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SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
----------------------
FORM 8-K/A
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported) September 20, 1996.
MERIT Securities Corporation
(Exact name of registrant as specified in charter)
Virginia 03992 541736551
(State or other jurisdiction (Commission File Number) (IRS Employer
of incorporation) Identification No.)
4880 Cox Road, Glen Allen, Virginia 23060
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (804) 967-5800
(Former name or former address, if changed since last report.)
<PAGE>
Item 5. Other Events.
Exhibit 99.1 is filed in order to provide additional information not included
in an exhibit to the Registrant's Form 8-K filed with the Securities and
Exchange Commission on September 25, 1996.
<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.
September 26, 1996
MERIT SECURITIES CORPORATION
By: /s/ LISA COOKE
------------------------
Name: Lisa Cooke
Title: Vice President
2
<PAGE>
INDEX TO EXHIBITS
Exhibit Page
- ------- ----
99.1 Copy of Related Computational Materials as provided
by Lehman Brothers........................................
3
Exhibit 99.1
Lehman Brothers ARMs Desk: 212-526-8315
MERIT Series 8
Class A1, $700 MM (approximate)
1 Mo. LIBOR + 22 bps UNCAPPED FLOATER
Class A2, $140 MM (approximate)
1 Mo. LIBOR + 60 bps with 10% Life Cap
Securities and Structure:
FSA Wrap
Aaa/AAA Moody's/S&P
Sequential Pay A1/A2/A3
Class A1
1ML + 22
Uncapped Floater
No Periodic Caps
No Life Caps
30/360 Accrual
No Delay
If Class is not called,
the margin increases by 22 bps.
Class A2
1ML + 60 bps
10% Life Cap
No Periodic Caps
30/360 Accrual
No Delay
If Class is not called,
cap and margin increases by 60 bps
Class A3
**RETAINED**
Approximate Collateral Characteristics:
Primary % of Gross Net Per/Net Life Current
Index Deal WAC Margin Cap WAM
6 Mo CD 21% 7.87% 225 bps 2/10.94% 337 mos
6 Mo LIBOR 55% 8.46% 265 bps 1/11.29% 321 mos
1 Yr CMT 23% 8.22% 253 bps 2/11.52% 322 mos
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers,
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest payments, interest rates,
losses and other matters, including, but not limited to, the assumptions
described in the Offering Document. Lehman Brothers Inc., and any of its
affiliates make no representation or warranty as to the actual rate or timing of
payments on any of the underlying assets or the payments or yield on the
securities. This information supersedes any prior versions hereof and will be
deemed to be superseded by any subsequent versions (including, with respect to
any description of the securities of the underlying assets, the information
contained in the Offering Document).
<PAGE>
Average Life & Principal Window Sensitivities:
Run to Call (1)
(earlier of 35% of A1+A2+A3 or 7 years)
15% CPR 21% CPR 30% CPR
Class A1
Avg Life (yrs) 3.1 2.2 1.5
Last Pay (yrs) 6.1 4.3 2.9
Class A2
Avg Life (yrs) 6.1 4.3 2.9
Last Pay (yrs) 6.1 4.3 2.9
Run to Maturity (1)
15% CPR 21% CPR 30% CPR
Class A1
Avg Life (yrs) 3.2 2.2 1.5
Last Pay (yrs) 8.0 5.7 3.8
Class A2
Avg Life (yrs) 10.1 7.3 4.9
Last Pay (yrs) 12.9 9.3 6.3
(1) Pricing speed of 21% CPR.
