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Previous: PVF CAPITAL CORP, 10-K405, 1996-09-25 |
Next: RIDGEWOOD ELECTRIC POWER TRUST IV, DEF 14A, 1996-09-25 |
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) 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.
In connection with the offering of the Registrant's
Collateralized Mortgage Bonds, Series 8, Class A-1 and Class A-2
described in a Prospectus Supplement dated September 20, 1996, filed
with the Securities and Exchange Commission pursuant to the Securities
Act of 1933, as amended and Rule 424 thereunder, certain "Computational
Materials" within the meaning of the May 20, 1994 Kidder, Peabody
No-Action Letter and the February 17, 1995 Public Securities Association
No-Action Letter were furnished to certain prospective investors (the
"Related 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.
September 24, 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
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>
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