EX-99.1 3 y94697exv99w1.txt COMPUTATIONAL MATERIALS [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 ABS NEW TRANSACTION COMPUTATIONAL MATERIALS $525,000,000 (APPROXIMATE) SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2004-BC1 [SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE LOGO] LITTON LOAN SERVICING, L.P. SERVICER J.P. MORGAN CHASE BANK TRUSTEE FEBRUARY 25, 2004 -------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 1 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 The attached tables and other statistical analyses (the "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. None of Merrill Lynch, the issuer of the securities nor any of their 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 The information herein is preliminary, and will be superseded by the applicable Prospectus Supplement and by any other information subsequently filed with the Securities and Exchange Commission. The information herein may not be provided by the addressees to any third party other than the addressee's legal, tax, financial and/or accounting advisors for the purposes of evaluating said material. 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 shortfall. The specific characteristics of the securities may differ from those shown in the Computational Materials due to differences between the actual underlying assets and the hypothetical assets used in preparing the Computational Materials. The principal amount and designation of any security described in the Computational Materials are subject to change prior to issuance. Although a registration statement (including the prospectus) relating to the securities discussed in this communication has been filed with the Securities and Exchange Commission and is effective, the final prospectus supplement relating to the securities discussed in this communication has not been filed with the Securities and Exchange Commission. This communication shall not constitute an offer to sell or the solicitation of any offer to buy nor shall there be any sale of the securities discussed in this communication in any state in which such offer, solicitation or sale would be unlawful prior to registration or qualification under the securities laws of any such state. Prospective purchasers are referred to the final prospectus and prospectus supplement relating to the securities discussed in this communication for definitive information 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 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 risk. 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. -------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 2 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 TERM SHEET FEBRUARY 25, 2004 SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2004-BC1 $525,000,000 (APPROXIMATE) SUBJECT TO REVISION
PRINCIPAL EXPECTED WAL (YRS) WINDOW EXPECTED STATED RATINGS APPROX (CALL(4)/ (CALL(4)/ PAYMENT INTEREST FINAL FINAL (MOODY'S CLASS SIZE ($) COUPON MATURITY) MATURITY) DELAY ACCRUAL MATURITY (4) MATURITY (5) /S&P) ------------------------------------------------------------------------------------------------------------------------------------ CLASS A-1A 215,128,000 Information not provided hereby [Aaa/AAA] CLASS A-1B 11,322,000 LIBOR + [ ] 5.53 / 6.14 46 - 80 / 46 - 145 0 Actual/360 11/2010 2/2035 [Aa1/AAA] (1), (2) CLASS A-2 206,675,000 LIBOR + [ ] 2.37 / 2.72 1 - 80 / 1 - 196 0 Actual/360 11/2010 2/2035 [Aaa/AAA] (1), (2) CLASS X (6) Notional 2.00% N/A N/A 24 30/360 N/A 2/2035 [Aaa/AAA] 4.68 / 5.22 41 - 80 / 41 - 158 0 Actual/360 11/2010 2/2035 CLASS M-1 34,125,000 LIBOR + [ ] 4.68 / 5.22 41 - 80 / 41 - 158 0 Actual/360 11/2010 2/2035 [Aa2/AA] (1), (3) CLASS M-2 27,563,000 LIBOR + [ ] 4.57 / 5.03 39 - 80 / 39 - 141 0 Actual/360 11/2010 2/2035 [A2/A] (1), (3) CLASS M-3 9,188,000 LIBOR + [ ] 4.52 / 4.89 38 - 80 / 38 - 118 0 Actual/360 11/2010 2/2035 [A3/A-] (1), (3) CLASS B-1 14,438,000 LIBOR + [ ] 4.50 / 4.69 37 - 80 / 37 - 107 0 Actual/360 11/2010 2/2035 [Baa2/BBB] (1), (3) CLASS B-2 6,561,000 LIBOR + [ ] 4.16 / 4.16 37 - 77 / 37 - 77 0 Actual/360 08/2010 2/2035 [Baa3/BBB-] (1), (3) TOTAL OFFERED: 525,000,000
1) Subject to the Available Funds Cap and the Maximum Rate Cap. 2) If the 10% cleanup call is not exercised on the first Distribution Date on which it is exercisable, the margin on each of the Class A-1A, Class A-1B and Class A-2 Certificates will increase to 2x its margin on the following Distribution Date. 3) If the 10% cleanup call is not exercised on the first Distribution Date on which it is exercisable, the margin on each of the Class M-1, Class M-2, Class M-3, Class B-1, and Class B-2 Certificates will increase to 1.5x its respective margins on the following Distribution Date. 4) The Certificates will be priced at 20% HEP for the fixed rate collateral and at 100% PPC (2% CPR in month 1, building linearly (rounded to the nearest hundredth) to 30% CPR in month 12, remaining at 30% CPR until month 22, 50% CPR, from month 23 to month 27, and 35% CPR in month 28 and thereafter) for the adjustable rate collateral. Assumes 10% call. 5) Assumes latest maturity date of Mortgage Loans plus one year 6) The Class X Certificates will be interest-only certificates and will not receive any principal payments, but will accrue interest on the Class X notional balance, which with respect to any of the first thirty Distribution Dates, will equal the lesser of (i) the amount specified on the Class X Notional Balance Schedule and (ii) the aggregate stated principal balance of the Mortgage Loans on such Distribution Date, and thereafter zero. -------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 3 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 CONTACTS MBS/ABS TRADING/SYNDICATE Scott Soltas 212-449-3659 scott_soltas@ml.com Charles Sorrentino 212-449-3659 charles_sorrentino@ml.com GLOBAL ASSET BACKED FINANCE Matt Whalen 212-449-0752 matthew_whalen@ml.com Paul Park 212-449-6380 paul_park@ml.com Ted Bouloukos 212-449-5029 ted_bouloukos@ml.com Fred Hubert 212-449-5071 fred_hubert@ml.com Alan Chan 212-449-8140 alan_chan@ml.com Alice Chang 212-449-1701 alice_chang@ml.com Sonia Lee 212-449-5067 sonia_lee@ml.com Amanda DeZutter 212-449-0425 amanda_dezutter@ml.com ABS RESEARCH Glenn Costello 212-449-4457 glenn_costello@ml.com -------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 4 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 TITLE OF OFFERED Specialty Underwriting & Residential Finance CERTIFICATES ("SURF"), Mortgage Loan Asset-Backed Certificates, Series 2004-BC1, consisting of: Class A-1A and Class A-1B Certificates (collectively, the "Class A-1 Certificates") Class A-2 Certificates (together, with the Class A-1 Certificates, the "Class A Certificates"), Class X Certificates (together, with the Class A Certificates, the "Senior Certificates"), Class M-1, Class M-2 and Class M-3 Certificates (collectively, the "Class M Certificates"), Class B-1 and Class B-2 Certificates (collectively, the "Class B Certificates") UNDERWRITERS Merrill Lynch, Pierce, Fenner & Smith Incorporated, and Countrywide Securities Corporation DEPOSITOR Merrill Lynch Mortgage Investors, Inc. SELLER Merrill Lynch Mortgage Capital Inc. SERVICER Litton Loan Servicing, LP TRUSTEE J.P. Morgan Chase Bank LOSS MITIGATION ADVISOR The Murrayhill Company CUT-OFF DATE March 1, 2004 PRICING DATE On or about February 27, 2004 CLOSING DATE On or about March 30, 2004 DISTRIBUTION DATES Distribution of principal and interest on the certificates will be made on the 25th day of each month or, if such day is not a business day, on the first business day thereafter, commencing in April 2004. ERISA CONSIDERATIONS The offered certificates will be ERISA eligible as of the Closing Date. However, investors should consult with their counsel with respect to the consequences under ERISA and the Internal Revenue Code of an ERISA Plan's acquisition and ownership of such Certificates. LEGAL INVESTMENT The offered certificates will not constitute "mortgage-related securities" for the purposes of SMMEA. TAX STATUS For federal income tax purposes, the Trust Fund will include two or more segregated asset pools, with respect to which elections will be made to treat each as a "real estate mortgage investment conduit" ("REMIC"). -------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 5 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 OPTIONAL TERMINATION The Trustee will attempt to terminate the trust when the aggregate stated principal balance of the Mortgage Loans is less than or equal to 10% of the aggregate stated principal balance of the Mortgage Loans as of the Cut-Off Date. The termination will be effected by auctioning the remaining trust assets via a solicitation of bids from at least three bidders. Any such termination will occur only if the highest bid received is at least equal to the sum of (i) the aggregate outstanding stated principal balance of the Mortgage Loans, plus accrued interest thereon, (ii) any unreimbursed out-of-pocket costs and expenses and the principal portion of Advances, in each case previously incurred by the Servicer in the performance of its servicing obligations or by the Trustee in the performance of its obligations, including conducting the auction and (iii) certain other amounts specified in the prospectus supplement. MORTGAGE LOANS The mortgage pool will consist of fixed rate and adjustable rate, first and second lien, sub-prime mortgage loans ("Mortgage Loans") having an aggregate stated principal balance as of the Cut-Off Date of approximately $525,000,000 originated under the SURF program and will be serviced by Litton Loan Servicing, L.P. TOTAL DEAL SIZE Approximately $525,000,000 ADMINISTRATIVE FEES The Servicer, Trustee and Loss Mitigation Advisor will be paid fees aggregating approximately 51.50 bps per annum (payable monthly) on the stated principal balance of the Mortgage Loans. CREDIT ENHANCEMENTS 1. Excess interest 2. Over-Collateralization 3. Subordination EXCESS INTEREST Excess interest cashflow will be available as credit enhancement. OVER-COLLATERALIZATION The over-collateralization ("O/C") amount is equal to the excess of the aggregate principal balance of the Mortgage Loans over the aggregate principal balance of the Offered Certificates. On the Closing Date, the O/C amount will equal approximately 0.00% of the aggregate principal balance of the Mortgage Loans. The trust fund will apply some or all of the Excess Interest as principal payments on the senior certificates (commencing with the distribution date in [October 2004]) until the O/C target is reached, resulting in a limited acceleration of principal of the certificates relative to the mortgage loans. Once the O/C target amount is reached, the acceleration feature will cease, unless it becomes necessary again to maintain the O/C target amount (i.e., 1.05% of the aggregate principal balance of the Mortgage Loans as of the Closing Date). Initial: 0.00% of original balance Target: 1.05% of original balance before stepdown, 2.10% of currrent balance after stepdown Floor: 0.50% of original balance
SUBORDINATION: CLASSES RATING (M/S) SUBORDINATION (1) ------- ------------ ----------------- (1) includes OC target Class A [Aaa/AAA] 18.55% Class M-1 [Aa2AA] 12.05% Class M-2 [A2/A] 6.80% Class M-3 [A3/A-] 5.05% Class B-1 [Baa2/BBB] 2.30% Class B-2 [Baa3/BBB-] 1.05%