General Information:
Certificates: A1:1-month LIBOR + 22 Uncapped Floater
A2: 1-month LIBOR + 60 10% Cap, No Periodic Caps
Ratings: AAA/Aaa (S&P and Moody's)
Interest Adj. Frequency: Monthly
Payment Adj. Frequency: Monthly
Net Margin: A1: 1 Mo LIBOR + 22 bps
A2: 1 Mo LIBOR + 60 bps
If deal is not called on earlier of (i) 35%
option or (ii) on or after 7 years, margin on
Class A1 increases by 22 bps to 1ML+44 and
margin and cap on the A2 Certificate will
increase by 60 bps to 1ML+120
Caps: A1: NO Life Cap, NO Periodic Cap
A2: 10.00% (Increases to 10.60% if deal is
not called), NO Periodic Cap
Payment Date: Pays on the 28th of month, 0 day delay
Interest Accrual: Accrues on 30/360 year
Compensating Interest: Yes
Advancing: Yes
Tax Structure: Taxable Debt Obligations
Legal Investment: SMMEA Eligible
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers,
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest payments, interest rates,
losses and other matters, including, but not limited to, the assumptions
described in the Offering Document. Lehman Brothers Inc., and any of its
affiliates make no representation or warranty as to the actual rate or timing of
payments on any of the underlying assets or the payments or yield on the
securities. This information supersedes any prior versions hereof and will be
deemed to be superseded by any subsequent versions (including, with respect to
any description of the securities of the underlying assets, the information
contained in the Offering Document).
<PAGE>
General Information (continued):
Delivery: Class A1 & A2 - DTC
Structure: Sequential Pay between Class A1 / Class A2 /
Class A3 (Retained)
Credit Enhancement: Class A1 & A2 are supported by OC (0.5%) and
FSA Wrap covering P&I
Clean-up Call Provision: The certificates can be called on the earlier of
(i) when the current Class A Certificate
balances are 35% or less of the original Class
A Certificate balances or (ii) on or after 7
years. The call will be executed at par.
Trustee: Texas Commerce Bank N.A.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities of the underlying assets, the information
contained in the Offering Document).
<PAGE>
MERIT 1996-08
CORPORATE BOND EQUIVALENT YIELD/MODIFIED DURATION TABLE
CLASS A-1
TO MATURITY
<TABLE>
<CAPTION>
PSA Prepayment Assumptions
--------0%------- -------15%--------- -------18%--------- -------21%-------
Price Yield Duration Yield Duration Yield Duration Yield Duration
<S> <C>
99.46875% 5.925% 10.02 5.971% 2.71 6.006% 2.3 6.042% 1.99
99.50000% 5.922% 5.960% 5.992% 6.027%
99.53125% 5.919% 5.948% 5.979% 6.011%
99.56250% 5.916% 5.936% 5.965% 5.995%
