<PAGE> 1
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) November 9, 1999
HFC Revolving Corporation
_________________________________________
(Exact name of registrant as specified in charter)
Delaware 333-84611-01 36-3955292
_______________________________________________________________________________
(State or other jurisdiction (Commission File Number) (IRS Employer
of incorporation) Identification No.)
2700 Sanders Road, Prospect Heights, Illinois 60070
_______________________________________________________________________________
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (847) 564-5000
Item 1. Changes in Control of Registrant. Not Applicable.
Item 2. Acquisition or Disposition of Assets. Not Applicable.
Item 3. Bankruptcy or Receivership. Not Applicable.
Item 4. Changes in Registrant's Certifying Accountant. Not Applicable.
Item 5. Other Events.
It is expected that during November 1999, a series of certificates,
entitled Closed-End Home Equity Loan Asset Backed Certificates, Series 1999-1
(the "Certificates"), will be issued pursuant to a pooling and servicing
agreement, to be entered into by and among HFC Revolving Corporation (the
"Registrant"), Household Finance Corporation, and Bank One, National
Association. The offering and sale of certain classes of the Certificates (the
"Underwritten Certificates") will be registered under the Registrant's
registration statement on Form S-3 (no. 333-84611) and sold to Merrill Lynch,
Pierce, Fenner & Smith Incorporated, Banc of America Securities LLC and Lehman
Brothers Inc. (the "Underwriters") pursuant to an underwriting agreement to be
entered into by and between the Registrant and each of the Underwriters.
<PAGE> 2
In connection with the expected sale of the Underwritten Certificates,
Merrill Lynch, Pierce, Fenner & Smith Incorporated has advised the Registrant
that it has furnished to prospective investors certain information attached
hereto as exhibit 99.1 that may be considered "computational materials" (as
defined in the no-action letter dated May 20, 1994 issued by the Division of
Corporation Finance of the Securities and Exchange Commission (the
"Commission") to Kidder, Peabody Acceptance Corporation I, Kidder, Peabody &
Co. Incorporated, and Kidder Structured Asset Corporation and the no-action
letter dated May 27, 1994 issued by the Division of Corporation Finance of the
Commission to the Public Securities Association).
Item 6. Resignations of Registrant's Directors. Not Applicable.
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
Not Applicable.
Item 8. Change in Fiscal Year. Not Applicable.
Exhibit
99.1 Copy of Computational Materials as provided by Merrill Lynch, Pierce,
Fenner & Smith Incorporated to the Registrant.
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.
HFC REVOLVING CORPORATION
By:
/s/ Steven H. Smith
------------------------------------
Steven H. Smith
Vice President and Assistant Treasurer
<PAGE> 3
INDEX TO EXHIBITS
99.1 Copy of Computational Materials as provided by Merrill Lynch, Pierce,
Fenner & Smith Incorporated
<PAGE> 1
EXHIBIT 99.1
COMPUTATIONAL MATERIALS
$500,390,000
[LOGO]
HOUSEHOLD FINANCE CORPORATION
MASTER SERVICER
HFC REVOLVING CORPORATION
DEPOSITOR
CLOSED-END HOME EQUITY LOAN ASSET BACKED CERTIFICATES,
SERIES 1999-1
NOVEMBER 9, 1999
[Merrill Lynch LOGO]
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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> 2
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 nor any of its
affiliates makes any representation as to the accuracy or completeness of the
information herein. The information herein is preliminary, and will be
superseded by the applicable prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commission. They may not
be provided to any third party other than the addressee's legal, tax, financial
and/or accounting advisors for the purposes of evaluating said material.
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 the
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 advice.
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 shortfalls. 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 an 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.
Please be advised that mortgage-backed and/or asset-backed securities may not
be appropriate for all investors. Potential investors must be willing to
assume, among other things, market price volatility, prepayments, yield curve
and interest rate risks. Investors should fully consider the risk of an
investment in these securities.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
[Merrill Lynch LOGO] 2
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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> 3
TERM SHEET DATED NOVEMBER 9, 1999
HOUSEHOLD HOME EQUITY LOAN TRUST 1999-1
CLOSED-END HOME EQUITY LOAN ASSET BACKED CERTIFICATES, SERIES 1999-1
$500,390,000
Subject to Revision
DEPOSITOR: HFC Revolving Corporation
MASTER SERVICER: Household Finance Corporation ("Household")
TRUSTEE: Bank One, National Association
UNDERWRITERS: MERRILL LYNCH & CO. (LEAD);
Lehman Brothers (Co);
Banc of America Securities LLC (Co).