-------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 6 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1
CLASS SIZES: CLASSES RATING (M/S) CLASS SIZES ------- ------------ ----------- Class A [Aaa/AAA] 82.50% Class M-1 [Aa2AA] 6.50% Class M-2 [A2/A] 5.25% Class M-3 [A3/A-] 1.75% Class B-1 [Baa2/BBB] 2.75% Class B-2 [Baa3/BBB-] 1.25%
INTEREST ACCRUAL For the Offered Certificates (except the Class X Certificates), interest will initially accrue from the Closing Date to (but excluding) the first Distribution Date, and thereafter, from the prior Distribution Date to (but excluding) the current Distribution Date. For the Class X Certificates, interest will accrue during the calendar month prior to the current Distribution Date. COUPON STEP UP If the optional termination of the Certificates does not occur on the first distribution date on which it can occur, (i) the margins on the Class A-1A, Class A-1B and Class A-2 Certificates will increase to 2x their respective margins, and (ii) the margins on the Class M-1, Class M-2, Class M-3, Class B-1, and Class B-2 Certificates will increase to 1.5x their respective margins, in both cases on the following Distribution Dates. AVAILABLE FUNDS CAP The pass-through rates of the Class A-1A, Class A-1B, Class A-2, Class M-1, Class M-2, Class M-3, Class B-1, and Class B-2 Certificates on any Distribution Date will be subject to the "Available Funds Cap" which is a per annum rate equal to (A) 12 times the quotient of (x) the total scheduled interest based on the Net Mortgage Rates in effect on the related due date less interest due on the Class X Certificates on such Distribution Date, divided by (y) the aggregate principal balance of the Offered Certificates as of the first day of the applicable accrual period multiplied by 30 and divided by the actual number of days in the related accrual period. Such reimbursement will be paid only on a subordinated basis. "Net Mortgage Rate" means, with respect to any mortgage loan the mortgage rate on such mortgage loan less the administrative fees. CAP CONTRACT The trust fund will own a one-month LIBOR cap contract purchased for the benefit of the Certificates. The trust fund will receive a payment under the cap contract with respect to any Distribution Date on which one-month LIBOR exceeds the lower collar with respect to such Distribution Date shown in the table appearing on page 28. Payments received on the cap contract will be available to pay interest to the holders of the Certificates, up to the amount of interest shortfalls on such certificates to the extent attributable to rates in excess of the Available Funds Cap, as described herein (except to the extent attributable to the fact that Realized Losses are not allocated to the Class A Certificates after the Class M and Class B Certificates have been written down to zero). MAXIMUM RATE CAP The pass-through rate of the Class A-1A, Class A-1B, Class A-2, Class M-1, Class M-2, Class M-3, Class B-1, and Class B-2 Certificates will also be subject to the "Maximum Rate Cap", which is a per annum rate equal to the product of (i) the weighted average of the net maximum lifetime mortgage rates on the adjustable rate mortgage loans and Net Mortgage Rates on the fixed rate mortgage loans, less the pass-through rate on the Class X Certificates on such Distribution Date and (ii) a fraction, the numerator of which is 30 and the denominator of which is the number of days in the related accrual period. Any interest shortfall due to the Maximum Rate Cap will not be reimbursed. -------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 7 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 SHORTFALL REIMBURSEMENT If on any Distribution Date the pass-through rate is limited by the Available Funds Cap, the amount of such interest that would have been distributed if the pass-through rate had not been so limited by the Available Funds Cap, up to but not exceeding the greater of (i) the Maximum Rate Cap and (ii) the lesser of (A) One Month LIBOR and (B) 9.00% per annum (which is the rate shown under the heading, "1ML Strike, Upper Collar" in the table entitled "One Month LIBOR Cap Table" shown on page 28), and the aggregate of such shortfalls from previous Distribution Dates together with accrued interest at the pass-through rate will be carried over to the next Distribution Date until paid (herein referred to as "Carryover"). Such reimbursement will be paid only on a subordinated basis, as described below in the "Cashflow Priority" section. No such Carryover will be paid once the Certificate principal balance has been reduced to zero. CASHFLOW PRIORITY 1. Repayment of any unreimbursed Servicer advances. 2. Servicing Fees and Loss Mitigation Advisor Fees. 3. Available interest funds, as follows: monthly interest, including any unpaid monthly interest from prior months, concurrently, to each class of the Class A Certificates and the Class X Certificates, then monthly interest, including any unpaid monthly interest from prior months, to the Class M-1 Certificates, then to the Class M-2 Certificates, then to the Class M-3 Certificates, then to the Class B-1 Certificates, and then to the Class B-2 Certificates. 4. Available principal funds, as follows: monthly principal to the Class A Certificates as described under "PRINCIPAL PAYDOWN", then monthly principal to the Class M-1 Certificates, then monthly principal to the Class M-2 Certificates, then monthly principal to the Class M-3 Certificates, then monthly principal to the Class B-1 Certificates and then monthly principal to the Class B-2 Certificates, in each case as described under "PRINCIPAL PAYDOWN." 5. Excess interest in the order as described under "PRINCIPAL PAYDOWN" if necessary to restore O/C to the required level. 6. Excess interest to pay subordinate principal shortfalls. 7. Excess interest to pay Carryover resulting from imposition of the Available Funds Cap. 8. Any remaining amount will be paid in accordance with the Pooling and Servicing Agreement and will not be available for payment to holders of the offered certificates. Payments received on the Cap Contract will only be available to the Certificates to pay amounts in respect of Carryovers other than any Carryovers resulting from the fact that realized losses are not allocated to the Class A Certificates after the Class M and Class B Certificates have been written down to zero. Any excess of amounts received on the Cap Contract over amounts needed to pay such Carryovers on the Certificates will be distributed in respect of other classes of certificates not described herein. -------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 8 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 PRINCIPAL PAYDOWN IF THE SUBORDINATE CLASS PRINCIPAL DISTRIBUTION TEST IS NOT MET: All scheduled and unscheduled principal received from the Mortgage Loans plus excess spread (commencing with the Distribution Date in October 2004) to the extent distributable as principal to replenish O/C to the required level will be paid to the Class A Certificates, as follows: 1) The Group A Principal Distribution Percentage of (i) scheduled and unscheduled principal received from the Mortgage Loans and (ii) excess spread to the extent distributable as principal to replenish O/C to the required level will be paid to the Class A-1 Certificates. 2) The Group B Principal Distribution Percentage of (i) scheduled and unscheduled principal received from the Mortgage Loans and (ii) excess spread to the extent distributable as principal to replenish O/C to the required level will be paid to the Class A-2 Certificates. "Group A Principal Distribution Percentage" means with respect to any Distribution Date, the fraction expressed as a percentage, the numerator of which is the amount of scheduled and unscheduled principal received with respect to Group A mortgage loans and distributable on such Distribution Date, and the denominator of which is the amount of scheduled and unscheduled principal received from the Mortgage Loans and distributable on such Distribution Date. "Group B Principal Distribution Percentage" means with respect to any Distribution Date, the fraction expressed as a percentage, the numerator of which is the amount of scheduled and unscheduled principal received with respect to Group B mortgage loans and distributable on such Distribution Date, and the denominator of which is the amount of scheduled and unscheduled principal received from Mortgage Loans and distributable on such Distribution Date. For the first 36 Distribution Dates, any principal distributions allocated to the Class A-1 Certificates will be distributed sequentially, first to the Class A-1A Certificates, until their Class Certificate Balance has been reduced to zero, and then to the Class A-1B Certificates, until their Class Certificate Balance has been reduced to zero. Beginning on the 37th Distribution Date, principal distributions allocated to the Class A-1 Certificates will be distributed pro rata between the Class A-1A and Class A-1B Certificates, or if the Certificate Principal Balance of the Class A-1A Certificates has been reduced to zero, solely to the Class A-1B Certificates. Notwithstanding the foregoing, at any time in the event that a Trigger Event is in effect, principal distributions to the Class A-1 Certificates will be allocated first to the Class A-1A Certificates, until their Class Certificate Balance has been reduced to zero, and then to the Class A-1B Certificates, until their Class Certificate Balance has been reduced to zero. After the Certificate principal balance of either the Class A-1 or Class A-2 Certificates has been reduced to zero, the amounts referred to in (1) or (2) above, as applicable, will be distributed to the remaining Class A Certificates (i.e., whichever such class remains outstanding) as the case may be. After the aggregate Certificate principal balance of the Class A-1 and Class A-2 Certificates has been reduced to zero, the amounts referred to in (1) and (2) above will be distributed sequentially to the Class M-1, Class M-2, Class M-3, Class B-1, and Class B-2 Certificates. -------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 9 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 IF THE SUBORDINATE CLASS PRINCIPAL DISTRIBUTION TEST IS MET: All Certificates will be entitled to receive payments of principal, in the following order of priority: first to the Class A Certificates (allocated between the Class A-1 and Class A-2 Certificates as described immediately above), second to the Class M-1 Certificates, third to the Class M-2 Certificates, fourth to the Class M-3 Certificates, fifth to the Class B-1 Certificates, and sixth to the Class B-2 Certificates, in each case up to amounts necessary to maintain the subordination for each class at its required level. Such required levels of subordination are as follows: CLASS A 37.10% CLASS M-1 24.10% CLASS M-2 13.60% CLASS M-3 10.10% CLASS B-1 4.60% CLASS B-2 2.10% THE SUBORDINATE CLASS PRINCIPAL DISTRIBUTION TEST IS MET IF: i) The Distribution Date is on or after the April 2007 Distribution Date; and ii) The Subordinate Class Principal Distribution Date has occurred (as described below); and iii) A Step Down Loss Trigger Event does not exist. SUBORDINATE CLASS The first Distribution Date on which the Senior PRINCIPAL Enhancement Percentage (i.e., the sum of the outstanding DISTRIBUTION DATE principal balance