99.59375% 5.912% 5.925% 5.952% 5.979%
99.62500% 5.909% 10.03 5.913% 2.72 5.938% 2.31 5.964% 1.99
99.65625% 5.906% 5.902% 5.924% 5.948%
99.68750% 5.903% 5.890% 5.911% 5.932%
99.71875% 5.900% 5.879% 5.897% 5.916%
99.75000% 5.897% 5.867% 5.884% 5.901%
99.78125% 5.894% 10.04 5.856% 2.72 5.870% 2.31 5.885% 2.00
99.81250% 5.891% 5.844% 5.856% 5.869%
99.84375% 5.887% 5.833% 5.843% 5.854%
99.87500% 5.884% 5.821% 5.829% 5.838%
99.90625% 5.881% 5.810% 5.816% 5.822%
99.93750% 5.878% 10.05 5.798% 2.72 5.802% 2.31 5.807% 2.00
99.96875% 5.875% 5.787% 5.789% 5.791%
100.00000% 5.872% 5.775% 5.775% 5.775%
100.03125% 5.869% 5.764% 5.762% 5.760%
100.06250% 5.866% 5.752% 5.748% 5.744%
100.09375% 5.863% 10.05 5.741% 2.73 5.735% 2.31 5.728% 2.00
100.12500% 5.859% 5.729% 5.721% 5.713%
100.15625% 5.856% 5.718% 5.708% 5.697%
100.18750% 5.853% 5.706% 5.694% 5.682%
100.21875% 5.850% 5.695% 5.681% 5.666%
100.25000% 5.847% 10.06 5.683% 2.73 5.667% 2.32 5.651% 2.00
100.28125% 5.844% 5.672% 5.654% 5.635%
100.31250% 5.841% 5.661% 5.640% 5.619%
100.34375% 5.838% 5.649% 5.627% 5.604%
100.37500% 5.835% 5.638% 5.613% 5.588%
100.40625% 5.832% 10.07 5.626% 2.73 5.600% 2.32 5.573% 2.01
100.43750% 5.828% 5.615% 5.587% 5.557%
100.46875% 5.825% 5.604% 5.573% 5.542%
100.50000% 5.822% 5.592% 5.560% 5.526%
100.53125% 5.819% 5.581% 5.546% 5.511%
Weighted Average Life 16.77 3.18 2.64 2.25
First Pay (Yrs) 0.09 0.09 0.09 0.09
Last Pay (Yrs) 24.76 8.01 6.67 5.67
</TABLE>
<TABLE>
<CAPTION>
PSA Prepayment Assumptions
-------25%------- ----------30%---------- ----------35%----------
Price Yield Duration Yield Duration Yield Duration
<S> <C>
99.46875% 6.093% 1.68 6.159% 1.39 6.230% 1.17
99.50000% 6.074% 6.136% 6.203%
99.53125% 6.055% 6.114% 6.176%
99.56250% 6.037% 6.091% 6.149%
99.59375% 6.018% 6.069% 6.123%
99.62500% 5.999% 1.68 6.046% 1.39 6.096% 1.17
99.65625% 5.980% 6.023% 6.069%
99.68750% 5.962% 6.001% 6.042%
99.71875% 5.943% 5.978% 6.016%
99.75000% 5.924% 5.956% 5.989%
99.78125% 5.906% 1.68 5.933% 1.39 5.962% 1.18
99.81250% 5.887% 5.911% 5.936%
99.84375% 5.869% 5.888% 5.909%
99.87500% 5.850% 5.866% 5.883%
99.90625% 5.831% 5.843% 5.856%
99.93750% 5.813% 1.68 5.821% 1.39 5.829% 1.18
99.96875% 5.794% 5.798% 5.803%
100.00000% 5.776% 5.776% 5.776%
100.03125% 5.757% 5.753% 5.750%
100.06250% 5.738% 5.731% 5.723%
100.09375% 5.720% 1.69 5.709% 1.40 5.697% 1.18
100.12500% 5.701% 5.686% 5.670%
100.15625% 5.683% 5.664% 5.644%
100.18750% 5.664% 5.641% 5.617%
100.21875% 5.646% 5.619% 5.591%
100.25000% 5.627% 1.69 5.597% 1.40 5.564% 1.18
100.28125% 5.609% 5.574% 5.538%
100.31250% 5.590% 5.552% 5.512%
100.34375% 5.572% 5.530% 5.485%