OFFERED CERTIFICATES:
<TABLE>
<CAPTION>
Class of Initial Ratings WAL at 100% Principal Window
Certificates Principal Balance (Moodys/Fitch) Prepayment Model (to call)
- ------------ ----------------- --------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Class A-1 $237,000,000 Aaa/AAA 0.74 1 - 18
Class A-2 $ 62,000,000 Aaa/AAA 1.80 18 - 25
Class A-3 $ 90,000,000 Aaa/AAA 3.49 25 - 58
Class A-4 $ 42,920,000 Aaa/AAA 4.59 37 - 58
Class M-1 $ 35,550,000 Aa2/AA 3.71 33 - 58
Class M-2 $ 32,920,000 A2/A 3.81 31 - 58
-----------------
$500,390,000
</TABLE>
CUT-OFF DATE: October 31, 1999
STATISTICAL
CUT-OFF DATE: October 28, 1999
EXP. PRICING: Week of November 8, 1999.
EXP. SETTLEMENT/
CLOSING DATE: On or about November 18th, 1999.
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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> 4
ISSUER OR TRUST: Household Home Equity Loan Trust 1999-1.
TITLE OF THE
OFFERED SECURITIES: Closed-End Home Equity Loan Asset Backed Certificates,
Series 1999-1.
DEPOSITOR: HFC Revolving Corporation, an affiliate of Household
Finance Corporation.
MASTER SERVICER: Household Finance Corporation.
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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> 5
TRUSTEE: Bank One, National Association.
HOME EQUITY
LOAN POOL: 7,875 closed-end, fixed-rate, fully-amortizing
home equity loans with an aggregate principal balance of
$530,285,828.40 as of the statistical cut-off date. The
home equity loans are secured primarily by first or
second liens on one- to four-family residential
properties.
DISTRIBUTION DATES: Beginning in December 1999, on the 20th of each month or,
if the 20th is not a business day, on the next business
day.
<TABLE>
<CAPTION>
FINAL MATURITY DATE: Class Final Maturity Date
----- --------------------
<S> <C>
A-1 December, 2016
A-2 October, 2023
A-3 October, 2030
A-4 October, 2030
M-1 October, 2030
M-2 October, 2030
</TABLE>
The actual final distribution date for each class of
the offered certificates could be substantially
earlier.
FORM OF CERTIFICATES: Book-entry.
MINIMUM
DENOMINATIONS: Class A Certificates: $1,000.
Class M Certificates: $1,000.
LEGAL INVESTMENT: The certificates will not be "mortgage related
securities" for purposes of the Secondary Mortgage
Market Enhancement Act of 1984.
ERISA ELIGIBILITY: The Class A-1, A-2, A-3 and A-4 Certificates are
expected to be ERISA eligible. The Class M-1 and
M-2 Certificates are not ERISA eligible.
OPTIONAL TERMINATION: 15% cleanup call (on aggregate initial Certificate
Principal Balance) or auction sale subject to
certain requirements, if call is not exercised.
TAX STATUS: REMIC
PASS THROUGH RATES: On any distribution date, the pass-through rate on
the Class M-1 and Class M-2 Certificates will be
the lesser of (a) the related pass-though rate and
(b) the weighted average loan rate on the home
equity loans for the related Collection Period
minus the servicing fee rate.
DISTRIBUTIONS ON
CERTIFICATES: Amount Available for Monthly Distribution
On each monthly distribution date, the trustee will
make distributions to certificateholders. The Available
Distribution Amount will consist of:
o collections of monthly principal and interest
payments on the home equity loans, including
prepayments, plus
o if elected by the master servicer, other
unscheduled collections, minus
o fees and expenses of the subservicers and the
master servicer.