of the subordinate Certificates and the O/C amount divided by the aggregate stated principal balance of the Mortgage Loans) is greater than or equal to the Senior Specified Enhancement Percentage (including O/C), which is equal to two times the initial AAA subordination percentage. SENIOR SPECIFIED ENHANCEMENT PERCENTAGE: 37.10% or (17.50%+1.05%)*2 STEP DOWN LOSS The situation that exists with respect to any TRIGGER EVENT Distribution Date after the Stepdown Date, if (a) the all Mortgage Loans 60 or more days delinquent, measured on a rolling three month basis (including Mortgage Loans in foreclosure and REO Properties) and (2) the Stated Principal Balance of all the Mortgage Loans as of the preceding Servicer Remittance Date, equals or exceeds the product of (i) [TBD%] and (ii) the Required Percentage or (b) the quotient (expressed as a percentage)of (1) the aggregate Realized Losses incurred from the Cut-off Date through the last day of the calendar month preceding such Distribution Date and (2) the aggregate principal balance of the Mortgage Loans as of the Cut-off Date exceeds the Required Loss Percentage. DISTRIBUTION DATE OCCURRING LOSS PERCENTAGE April 2007 - March 2008 [TBD%] with respect to April 2007, plus an additional 1/12th of [TBD%] for each month thereafter April 2008 - March 2009 [TBD%] with respect to April 2008, plus an additional 1/12th of [TBD%] for each month thereafter April 2009 - March 2010 [TBD%] with respect to April 2009, plus an additional 1/12th of [TBD%] for each month thereafter April 2010 and thereafter [TBD%] (PRELIMINARY AND SUBJECT TO REVISION) CLASS X NOTIONAL The Class X Notional Balance Schedule will be as set out BALANCE SCHEDULE herein. -------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 10 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 PROSPECTUS The Certificates will be offered pursuant to a Prospectus which includes a Prospectus Supplement (together, the "Prospectus"). Complete information with respect to the Certificates and the Mortgage Loans is contained in the Prospectus. The foregoing is qualified in its entirety by the information appearing in the Prospectus. To the extent that the foregoing is inconsistent with the Prospectus, the Prospectus shall govern in all respects. Sales of the Certificates may not be consummated unless the purchaser has received the Prospectus. MORTGAGE LOAN TABLES The following tables describe the mortgage loans and the related mortgaged properties as of the close of business on the Cut-off Date. The sum of the columns below may not equal the total indicated due to rounding. -------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 11 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 TOTAL MORTGAGE LOANS AS OF CUT-OFF DATE Aggregate Outstanding Principal Balance $530,614,219 Aggregate Original Principal Balance $531,329,106 Number of Mortgage Loans 3,394
MINIMUM MAXIMUM AVERAGE (1) ------- -------- ----------- Original Principal Balance $13,400 $582,250 $156,550 Outstanding Principal Balance $13,288 $582,250 $156,339
MINIMUM MAXIMUM WEIGHTED AVERAGE (2) ------- ------- -------------------- Original Term (mos) 120 360 352 Stated Remaining Term (mos) 115 359 348 Loan Age (mos) 1 8 3 Current Interest Rate 4.625% 13.250% 7.291% Initial Interest Rate Cap(4) 1.000% 6.000% 2.977% Periodic Rate Cap(4) 1.000% 1.500% 1.134% Gross Margin(4) 2.000% 10.980% 6.630% Maximum Mortgage Rate(4) 10.625% 18.900% 13.485% Minimum Mortgage Rate(4) 2.000% 11.900% 7.002% Months to Roll(4) 4 58 23 Original Loan-to-Value 19.80% 100.00% 81.55% Credit Score(3) 500 803 624
EARLIEST LATEST -------- ------ Maturity Dates 10/01/13 02/01/34
LIEN POSITION PERCENT OF MORTGAGE POOL ------------- ------------------------ 1st 97.84% 2nd 2.16
OCCUPANCY PERCENT OF MORTGAGE POOL --------- ------------------------ Primary 95.47% Second home 0.69 Investment 3.83
LOAN TYPE PERCENT OF MORTGAGE POOL --------- ------------------------ FRM 27.49% ARM 72.51
AMORTIZATION TYPE PERCENT OF MORTGAGE POOL ----------------- ------------------------ Non Interest-Only 93.39% Interest-Only 6.61
YEAR OF ORIGINATION PERCENT OF MORTGAGE POOL ------------------- ------------------------ 2003 99.70% 2004 0.30
LOAN PURPOSE PERCENT OF MORTGAGE POOL ------------ ------------------------ Purchase 29.52% Rate/Term Refinance 7.91 Cashout Refinance 62.57
PROPERTY TYPE PERCENT OF MORTGAGE POOL ------------- ------------------------ Single Family 79.94% Rowhouse 0.09 Townhouse 0.41 Condominium 4.93 Two-to Four-Family 3.38 Planned Unit Development 11.14 Manufactured Housing 0.10
(1) Sum of Principal Balance divided by total number of loans. (2) Weighted by Outstanding Principal Balance. (3) Minimum and Weighting only for loans with scores. (4) ARM loans only -------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 12 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 TOTAL MORTGAGE LOANS AS OF CUT-OFF DATE RANGE OF MORTGAGE RATES
WEIGHTED WEIGHTED NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL RANGE OF MORTGAGE RATES MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ---------------------------------------------------------------------------------------------------------------------------------- 6.500% or less 623 $126,863,296 23.91% 6.185% 651 $203,633 78.70% 56.53% 6.501% to 7.000% 706 135,330,449 25.50 6.844 628 191,686 80.69 53.39 7.001% to 7.500% 566 91,861,590 17.31 7.319 616 162,300 81.88 54.97 7.501% to 8.000% 606 90,802,030 17.11 7.809 605 149,838 82.98 53.42 8.001% to 8.500% 269 32,788,990 6.18 8.309 599 121,892 82.06 62.21 8.501% to 9.000% 222 25,829,115 4.87 8.776 597 116,347 84.89 64.28 9.001% to 9.500% 106 10,292,031 1.94 9.315 603 97,095 86.66 66.09 9.501% to 10.000% 84 6,098,645 1.15 9.797 593 72,603 84.53 61.95 10.001% to 10.500% 30 2,343,718 0.44 10.266 600 78,124 83.11 23.79 10.501% to 11.000% 69 3,445,738 0.65 10.792 664 49,938 97.96 17.17 11.001% to 11.500% 13 584,299 0.11 11.277 629 44,946 96.73 71.61 11.501% to 12.000% 45 2,268,843 0.43 11.946 659 50,419 97.26 16.51 12.001% to 12.500% 23 909,587 0.17 12.399 680 39,547 99.64 4.95 12.501% to 13.000% 31 1,172,510 0.22 12.864 666 37,823 100.00 5.05 13.001% to 13.500% 1 23,380 0.00 13.250 703 23,380 100.00 0.00 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,394 $530,614,219 100.00% 7.291% 624 $156,339 81.55% 55.14% ----------------------------------------------------------------------------------------------------------------------------------
As of the Cut-off Date, Mortgage Rates borne by the Mortgage Loans ranged from 4.625% per annum to 13.250% per annum and the weighted average Mortgage Rate of the Rate Mortgage Loans was approximately 7.291% per annum. RANGE OF REMAINING MONTHS TO STATED MATURITY
RANGE OF WEIGHTED WEIGHTED REMAINING MONTHS NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL TO STATED MATURITY MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ------------------------------------------------------------------------------------------------------------------------------- 109 to 120 7 $ 495,665 0.09% 7.361% 661 $ 70,809 77.76% 100.00% 169 to 180 283 18,247,664 3.44 9.058 647 64,479 86.37 47.60 229 to 240 87 7,183,101 1.35 8.808 624 82,564 84.54 53.28 289 to 300 4 435,425 0.08 7.841 585 108,856 72.74 100.00 349 to 360 3013 504,252,365 95.03 7.205 623 167,359 81.34 55.36 ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,394 $530,614,219 100.00% 7.291% 624 $156,339 81.55% 55.14% ------------------------------------------------------------------------------------------------------------------------------
As of the Cut-off Date, the remaining term to stated maturity of the Mortgage Loans ranged from 115 months to 359 months and the weighted average remaining term to stated maturity of the Mortgage Loans was approximately 348 months. RANGE OF ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCES
WEIGHTED WEIGHTED RANGE OF ORIGINAL MORTGAGE NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL LOAN PRINCIPAL BALANCES MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ------------------------------------------------------------------------------------------------------------------------------------ $50,000 or less 220 $ 8,171,772 1.54% 10.159% 640 $ 37,144 88.76% 47.59% $50,001 to $100,000 769 58,489,768 11.02 8.226 623 76,060 82.07 63.21 $100,001 to $150,000 927 114,696,610 21.62 7.441 618 123,729 80.83 60.19 $150,001 to $200,000 625 108,556,617 20.46 7.158 622 173,691 81.17 57.27 $200,001 to $250,000 362 81,059,979 15.28 7.027 624 223,923 80.58 47.98 $250,001 to $300,000 228 62,288,728 11.74 6.954 628 273,196 81.34 43.70 $300,001 to $350,000 118 38,071,297 7.17 6.936 631 322,638 82.56 48.39 $350,001 to $400,000 83 31,149,501 5.87 6.955 638 375,295 83.61 48.17 $400,001 to $450,000 36 15,312,631 2.89 6.853 617 425,351 83.50 72.14 $450,001 to $500,000 20 9,619,049 1.81 6.678 633 480,952 81.61 75.48 $500,001 to $550,000 5 2,616,017 0.49 6.635 584 523,203 78.39 80.38 $550,001 to $600,000 1 582,250 0.11 6.500 621 582,250 85.00 100.00 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,394 $530,614,219 100.00% 7.291% 624 $156,339 81.55% 55.14% -----------------------------------------------------------------------------------------------------------------------------------
As of the Cut-off Date, the outstanding principal balances of the Mortgage Loans ranged from approximately $13,288 to approximately $582,250 and the average outstanding principal balance of the Mortgage Loans was approximately $156,339 -------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 13 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 TOTAL MORTGAGE LOANS AS OF CUT-OFF DATE PRODUCT TYPES
WEIGHTED WEIGHTED NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL PRODUCT TYPES MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ----------------------------------------------------------------------------------------------------------------------------------- 15 Year Balloon Loans 196 $ 9,561,607 1.80% 10.561% 668 $ 48,784 99.25% 38.07% 10 to 14 Year Fixed Loans 7 495,665 0.09 7.361 661 70,809 77.76 100.00 15 to 19 Year Fixed Loans 87 8,686,057 1.64 7.404 625 99,840 72.19 58.08 20 to 24 Year Fixed Loans 87 7,183,101 1.35 8.808 624 82,564 84.54 53.28 25 to 29 Year Fixed Loans 4 435,425 0.08 7.841 585 108,856 72.74 100.00 30 Year Fixed Loans 758 119,512,958 22.52 7.345 631 157,669 79.74 64.08 Six-Month LIBOR Loans and 1/29 LIBOR Loans 3 378,834 0.07 7.551 622 126,278 84.40 51.08 2/28 LIBOR ARM 1,914 320,159,409 60.34 7.198 621 167,272 82.08 51.96 3/27 LIBOR ARM 329 61,824,776 11.65 7.004 613 187,917 80.67 55.59 5/25 LIBOR ARM 9 2,376,389 0.45 6.234 689 264,043 79.65 69.95 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,394 $530,614,219 100.00% 7.291% 624 $156,339 81.55% 55.14% ----------------------------------------------------------------------------------------------------------------------------------
STATE DISTRIBUTIONS OF MORTGAGED PROPERTIES
