SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
---------------------
FORM 8-K
CURRENT REPORT
Pursuant to Section 12 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported) June 25, 1997
MERIT Securities Corporation
(Exact name of registrant as specified in charter)
Virginia 03992 54-1736551
----------------------------- ----- ----------
(State or other jurisdiction (Commission (IRS Employer
of incorporation) File Number) Identification No.)
10900 Nuckols Road, 3rd Floor, Glen Allen, Virginia 23060
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (804) 217-5800
<PAGE>
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.
In connection with the offering of the Registrant's Collateralized
Bonds, Series 9, Class A-1, Class A-2, Class A-3, Class B-1, Class B-2 and Class
B-3, described in a Prospectus Supplement dated June 20, 1997, 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>
INDEX TO EXHIBITS
Page
Exhibit
99.1 Copy of Related Computational Materials as provided by
Lehman Brothers Inc. and Wheat, First Securities, Inc.....
<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.
June 26, 1997 MERIT SECURITIES CORPORATION
By: ____________________________________
Lisa R. Cooke, Vice President
MERIT 9 - FOR 8K - TO 35% CALL
------ Discount Margin Table-------
Lehman Brothers Page 1
Bond Class A1 6.088 Initial Coupon
Current Balance $775,000,000.00
1.00 * 1MLIB + 0.40, 10.00 Cap, 0.40 Floor
Index Type: 1MLIB Initial Value: 5.688
<TABLE>
<CAPTION>
10% CPR 15% CPR 18% CPR 21% CPR 23% CPR 25% CPR 30% CPR
-------------- -------------- -------------- --------------- -------------- -------------- --------------
1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750
-------------- -------------- -------------- --------------- -------------- -------------- --------------
PRICE Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur
- --------- --------- ---- --------- ---- --------- ---- --------- ---- --------- ---- --------- ---- --------- ----
<S> <C>
99.59375 0.514 3.48 0.548 2.68 0.574 2.28 0.601 1.97 0.620 1.80 0.639 1.66 0.688 1.37
99.62500 0.505 0.536 0.560 0.585 0.603 0.620 0.666
99.65625 0.496 0.525 0.547 0.570 0.586 0.602 0.644
99.68750 0.487 0.513 0.534 0.554 0.569 0.583 0.622
99.71875 0.479 0.502 0.520 0.539 0.552 0.565 0.599
99.75000 0.470 3.49 0.491 2.69 0.507 2.28 0.523 1.97 0.535 1.81 0.547 1.66 0.577 1.38
99.78125 0.461 0.479 0.493 0.508 0.518 0.528 0.555
99.81250 0.452 0.468 0.480 0.493 0.501 0.510 0.533
99.84375 0.444 0.457 0.467 0.477 0.484 0.492 0.511
99.87500 0.435 0.445 0.453 0.462 0.467 0.473 0.489
99.90625 0.426 3.49 0.434 2.69 0.440 2.29 0.446 1.98 0.451 1.81 0.455 1.66 0.466 1.38
99.93750 0.417 0.423 0.427 0.431 0.434 0.437 0.444
99.96875 0.409 0.411 0.413 0.415 0.417 0.418 0.422
100.00000 0.400 0.400 0.400 0.400 0.400 0.400 0.400
100.03125 0.391 0.389 0.387 0.385 0.383 0.382 0.378
100.06250 0.383 3.49 0.377 2.69 0.373 2.29 0.369 1.98 0.366 1.81 0.363 1.67 0.356 1.38
100.09375 0.374 0.366 0.360 0.354 0.350 0.345 0.334
100.12500 0.365 0.355 0.347 0.338 0.333 0.327 0.312
100.15625 0.356 0.343 0.334 0.323 0.316 0.309 0.290
100.18750 0.348 0.332 0.320 0.308 0.299 0.290 0.268