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statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE> 6
Distributions
Distributions to certificateholders will generally be
made from the Available Distribution Amount in the
following order:
o Class A Certificate interest
o Class M-1 Certificate interest
o Class M-2 Certificate interest
o Class A Certificate
principal sequentially or based on Class A-4
lockout percentage
o Class M-1 Certificate principal
o Class M-2 Certificate principal
o any remaining funds to the Class R Certificates
Principal distributions on the certificates will be as
described under "Description of the Certificates -
Principal Distributions" in the prospectus supplement.
CREDIT ENHANCEMENT: Class A: 21.50% subordination (Class M-1, M-2,
overcollateralization and excess interest)
Class M-1: 15.75% subordination (Class M-2 and
overcollateralization and excess interest)
Class M-2: 9.50% subordination (overcollateralization
and excess interest)
There will be an initial overcollateralization amount
of approximately 5.00% of the initial collateral
balance building to 9.50% of the initial collateral
balance.
ALLOCATION OF
PAYMENTS ON THE
HOME EQUITY LOANS: The master servicer on behalf of the trust will establish
a Collection Account into which the master servicer will
deposit principal and interest payments on the home equity
loans for each distribution date on the business day prior
to that distribution date. The Collection Account will be
an Eligible Account and amounts on deposit in the
Collection Account will be invested in Permitted
Investments.
On each distribution date, the Available Distribution
Amount will be allocated from the Collection Account in
the following order of priority:
(1) to the Class A Certificates, the Current Interest
plus the Interest Carry Forward Amount with respect to
each class of Class A Certificates without any priority
among the Class A Certificates; provided, that if the
Available Distribution Amount is not sufficient to make
a full distribution of interest with respect to all
classes of the Class A Certificates, the Available
Distribution Amount will be distributed among the
outstanding classes of Class A Certificates pro rata
based on the aggregate amount of interest due on each
class, and the amount of the shortfall will be carried
forward with accrued interest;
(2) to the Class M-1 Certificates, the Current Interest
plus the Interest Carry Forward Amount with respect to
the Class M-1 Certificates to the extent of the
Available Distribution Amount remaining in the
Collection Account after application with respect to
the priorities set forth above; and
(3) to the Class M-2 Certificates, the Current Interest
plus the Interest Carry Forward Amount with respect to
the Class M-2 Certificates to the extent of the
Available Distribution Amount remaining in the
Collection Account after application with respect to
the priorities set forth above.
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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> 7
On each distribution date (a) before the related
Stepdown Date or (b) with respect to which a Trigger
Event is in effect, the classes of the offered
certificates will be entitled to receive distributions
of principal up to the Principal Distribution Amount
for such distribution date, to the extent of the
remaining funds in the Collection Account after the
distributions of interest have been made pursuant to
clauses (1) through (3) above, in the amounts set forth
below and in the following order of priority:
First, to the Class A-4 Certificates, in an amount
equal to the Class A-4 Lockout Distribution Amount,
with the remainder paid sequentially to the Class A
Certificates, in the order of their numerical class
designation until the Certificate Principal Balance of
each such class of Class A Certificates has been
reduced to zero; provided, that if on any distribution
date the Class A-3 Certificate Principal Balance is
zero, the Class A-4 Certificates will be entitled to
receive the entire Principal Distribution Amount for
such distribution date until the Certificate Principal
Balance thereof has been reduced to zero;
Second, after the aggregate Certificate Principal
Balance of the Class A Certificates has been reduced to
zero, to the Class M-1 Certificates, until the Class
M-1 Certificate Principal Balance has been reduced to
zero;
Third, after the aggregate Certificate Principal
Balance of the Class A Certificates and the Class M-1
Certificates has been reduced to zero, to the Class M-2
Certificates, until the Class M-2 Certificate Principal
Balance has been reduced to zero; and
Fourth, any remaining amount to the Class R
Certificates.
