58% 1.53% 1.12% 1.12% 0.68% 0.69% 0.34% 0.33%
REO Properties 0.63% 0.65% 0.43% 0.49% 0.07% 0.08% 0.11% 0.11%
Forbearance (3) 0.51% 0.59% 0.14% 0.15% 0.10% 0.12% n/a n/a
---- ---- ---- ---- ---- ----
Total Default 5.37% 5.55% 4.20% 4.38% 2.02% 2.04% 0.78% 0.78%
Total Default Amount 7,736 $506,774 3,926 $249,714 1,182 $69,962 260 $14,717
NOTES:
(1) The period of delinquency is based on the number of days payments are
contractually past due. The delinquency statistics for the period exclude
loans in foreclosure, bankruptcy, real estate owned or forbearance.
(2) The default percentage represent the ratio of the number or dollar value of
delinquent home equity loans in foreclosure, bankruptcy, real estate owned
or forbearance to the total number or dollar balance of the outstanding
portfolio.
(3) A reporting change was made in 1997 such that certain 90+ Day Delinquent
Loans and Foreclosure Loans have been transferred to the Forbearance Loans
category. Therefor the 1997 statistics are not directly comparable to the
1996, 1995 and 1994 numbers.
</TABLE>
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
LOSS EXPERIENCE
CONTIMORTGAGE'S SERVICING PORTFOLIO
Year Ending December 31,
1997 1996 1995 1994 1993
<S> <C> <C> <C> <C> <C> <C>
Average Amount Outstanding (1) $7,248,686 $4,261,983 $2,641,686 $1,400,163 $606,272
Gross Losses (2) 30,146 9,487 2,754 1,203 1,469
Recoveries (3) 116 77 65 0 0
Net Losses (4) 30,030 9,410 2,689 1,203 1,469
Net Losses as % of Average
Amount Outstanding 0.41% 0.22% 0.10% 0.09% 0.24%
NOTES:
(1) "Average Amount Outstanding" during the period is the arithmetic average of
the principal balances of the mortgage loans outstanding on the last
business day of each month during the period.
(2) "Gross Losses" are the amounts which have been determined to be
uncollectible relating to mortgage loans for each respective period.
(3) "Recoveries" are recoveries from liquidation proceeds and deficiency
judgments.
(4) "Net Losses" represents "Gross Losses" minus "Recoveries".
</TABLE>
MERRILL LYNCH
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