100.21875 0.339 3.50 0.321 2.70 0.307 2.29 0.292 1.98 0.282 1.81 0.272 1.67 0.246 1.38
100.25000 0.330 0.310 0.294 0.277 0.265 0.254 0.223
100.28125 0.322 0.298 0.280 0.262 0.249 0.236 0.201
100.31250 0.313 0.287 0.267 0.246 0.232 0.217 0.179
100.34375 0.304 0.276 0.254 0.231 0.215 0.199 0.157
100.37500 0.296 3.50 0.265 2.70 0.241 2.29 0.216 1.98 0.198 1.81 0.181 1.67 0.135 1.38
100.40625 0.287 0.253 0.227 0.200 0.182 0.163 0.114
100.43750 0.278 0.242 0.214 0.185 0.165 0.145 0.092
100.46875 0.270 0.231 0.201 0.170 0.148 0.126 0.070
100.50000 0.261 0.220 0.188 0.155 0.131 0.108 0.048
100.53125 0.252 3.50 0.208 2.70 0.174 2.30 0.139 1.99 0.115 1.82 0.090 1.67 0.026 1.38
100.56250 0.244 0.197 0.161 0.124 0.098 0.072 0.004
100.59375 0.235 0.186 0.148 0.109 0.081 0.054 -0.018
100.62500 0.226 0.175 0.135 0.093 0.065 0.036 -0.040
100.65625 0.218 0.163 0.122 0.078 0.048 0.018 -0.062
Average
Life : 4.23 3.15 2.62 2.23 2.02 1.85 1.51
First Pay: 0.09 0.09 0.09 0.09 0.09 0.09 0.09
Last Pay : 7.01 6.09 5.09 4.34 3.92 3.59 2.92
Collateral
Loss : 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Agg. Bond
Loss : 0.00 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
Notes: All yields and durations are based on MONTHLY payments of interest
with an interest free delay of 0 days. Duration, First Pay, Average
Life, and Maturity are stated in years reflecting a 6/25/97 settlement
date.
_______________________________________________________________________________
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 and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, 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 or the underlying assets, the
information contained in the Offering Document).
<PAGE>
MERIT 9 - FOR 8K
------ Discount Margin Table ------
Lehman Brothers Page 1
Bond Class A1 6.088 Initial Coupon
Current Balance $775,000,000.00
1.00 * 1MLIB + 0.40, 10.00 Cap, 0.40 Floor
Index Type: 1MLIB Initial Value: 5.688
<TABLE>
<CAPTION>
10% CPR 15% CPR 18% CPR 21% CPR 23% CPR 25% CPR 30% CPR
-------------- -------------- -------------- --------------- -------------- -------------- --------------
1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750
-------------- -------------- -------------- --------------- -------------- -------------- --------------
PRICE Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur
- --------- --------- ---- --------- ---- --------- ---- --------- ---- --------- ---- --------- ---- --------- ----
<S> <C>
99.59375 0.544 3.89 0.559 2.81 0.584 2.39 0.610 2.07 0.628 1.89 0.646 1.74 0.694 1.44
99.62500 0.536 0.548 0.571 0.595 0.612 0.629 0.672
99.65625 0.528 0.537 0.558 0.580 0.596 0.611 0.651
99.68750 0.520 0.526 0.545 0.566 0.580 0.594 0.630
99.71875 0.512 0.515 0.533 0.551 0.564 0.576 0.609
99.75000 0.504 3.90 0.504 2.81 0.520 2.39 0.536 2.07 0.547 1.89 0.559 1.74 0.588 1.45
99.78125 0.497 0.494 0.507 0.521 0.531 0.541 0.567
99.81250 0.489 0.483 0.494 0.507 0.515 0.524 0.546
99.84375 0.481 0.472 0.482 0.492 0.499 0.506 0.525
99.87500 0.473 0.461 0.469 0.477 0.483 0.489 0.503
99.90625 0.465 3.90 0.450 2.82 0.456 2.39 0.462 2.07 0.467 1.90 0.471 1.75 0.482 1.45