WEIGHTED WEIGHTED STATE DISTRIBUTIONS NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL OF MORTGAGED PROPERTIES MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC -------------------------------------------------------------------------------------------------------------------------------- Alabama 45 $ 4,035,418 0.76% 8.115% 616 $ 89,676 84.97% 81.16% Arizona 69 9,564,570 1.80 7.218 639 138,617 84.02 49.95 Arkansas 24 2,459,587 0.46 7.846 624 102,483 88.54 65.67 California 972 197,040,956 37.13 6.867 632 202,717 80.21 48.55 Colorado 85 13,175,756 2.48 6.996 650 155,009 82.80 39.78 Connecticut 56 8,575,814 1.62 7.665 612 153,140 82.70 55.37 Delaware 9 1,677,776 0.32 8.138 614 186,420 83.35 68.26 District of Columbia 2 381,402 0.07 7.287 594 190,701 69.09 35.66 Florida 238 32,337,199 6.09 7.590 615 135,871 81.49 52.09 Georgia 102 12,853,076 2.42 7.865 619 126,011 81.70 71.68 Hawaii 1 480,000 0.09 7.250 657 480,000 80.00 0.00 Idaho 2 289,890 0.05 8.936 613 144,945 92.05 46.57 Illinois 162 25,619,657 4.83 7.420 619 158,146 80.58 57.44 Indiana 68 8,325,938 1.57 7.720 614 122,440 86.93 74.14 Iowa 14 1,208,934 0.23 7.573 632 86,352 83.11 70.62 Kansas 23 2,848,755 0.54 7.647 609 123,859 83.59 56.85 Kentucky 33 3,849,651 0.73 7.568 616 116,656 84.20 66.42 Louisiana 41 3,025,780 0.57 8.784 598 73,800 80.93 69.35 Maine 7 1,030,794 0.19 7.395 628 147,256 85.31 38.29 Maryland 121 21,276,297 4.01 7.522 595 175,837 82.62 79.76 Massachusetts 101 19,594,757 3.69 7.368 610 194,007 77.56 53.07 Michigan 100 12,059,797 2.27 7.670 618 120,598 83.55 53.17 Minnesota 66 9,979,363 1.88 7.266 633 151,202 81.55 47.49 Mississippi 26 2,468,466 0.47 8.128 609 94,941 84.36 47.18 Missouri 58 6,558,062 1.24 7.694 609 113,070 84.47 63.79 Nebraska 15 1,783,655 0.34 8.152 609 118,910 87.07 53.12 Nevada 69 9,981,885 1.88 7.291 648 144,665 82.95 50.01 New Hampshire 26 3,341,854 0.63 7.574 630 128,533 80.87 60.00 New Jersey 22 4,815,428 0.91 7.422 591 218,883 81.45 75.04 New Mexico 2 620,417 0.12 8.857 604 310,209 90.00 0.00 New York 40 8,022,891 1.51 7.235 611 200,572 77.62 54.96 North Carolina 48 5,926,554 1.12 8.077 616 123,470 84.69 62.34 Ohio 119 13,533,328 2.55 7.594 612 113,725 83.05 70.64 Oklahoma 5 318,240 0.06 7.378 659 63,648 87.46 72.32 Oregon 44 5,956,420 1.12 7.263 649 135,373 83.98 44.72 Pennsylvania 77 10,260,905 1.93 7.611 610 133,259 86.10 71.81 Rhode Island 34 5,303,731 1.00 7.331 598 155,992 74.40 61.42 South Carolina 37 3,531,497 0.67 8.206 610 95,446 83.48 64.08 South Dakota 2 97,769 0.02 7.659 616 48,884 77.03 40.06 Tennessee 50 5,508,253 1.04 7.877 630 110,165 85.04 61.73 Texas 130 15,957,986 3.01 7.562 644 122,754 82.43 36.93 Utah 23 3,001,264 0.57 7.357 654 130,490 84.43 50.12 Virginia 131 20,086,315 3.79 7.459 608 153,331 82.53 70.75 Washington 45 6,695,876 1.26 7.318 635 148,797 83.89 55.24 West Virginia 16 1,643,668 0.31 7.646 591 102,729 83.11 89.52 Wisconsin 33 3,452,815 0.65 7.543 612 104,631 82.19 66.67 Wyoming 1 55,775 0.01 6.000 696 55,775 80.00 0.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,394 $530,614,219 100.00% 7.291% 624 $156,339 81.55% 55.14% -------------------------------------------------------------------------------------------------------------------------------
No more than approximately 0.43% of the Mortgage Loans will be secured by mortgaged properties located in any one zip code. RANGE OF ORIGINAL LOAN-TO-VALUE RATIOS WEIGHTED WEIGHTED -------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 14 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 TOTAL MORTGAGE LOANS AS OF CUT-OFF DATE RANGE OF ORIGINAL LOAN-TO-VALUE RATIONS
WEIGHTED WEIGHTED RANGE OF ORIGINAL NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL LOAN-TO-VALUE RATIOS MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC --------------------------------------------------------------------------------------------------------------------------------- 50.00% or less 85 $ 9,903,232 1.87% 7.495% 589 $116,509 41.83% 47.72% 50.01% to 55.00% 39 6,512,444 1.23 6.731 589 166,986 52.66 56.43 55.01% to 60.00% 56 7,777,252 1.47 7.058 597 138,880 57.74 63.83 60.01% to 65.00% 86 12,836,639 2.42 7.202 588 149,263 63.26 45.18 65.01% to 70.00% 162 23,521,547 4.43 7.113 597 145,195 68.58 59.40 70.01% to 75.00% 250 40,466,409 7.63 7.188 596 161,866 73.76 61.38 75.01% to 80.00% 1057 178,678,780 33.67 6.928 639 169,043 79.64 42.17 80.01% to 85.00% 486 84,465,712 15.92 7.280 602 173,798 84.36 65.66 85.01% to 90.00% 668 114,310,612 21.54 7.495 630 171,124 89.56 54.34 90.01% to 95.00% 179 27,726,643 5.23 7.643 631 154,897 94.73 92.34 95.01% to 100.00% 326 24,414,949 4.60 9.152 674 74,892 99.74 65.90 -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,394 $530,614,219 100.00% 7.291% 624 $156,339 81.55% 55.14% --------------------------------------------------------------------------------------------------------------------------------
As of the Cut-off Date, the Original Loan-to-Value Ratios of the Mortgage Loans ranged from 19.80% to 100.00%. With respect to the Mortgage Loans which are in a second lien position, this table was calculated using the Combined Loan-to-Value Ratio for such Mortgage Loans. Approximately 2.16% of the Mortgage Loans are in a second lien position and the weighted average Combined Loan-to-Value Ratio for such Mortgage Loans was approximately 99.78%. The weighted average Second Lien ratio for the Mortgage Loans which are in a second lien position was approximately 19.86%. LOAN PURPOSE
WEIGHTED WEIGHTED NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL LOAN PURPOSE MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ------------------------------------------------------------------------------------------------------------------------------------ Refinance - Cashout 2,030 $331,985,620 62.57% 7.265% 608 $163,540 80.24% 63.09% Purchase 1,100 156,635,420 29.52 7.363 658 142,396 84.47 38.25 Refinance - Rate/Term 264 41,993,179 7.91 7.224 623 159,065 81.05 55.35 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,394 $530,614,219 100.00% 7.291% 624 $156,339 81.55% 55.14% -----------------------------------------------------------------------------------------------------------------------------------
PROPERTY TYPE
WEIGHTED WEIGHTED NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL PROPERTY TYPE MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ---------------------------------------------------------------------------------------------------------------------------------- Single Family 2,779 $424,175,664 79.94% 7.302% 622 $152,636 81.50% 54.25% Rowhouse 4 459,261 0.09 7.864 606 114,815 73.54 46.57 Townhouse 15 2,201,680 0.41 7.494 633 146,779 84.33 43.35 Condominium 173 26,163,075 4.93 7.121 643 151,232 83.03 56.87 Two-to Four-Family 98 17,926,896 3.38 7.331 631 182,928 75.50 63.82 Manufactured Housing 7 553,682 0.10 7.719 651 79,097 80.95 100.00 Planned Unit Development 318 59,133,961 11.14 7.260 624 185,956 83.06 58.25 --------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,394 $530,614,219 100.00% 7.291% 624 $156,339 81.55% 55.14% ---------------------------------------------------------------------------------------------------------------------------------
DOCUMENTATION
WEIGHTED WEIGHTED NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL DOCUMENTATION MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ----------------------------------------------------------------------------------------------------------------------------------- Full Documentation 1,917 $292,597,568 55.14% 7.263% 608 $152,633 82.35% 100.00% Stated Documentation 1443 230,934,773 43.52 7.336 643 160,038 80.53 0.00 Lite Documentation 34 7,081,878 1.33 6.972 627 208,291 81.74 0.00 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,394 $530,614,219 100.00% 7.291% 624 $156,339 81.55% 55.14% ----------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 15 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 TOTAL MORTGAGE LOANS AS OF CUT-OFF DATE OCCUPANCY
WEIGHTED WEIGHTED NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL OCCUPANCY MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC --------------------------------------------------------------------------------------------------------------------------------- Primary 3,195 $ 506,594,166 95.47% 7.270% 622 $158,558 81.65% 55.03% Investment 176 20,347,280 3.83 7.642 664 115,610 78.71 64.23 Second Home 23 3,672,773 0.69 8.250 641 159,686 83.07 20.45 --------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,394 $ 530,614,219 100.00% 7.291% 624 $156,339 81.55% 55.14% ---------------------------------------------------------------------------------------------------------------------------------
The information set forth above with respect to occupnacy is based upon representations of the related mortgagors at the time of origination. MORTGAGE LOAN AGE
WEIGHTED WEIGHTED MORTGAGE LOAN AGE NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL SUMMARY MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC --------------------------------------------------------------------------------------------------------------------------------- 1 45 $ 5,641,540 1.06% 7.411% 605 $125,368 81.24% 69.11% 2 779 116,794,826 22.01 7.443 623 149,929 81.84 56.37 3 907 140,663,511 26.51 7.299 623 155,087 81.24 51.89 4 1,122 182,237,549 34.34 7.238 626 162,422 81.53 52.74 5 444 69,947,028 13.18 7.237 620 157,538 82.18 62.46 6 85 13,526,289 2.55 6.916 635 159,133 79.59 67.24 7 9 1,345,835 0.25 6.492 626 149,537 81.94 73.89 8 3 457,642 0.09 6.899 663 152,547 73.86 0.00 --------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,394 $ 530,614,219 100.00% 7.291% 624 $156,339 81.55% 55.14% ---------------------------------------------------------------------------------------------------------------------------------
As of the Cut-off Date, the weighted average age of the Mortgage Loans was approximately 3 months. PREPAYMENT PENALTY TERM
WEIGHTED WEIGHTED NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL PREPAYMENT PENALTY TERM MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC --------------------------------------------------------------------------------------------------------------------------------- None 297 $ 40,926,255 7.71% 7.841% 621 $137,799 80.87% 57.80% 6 Months 3 442,840 0.08 6.942 629 147,613 87.64 0.00 12 Months 152 26,476,821 4.99 7.452 622 174,190 79.96 48.55 13 Months 9 1,569,798 0.30 7.382 662 174,422 82.01 21.51 24 Months 1,701 272,685,303 51.39 7.219 624 160,309 82.89 50.92 30 Months 2 314,693 0.06 8.746 665 157,346 89.31 13.87 36 Months 982 155,125,584 29.24 7.207 625 157,969 79.96 61.78 48 Months 6 937,693 0.18 6.495 651 156,282 81.91 00.00 60 Months 242 32,135,232 6.06 7.477 615 132,790 79.84 62.49 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,394 $ 530,614,219 100.00% 7.291% 624 $156,339 81.55% 55.14% ----------------------------------------------------------------------------------------------------------------------------------
The weighted average prepayment penalty term at origination with respect to the Mortgage Loans having prepayment penalties was approximately 30 months. RANGE OF CREDIT SCORES
WEIGHTED WEIGHTED NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL RANGE OF CREDIT SCORES MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC --------------------------------------------------------------------------------------------------------------------------------- Not Available 2 $ 211,877 0.04% 8.742% 0 $105,939 62.57% 30.66% 500 to 500 1 169,778 0.03 8.150 500 169,778 80.00 0.00 501 to 525 42 5,836,909 1.10 7.965 519 138,974 70.23 85.49 526 to 550 308 47,099,110 8.88 7.621 539 152,919 74.66 85.43 551 to 575 408 61,084,612 11.51 7.547 563 149,717 77.56 74.81 576 to 600 484 76,262,169 14.37 7.447 588 157,566 81.17 61.46 601 to 625 523 87,281,930 16.45 7.331 614 166,887 83.10 59.21 626 to 650 571 88,877,736 16.75 7.244 638 155,653 83.88 50.02 651 to 675 436 69,968,936 13.19 7.148 663 160,479 83.87 36.64 676 to 700 302 46,255,440 8.72 7.004 687 153,164 83.04 33.11 701 to 725 154 22,969,146 4.33 6.824 713 149,150 83.64 32.52 726 to 750 95 15,264,651 2.88 6.780 736 160,681 83.83 38.45 751 to 775 48 6,539,751 1.23 6.778 762 136,245 83.12 45.74 776 to 800 19 2,609,674 0.49 6.693 786 137,351 80.38 43.86 801 to 803 1 182,500 0.03 5.990 803 182,500 100.00 100.00 --------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,394 $ 530,614,219 100.00% 7.291% 624 $156,339 81.55% 55.14% ---------------------------------------------------------------------------------------------------------------------------------