100.37500% 5.553% 5.508% 5.459%
100.40625% 5.535% 1.69 5.485% 1.40 5.433% 1.18
100.43750% 5.517% 5.463% 5.406%
100.46875% 5.498% 5.441% 5.380%
100.50000% 5.480% 5.418% 5.354%
100.53125% 5.461% 5.396% 5.327%
Weighted Average Life 1.86 1.52 1.27
First Pay (Yrs) 0.09 0.09 .09
Last Pay (Yrs) 4.76 3.84 3.17
</TABLE>
MERIT 1996-08
CORPORATE BOND EQUIVALENT YIELD/MODIFIED DURATION TABLE
CLASS A-1
TO CALL
<TABLE>
<CAPTION>
PSA Prepayment Assumptions
--------0%--------- --------15%-------- ---------18%--------- -------21%---------
Price Yield Duration Yield Duration Yield Duration Yield Duration
<S> <C>
99.46875% 5.867% 5.41 5.970% 2.63 6.007% 2.23 6.044% 1.93
99.50000% 5.861% 5.958% 5.992% 6.028%
99.53125% 5.855% 5.947% 5.978% 6.011%
99.56250% 5.849% 5.935% 5.964% 5.995%
99.59375% 5.843% 5.923% 5.950% 5.979%
99.62500% 5.838% 5.41 5.911% 2.63 5.936% 2.23 5.963% 1.93
99.65625% 5.832% 5.899% 5.922% 5.946%
99.68750% 5.826% 5.887% 5.908% 5.930%
99.71875% 5.820% 5.875% 5.894% 5.914%
99.75000% 5.814% 5.863% 5.880% 5.898%
99.78125% 5.809% 5.41 5.851% 2.64 5.866% 2.24 5.881% 1.93
99.81250% 5.803% 5.839% 5.852% 5.865%
99.84375% 5.797% 5.827% 5.838% 5.849%
99.87500% 5.791% 5.816% 5.824% 5.833%
99.90625% 5.785% 5.804% 5.810% 5.817%
99.93750% 5.780% 5.41 5.792% 2.64 5.796% 2.24 5.800% 1.94
99.96875% 5.774% 5.780% 5.782% 5.784%
100.00000% 5.768% 5.768% 5.768% 5.768%
100.03125% 5.762% 5.756% 5.754% 5.752%
100.06250% 5.757% 5.744% 5.740% 5.736%
100.09375% 5.751% 5.42 5.733% 2.64 5.726% 2.24 5.720% 1.94
100.12500% 5.745% 5.721% 5.712% 5.704%
100.15625% 5.739% 5.709% 5.698% 5.688%
100.18750% 5.734% 5.697% 5.685% 5.671%
100.21875% 5.728% 5.685% 5.671% 5.655%
100.25000% 5.722% 5.42 5.674% 2.64 5.657% 2.24 5.639% 1.94
100.28125% 5.716% 5.662% 5.643% 5.623%
100.31250% 5.711% 5.650% 5.629% 5.607%
100.34375% 5.705% 5.638% 5.615% 5.591%
100.37500% 5.699% 5.626% 5.601% 5.575%
100.40625% 5.693% 5.42 5.615% 2.65 5.587% 2.25 5.559% 1.94
100.43750% 5.688% 5.603% 5.573% 5.543%
100.46875% 5.682% 5.591% 5.560% 5.527%
100.50000% 5.676% 5.579% 5.546% 5.511%
100.53125% 5.670% 5.568% 5.532% 5.495%
Weighted Average Life 6.71 3.05 2.54 2.16
First Pay (Yrs) 0.09 0.09 0.09 0.09
Last Pay (Yrs) 7.01 6.09 5.09 4.34
</TABLE>
<TABLE>
<CAPTION>
----------25%---------- ----------30%---------- ----------35%----------
Price Yield Duration Yield Duration Yield Duration
<S> <C>
99.46875% 6.096% 1.62 6.165% 1.34 6.238% 1.13
99.50000% 6.077% 6.141% 6.211%
99.53125% 6.057% 6.118% 6.183%
99.56250% 6.038% 6.095% 6.155%
99.59375% 6.019% 6.071% 6.127%
99.62500% 5.999% 1.62 6.048% 1.34 6.100% 1.13
99.65625% 5.980% 6.024% 6.072%
99.68750% 5.961% 6.001% 6.044%