99.93750 0.457 0.439 0.443 0.448 0.451 0.454 0.461
99.96875 0.450 0.429 0.431 0.433 0.435 0.436 0.440
100.00000 0.442 0.418 0.418 0.418 0.419 0.419 0.419
100.03125 0.434 0.407 0.405 0.404 0.403 0.401 0.398
100.06250 0.426 3.90 0.396 2.82 0.393 2.40 0.389 2.07 0.387 1.90 0.384 1.75 0.377 1.45
100.09375 0.418 0.385 0.380 0.374 0.371 0.367 0.356
100.12500 0.411 0.375 0.367 0.360 0.355 0.349 0.335
100.15625 0.403 0.364 0.354 0.345 0.339 0.332 0.314
100.18750 0.395 0.353 0.342 0.330 0.323 0.314 0.293
100.21875 0.387 3.91 0.342 2.82 0.329 2.40 0.316 2.08 0.307 1.90 0.297 1.75 0.272 1.45
100.25000 0.379 0.331 0.316 0.301 0.291 0.280 0.251
100.28125 0.372 0.321 0.304 0.286 0.275 0.262 0.230
100.31250 0.364 0.310 0.291 0.272 0.259 0.245 0.209
100.34375 0.356 0.299 0.278 0.257 0.243 0.228 0.188
100.37500 0.348 3.91 0.288 2.83 0.266 2.40 0.242 2.08 0.227 1.90 0.210 1.75 0.167 1.45
100.40625 0.341 0.278 0.253 0.228 0.211 0.193 0.147
100.43750 0.333 0.267 0.240 0.213 0.195 0.176 0.126
100.46875 0.325 0.256 0.228 0.199 0.179 0.158 0.105
100.50000 0.317 0.245 0.215 0.184 0.163 0.141 0.084
100.53125 0.310 3.92 0.235 2.83 0.203 2.40 0.169 2.08 0.147 1.91 0.124 1.76 0.063 1.45
100.56250 0.302 0.224 0.190 0.155 0.131 0.106 0.042
100.59375 0.294 0.213 0.177 0.140 0.115 0.089 0.021
100.62500 0.286 0.203 0.165 0.126 0.099 0.072 0.000
100.65625 0.279 0.192 0.152 0.111 0.084 0.055 -0.020
Average
Life : 4.94 3.35 2.78 2.36 2.14 1.96 1.60
First Pay: 0.09 0.09 0.09 0.09 0.09 0.09 0.09
Last Pay : 12.34 8.59 7.17 6.09 5.51 5.01 4.09
Collateral
Loss : 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Agg. Bond
Loss : 0.00 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
Notes: All yields and durations are based on MONTHLY payments of interest
with an interest free delay of 0 days. Duration, First Pay, Average
Life, and Maturity are stated in years reflecting a 6/25/97 settlement
date.
_______________________________________________________________________________
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 and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, 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 or the underlying assets, the
information contained in the Offering Document).
<PAGE>
MERIT 9 - FOR 8K - TO 35% CALL
------ Discount Margin Table ------
Lehman Brothers Page 2
Bond Class A2 6.237 Initial Coupon
Current Balance $121,000,000.00
1.00 * 1MLIB + 0.55, 10.00 Cap, 0.55 Floor
Index Type: 1MLIB Initial Value: 5.688
<TABLE>
<CAPTION>
10% CPR 15% CPR 18% CPR 21% CPR 23% CPR 25% CPR 30% CPR
-------------- -------------- -------------- --------------- -------------- -------------- --------------
1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750
-------------- -------------- -------------- --------------- -------------- -------------- --------------
PRICE Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur
- --------- --------- ---- --------- ---- --------- ---- --------- ---- --------- ---- --------- ---- --------- ----
<S> <C>
99.46875 0.644 5.51 0.655 4.92 0.672 4.24 0.690 3.69 0.703 3.38 0.716 3.12 0.750 2.60
99.50000 0.638 0.649 0.665 0.682 0.694 0.706 0.738