The Credit Scores of the Mortgage Loans that were scored as of the Cut-off Date ranged from 500 to 803 and the weighted average Credit Score of the Mortgage Loans that were scored as of the Cut-off Date was approximately 624. -------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 16 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 TOTAL MORTGAGE LOANS AS OF CUT-OFF DATE CREDIT GRADE
WEIGHTED WEIGHTED NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL CREDIT GRADE MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC --------------------------------------------------------------------------------------------------------------------------------- A+ 1,616 $ 254,611,762 47.98% 7.094% 669 $157,557 83.88% 40.56% A 483 78,186,049 14.74 7.383 612 161,876 83.90 55.16 A- 624 97,004,944 18.28 7.372 587 155,457 79.75 66.13 B 409 61,890,926 11.66 7.61 563 151,323 78.06 77.23 C 171 24,806,348 4.68 7.538 538 145,066 72.33 88.54 C- 91 14,114,190 2.66 7.933 544 155,101 70.38 87.00 --------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,394 $ 530,614,219 100.00% 7.291% 624 $156,339 81.55% 55.14% ---------------------------------------------------------------------------------------------------------------------------------
RANGE OF MARGIN
WEIGHTED WEIGHTED NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL RANGE OF MARGIN MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ---------------------------------------------------------------------------------------------------------------------------------- 1.501% to 2.000% 2 $ 359,614 0.09% 7.216% 639 $179,807 82.30% 53.95% 2.501% to 3.000% 1 170,849 0.04 6.625 603 170,849 90.00 100.00 3.001% to 3.500% 5 1,226,694 0.32 4.988 698 245,339 79.29 77.20 3.501% to 4.000% 2 462,000 0.12 5.341 664 231,000 74.51 63.42 4.001% to 4.500% 26 6,389,831 1.66 5.918 641 245,763 79.21 72.68 4.501% to 5.000% 82 17,723,049 4.61 6.126 648 216,135 78.29 55.53 5.001% to 5.500% 166 37,421,348 9.73 6.418 642 225,430 78.98 41.48 5.501% to 6.000% 262 51,724,460 13.44 6.577 640 197,422 81.72 47.50 6.001% to 6.500% 347 64,816,273 16.85 6.796 629 186,790 82.58 49.44 6.501% to 7.000% 438 79,017,271 20.54 7.112 612 180,405 82.08 56.06 7.001% to 7.500% 361 54,149,138 14.07 7.597 603 149,998 81.82 52.28 7.501% to 8.000% 228 32,602,044 8.47 8.004 601 142,991 83.76 55.69 8.001% to 8.500% 156 19,347,206 5.03 8.475 597 124,021 82.77 62.74 8.501% to 9.000% 93 10,823,418 2.81 8.934 596 116,381 84.31 69.30 9.001% to 9.500% 59 6,041,084 1.57 9.243 601 102,391 87.77 49.40 9.501% to 10.000% 20 1,883,593 0.49 9.942 575 94,180 84.09 40.52 10.001% to 10.500% 6 505,064 0.13 10.349 531 84,177 54.12 21.27 10.501% to 11.000% 1 76,473 0.02 11.100 529 76,473 75.00 100.00 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 2,255 $ 384,739,407 100.00% 7.161% 620 $170,616 81.84% 52.65% ----------------------------------------------------------------------------------------------------------------------------------
As of the Cut-off Date, the Gross Margins for the Adjustable Rate Mortgage Loans ranged from 2.000% per annum to 10.980% per annum and the weighted average Gross Margin of the Adjustable Rate Mortgage Loans was approximately 6.630% per annum. RANGE OF MAXIMUM MORTGAGE RATES
WEIGHTED WEIGHTED NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL RANGE OF MAXIMUM MORTGAGE RATES MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ----------------------------------------------------------------------------------------------------------------------------------- 13.000% or less 703 $ 145,201,891 37.74% 6.479% 628 $206,546 80.12% 59.27% 13.001% to 13.500% 400 73,409,471 19.08 6.956 626 183,524 82.37 48.41 13.501% to 14.000% 456 74,014,050 19.24 7.395 619 162,312 82.66 46.92 14.001% to 14.500% 249 35,509,510 9.23 7.730 614 142,608 82.72 47.95 14.501% to 15.000% 249 34,122,637 8.87 8.178 604 137,039 83.62 47.38 15.001% to 15.500% 109 12,836,277 3.34 8.773 598 117,764 85.26 63.24 15.501% to 16.000% 55 6,271,711 1.63 9.105 586 114,031 84.25 50.32 16.001% to 16.500% 11 1,206,572 0.31 9.375 603 109,688 82.52 72.75 16.501% to 17.000% 14 1,278,392 0.33 9.807 585 91,314 83.19 55.26 17.001% to 17.500% 7 804,503 0.21 10.273 562 114,929 79.75 19.04 17.501% to 18.000% 1 34,994 0.01 10.900 595 34,994 80.00 100.00 18.501% to 19.000% 1 49,400 0.01 11.900 576 49,400 65.00 0.00 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 2,255 $ 384,739,407 100.00% 7.161% 620 $170,616 81.84% 52.65% ----------------------------------------------------------------------------------------------------------------------------------
As of the Cut-off Date, the Maximum Mortgage Rates for the Adjustable Rate Mortgage Loans ranged from 10.625% per annum to 18.900% per annum and the weighted average Maximum Mortgage Rate of the Adjustable Rate Mortgage Loans was approximately 13.485% per annum. -------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 17 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 TOTAL MORTGAGE LOANS AS OF CUT-OFF DATE NEXT ADJUSTMENT DATE
WEIGHTED WEIGHTED NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL NEXT ADJUSTMENT DATE MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ----------------------------------------------------------------------------------------------------------------------------------- July 2004 1 $ 131,373 0.03% 6.500% 683 $131,373 80.00% 0.00% December 2004 1 53,961 0.01 7.600 631 53,961 75.00 0.00 January 2005 1 193,500 0.05 8.250 579 193,500 90.00 100.00 July 2005 1 69,895 0.02 8.490 646 69,895 73.74 0.00 August 2005 3 592,210 0.15 6.317 612 197,403 84.06 40.66 September 2005 35 5,931,429 1.54 6.751 643 169,469 82.16 57.15 October 2005 240 40,863,800 10.62 7.106 614 170,266 82.58 55.61 November 2005 614 107,042,994 27.82 7.093 622 174,337 82.01 49.68 December 2005 476 79,268,292 20.60 7.221 624 166,530 82.43 50.66 January 2006 512 82,178,159 21.36 7.384 621 160,504 81.60 53.56 February 2006 33 4,212,630 1.09 7.422 605 127,655 81.70 62.69 September 2006 4 553,980 0.14 6.855 602 138,495 71.13 60.73 October 2006 22 4,061,243 1.06 7.104 614 184,602 81.63 47.35 November 2006 110 21,241,441 5.52 7.072 617 193,104 81.93 49.95 December 2006 132 24,143,566 6.28 6.958 612 182,906 79.87 56.24 January 2007 57 11,168,347 2.90 6.939 609 195,936 80.20 65.57 February 2007 4 656,200 0.17 7.069 591 164,050 79.46 90.86 October 2008 2 483,550 0.13 6.024 757 241,775 55.16 100.00 November 2008 4 1,059,839 0.28 6.111 681 264,960 84.89 32.63 January 2009 3 833,000 0.22 6.511 660 277,667 87.19 100.00 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 2,255 $ 384,739,407 100.00% 7.161% 620 $170,616 81.84% 52.65% ----------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 18 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 GROUP B MORTGAGE LOANS AS OF CUT-OFF DATE
Aggregate Outstanding Principal Balance $253,193,992 Aggregate Original Principal Balance $253,543,382 Number of Mortgage Loans 1,587
MINIMUM MAXIMUM AVERAGE (1) ------- ------- ----------- Original Principal Balance $13,400 $582,250 $159,763 Outstanding Principal Balance $13,288 $582,250 $159,543
MINIMUM MAXIMUM WEIGHTED AVERAGE (2) ------- ------- -------------------- Original Term (mos) 120 360 351 Stated Remaining Term (mos) 115 359 347 Loan Age (mos) 1 8 3 Current Interest Rate 5.000% 13.250% 7.273% Initial Interest Rate Cap(4) 1.000% 6.000% 2.988% Periodic Rate Cap(4) 1.000% 1.500% 1.130% Gross Margin(4) 2.000% 10.980% 6.571% Maximum Mortgage Rate(4) 11.000% 18.900% 13.414% Minimum Mortgage Rate(4) 2.000% 11.900% 6.931% Months to Roll(4) 9 58 23 Original Loan-to-Value 24.00% 100.00% 81.67% Credit Score (3) 504 803 624
EARLIEST LATEST -------- ------ Maturity Dates 10/01/13 02/01/34
PERCENT OF LIEN POSITION MORTGAGE POOL ------------- ------------- 1st 97.42% 2nd 2.58
PERCENT OF OCCUPANCY MORTGAGE POOL --------- ------------- Primary 95.97% Second home 0.52 Investment 3.51
PERCENT OF LOAN TYPE MORTGAGE POOL --------- ------------- FRM 31.53% ARM 68.47
PERCENT OF AMORTIZATION TYPE MORTGAGE POOL ----------------- ------------- Non Interest-Only 93.08% Interest-Only 6.92
YEAR OF ORIGINATION PERCENT OF MORTGAGE POOL ------------------- ------------------------ 2003 99.51% 2004 0.49
LOAN PURPOSE PERCENT OF MORTGAGE POOL ------------ ------------------------ Purchase 27.09% Rate/Term Refinance 7.64 Cashout Refinance 65.28
PROPERTY TYPE PERCENT OF MORTGAGE POOL ------------- ------------------------ Single Family 79.31% Rowhouse 0.05 Townhouse 0.51 Condominium 5.21 Two- to Four-Family 2.21 Planned Unit Development 12.53 Manufactured Housing 0.17
---------------------- (1) Sum of Principal Balance divided by total number of loans. (2) Weighted by Outstanding Principal Balance. (3) Minimum and Weighting only for loans with scores. (4) ARM loans only -------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 19 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 GROUP B MORTGAGE LOANS AS OF CUT-OFF DATE RANGE OF MORTGAGE RATES
WEIGHTED WEIGHTED NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL RANGE OF MORTGAGE RATES MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ---------------------------------------------------------------------------------------------------------------------------------- 6.500% or less 294 $ 64,716,832 25.56% 6.196% 647 $220,125 79.22% 62.65% 6.501% to 7.000% 314 66,756,774 26.37 6.844 628 212,601 81.13 55.85 7.001% to 7.500% 262 42,106,190 16.63 7.317 618 160,711 81.42 54.96 7.501% to 8.000% 266 38,539,797 15.22 7.807 604 144,886 83.66 54.95 8.001% to 8.500% 126 14,841,761 5.86 8.310 604 117,792 80.54 56.57 8.501% to 9.000% 115 12,857,443 5.08 8.763 597 111,804 85.39 65.08 9.001% to 9.500% 56 4,286,879 1.69 9.313 597 76,551 86.52 80.95 9.501% to 10.000% 47 3,134,141 1.24 9.821 580 66,684 80.07 70.52 10.001% to 10.500% 15 1,041,699 0.41 10.284 612 69,447 84.44 24.80 10.501% to 11.000% 33 1,860,993 0.74 10.788 660 56,394 98.05 25.20 11.001% to 11.500% 5 285,664 0.11 11.286 621 57,133 93.31 87.76 11.501% to 12.000% 27 1,570,450 0.62 11.954 656 58,165 96.21 13.01 12.001% to 12.500% 11 530,785 0.21 12.426 675 48,253 100.00 3.46 12.501% to 13.000% 15 641,204 0.25 12.840 661 42,747 100.00 3.61 13.001% to 13.500% 1 23,380 0.01 13.250 703 23,380 100.00 0.00 --------------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,587 $ 253,193,992 100.00% 7.273% 624 $159,543 81.67% 57.59% ---------------------------------------------------------------------------------------------------------------------------------
As of the Cut-off Date, Mortgage Rates borne by the Mortgage Loans ranged from 5.000% per annum to 13.250% per annum and the weighted average Mortgage Rate of the Rate Mortgage Loans was approximately 7.273% per annum. RANGE OF REMAINING MONTHS TO STATED MATURITY