99.71875% 5.941% 5.978% 6.017%
99.75000% 5.922% 5.954% 5.989%
99.78125% 5.903% 1.63 5.931% 1.34 5.961% 1.13
99.81250% 5.884% 5.908% 5.934%
99.84375% 5.864% 5.884% 5.906%
99.87500% 5.845% 5.861% 5.878%
99.90625% 5.826% 5.838% 5.851%
99.93750% 5.807% 1.63 5.815% 1.35 5.823% 1.14
99.96875% 5.787% 5.791% 5.796%
100.00000% 5.768% 5.768% 5.768%
100.03125% 5.749% 5.745% 5.741%
100.06250% 5.730% 5.722% 5.713%
100.09375% 5.711% 1.63 5.699% 1.35 5.686% 1.14
100.12500% 5.691% 5.675% 5.658%
100.15625% 5.672% 5.652% 5.631%
100.18750% 5.653% 5.629% 5.603%
100.21875% 5.634% 5.606% 5.576%
100.25000% 5.615% 1.63 5.583% 1.35 5.548% 1.14
100.28125% 5.596% 5.560% 5.521%
100.31250% 5.577% 5.537% 5.494%
100.34375% 5.558% 5.514% 5.466%
100.37500% 5.538% 5.490% 5.439%
100.40625% 5.519% 1.63 5.467% 1.35 5.412% 1.14
100.43750% 5.500% 5.444% 5.384%
100.46875% 5.481% 5.421% 5.357%
100.50000% 5.462% 5.398% 5.330%
100.53125% 5.443% 5.375% 5.303%
Weighted Average Life 1.79 1.46 1.22
First Pay (Yrs) 0.09 0.09 0.09
Last Pay (Yrs) 3.59 2.92 2.42
</TABLE>
MERIT 1996-08
CORPORATE BOND EQUIVALENT YIELD/MODIFIED DURATION TABLE
CLASS A-2
TO MATURITY
<TABLE>
<CAPTION>
PSA Prepayment Assumptions
--------0%-------- --------15%-------- ---------18%--------- --------21%--------
Price Yield Duration Yield Duration Yield Duration Yield Duration
<S> <C>
99.46875% 6.541% 12.43 6.429% 7.31 6.448% 6.41 6.464% 5.67
99.50000% 6.538% 6.425% 6.443% 6.459%
99.53125% 6.536% 6.421% 6.438% 6.453%
99.56250% 6.533% 6.416% 6.433% 6.448%
99.59375% 6.531% 6.412% 6.428% 6.442%
99.62500% 6.528% 12.44 6.408% 7.31 6.423% 6.41 6.437% 5.67
99.65625% 6.526% 6.403% 6.418% 6.431%
99.68750% 6.523% 6.399% 6.413% 6.426%
99.71875% 6.520% 6.395% 6.408% 6.420%
99.75000% 6.518% 6.391% 6.403% 6.415%
99.78125% 6.515% 12.45 6.386% 7.32 6.399% 6.41 6.409% 5.67
99.81250% 6.513% 6.382% 6.394% 6.404%
99.84375% 6.510% 6.378% 6.389% 6.398%
99.87500% 6.508% 6.373% 6.384% 6.393%
99.90625% 6.505% 6.369% 6.379% 6.387%
99.93750% 6.503% 12.46 6.365% 7.32 6.374% 6.42 6.382% 5.67
99.96875% 6.500% 6.361% 6.369% 6.376%
100.00000% 6.498% 6.356% 6.364% 6.371%
100.03125% 6.495% 6.352% 6.360% 6.365%
100.06250% 6.493% 6.348% 6.355% 6.359%
100.09375% 6.490% 12.47 6.344% 7.32 6.350% 6.42 6.354% 5.68
100.12500% 6.488% 6.339% 6.345% 6.348%
100.15625% 6.485% 6.335% 6.340% 6.343%
100.18750% 6.483% 6.331% 6.335% 6.337%
100.21875% 6.480% 6.326% 6.330% 6.332%
100.25000% 6.478% 12.48 6.322% 7.33 6.326% 6.42 6.327% 5.68
100.28125% 6.475% 6.318% 6.321% 6.321%
100.31250% 6.473% 6.314% 6.316% 6.316%
100.34375% 6.470% 6.309% 6.311% 6.310%
100.37500% 6.468% 6.305% 6.306% 6.305%