99.53125 0.633 0.643 0.658 0.674 0.685 0.696 0.726
99.56250 0.627 0.637 0.651 0.666 0.676 0.687 0.714
99.59375 0.622 0.631 0.644 0.657 0.667 0.677 0.703
99.62500 0.616 5.52 0.624 4.92 0.636 4.24 0.649 3.69 0.658 3.38 0.667 3.13 0.691 2.60
99.65625 0.611 0.618 0.629 0.641 0.649 0.657 0.679
99.68750 0.605 0.612 0.622 0.632 0.640 0.648 0.667
99.71875 0.600 0.606 0.615 0.624 0.631 0.638 0.656
99.75000 0.594 0.600 0.608 0.616 0.622 0.628 0.644
99.78125 0.589 5.52 0.593 4.93 0.600 4.24 0.608 3.70 0.613 3.38 0.618 3.13 0.632 2.60
99.81250 0.583 0.587 0.593 0.599 0.604 0.609 0.620
99.84375 0.578 0.581 0.586 0.591 0.595 0.599 0.609
99.87500 0.572 0.575 0.579 0.583 0.586 0.589 0.597
99.90625 0.567 0.569 0.572 0.575 0.577 0.579 0.585
99.93750 0.561 5.52 0.562 4.93 0.564 4.24 0.566 3.70 0.568 3.38 0.570 3.13 0.573 2.60
99.96875 0.556 0.556 0.557 0.558 0.559 0.560 0.562
100.00000 0.550 0.550 0.550 0.550 0.550 0.550 0.550
100.03125 0.544 0.544 0.543 0.542 0.541 0.540 0.538
100.06250 0.539 0.538 0.536 0.534 0.532 0.531 0.527
100.09375 0.533 5.52 0.531 4.93 0.528 4.24 0.525 3.70 0.523 3.39 0.521 3.13 0.515 2.60
100.12500 0.528 0.525 0.521 0.517 0.514 0.511 0.503
100.15625 0.522 0.519 0.514 0.509 0.505 0.501 0.491
100.18750 0.517 0.513 0.507 0.501 0.496 0.492 0.480
100.21875 0.511 0.507 0.500 0.492 0.487 0.482 0.468
100.25000 0.506 5.52 0.501 4.93 0.493 4.24 0.484 3.70 0.478 3.39 0.472 3.13 0.456 2.60
100.28125 0.500 0.494 0.485 0.476 0.469 0.463 0.445
100.31250 0.495 0.488 0.478 0.468 0.460 0.453 0.433
100.34375 0.489 0.482 0.471 0.460 0.451 0.443 0.421
100.37500 0.484 0.476 0.464 0.451 0.442 0.433 0.410
100.40625 0.478 5.53 0.470 4.93 0.457 4.25 0.443 3.70 0.433 3.39 0.424 3.13 0.398 2.60
100.43750 0.473 0.464 0.450 0.435 0.424 0.414 0.386
100.46875 0.467 0.458 0.443 0.427 0.415 0.404 0.375
100.50000 0.462 0.451 0.435 0.419 0.406 0.395 0.363
100.53125 0.457 0.445 0.428 0.410 0.398 0.385 0.351
Average
Life : 7.01 6.09 5.09 4.34 3.92 3.59 2.92
First Pay: 7.01 6.09 5.09 4.34 3.92 3.59 2.92
Last Pay : 7.01 6.09 5.09 4.34 3.92 3.59 2.92
Collateral
Loss : 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Agg. Bond
Loss : 0.00 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
Notes: All yields and durations are based on MONTHLY payments of interest
with an interest free delay of 0 days. Duration, First Pay, Average
Life, and Maturity are stated in years reflecting a 6/25/97 settlement
date.
_______________________________________________________________________________
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 and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, 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 or the underlying assets, the
information contained in the Offering Document).
<PAGE>
MERIT 9 - FOR 8K
-------Discount Margin Table-------
Lehman Brothers Page 2
Bond Class A2 6.237 Initial Coupon
Current Balance $121,000,000.00
1.00 * 1MLIB + 0.55, 10.00 Cap, 0.55 Floor
Index Type: 1MLIB Initial Value: 5.688
<TABLE>
<CAPTION>
10% CPR 15% CPR 18% CPR 21% CPR 23% CPR 25% CPR 30% CPR
-------------- -------------- -------------- --------------- -------------- -------------- --------------