On each distribution date (a) on or after the related
Stepdown Date and (b) as long as a Trigger Event is not
in effect, the classes of the offered certificates will
be entitled to receive distributions of principal up to
the Principal Distribution Amount for such distribution
date, to the extent of the remaining funds in the
Collection Account after the distributions of interest
have been made pursuant to clauses (1) through (3)
above, in the amounts set forth below and in the
following order of priority:
First, up to the Class A Principal Distribution Amount,
distributed first to the Class A-4 Certificates, in an
amount equal to the Class A-4 Lockout Distribution
Amount, with the remainder paid sequentially to the
Class A Certificates, in the order of their numerical
class designation until the Certificate Principal
Balance of each such class of Class A Certificates has
been reduced to zero; provided, that if on any
distribution date the Class A-3 Certificate Principal
Balance is zero, the Class A-4 Certificates will be
entitled to receive the entire Class A Principal
Distribution Amount for such distribution date until
the Certificate Principal Balance thereof has been
reduced to zero;
Second, to the Class M-1 Certificates, the Class M-1
Principal Distribution Amount, until the Class M-1
Certificate Principal Balance has been reduced to zero;
Third, to the Class M-2 Certificates, the Class M-2
Principal Distribution Amount, until the Class M-2
Certificate Principal Balance has been reduced to zero;
and
Fourth, any remaining amount to the Class R
Certificates.
The Class A Certificates, other than the Class A-4
Certificates, are "sequential pay" classes such that
the Class A-3 Certificates will receive no payments of
principal until the Class A-2 Certificate Principal
Balance has been reduced to zero and the Class A-2
Certificates will receive no payments of principal
until the Class A-1 Certificate Principal Balance has
been reduced to zero; provided, however, that on any
distribution date on which the sum of the Certificate
Principal Balance of the Class M Certificates and the
Overcollateralization Amount is zero, any
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<PAGE> 8
amounts of principal payable to the Class A
Certificates on such distribution date shall be
distributed pro rata and not sequentially.
The Class A-4 Certificates are entitled to receive
payments of the Class A-4 Lockout Distribution Amount
specified herein; provided, that if on any distribution
date the Class A-3 Certificate Principal Balance is
zero, the Class A-4 Certificates will be entitled to
receive the entire Class A Principal Distribution
Amount for such distribution date, until the Class A-4
Certificate Principal Balance has been reduced to zero.
OVERCOLLATERALIZATION
PROVISIONS: On each distribution date, the Extra Principal
Distribution Amount, if any, is applied on that
distribution date as an accelerated payment of principal
on the offered certificates in the manner and to the
extent hereafter described. The Extra Principal
Distribution Amount will consist of the lesser of (a)
the Monthly Excess Cashflow Amount and (b) the
Overcollateralization Deficiency.
The Monthly Excess Cashflow Amount for any distribution
date will derive primarily from the amount of interest
collected on the home equity loans in excess of the
amount of interest needed to pay the Current Interest
plus any Interest Carry Forward Amount with respect to
such distribution date.
The Overcollateralization Release Amount for any
distribution date is the amount (but not in excess of
the Principal Collections for such distribution date)
equal to the excess of:
o (a) the Overcollateralization Amount for such
distribution date, assuming that 100% of the
Principal Collections is applied on such
distribution date to the distribution of
principal on the offered certificates over
(b) the Targeted Overcollateralization
Amount.
The Targeted Overcollateralization Amount, as of any
distribution date, will be:
o prior to the Stepdown Date, 9.50% of the initial
Stated Principal Balance of the home equity loans;
and
o on and after the Stepdown Date and assuming a
Trigger Event is not in effect, the greater of (a)
19.00% of the aggregate outstanding Stated
Principal Balance of the home equity loans,
as of the last day of the related Collection
Period and (b) $2,633,666.
If a Trigger Event is in effect on or after the
Stepdown Date, the Targeted Overcollateralization
Amount will be equal to the Targeted
Overcollateralization Amount for the immediately
preceding distribution date.
In the event that the Targeted Overcollateralization
Amount is permitted to decrease or "step down" on a
distribution date in the future, a portion of the
principal which would otherwise be distributed to the
holders of the offered certificates on that
distribution date will not be distributed to the
holders of the offered certificates on that
distribution date. This has the effect of decelerating
the amortization of the offered certificates relative
to the amortization of the home equity loans, and of
reducing the Overcollateralization Amount.