RANGE OF WEIGHTED WEIGHTED REMAINING MONTHS NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL TO STATED MATURITY MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ----------------------------------------------------------------------------------------------------------------------------------- 109 to 120 6 $ 339,247 0.13% 7.181% 619 $ 56,541 67.51% 100.00% 169 to 180 144 9,579,640 3.78 9.255 639 66,525 87.49 54.31 229 to 240 55 4,654,793 1.84 8.934 615 84,633 85.23 52.58 289 to 300 2 150,811 0.06 7.663 592 75,405 67.75 100.00 349 to 360 1380 238,469,501 94.18 7.161 623 172,804 81.39 57.73 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,587 $ 253,193,992 100.00% 7.273% 624 $159,543 81.67% 57.59% ----------------------------------------------------------------------------------------------------------------------------------
As of the Cut-off Date, the remaining term to stated maturity of the Mortgage Loans ranged from 115 months to 359 months and the weighted average remaining term to stated maturity of the Mortgage Loans was approximately 347 months. RANGE OF ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCES
WEIGHTED WEIGHTED RANGE OF ORIGINAL MORTGAGE LOAN NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL PRINCIPAL BALANCES MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ------------------------------------------------------------------------------------------------------------------------------------ $50,000 or less 122 $ 4,823,371 1.91% 9.577% 617 $ 39,536 81.13% 60.49% $50,001 to $100,000 419 30,808,294 12.17 8.390 622 73,528 81.83 65.88 $100,001 to $150,000 396 49,015,423 19.36 7.431 619 123,776 80.85 61.39 $150,001 to $200,000 244 42,280,023 16.70 7.186 621 173,279 81.53 57.31 $200,001 to $250,000 136 30,601,337 12.09 6.912 625 225,010 80.05 47.73 $250,001 to $300,000 81 22,044,772 8.71 6.969 627 272,158 81.68 47.41 $300,001 to $350,000 47 15,578,908 6.15 6.770 632 331,466 81.96 51.23 $350,001 to $400,000 81 30,391,918 12.00 6.953 635 375,209 83.86 46.88 $400,001 to $450,000 36 15,312,631 6.05 6.853 617 425,351 83.50 72.14 $450,001 to $500,000 19 9,139,049 3.61 6.648 632 481,003 81.69 79.44 $500,001 to $550,000 5 2,616,017 1.03 6.635 584 523,203 78.39 80.38 $550,001 to $600,000 1 582,250 0.23 6.500 621 582,250 85.00 100.00 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,587 $ 253,193,992 100.00% 7.273% 624 $159,543 81.67% 57.59% -----------------------------------------------------------------------------------------------------------------------------------
As of the Cut-off Date, the outstanding principal balances of the Mortgage Loans ranged from approximately $13,288 to approximately $582,250 and the average outstanding principal balance of the Mortgage Loans was approximately $159,543 -------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 20 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 GROUP B MORTGAGE LOANS AS OF CUT-OFF DATE PRODUCT TYPES
WEIGHTED WEIGHTED NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL PRODUCT TYPES MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ------------------------------------------------------------------------------------------------------------------------------------ 15 Year Balloon Loans 96 $ 5,514,383 2.18% 10.495% 662 $ 57,441 98.95% 43.16% 10 to 14 Year Fixed Loans 6 339,247 0.13 7.181 619 56,541 67.51 100.00 15 to 19 Year Fixed Loans 48 4,065,257 1.61 7.574 608 84,693 71.94 69.44 20 to 24 Year Fixed Loans 55 4,654,793 1.84 8.934 615 84,633 85.23 52.58 25 to 29 Year Fixed Loans 2 150,811 0.06 7.663 592 75,405 67.75 100.00 30 Year Fixed Loans 409 65,112,455 25.72 7.311 630 159,199 79.62 66.12 Six-Month LIBOR Loans and 1/29 LIBOR Loans 2 247,461 0.10 8.108 590 123,730 86.73 78.19 2/28 LIBOR ARM 834 144,304,670 56.99 7.155 621 173,027 82.17 53.54 3/27 LIBOR ARM 130 27,483,986 10.85 6.874 615 211,415 81.33 59.36 5/25 LIBOR ARM 5 1,320,928 0.52 6.210 689 264,186 84.49 64.68 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,587 $ 253,193,992 100.00% 7.273% 624 $159,543 81.67% 57.59% -----------------------------------------------------------------------------------------------------------------------------------
STATE DISTRIBUTIONS OF MORTGAGED PROPERTIES
WEIGHTED WEIGHTED STATE DISTRIBUTIONS NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL OF MORTGAGED PROPERTIES MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ------------------------------------------------------------------------------------------------------------------------------------ Alabama 27 $ 2,242,123 0.89% 8.211% 617 $ 83,042 84.06% 84.06% Arizona 32 4,687,006 1.85 7.277 638 146,469 85.92 59.08 Arkansas 12 1,141,058 0.45 8.074 616 95,088 88.62 76.64 California 449 99,290,315 39.22 6.879 632 221,137 81.08 51.32 Colorado 38 6,088,711 2.40 6.975 659 160,229 84.57 39.99 Connecticut 19 3,298,243 1.30 7.581 615 173,592 83.18 47.51 Delaware 5 907,363 0.36 8.143 595 181,473 78.72 41.32 Florida 119 16,387,635 6.47 7.528 614 137,711 81.00 50.69 Georgia 47 5,142,374 2.03 7.883 619 109,412 82.42 78.66 Idaho 1 135,000 0.05 9.150 590 135,000 94.41 100.00 Illinois 58 8,580,432 3.39 7.501 609 147,938 81.12 72.59 Indiana 34 4,400,526 1.74 7.884 598 129,427 85.49 74.78 Iowa 6 590,455 0.23 7.038 650 98,409 82.42 78.24 Kansas 6 780,250 0.31 7.306 603 130,042 85.08 55.09 Kentucky 14 1,625,110 0.64 7.394 632 116,079 82.96 52.29 Louisiana 26 1,754,911 0.69 8.968 601 67,497 82.63 61.79 Maine 2 390,408 0.15 7.244 590 195,204 83.34 33.40 Maryland 69 13,249,779 5.23 7.527 605 192,026 83.38 74.16 Massachusetts 45 8,372,208 3.31 7.224 608 186,049 76.86 61.59 Michigan 55 6,553,355 2.59 7.638 620 119,152 83.95 50.60 Minnesota 26 4,253,770 1.68 7.198 626 163,607 81.72 49.07 Mississippi 16 1,399,165 0.55 8.222 612 87,448 81.86 47.05 Missouri 22 1,821,490 0.72 8.044 606 82,795 82.54 63.19 Nebraska 5 507,148 0.20 7.883 596 101,430 81.19 43.88 Nevada 31 4,523,769 1.79 7.268 659 145,928 80.42 41.05 New Hampshire 10 998,813 0.39 7.352 642 99,881 78.18 62.64 New Jersey 13 3,303,243 1.30 7.081 589 254,096 81.55 78.94 New York 12 2,695,840 1.06 7.128 631 224,653 82.45 69.68 North Carolina 25 3,119,222 1.23 8.035 610 124,769 83.43 62.69 Ohio 75 8,107,845 3.20 7.679 610 108,105 82.25 76.38 Oklahoma 4 178,800 0.07 8.804 583 44,700 77.69 50.74 Oregon 18 2,462,141 0.97 7.280 660 136,786 83.69 36.89 Pennsylvania 41 5,140,483 2.03 7.527 607 125,378 83.37 82.77 Rhode Island 10 1,507,113 0.60 7.240 598 150,711 70.60 43.49 South Carolina 16 1,554,261 0.61 8.177 621 97,141 80.47 67.42 South Dakota 1 39,169 0.02 7.150 576 39,169 72.59 100.00 Tennessee 17 1,633,840 0.65 7.814 620 96,108 83.63 45.84 Texas 56 6,237,234 2.46 7.766 637 111,379 78.12 39.34 Utah 13 1,775,404 0.70 7.043 661 136,570 84.30 69.96 Virginia 65 10,522,839 4.16 7.438 614 161,890 82.01 67.60 Washington 24 3,459,122 1.37 7.243 642 144,130 83.40 64.75 West Virginia 8 811,624 0.32 7.552 597 101,453 82.40 90.07 Wisconsin 14 1,468,618 0.58 7.140 613 104,901 81.12 63.44 Wyoming 1 55,775 0.02 6.000 696 55,775 80.00 0.00 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,587 $ 253,193,992 100.00% 7.273% 624 $159,543 81.67% 57.59% -----------------------------------------------------------------------------------------------------------------------------------
No more than approximately 0.76% of the Mortgage Loans will be secured by mortgaged properties located in any one zip code. -------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 21 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 GROUP B MORTGAGE LOANS AS OF CUT-OFF DATE RANGE OF ORIGINAL LOAN-TO-VALUE RATIOS
WEIGHTED WEIGHTED RANGE OF ORIGINAL LOAN-TO-VALUE NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL RATIOS MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ------------------------------------------------------------------------------------------------------------------------------------ 50.00% or less 50 $ 5,216,999 2.06% 7.675% 580 $104,340 42.50% 55.15% 50.01% to 55.00% 22 3,331,055 1.32 6.735 603 151,412 52.54 54.16 55.01% to 60.00% 28 3,536,679 1.40 6.917 589 126,310 57.30 65.95 60.01% to 65.00% 38 5,604,024 2.21 7.028 588 147,474 62.96 52.63 65.01% to 70.00% 80 10,729,199 4.24 7.195 595 134,115 68.46 62.56 70.01% to 75.00% 114 18,669,858 7.37 7.206 600 163,771 73.65 57.58 75.01% to 80.00% 479 81,930,380 32.36 6.927 635 171,045 79.58 46.02 80.01% to 85.00% 234 43,189,194 17.06 7.199 606 184,569 84.38 65.45 85.01% to 90.00% 303 54,169,935 21.39 7.391 633 178,779 89.57 57.96 90.01% to 95.00% 87 14,704,954 5.81 7.559 629 169,022 94.71 93.82 95.01% to 100.00% 152 12,111,716 4.78 9.367 674 79,682 99.67 59.60 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,587 $ 253,193,992 100.00% 7.273% 624 $159,543 81.67% 57.59% -----------------------------------------------------------------------------------------------------------------------------------
As of the Cut-off Date, the Original Loan-to-Value Ratios of the Mortgage Loans ranged from 24.00% to 100.00%. With respect to the Mortgage Loans which are in a second lien position, this table was calculated using the Combined Loan-to-Value Ratio for such Mortgage Loans. Approximately 2.58% of the Mortgage Loans are in a second lien position and the weighted average Combined Loan-to-Value Ratio for such Mortgage Loans was approximately 99.78%. The weighted average Second Lien ratio for the Mortgage Loans which are in a second lien position was approximately 19.84%. LOAN PURPOSE
WEIGHTED WEIGHTED NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL LOAN PURPOSE MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ------------------------------------------------------------------------------------------------------------------------------------ Refinance - Cashout 988 $ 165,276,464 65.28% 7.222% 610 $167,284 80.40% 64.82% Purchase 482 68,583,423 27.09 7.396 658 142,289 84.90 39.80 Refinance - Rate/Term 117 19,334,104 7.64 7.271 618 165,249 81.03 58.83 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,587 $ 253,193,992 100.00% 7.273% 624 $159,543 81.67% 57.59% -----------------------------------------------------------------------------------------------------------------------------------
PROPERTY TYPE
WEIGHTED WEIGHTED NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL PROPERTY TYPE MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ------------------------------------------------------------------------------------------------------------------------------------ Single Family 1,303 $ 200,819,223 79.31% 7.287% 624 $154,121 81.41% 55.47% Rowhouse 2 137,859 0.05 7.959 576 68,930 77.61 100.00 Townhouse 8 1,295,826 0.51 7.442 597 161,978 81.62 48.38 Condominium 83 13,191,901 5.21 7.157 637 158,939 83.72 63.67 Two- to Four-Family 32 5,596,335 2.21 7.156 613 174,885 75.11 64.08 Manufactured Housing 6 439,476 0.17 7.909 648 73,246 78.59 100.00 Planned Unit Development 153 31,713,372 12.53 7.231 622 207,277 83.68 66.96 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,587 $ 253,193,992 100.00% 7.273% 624 $159,543 81.67% 57.59% -----------------------------------------------------------------------------------------------------------------------------------
DOCUMENTATION