100.40625% 6.465% 12.49 6.301% 7.33 6.301% 6.42 6.299% 5.68
100.43750% 6.463% 6.297% 6.296% 6.294%
100.46875% 6.460% 6.292% 6.292% 6.288%
100.50000% 6.458% 6.288% 6.287% 6.283%
100.53125% 6.455% 6.284% 6.282% 6.277%
Weighted Average Life 25.75 10.14 8.50 7.25
First Pay (Yrs) 24.76 8.01 6.67 5.67
Last Pay (Yrs) 26.76 12.92 10.92 9.34
</TABLE>
<TABLE>
<CAPTION>
PSA Prepayment Assumptions
---------25%--------- ---------30%--------- ---------35%---------
Price Yield Duration Yield Duration Yield Duration
<S> <C>
99.46875% 6.486% 4.87 6.512% 4.10 6.541% 3.50
99.50000% 6.480% 6.505% 6.532%
99.53125% 6.474% 6.497% 6.523%
99.56250% 6.467% 6.489% 6.514%
99.59375% 6.461% 6.482% 6.505%
99.62500% 6.454% 4.87 6.474% 4.10 6.496% 3.50
99.65625% 6.448% 6.466% 6.487%
99.68750% 6.441% 6.459% 6.478%
99.71875% 6.435% 6.451% 6.469%
99.75000% 6.428% 6.443% 6.460%
99.78125% 6.422% 4.87 6.436% 4.10 6.451% 3.50
99.81250% 6.416% 6.428% 6.442%
99.84375% 6.409% 6.421% 6.433%
99.87500% 6.403% 6.413% 6.424%
99.90625% 6.396% 6.405% 6.415%
99.93750% 6.390% 4.88 6.398% 4.10 6.406% 3.50
99.96875% 6.384% 6.390% 6.397%
100.00000% 6.377% 6.382% 6.388%
100.03125% 6.371% 6.375% 6.380%
100.06250% 6.364% 6.367% 6.371%
100.09375% 6.358% 4.88 6.360% 4.10 6.362% 3.51
100.12500% 6.351% 6.352% 6.353%
100.15625% 6.345% 6.344% 6.344%
100.18750% 6.339% 6.337% 6.335%
100.21875% 6.332% 6.329% 6.326%
100.25000% 6.326% 4.88 6.322% 4.11 6.317% 3.51
100.28125% 6.319% 6.314% 6.308%
100.31250% 6.313% 6.306% 6.299%
100.34375% 6.307% 6.299% 6.291%
100.37500% 6.300% 6.291% 6.282%
100.40625% 6.294% 4.88 6.284% 4.11 6.273% 3.51
100.43750% 6.288% 6.276% 6.264%
100.46875% 6.281% 6.268% 6.255%
100.50000% 6.275% 6.261% 6.246%
100.53125% 6.268% 6.253% 6.237%
Weighted Average Life 6.02 4.90 4.09
First Pay (Yrs) 4.76 3.84 3.17
Last Pay (Yrs) 7.76 6.34 5.26
</TABLE>
MERIT 1996-08
CORPORATE BOND EQUIVALENT YIELD/MODIFIED DURATION TABLE
CLASS A-2
TO CALL
<TABLE>
<CAPTION>
PSA Prepayment Assumptions
-------0%--------- --------15%-------- ---------18%--------- ---------21%---------
Price Yield Duration Yield Duration Yield Duration Yield Duration
<S> <C>
99.46875% 6.254% 5.55 6.265% 4.95 6.283% 4.26 6.301% 3.71
99.50000% 6.248% 6.259% 6.275% 6.293%
99.53125% 6.242% 6.252% 6.268% 6.284%
99.56250% 6.237% 6.246% 6.261% 6.276%
99.59375% 6.231% 6.240% 6.253% 6.267%
99.62500% 6.225% 5.55 6.233% 4.95 6.246% 4.26 6.259% 3.71
99.65625% 6.220% 6.227% 6.238% 6.250%
99.68750% 6.214% 6.221% 6.231% 6.242%
99.71875% 6.208% 6.214% 6.224% 6.233%
99.75000% 6.203% 6.208% 6.216% 6.225%
99.78125% 6.197% 5.55 6.202% 4.95 6.209% 4.26 6.217% 3.71
99.81250% 6.191% 6.195% 6.202% 6.208%