1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750
-------------- -------------- -------------- --------------- -------------- -------------- --------------
PRICE Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur
- --------- --------- ---- --------- ---- --------- ---- --------- ---- --------- ---- --------- ---- --------- ----
<S> <C>
99.46875 0.809 9.29 0.788 7.42 0.805 6.53 0.820 5.78 0.831 5.35 0.840 4.97 0.864 4.18
99.50000 0.805 0.784 0.800 0.815 0.825 0.834 0.856
99.53125 0.802 0.780 0.795 0.809 0.819 0.828 0.849
99.56250 0.799 0.776 0.791 0.804 0.814 0.821 0.842
99.59375 0.796 0.772 0.786 0.799 0.808 0.815 0.834
99.62500 0.792 9.29 0.768 7.43 0.781 6.53 0.794 5.78 0.802 5.35 0.809 4.97 0.827 4.18
99.65625 0.789 0.764 0.777 0.788 0.797 0.803 0.820
99.68750 0.786 0.759 0.772 0.783 0.791 0.797 0.813
99.71875 0.782 0.755 0.767 0.778 0.785 0.791 0.805
99.75000 0.779 0.751 0.763 0.772 0.779 0.785 0.798
99.78125 0.776 9.30 0.747 7.43 0.758 6.53 0.767 5.78 0.774 5.35 0.778 4.97 0.791 4.18
99.81250 0.773 0.743 0.753 0.762 0.768 0.772 0.783
99.84375 0.769 0.739 0.749 0.757 0.762 0.766 0.776
99.87500 0.766 0.735 0.744 0.751 0.757 0.760 0.769
99.90625 0.763 0.731 0.739 0.746 0.751 0.754 0.762
99.93750 0.759 9.30 0.727 7.43 0.735 6.53 0.741 5.78 0.745 5.35 0.748 4.97 0.754 4.19
99.96875 0.756 0.723 0.730 0.736 0.740 0.742 0.747
100.00000 0.753 0.718 0.725 0.730 0.734 0.736 0.740
100.03125 0.750 0.714 0.721 0.725 0.728 0.729 0.733
100.06250 0.746 0.710 0.716 0.720 0.723 0.723 0.725
100.09375 0.743 9.31 0.706 7.44 0.711 6.54 0.715 5.79 0.717 5.35 0.717 4.97 0.718 4.19
100.12500 0.740 0.702 0.707 0.709 0.711 0.711 0.711
100.15625 0.737 0.698 0.702 0.704 0.706 0.705 0.703
100.18750 0.733 0.694 0.697 0.699 0.700 0.699 0.696
100.21875 0.730 0.690 0.693 0.694 0.694 0.693 0.689
100.25000 0.727 9.31 0.686 7.44 0.688 6.54 0.688 5.79 0.689 5.36 0.687 4.98 0.682 4.19
100.28125 0.724 0.682 0.684 0.683 0.683 0.681 0.674
100.31250 0.720 0.678 0.679 0.678 0.677 0.674 0.667
100.34375 0.717 0.674 0.674 0.673 0.672 0.668 0.660
100.37500 0.714 0.669 0.670 0.667 0.666 0.662 0.653
100.40625 0.711 9.32 0.665 7.44 0.665 6.54 0.662 5.79 0.660 5.36 0.656 4.98 0.646 4.19
100.43750 0.707 0.661 0.660 0.657 0.655 0.650 0.638
100.46875 0.704 0.657 0.656 0.652 0.649 0.644 0.631
100.50000 0.701 0.653 0.651 0.646 0.643 0.638 0.624
100.53125 0.698 0.649 0.646 0.641 0.638 0.632 0.617
Average
Life : 14.73 10.47 8.77 7.48 6.79 6.20 5.04
First Pay: 12.34 8.59 7.17 6.09 5.51 5.01 4.09
Last Pay : 17.59 12.76 10.76 9.26 8.43 7.67 6.26
Collateral
Loss : 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Agg. Bond
Loss: 0.00 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 0 days.
Duration, First Pay, Average Life, and Maturity are stated in years
reflecting a 6/25/97 settlement date.
- -------------------------------------------------------------------------------
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 and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, 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 or the underlying assets, the
information contained in the Offering Document).