WEIGHTED WEIGHTED NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL DOCUMENTATION MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ------------------------------------------------------------------------------------------------------------------------------------ Full Documentation 939 $ 145,811,753 57.59% 7.215% 611 $155,284 82.35% 100.00% Stated Documentation 636 103,818,714 41.00 7.369 641 163,237 80.66 0.00 Lite Documentation 12 3,563,525 1.41 6.857 640 296,960 83.32 0.00 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,587 $ 253,193,992 100.00% 7.273% 624 $159,543 81.67% 57.59% -----------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 22 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 GROUP B MORTGAGE LOANS AS OF CUT-OFF DATE OCCUPANCY
WEIGHTED WEIGHTED NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL OCCUPANCY MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ------------------------------------------------------------------------------------------------------------------------------------ Primary 1,487 $ 243,001,501 95.97% 7.251% 622 $163,417 81.68% 57.43% Investment 90 8,887,650 3.51 7.759 667 98,752 81.82 67.33 Second Home 10 1,304,841 0.52 8.039 637 130,484 79.03 20.08 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,587 $ 253,193,992 100.00% 7.273% 624 $159,543 81.67% 57.59% -----------------------------------------------------------------------------------------------------------------------------------
The information set forth above with respect to occupancy is based upon representations of the related mortgagors at the time of origination. MORTGAGE LOAN AGE
WEIGHTED WEIGHTED MORTGAGE LOAN AGE NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL SUMMARY MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ------------------------------------------------------------------------------------------------------------------------------------ 1 19 $ 2,079,060 0.82% 7.580% 615 $109,424 81.25% 63.60% 2 358 54,832,593 21.66 7.366 626 153,164 82.28 61.25 3 422 65,224,353 25.76 7.321 623 154,560 81.36 52.54 4 537 90,118,548 35.59 7.244 624 167,819 81.88 55.64 5 208 33,196,058 13.11 7.197 622 159,596 81.63 64.57 6 37 6,763,917 2.67 6.823 625 182,809 77.05 68.67 7 4 758,908 0.30 6.160 636 189,727 83.13 53.69 8 2 220,555 0.09 7.985 636 110,277 78.02 0.00 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,587 $ 253,193,992 100.00% 7.273% 624 $159,543 81.67% 57.59% -----------------------------------------------------------------------------------------------------------------------------------
As of the Cut-off Date, the weighted average age of the Mortgage Loans was approximately 3 months. PREPAYMENT PENALTY TERM
WEIGHTED WEIGHTED NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL PREPAYMENT PENALTY TERM MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ------------------------------------------------------------------------------------------------------------------------------------ None 127 $ 17,562,915 6.94% 7.859% 624 $138,291 81.77% 68.40% 6 Months 2 350,419 0.14 6.967 619 175,209 87.52 0.00 12 Months 60 11,852,668 4.68 7.312 625 197,544 80.81 45.88 13 Months 2 153,311 0.06 10.740 690 76,655 100.00 0.00 24 Months 732 121,625,217 48.04 7.197 624 166,155 83.00 51.78 30 Months 1 43,655 0.02 8.625 556 43,655 85.00 100.00 36 Months 415 68,532,882 27.07 7.159 627 165,139 80.22 64.66 48 Months 6 937,693 0.37 6.495 651 156,282 81.91 100.00 60 Months 242 32,135,232 12.69 7.477 615 132,790 79.84 62.49 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,587 $ 253,193,992 100.00% 7.273% 624 $159,543 81.67% 57.59% -----------------------------------------------------------------------------------------------------------------------------------
The weighted average prepayment penalty term at origination with respect to the Mortgage Loans having prepayment penalties was approximately 32 months. RANGE OF CREDIT SCORES
WEIGHTED WEIGHTED NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL RANGE OF CREDIT SCORES MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ------------------------------------------------------------------------------------------------------------------------------------ Not Available 1 $ 64,955 0.03% 7.875% 0 $ 64,955 45.77% 100.00% 504 to 525 17 2,231,487 0.88 7.946 518 131,264 66.34 67.64 526 to 550 148 21,393,814 8.45 7.699 539 144,553 74.24 90.12 551 to 575 203 30,725,780 12.14 7.527 564 151,359 77.09 72.77 576 to 600 225 34,682,647 13.70 7.357 587 154,145 81.26 64.87 601 to 625 252 44,302,001 17.50 7.289 614 175,802 83.81 59.51 626 to 650 264 41,420,888 16.36 7.255 637 156,897 83.85 50.95 651 to 675 203 35,290,681 13.94 7.073 663 173,846 83.77 44.92 676 to 700 131 21,261,098 8.40 6.998 686 162,298 82.68 36.41 701 to 725 74 11,173,938 4.41 6.879 713 150,999 83.91 34.10 726 to 750 35 5,751,013 2.27 6.917 736 164,315 86.05 42.44 751 to 775 25 3,570,600 1.41 6.974 759 142,824 86.20 51.06 776 to 800 8 1,142,589 0.45 6.667 786 142,824 81.50 68.39 801 to 803 1 182,500 0.07 5.990 803 182,500 100.00 100.00 ----------------------------------------------------------------------------------------------------------------------------------- Total: 1,587 $ 253,193,992 100.00% 7.273% 624 $159,543 81.67% 57.59% -----------------------------------------------------------------------------------------------------------------------------------
The Credit Scores of the Mortgage Loans that were scored as of the Cut-off Date ranged from 504 to 803 and the weighted average Credit Score of the Mortgage Loans that were scored as of the Cut-off Date was approximately 624. -------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 23 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 GROUP B MORTGAGE LOANS AS OF CUT-OFF DATE CREDIT GRADE
WEIGHTED WEIGHTED NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL CREDIT GRADE MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ------------------------------------------------------------------------------------------------------------------------------------ A+ 766 $ 125,368,381 49.51% 7.099% 667 $163,666 84.00% 44.24% A 206 36,289,188 14.33 7.257 612 176,161 84.10 58.00 A- 295 45,912,888 18.13 7.369 586 155,637 79.69 69.29 B 201 29,458,824 11.63 7.626 560 146,561 77.66 76.59 C 77 10,394,630 4.11 7.551 538 134,995 72.06 91.22 C- 42 5,770,080 2.28 8.082 548 137,383 69.26 94.35 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,587 $ 253,193,992 100.00% 7.273% 624 $159,543 81.67% 57.59% -----------------------------------------------------------------------------------------------------------------------------------
RANGE OF MARGIN
WEIGHTED WEIGHTED NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL RANGE OF MARGIN MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ------------------------------------------------------------------------------------------------------------------------------------ 1.501% to 2.000% 1 $ 165,614 0.10% 7.000% 582 $165,614 85.00% 0.00% 3.001% to 3.500% 1 199,760 0.12 5.000 691 199,760 80.00 100.00 4.001% to 4.500% 10 3,119,515 1.80 5.990 654 311,951 82.66 74.68 4.501% to 5.000% 31 7,265,688 4.19 6.151 639 234,377 79.58 61.77 5.001% to 5.500% 84 20,543,861 11.85 6.458 635 244,570 79.09 47.94 5.501% to 6.000% 123 26,125,423 15.07 6.512 640 212,402 81.68 51.41 6.001% to 6.500% 140 29,278,847 16.89 6.772 629 209,135 82.73 49.96 6.501% to 7.000% 178 34,099,237 19.67 7.049 614 191,569 82.39 62.84 7.001% to 7.500% 160 24,305,339 14.02 7.573 603 151,908 82.54 49.39 7.501% to 8.000% 81 11,461,453 6.61 8.049 605 141,499 84.56 54.41 8.001% to 8.500% 74 8,929,277 5.15 8.483 604 120,666 82.57 55.30 8.501% to 9.000% 44 4,480,920 2.58 8.882 595 101,839 85.47 68.35 9.001% to 9.500% 29 2,311,285 1.33 9.452 588 79,699 86.88 70.75 9.501% to 10.000% 9 580,938 0.34 9.974 561 64,549 78.67 35.96 10.001% to 10.500% 5 413,414 0.24 10.282 528 82,683 51.71 25.98 10.501% to 11.000% 1 76,473 0.04 11.100 529 76,473 75.00 100.00 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL: 971 $ 173,357,045 100.00% 7.104% 621 $178,535 82.06% 54.58% -----------------------------------------------------------------------------------------------------------------------------------
As of the Cut-off Date, the Gross Margins for the Adjustable Rate Mortgage Loans ranged from 2.000% per annum to 10.980% per annum and the weighted average Gross Margin of the Adjustable Rate Mortgage Loans was approximately 6.571% per annum. RANGE OF MAXIMUM MORTGAGE RATES
WEIGHTED WEIGHTED NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL RANGE OF MAXIMUM MORTGAGE RATES MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ------------------------------------------------------------------------------------------------------------------------------------ 13.000% or less 314 $ 72,848,213 42.02% 6.485% 627 $232,001 80.97% 61.85% 13.001% to 13.500% 174 33,255,269 19.18 6.961 626 191,122 82.36 51.30 13.501% to 14.000% 179 28,869,641 16.65 7.352 619 161,283 83.12 51.15 14.001% to 14.500% 110 15,729,023 9.07 7.776 620 142,991 81.95 41.69 14.501% to 15.000% 100 13,932,287 8.04 8.151 604 139,323 84.27 42.82 15.001% to 15.500% 44 4,046,782 2.33 8.872 603 91,972 85.86 69.74 15.501% to 16.000% 29 3,192,434 1.84 9.071 583 110,084 82.75 50.83 16.001% to 16.500% 7 557,978 0.32 9.535 577 79,711 76.88 77.62 16.501% to 17.000% 8 539,032 0.31 9.767 580 67,379 78.10 41.54 17.001% to 17.500% 4 301,992 0.17 10.442 544 75,498 75.36 25.32 17.501% to 18.000% 1 34,994 0.02 10.900 595 34,994 80.00 100.00 18.501% to 19.000% 1 49,400 0.03 11.900 576 49,400 65.00 0.00 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL: 971 $ 173,357,045 100.00% 7.104% 621 $178,535 82.06% 54.58% -----------------------------------------------------------------------------------------------------------------------------------
As of the Cut-off Date, the Maximum Mortgage Rates for the Adjustable Rate Mortgage Loans ranged from 11.000% per annum to 18.900% per annum and the weighted average Maximum Mortgage Rate of the Adjustable Rate Mortgage Loans was approximately 13.414% per annum. -------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 24 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 GROUP B MORTGAGE LOANS AS OF CUT-OFF DATE NEXT ADJUSTMENT DATE
WEIGHTED WEIGHTED NUMBER OF AGGREGATE PRINCIPAL PERCENT OF AVERAGE AVERAGE AVERAGE ORIGINAL FULL NEXT ADJUSTMENT DATE MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE POOL COUPON FICO BALANCE LTV DOC ------------------------------------------------------------------------------------------------------------------------------------ December 2004 1 $ 53,961 0.03% 7.600% 631 $ 53,961 75.00% 0.00% January 2005 1 193,500 0.11 8.250 579 193,500 90.00 100.00 July 2005 1 69,895 0.04 8.490 646 69,895 73.74 0.00 August 2005 2 494,762 0.29 6.135 624 247,381 82.90 28.97 September 2005 14 2,996,216 1.73 6.618 633 214,015 79.83 61.65 October 2005 96 17,481,673 10.08 6.973 617 182,101 82.48 57.78 November 2005 284 51,708,197 29.83 7.113 618 182,071 82.07 51.58 December 2005 204 34,294,073 19.78 7.237 625 168,108 82.98 49.75 January 2006 221 36,073,945 20.81 7.260 624 163,231 81.68 57.92 February 2006 12 1,185,910 0.68 7.762 622 98,826 80.09 45.63 September 2006 1 74,910 0.04 7.750 573 74,910 80.00 0.00 October 2006 8 1,753,529 1.01 6.719 628 219,191 80.25 56.49 November 2006 41 9,211,274 5.31 6.842 619 224,665 82.25 48.67 December 2006 53 10,582,744 6.10 6.941 611 199,674 79.91 59.10 January 2007 24 5,352,330 3.09 6.808 612 223,014 83.04 77.30 February 2007 3 509,200 0.29 7.176 599 169,733 80.06 88.22 October 2008 1 114,629 0.07 5.620 701 114,629 52.27 100.00 November 2008 3 812,299 0.47 6.031 693 270,766 86.39 42.57 January 2009 1 394,000 0.23 6.750 677 394,000 89.95 100.00 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL: 971 $ 173,357,045 100.00% 7.104% 621 $178,535 82.06% 54.58% -----------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 25 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 ASSUMED MORTGAGE POOL GROUP A FIXED RATE MORTGAGE LOANS