REALIZED LOSSES: If on any distribution date, after giving effect to any
Extra Principal Distribution Amount, the aggregate
Certificate Principal Balance of the offered certificates
exceeds the aggregate Stated Principal Balance
of the home equity loans, the Certificate Principal
Balances of the subordinated certificates will be reduced
by an amount equal to such excess, which is an Applied
Realized Loss Amount, in inverse order of seniority
(first, to the Class M-2 Certificates, until the
Certificate Principal Balance thereof has been reduced to
zero; and second, the Class M-1 Certificates, until the
Certificate Principal Balance thereof has been reduced to
zero). If the Certificate Principal Balance of a class of
subordinated certificates is reduced, that class
thereafter will be entitled to distributions of interest
and principal only with respect to the Certificate
Principal Balance so
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<PAGE> 9
reduced. Although the Certificate Principal Balance of
the Class A Certificates will not be reduced on account
of Realized Losses even if the Certificate Principal
Balances of all the subordinated certificates have been
reduced to zero, the amount available to be distributed
to the Class A Certificates as principal may be less
than the Certificate Principal Balances of the Class A
Certificates.
ADVANCES: The master servicer is not obligated to make Advances
relating to delinquent payments of principal and interest
with respect to any home equity loan included in the home
equity pool.
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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> 10
THE HOME EQUITY LOAN POOL
All of the home equity loans, based upon the statistical cut-off date principal
balance, are secured by first or second liens or deeds of trust. The home
equity loans had the following characteristics as of the statistical cut-off
date, the date as of which information is provided with respect to the home
equity loans in the home equity loan pool:
<TABLE>
<S> <C>
Minimum current principal balance $5,186.75
Maximum current principal balance $237,060.29
Average current principal balance $67,337.88
Range of loan rates 8.000% to 20.176%
Weighted average loan rate 11.644%
Range of original terms to maturity 48 to 360 months
Weighted average original term to maturity 291.73 months
Range of remaining terms to maturity 14 to 359 months
Weighted average remaining term to maturity 277.77 months
Range of combined loan-to-value ratios 8.81% to 115.00%
Weighted average combined loan-to-value ratios 93.32%
</TABLE>
See "Description of the Home Equity Loan Pool" in the prospectus supplement.
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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> 11
<TABLE>
<CAPTION>
CURRENT BALANCE
- ---------------------------------------------------------------------------
RANGE OF CURRENT BALANCES NO. OF LOANS CURRENT BALANCE % BY BALANCE
- -------------------------- ------------ --------------- ------------
<S> <C> <C> <C>
$5,000.01 - $ 10,000.00 82 $ 689,814 0.13%
10,000.01 - 20,000.00 555 8,667,614 1.63
20,000.01 - 30,000.00 799 20,204,366 3.81
30,000.01 - 40,000.00 993 34,761,805 6.56
40,000.01 - 50,000.00 882 39,661,717 7.48
50,000.01 - 60,000.00 857 47,097,780 8.88
60,000.01 - 70,000.00 717 46,505,352 8.77
70,000.01 - 80,000.00 582 43,606,492 8.22
80,000.01 - 90,000.00 489 41,505,642 7.83
90,000.01 - 100,000.00 369 34,997,410 6.60
100,000.01 - 110,000.00 326 34,263,294 6.46
110,000.01 - 120,000.00 281 32,161,268 6.06
120,000.01 - 130,000.00 212 26,450,617 4.99