<PAGE>
MERIT 9 - FOR 8K - TO 35% CALL
-------Discount Margin Table-------
Lehman Brothers Page 3
Bond Class B2 6.688 Initial Coupon
Current Balance $15,298,000.00
1.00 * 1MLIB + 1.00, 11.00 Cap, 1.75 Floor
Index Type: 1MLIB Initial Value: 5.688
<TABLE>
<CAPTION>
10% CPR 15% CPR 18% CPR 21% CPR 23% CPR 25% CPR 30% CPR
-------------- -------------- -------------- --------------- -------------- -------------- --------------
1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750
-------------- -------------- -------------- --------------- -------------- -------------- --------------
PRICE Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur
- --------- --------- ---- --------- ---- --------- ---- --------- ---- --------- ---- --------- ---- --------- ----
<S> <C>
99.46875 1.095 5.42 1.107 4.85 1.124 4.18 1.142 3.65 1.155 3.35 1.167 3.09 1.201 2.57
99.50000 1.090 1.100 1.116 1.133 1.146 1.157 1.189
99.53125 1.084 1.094 1.109 1.125 1.136 1.148 1.177
99.56250 1.079 1.088 1.102 1.117 1.127 1.138 1.166
99.59375 1.073 1.082 1.095 1.108 1.118 1.128 1.154
99.62500 1.067 5.43 1.075 4.85 1.087 4.18 1.100 3.65 1.109 3.35 1.118 3.10 1.142 2.58
99.65625 1.062 1.069 1.080 1.092 1.100 1.108 1.130
99.68750 1.056 1.063 1.073 1.083 1.091 1.098 1.118
99.71875 1.050 1.056 1.065 1.075 1.082 1.088 1.106
99.75000 1.045 1.050 1.058 1.067 1.073 1.079 1.094
99.78125 1.039 5.43 1.044 4.85 1.051 4.19 1.058 3.65 1.064 3.35 1.069 3.10 1.083 2.58
99.81250 1.034 1.038 1.044 1.050 1.055 1.059 1.071
99.84375 1.028 1.031 1.036 1.042 1.045 1.049 1.059
99.87500 1.022 1.025 1.029 1.033 1.036 1.039 1.047
99.90625 1.017 1.019 1.022 1.025 1.027 1.029 1.035
99.93750 1.011 5.43 1.013 4.85 1.015 4.19 1.017 3.66 1.018 3.35 1.020 3.10 1.024 2.58
99.96875 1.006 1.006 1.007 1.008 1.009 1.010 1.012
100.00000 1.000 1.000 1.000 1.000 1.000 1.000 1.000
100.03125 0.994 0.994 0.993 0.992 0.991 0.990 0.988
100.06250 0.989 0.987 0.985 0.983 0.982 0.980 0.976
100.09375 0.983 5.43 0.981 4.86 0.978 4.19 0.975 3.66 0.973 3.35 0.971 3.10 0.965 2.58
100.12500 0.978 0.975 0.971 0.967 0.964 0.961 0.953
100.15625 0.972 0.969 0.964 0.958 0.955 0.951 0.941
100.18750 0.966 0.962 0.956 0.950 0.946 0.941 0.929
100.21875 0.961 0.956 0.949 0.942 0.937 0.931 0.918
100.25000 0.955 5.43 0.950 4.86 0.942 4.19 0.934 3.66 0.928 3.35 0.922 3.10 0.906 2.58
100.28125 0.950 0.944 0.935 0.925 0.918 0.912 0.894
100.31250 0.944 0.938 0.928 0.917 0.909 0.902 0.882
100.34375 0.939 0.931 0.920 0.909 0.900 0.892 0.871
100.37500 0.933 0.925 0.913 0.900 0.891 0.883 0.859
100.40625 0.927 5.44 0.919 4.86 0.906 4.19 0.892 3.66 0.882 3.35 0.873 3.10 0.847 2.58
100.43750 0.922 0.913 0.899 0.884 0.873 0.863 0.835
100.46875 0.916 0.906 0.891 0.876 0.864 0.853 0.824
100.50000 0.911 0.900 0.884 0.867 0.855 0.843 0.812
100.53125 0.905 0.894 0.877 0.859 0.846 0.834 0.800
Average
Life : 7.01 6.09 5.09 4.34 3.92 3.59 2.92
First Pay: 7.01 6.09 5.09 4.34 3.92 3.59 2.92
Last Pay : 7.01 6.09 5.09 4.34 3.92 3.59 2.92
Collateral
Loss : 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Agg. Bond
Loss: 0.00 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 0 days.
Duration, First Pay, Average Life, and Maturity are stated in years
reflecting a 6/25/97 settlement date.
- -------------------------------------------------------------------------------
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 and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, 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 or the underlying assets, the
information contained in the Offering Document).