99.84375% 6.186% 6.189% 6.194% 6.200%
99.87500% 6.180% 6.183% 6.187% 6.191%
99.90625% 6.174% 6.176% 6.180% 6.183%
99.93750% 6.169% 5.55 6.170% 4.95 6.172% 4.26 6.174% 3.71
99.96875% 6.163% 6.164% 6.165% 6.166%
100.00000% 6.158% 6.158% 6.158% 6.158%
100.03125% 6.152% 6.151% 6.150% 6.149%
100.06250% 6.146% 6.145% 6.143% 6.141%
100.09375% 6.141% 5.55 6.139% 4.95 6.136% 4.26 6.132% 3.71
100.12500% 6.135% 6.132% 6.128% 6.124%
100.15625% 6.129% 6.126% 6.121% 6.115%
100.18750% 6.124% 6.120% 6.114% 6.107%
100.21875% 6.118% 6.113% 6.106% 6.099%
100.25000% 6.113% 5.56 6.107% 4.96 6.099% 4.26 6.090% 3.71
100.28125% 6.107% 6.101% 6.092% 6.082%
100.31250% 6.101% 6.095% 6.084% 6.073%
100.34375% 6.096% 6.088% 6.077% 6.065%
100.37500% 6.090% 6.082% 6.070% 6.057%
100.40625% 6.085% 5.56 6.076% 4.96 6.062% 4.26 6.048% 3.72
100.43750% 6.079% 6.069% 6.055% 6.040%
100.46875% 6.073% 6.063% 6.048% 6.032%
100.50000% 6.068% 6.057% 6.040% 6.023%
100.53125% 6.062% 6.051% 6.033% 6.015%
Weighted Average Life 7.01 6.09 5.09 4.34
First Pay (Yrs) 7.01 6.09 5.09 4.34
Last Pay (Yrs) 7.01 6.09 5.09 4.34
</TABLE>
<TABLE>
<CAPTION>
PSA Prepayment Assumptions
----------25%---------- ----------30%---------- ----------35%----------
Price Yield Duration Yield Duration Yield Duration
<S> <C>
99.46875% 6.327% 3.13 6.362% 2.60 6.401% 2.19
99.50000% 6.317% 6.350% 6.387%
99.53125% 6.307% 6.338% 6.372%
99.56250% 6.297% 6.326% 6.358%
99.59375% 6.287% 6.314% 6.343%
99.62500% 6.277% 3.14 6.302% 2.60 6.329% 2.19
99.65625% 6.267% 6.290% 6.315%
99.68750% 6.257% 6.278% 6.300%
99.71875% 6.247% 6.266% 6.286%
99.75000% 6.237% 6.254% 6.272%
99.78125% 6.227% 3.14 6.242% 2.60 6.258% 2.19
99.81250% 6.217% 6.230% 6.243%
99.84375% 6.207% 6.218% 6.229%
99.87500% 6.197% 6.206% 6.215%
99.90625% 6.187% 6.194% 6.200%
99.93750% 6.177% 3.14 6.182% 2.61 6.186% 2.19
99.96875% 6.168% 6.170% 6.172%
100.00000% 6.158% 6.158% 6.158%
100.03125% 6.148% 6.146% 6.143%
100.06250% 6.138% 6.134% 6.129%
100.09375% 6.128% 3.14 6.122% 2.61 6.115% 2.19
100.12500% 6.118% 6.110% 6.101%
100.15625% 6.108% 6.098% 6.086%
100.18750% 6.098% 6.086% 6.072%
100.21875% 6.088% 6.074% 6.058%
100.25000% 6.078% 3.14 6.062% 2.61 6.044% 2.19
100.28125% 6.068% 6.050% 6.029%
100.31250% 6.058% 6.038% 6.015%
100.34375% 6.048% 6.026% 6.001%
100.37500% 6.038% 6.014% 5.987%
100.40625% 6.028% 3.14 6.002% 2.61 5.973% 2.19
100.43750% 6.018% 5.990% 5.958%
100.46875% 6.009% 5.978% 5.944%
100.50000% 5.999% 5.966% 5.930%
100.53125% 5.989% 5.954% 5.916%
Weighted Average Life 3.59 2.92 2.42
First Pay (Yrs) 3.59 2.92 2.42
Last Pay (Yrs) 3.59 2.92 2.42
</TABLE>
<PAGE>
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