130,000.01 - 140,000.00 173 23,378,888 4.41
140,000.01 - 150,000.00 121 17,503,541 3.30
150,000.01 - 200,000.00 338 57,560,356 10.85
200,000.01 - 240,000.00 99 21,269,873 4.01
- ------------------------------------------------------------------------
Total 7,875 $530,285,828 100.00%
</TABLE>
<TABLE>
<CAPTION>
ORIGINAL LOAN BALANCE
- ---------------------------------------------------------------------------
RANGE OF CURRENT BALANCES NO. OF LOANS CURRENT BALANCE % BY BALANCE
- -------------------------- ------------ --------------- ------------
<S> <C> <C> <C>
$50,000.01 - $ 10,000.00 15 $ 129,424 0.02%
10,000.01 - 20,000.00 508 7,313,899 1.38
20,000.01 - 30,000.00 771 18,481,360 3.49
30,000.01 - 40,000.00 977 32,657,487 6.16
40,000.01 - 50,000.00 921 39,983,868 7.54
50,000.01 - 60,000.00 857 45,925,082 8.66
60,000.01 - 70,000.00 731 46,424,183 8.75
70,000.01 - 80,000.00 614 45,033,331 8.49
80,000.01 - 90,000.00 497 41,494,492 7.82
90,000.01 - 100,000.00 397 36,935,540 6.97
100,000.01 - 110,000.00 321 33,408,138 6.30
110,000.01 - 120,000.00 295 33,319,272 6.28
120,000.01 - 130,000.00 221 27,335,805 5.15
130,000.01 - 140,000.00 166 22,259,301 4.20
140,000.01 - 150,000.00 137 19,558,273 3.69
150,000.01 - 200,000.00 340 57,192,239 10.79
200,000.01 - 240,000.00 107 22,834,134 4.31
- ------------------------------------------------------------------------
Total 7,875 $530,285,828 100.00%
</TABLE>
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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
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<PAGE> 12
<TABLE>
<CAPTION>
CURRENT RATE
- ---------------------------------------------------------------------------
RANGE OF CURRENT RATES NO. OF LOANS CURRENT BALANCE % BY BALANCE
- -------------------------- ------------ --------------- ------------
<S> <C> <C> <C>
8.000% - 8.999% 85 $ 9,986,736 1.88%
9.000 - 9.999 653 67,710,201 12.77
10.000 - 10.999 1,402 133,890,042 25.25
11.000 - 11.999 2,676 185,385,584 34.96
12.000 - 12.999 992 57,608,165 10.86
13.000 - 13.999 794 34,057,366 6.42
14.000 - 14.999 824 27,927,440 5.27
15.000 - 15.999 270 8,456,738 1.59
16.000 - 16.999 123 3,544,983 0.67
17.000 - 17.999 51 1,637,701 0.31
18.000 - 18.999 3 36,849 0.01
20.000 - 20.999 2 44,024 0.01
- ------------------------------------------------------------------------
Total 7,875 $530,285,828 100.00%
</TABLE>
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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> 13
<TABLE>
<CAPTION>
PROPERTY STATE
- ---------------------------------------------------------------------------
STATES NO. OF LOANS CURRENT BALANCE % BY BALANCE
- -------------------------- ------------ --------------- ------------
<S> <C> <C> <C>
ALABAMA 104 $ 7,202,872 1.36%
ARIZONA 127 8,821,561 1.66
CALIFORNIA 1,214 85,662,516 16.15
COLORADO 79 7,447,064 1.40
CONNECTICUT 82 6,731,261 1.27
DELAWARE 51 4,156,251 0.78
DISTRICT OF COLUMBIA 14 1,309,511 0.25
FLORIDA 496 31,011,055 5.85
GEORGIA 180 10,761,417 2.03
IDAHO 50 4,070,359 0.77
ILLINOIS 227 13,527,350 2.55
INDIANA 130 7,013,147 1.32
IOWA 34 2,354,056 0.44
KANSAS 97 4,961,601 0.94
KENTUCKY 43 2,927,555 0.55
LOUISIANA 36 2,003,312 0.38
MAINE 5 604,056 0.11
MARYLAND 332 20,443,454 3.86
MASSACHUSETTS 146 11,349,804 2.14
MICHIGAN 444 27,826,226 5.25
MINNESOTA 36 3,181,477 0.60
MISSISSIPPI 23 1,028,532 0.19
MISSOURI 313 19,185,254 3.62
MONTANA 6 596,896 0.11
NEVADA 68 6,216,112 1.17
NEW HAMPSHIRE 31 3,037,049 0.57
NEW JERSEY 286 20,183,558 3.81
NEW MEXICO 20 2,188,696 0.41
NEW YORK 607 46,174,377 8.71
NORTH CAROLINA 213 13,796,544 2.60
NORTH DAKOTA 1 88,620 0.02