<PAGE>
MERIT 9 - FOR 8K
-------Discount Margin Table-------
Lehman Brothers Page 3
Bond Class B2 6.688 Initial Coupon
Current Balance $15,298,000.00
1.00 * 1MLIB + 1.00, 11.00 Cap, 1.75 Floor
Index Type: 1MLIB Initial Value: 5.688
<TABLE>
<CAPTION>
10% CPR 15% CPR 18% CPR 21% CPR 23% CPR 25% CPR 30% CPR
-------------- -------------- -------------- --------------- -------------- -------------- --------------
1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750 1MLIB: 5.68750
-------------- -------------- -------------- --------------- -------------- -------------- --------------
PRICE Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur
- --------- --------- ---- --------- ---- --------- ---- --------- ---- --------- ---- --------- ---- --------- ----
<S> <C>
99.46875 1.310 11.61 1.322 10.72 1.343 10.03 1.360 9.33 1.370 8.87 1.378 8.43 1.397 7.44
99.50000 1.308 1.319 1.340 1.356 1.366 1.374 1.392
99.53125 1.305 1.316 1.337 1.353 1.363 1.371 1.388
99.56250 1.303 1.313 1.334 1.350 1.359 1.367 1.384
99.59375 1.300 1.310 1.331 1.347 1.356 1.364 1.380
99.62500 1.297 11.62 1.308 10.73 1.328 10.04 1.343 9.33 1.353 8.88 1.360 8.44 1.376 7.44
99.65625 1.295 1.305 1.325 1.340 1.349 1.356 1.372
99.68750 1.292 1.302 1.322 1.337 1.346 1.353 1.368
99.71875 1.290 1.299 1.319 1.333 1.342 1.349 1.364
99.75000 1.287 1.296 1.316 1.330 1.339 1.345 1.360
99.78125 1.284 11.63 1.293 10.74 1.313 10.04 1.327 9.34 1.335 8.88 1.342 8.44 1.356 7.44
99.81250 1.282 1.291 1.310 1.324 1.332 1.338 1.352
99.84375 1.279 1.288 1.307 1.320 1.329 1.335 1.347
99.87500 1.276 1.285 1.304 1.317 1.325 1.331 1.343
99.90625 1.274 1.282 1.300 1.314 1.322 1.327 1.339
99.93750 1.271 11.64 1.279 10.74 1.297 10.05 1.311 9.34 1.318 8.89 1.324 8.45 1.335 7.45
99.96875 1.269 1.276 1.294 1.307 1.315 1.320 1.331
100.00000 1.266 1.274 1.291 1.304 1.311 1.317 1.327
100.03125 1.263 1.271 1.288 1.301 1.308 1.313 1.323
100.06250 1.261 1.268 1.285 1.298 1.305 1.309 1.319
100.09375 1.258 11.65 1.265 10.75 1.282 10.06 1.294 9.35 1.301 8.89 1.306 8.45 1.315 7.45
100.12500 1.256 1.262 1.279 1.291 1.298 1.302 1.311
100.15625 1.253 1.259 1.276 1.288 1.294 1.299 1.307
100.18750 1.250 1.257 1.273 1.285 1.291 1.295 1.303
100.21875 1.248 1.254 1.270 1.281 1.288 1.292 1.299
100.25000 1.245 11.66 1.251 10.76 1.267 10.06 1.278 9.35 1.284 8.90 1.288 8.46 1.295 7.46
100.28125 1.243 1.248 1.264 1.275 1.281 1.284 1.290
100.31250 1.240 1.245 1.261 1.272 1.277 1.281 1.286
100.34375 1.237 1.243 1.258 1.269 1.274 1.277 1.282
100.37500 1.235 1.240 1.255 1.265 1.271 1.274 1.278
100.40625 1.232 11.67 1.237 10.77 1.252 10.07 1.262 9.36 1.267 8.90 1.270 8.46 1.274 7.46
100.43750 1.230 1.234 1.249 1.259 1.264 1.267 1.270
100.46875 1.227 1.231 1.246 1.256 1.260 1.263 1.266
100.50000 1.224 1.229 1.243 1.252 1.257 1.259 1.262
100.53125 1.222 1.226 1.240 1.249 1.254 1.256 1.258
Average
Life : 24.94 20.67 18.08 15.80 14.48 13.32 10.96
First Pay: 23.76 19.18 16.59 14.43 13.18 12.09 9.93
Last Pay : 26.34 22.51 20.01 17.59 16.18 14.93 12.34
Collateral
Loss : 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Agg. Bond
Loss : 0.00 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 0 days.
Duration, First Pay, Average Life, and Maturity are stated in years
reflecting a 6/25/97 settlement date.
- -------------------------------------------------------------------------------
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 and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, 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 or the underlying assets, the
information contained in the Offering Document).