OHIO 386 22,263,415 4.20
OKLAHOMA 43 2,698,445 0.51
OREGON 91 8,580,151 1.62
PENNSYLVANIA 715 38,409,158 7.24
RHODE ISLAND 13 1,478,741 0.28
SOUTH CAROLINA 132 7,339,322 1.38
SOUTH DAKOTA 3 319,982 0.06
TENNESSEE 112 8,929,929 1.68
TEXAS 165 6,347,256 1.20
UTAH 43 5,290,586 1.00
VIRGINIA 328 19,311,115 3.64
</TABLE>
13
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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> 14
<TABLE>
<CAPTION>
PROPERTY STATE
- ---------------------------------------------------------------------------
STATES NO. OF LOANS CURRENT BALANCE % BY BALANCE
- -------------------------- ------------ --------------- ------------
<S> <C> <C> <C>
WASHINGTON 284 28,510,069 5.38
WEST VIRGINIA 5 232,593 0.04
WISCONSIN 58 4,473,526 0.84
WYOMING 2 239,999 0.05
- ------------------------------------------------------------------------
Total 7,875 $530,285,828 100.00%
</TABLE>
14
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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> 15
<TABLE>
<CAPTION>
COMBINED LOAN TO VALUE
- ---------------------------------------------------------------------------
COMBINED LOAN TO VALUE NO. OF LOANS CURRENT BALANCE % BY BALANCE
- ---------------------- ------------ --------------- --------------
<S> <C> <C> <C> <C> <C>
8.01% - 10.00% 4 $ 62,396 0.01%
10.01 - 20.00 36 904,349 0.17
20.01 - 30.00 74 2,075,026 0.39
30.01 - 40.00 148 4,660,193 0.88
40.01 - 50.00 195 7,479,963 1.41
50.01 - 60.00 277 12,182,134 2.30
60.01 - 70.00 428 21,697,039 4.09
70.01 - 80.00 685 38,648,893 7.29
80.01 - 90.00 1,304 82,064,384 15.48
90.01 - 100.00 1,978 135,838,717 25.62
100.01 - 110.00 2,390 196,167,756 36.99
110.01 - 115.00 356 28,504,978 5.38
- ------ -------- ------ ------------ --------------- ------
Total 7,875 $530,285,828 100.00%
</TABLE>
<TABLE>
<CAPTION>
LIEN POSITION
- ---------------------------------------------------------------------------
LIEN POSITION NO. OF LOANS CURRENT BALANCE % BY BALANCE
- ---------------------------- ------------ --------------- --------------
<S> <C> <C> <C> <C> <C>
1 5,861 $454,877,902 85.78%
2 2,014 75,407,926 14.22
- -------- ------------ --------------- ------
Total 7,875 $530,285,828 100.00%
</TABLE>
<TABLE>
<CAPTION>
ORIGINAL TERM
- ---------------------------------------------------------------------------
ORIGINAL TERM NO. OF LOANS CURRENT BALANCE % BY BALANCE
- ---------------------------- ------------ --------------- --------------
<S> <C> <C> <C> <C> <C>
48 - 60 75 $ 1,342,789 0.25%
61 - 120 683 24,448,813 4.61
121 - 180 2,225 111,240,854 20.98
181 - 240 1,124 72,237,091 13.62
241 - 300 120 10,868,690 2.05
301 - 360 3,648 310,147,592 58.49
- -------- -------- -------- ------------ --------------- ------
Total 7,875 $530,285,828 100.00%
</TABLE>
<TABLE>
<CAPTION>
REMAINING TERM
- ---------------------------------------------------------------------------
REMAINING TERM NO. OF LOANS CURRENT BALANCE % BY BALANCE
- -------------- ------------ --------------- ------------
<S> <C> <C> <C> <C> <C>
12 - 60 127 $ 2,410,385 0.45%
61 - 120 722 26,078,802 4.92
121 - 180 2,244 112,861,090 21.28
181 - 240 1,014 67,919,269 12.81
241 - 300 122 11,103,342 2.09
301 - 360 3,646 309,912,940 58.44
- -------- -------- -------- ------------ --------------- ------
Total 7,875 $530,285,828 100.00%
</TABLE>
<TABLE>
<CAPTION>
CURRENT DAYS LATE
- ---------------------------------------------------------------------------
CURRENT DAYS LATE NO. OF LOANS CURRENT BALANCE % BY BALANCE
----------------- ------------ --------------- ------------
<S> <C> <C> <C> <C> <C>
0 - 29 7,875 530,285,828 100.00%
- -------- -------- -------- ------------ --------------- ------
Total 7,875 $530,285,828 100.00%
</TABLE>
15
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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> 16
<TABLE>
<CAPTION>
OWNER OCCUPANCY
- ----------------------------------------------------------------------
OWNER OCCUPANCY NO. OF LOANS CURRENT BALANCE % BY BALANCE
- --------------- ------------ --------------- --------------
<S> <C> <C> <C>
Investor 225 $ 12,221,766 2.30%
Primary 7,646 517,779,969 97.64
Secondary 4 284,094 0.05
- --------- ------------ --------------- ------
Total 7,875 $530,285,828 100.00%
</TABLE>
<TABLE>
<CAPTION>
LOAN PURPOSE
- ----------------------------------------------------------------------
LOAN PURPOSE NO. OF LOANS CURRENT BALANCE % BY BALANCE
- ------------ ------------ --------------- --------------
<S> <C> <C> <C>
Refinance - Cash Out 7,160 $480,801,140 90.67%
Refinance - No Cash Out 715 49,484,689 9.33
- ----------------------- ------------ --------------- ------
Total 7,875 $530,285,828 100.00%
</TABLE>
<TABLE>
<CAPTION>
ORIGINATION YEAR
- ----------------------------------------------------------------------
ORIGINATION YEAR NO. OF LOANS CURRENT BALANCE % BY BALANCE
- ---------------- ------------ --------------- --------------
<S> <C> <C> <C>
1995 and prior 157 $ 4,830,341 0.91%
1996 433 22,221,015 4.19
1997 1,463 76,952,050 14.51
1998 3,226 212,047,990 39.99
1999 2,596 214,234,432 40.40
- ---- ------------ --------------- -------
Total 7,875 $530,285,828 100.00%
</TABLE>
16
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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> 17
CPR PREPAYMENT SENSITIVITIES
FOR POOL CERTIFICATES
% OF PREPAYMENT ASSUMPTION
TO CALL
<TABLE>
<CAPTION>
0% 50% 100% 150% 200% 250%
----- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A-1 WAL 7.97 1.35 0.74 0.52 0.39 0.31
Begin 1 1 1 1 1 1
End 193 36 18 12 9 7
CLASS A-2 WAL 19.54 3.75 1.80 1.17 0.86 0.65
Begin 193 36 18 12 9 7
End 275 58 25 16 12 9
CLASS A-3 WAL 25.39 7.91 3.49 1.68 1.19 0.88
Begin 275 58 25 16 12 9
End 312 111 58 25 17 13
CLASS A-4 NAS WAL 10.91 6.91 4.59 2.39 1.59 1.16
Begin 37 37 37 25 17 13
End 312 111 58 36 21 15
CLASS M-1 WAL 22.17 6.74 3.71 3.01 1.76 1.33
Begin 191 44 33 36 21 15
End 312 111 58 36 21 16
CLASS M-2 WAL 23.19 7.25 3.81 3.00 1.76 1.34
Begin 201 47 31 35 21 16
End 312 111 58 36 21 16
</TABLE>
- ----------------
Pricing Speed is 100% Prepayment Assumption - 0% CPR to 30% CPR in Months 1 to
20 and 30% CPR thereafter.
17
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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> 18
CPR PREPAYMENT SENSITIVITIES
FOR POOL CERTIFICATES
% OF PREPAYMENT ASSUMPTION
TO MATURITY
<TABLE>
<CAPTION>
0% 50% 100% 150% 200% 250%
----- ----- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A-1 WAL 7.97 1.35 0.74 0.52 0.39 0.31
Begin 1 1 1 1 1 1
End 193 36 18 12 9 7
CLASS A-2 WAL 19.54 3.75 1.80 1.17 0.86 0.65
Begin 193 36 18 12 9 7
End 275 58 25 16 12 9
CLASS A-3 WAL 26.31 10.40 4.36 1.68 1.19 0.88
Begin 275 58 25 16 12 9
End 347 291 162 25 17 13
CLASS A-4 NAS WAL 10.91 7.00 5.70 3.13 1.59 1.16
Begin 37 37 37 25 17 13
End 319 122 98 103 21 15
CLASS M-1 WAL 22.42 7.08 3.95 4.08 2.42 2.05
Begin 191 44 33 40 21 15
End 330 137 78 60 38 32
CLASS M-2 WAL 23.47 7.64 4.08 3.51 2.52 1.81
Begin 201 47 31 35 25 18
End 330 137 78 60 38 32
</TABLE>
Pricing Speed is 100% Prepayment Assumption - 0% CPR to 30% CPR in Months 1 to
20 and 30% CPR thereafter.
18
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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.