ORIGINAL ORIGINAL REMAINING ORIGINAL REMAINING MONTHS TO NET ORIGINAL REMAINING AMORTIZATION AMORTIZATION IO IO PREPAYMENT CURRENT MORTGAGE MORTGAGE TERM TERM TERM TERM TERM TERM PENALTY BALANCE ($) RATE(%) RATE(%) (MONTHS) (MONTHS) (MONTHS) (MONTHS) (MONTHS) (MONTHS) EXPIRATION ------------- -------- -------- --------- --------- ------------ ------------ -------- --------- ---------- 352,409.24 10.416 9.901 180 177 360 357 0 0 0 479,820.88 10.689 10.174 180 176 360 356 0 0 12 28,000.00 11.000 10.485 180 178 360 358 0 0 13 2,075,347.30 10.668 10.153 180 177 360 357 0 0 24 1,111,646.22 10.665 10.150 180 177 360 357 0 0 36 156,418.14 7.750 7.235 120 115 120 115 0 0 36 410,863.03 8.664 8.149 180 178 180 178 0 0 0 488,603.68 7.603 7.088 180 176 180 176 0 0 12 243,184.29 8.439 7.924 180 177 180 177 0 0 24 3,478,148.86 6.957 6.442 180 176 180 176 0 0 36 141,099.07 10.727 10.212 240 237 240 237 0 0 0 800,943.37 10.347 9.832 240 237 240 237 0 0 24 1,586,265.16 7.490 6.975 240 236 240 236 0 0 36 79,833.64 8.090 7.575 300 296 300 296 0 0 0 204,780.02 7.875 7.360 300 297 300 297 0 0 12 3,645,093.46 8.130 7.615 360 356 360 356 0 0 0 2,634,976.95 7.478 6.963 360 356 360 356 0 0 12 492,037.97 7.329 6.814 360 356 360 356 0 0 13 3,250,902.87 7.722 7.207 360 357 360 357 0 0 24 43,169,055.26 7.302 6.787 360 356 360 356 0 0 36 1,208,436.00 7.049 6.534 360 357 255 255 105 102 36
GROUP A ADJUSTABLE RATE MORTGAGE LOANS
ORIG REM ORIG REM INITIAL NET ORIGINAL REMAINING AMORT AMORT IO IO GROSS RATE CURRENT MORTGAGE MORTGAGE TERM TERM TERM TERM TERM TERM MARGIN CHANGE PERIODIC MAXIMUM MINIMUM BALANCE ($) RATE(%) RATE(%) (MOS) (MOS) (MOS) (MOS) (MOS) (MOS) (%) CAP(%) CAP(%) RATE(%) RATE(%) -------------- -------- -------- -------- --------- ----- ----- ----- ----- ------ ------- -------- ------- -------- 131,373.00 6.500 5.985 360 358 360 358 0 0 6.250 3.000 1.500 13.500 6.500 17,303,683.02 7.696 7.181 360 357 360 357 0 0 7.032 3.000 1.166 14.237 7.294 9,186,980.84 7.496 6.981 360 356 360 356 0 0 7.142 2.972 1.096 13.689 7.503 282,849.13 6.674 6.159 360 357 360 357 0 0 4.089 3.000 1.500 13.675 6.674 129,211,563.55 7.228 6.713 360 357 360 357 0 0 6.800 2.997 1.180 13.611 7.208 4,276,962.07 7.565 7.050 360 358 360 358 0 0 7.004 3.000 1.038 13.946 7.097 92,421.90 6.850 6.335 360 357 360 357 0 0 6.600 3.000 1.500 13.850 6.850 510,550.00 7.091 6.576 360 357 300 300 60 57 6.841 3.000 1.000 13.091 7.091 736,000.00 6.959 6.444 360 356 300 300 60 56 6.614 3.000 1.000 12.959 6.959 613,600.00 6.747 6.232 360 357 336 336 24 21 5.747 2.000 1.000 13.747 6.747 13,408,738.14 6.469 5.954 360 357 315 315 45 42 5.859 2.656 1.046 12.825 6.478 231,390.00 6.375 5.860 360 358 336 336 24 22 5.375 2.000 1.500 13.375 6.375 919,808.87 7.666 7.151 360 356 360 356 0 0 7.185 3.000 1.161 14.458 7.666 892,990.80 7.258 6.743 360 356 360 356 0 0 7.400 3.000 1.000 13.382 7.459 1,690,493.49 7.403 6.888 360 357 360 357 0 0 7.014 3.000 1.000 13.403 7.147 271,037.60 8.765 8.250 360 356 360 356 0 0 8.645 3.000 1.000 14.765 8.765 30,166,539.41 7.068 6.553 360 357 360 357 0 0 6.180 2.993 1.027 13.131 6.420 399,920.00 6.042 5.527 360 357 324 324 36 33 5.042 2.000 1.000 13.042 6.042 247,539.38 6.375 5.860 360 356 360 356 0 0 5.375 3.000 1.000 12.375 6.375 368,920.80 6.150 5.635 360 355 360 355 0 0 5.150 3.000 1.000 11.150 6.150 439,000.00 6.297 5.782 360 358 300 300 60 58 6.047 3.000 1.000 12.297 6.297 NUMBER OF MONTHS ORIGINAL RATE UNTIL NEXT MONTHS TO CHANGE RATE PREPAY CURRENT FREQUENCY ADJUSTMENT PENALTY BALANCE ($) (MOS) DATE INDEX EXPIRATION -------------- --------- ---------- --------------- ---------- 131,373.00 6 4 Six-Month LIBOR 24 17,303,683.02 6 21 Six-Month LIBOR 0 9,186,980.84 6 20 Six-Month LIBOR 12 282,849.13 6 21 Six-Month LIBOR 13 129,211,563.55 6 21 Six-Month LIBOR 24 4,276,962.07 6 22 Six-Month LIBOR 36 92,421.90 6 21 Six-Month LIBOR 6 510,550.00 6 21 Six-Month LIBOR 0 736,000.00 6 20 Six-Month LIBOR 12 613,600.00 6 21 Six-Month LIBOR 13 13,408,738.14 6 21 Six-Month LIBOR 24 231,390.00 6 22 Six-Month LIBOR 36 919,808.87 6 32 Six-Month LIBOR 0 892,990.80 6 32 Six-Month LIBOR 12 1,690,493.49 6 33 Six-Month LIBOR 24 271,037.60 6 32 Six-Month LIBOR 30 30,166,539.41 6 33 Six-Month LIBOR 36 399,920.00 6 33 Six-Month LIBOR 36 247,539.38 6 56 Six-Month LIBOR 24 368,920.80 6 55 Six-Month LIBOR 36 439,000.00 6 58 Six-Month LIBOR 36
-------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 26 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 GROUP B FIXED RATE MORTGAGE LOANS
ORIGINAL ORIGINAL REMAINING ORIGINAL REMAINING MONTHS TO NET ORIGINAL REMAINING AMORTIZATION AMORTIZATION IO IO PREPAYMENT CURRENT MORTGAGE MORTGAGE TERM TERM TERM TERM TERM TERM PENALTY BALANCE ($) RATE(%) RATE(%) (MONTHS) (MONTHS) (MONTHS) (MONTHS) (MONTHS) (MONTHS) EXPIRATION ------------- -------- -------- -------- --------- ------------ ------------ -------- ---------- ---------- 393,578.94 9.187 8.672 180 176 360 356 0 0 0 375,732.13 10.720 10.205 180 176 360 356 0 0 12 149,911.16 10.740 10.225 180 177 360 357 0 0 13 2,617,079.73 10.947 10.432 180 177 360 357 0 0 24 1,527,734.62 10.181 9.666 180 177 360 357 0 0 36 152,847.34 8.500 7.985 180 175 360 355 0 0 48 175,225.54 10.472 9.957 180 178 360 358 0 0 60 52,511.58 7.850 7.335 120 117 120 117 0 0 24 279,212.63 7.056 6.541 120 116 120 116 0 0 60 372,650.65 8.215 7.700 180 177 180 177 0 0 0 42,687.35 8.625 8.110 180 177 180 177 0 0 30 2,019,186.20 7.924 7.409 180 177 180 177 0 0 36 237,055.21 5.450 4.935 180 174 180 174 0 0 48 1,303,536.14 7.199 6.684 180 177 180 177 0 0 60 31,542.21 10.000 9.485 240 237 240 237 0 0 0 307,596.33 12.105 11.590 240 237 240 237 0 0 12 910,959.39 12.070 11.555 240 236 240 236 0 0 24 813,974.79 8.246 7.731 240 236 240 236 0 0 36 2,487,507.18 7.605 7.090 240 236 240 236 0 0 60 72,445.13 7.790 7.275 300 297 300 297 0 0 48 75,021.78 7.540 7.025 300 297 300 297 0 0 60 2,232,164.21 8.378 7.863 360 356 360 356 0 0 0 1,064,612.57 7.053 6.538 360 356 360 356 0 0 12 2,546,627.72 7.365 6.850 360 356 360 356 0 0 24 32,141,910.63 7.175 6.660 360 356 360 356 0 0 36 242,609.83 6.519 6.004 360 357 360 357 0 0 48 24,110,909.79 7.439 6.924 360 356 360 356 0 0 60 1,329,843.92 6.745 6.230 360 357 274 274 86 83 36
GROUP B ADJUSTABLE RATE MORTGAGE LOANS
ORIG REM ORIG REM INITIAL NET ORIGINAL REMAINING AMORT AMORT IO IO GROSS RATE CURRENT MORTGAGE MORTGAGE TERM TERM TERM TERM TERM TERM MARGIN CHANGE PERIODIC MAXIMUM MINIMUM BALANCE ($) RATE(%) RATE(%) (MOS) (MOS) (MOS) (MOS) (MOS) (MOS) (%) CAP(%) CAP(%) RATE(%) RATE(%) ------------- -------- -------- -------- --------- ----- ----- ----- ----- ------ ------- -------- ------- ------- 52,764.21 7.600 7.085 360 357 360 357 0 0 7.350 3.000 1.500 14.600 7.600 189,209.41 8.250 7.735 360 358 360 358 0 0 8.500 3.000 1.000 14.250 8.500 13,119,270.50 7.705 7.190 360 357 360 357 0 0 6.998 2.993 1.087 14.160 7.208 8,189,415.26 7.121 6.606 360 356 360 356 0 0 6.912 3.000 1.071 13.316 7.246 99,309,300.14 7.124 6.609 360 356 360 356 0 0 6.684 2.992 1.185 13.510 7.095 4,265,521.63 7.644 7.129 360 357 360 357 0 0 7.221 3.000 1.078 13.942 7.393 342,648.46 6.967 6.452 360 356 360 356 0 0 6.672 3.000 1.500 13.967 6.967 2,734,388.49 7.680 7.165 360 357 360 357 0 0 7.358 3.000 1.034 13.748 7.680 1,060,941.66 6.869 6.354 360 357 313 313 47 44 6.342 3.000 1.000 12.869 6.869 11,892,462.31 6.556 6.041 360 357 308 308 52 49 6.126 2.874 1.010 12.693 6.556 190,969.50 7.500 6.985 360 357 300 300 60 57 7.250 3.000 1.000 13.500 7.500 1,024,275.55 8.003 7.488 360 357 360 357 0 0 7.519 2.908 1.000 14.296 7.681 187,515.75 7.875 7.360 360 357 360 357 0 0 7.750 6.000 1.000 13.875 7.875 1,305,304.32 7.259 6.744 360 357 360 357 0 0 6.679 3.000 1.145 13.548 6.899 21,810,542.53 6.826 6.311 360 357 360 357 0 0 5.755 3.000 1.047 12.920 5.964 211,943.87 5.750 5.235 360 358 360 358 0 0 5.500 3.000 1.000 11.750 5.750 65,907.45 7.625 7.110 360 356 360 356 0 0 6.325 3.000 1.000 13.625 6.325 2,269,078.21 6.604 6.089 360 356 313 313 47 43 5.924 2.938 1.000 12.786 6.604 351,273.69 5.700 5.185 360 356 360 356 0 0 4.700 3.000 1.000 11.700 4.700 104,895.28 5.950 5.435 360 356 360 356 0 0 4.950 3.000 1.000 11.950 5.950 450,206.06 6.206 5.691 360 356 360 356 0 0 5.206 3.000 1.000 12.206 6.206 385,263.61 6.750 6.235 360 358 300 300 60 58 6.500 3.000 1.000 12.750 6.750 NUMBER OF MONTHS ORIGINAL RATE UNTIL NEXT MONTHS TO CHANGE RATE PREPAY CURRENT FREQUENCY ADJUSTMENT PENALTY BALANCE ($) (MOS) DATE INDEX EXPIRATION ------------- --------- ---------- --------------- ---------- 52,764.21 6 9 Six-Month LIBOR 12 189,209.41 6 10 Six-Month LIBOR 24 13,119,270.50 6 21 Six-Month LIBOR 0 8,189,415.26 6 20 Six-Month LIBOR 12 99,309,300.14 6 20 Six-Month LIBOR 24 4,265,521.63 6 21 Six-Month LIBOR 36 342,648.46 6 20 Six-Month LIBOR 6 2,734,388.49 6 21 Six-Month LIBOR 60 1,060,941.66 6 21 Six-Month LIBOR 12 11,892,462.31 6 21 Six-Month LIBOR 24 190,969.50 6 21 Six-Month LIBOR 60 1,024,275.55 6 33 Six-Month LIBOR 0 187,515.75 6 33 Six-Month LIBOR 12 1,305,304.32 6 33 Six-Month LIBOR 24 21,810,542.53 6 33 Six-Month LIBOR 36 211,943.87 6 34 Six-Month LIBOR 48 65,907.45 6 32 Six-Month LIBOR 60 2,269,078.21 6 32 Six-Month LIBOR 36 351,273.69 6 56 Six-Month LIBOR 12 104,895.28 6 56 Six-Month LIBOR 24 450,206.06 6 56 Six-Month LIBOR 36 385,263.61 6 58 Six-Month LIBOR 36
-------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 27 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 ONE MONTH LIBOR CAP TABLE
----------------------------------------------------------------------------------------------------- NOTIONAL 1ML STRIKE 1ML STRIKE BEGINNING ENDING BALANCE LOWER COLLAR UPPER COLLAR PERIOD ACCRUAL ACCRUAL ($) (%) (%) ----------------------------------------------------------------------------------------------------- 1 03/30/04 04/25/04 525,000,000.00 5.261 9.000 ----------------------------------------------------------------------------------------------------- 2 04/25/04 05/25/04 519,880,888.93 4.656 9.000 ----------------------------------------------------------------------------------------------------- 3 05/25/04 06/25/04 513,650,295.94 4.612 9.000 ----------------------------------------------------------------------------------------------------- 4 06/25/04 07/25/04 506,316,435.80 4.881 9.000 ----------------------------------------------------------------------------------------------------- 5 07/25/04 08/25/04 497,896,813.35 4.810 9.000 ----------------------------------------------------------------------------------------------------- 6 08/25/04 09/25/04 488,414,316.55 4.895 9.000 ----------------------------------------------------------------------------------------------------- 7 09/25/04 10/25/04 477,901,407.90 5.146 9.000 ----------------------------------------------------------------------------------------------------- 8 10/25/04 11/25/04 466,628,617.08 5.043 9.000 ----------------------------------------------------------------------------------------------------- 9 11/25/04 12/25/04 454,670,788.34 5.287 9.000 ----------------------------------------------------------------------------------------------------- 10 12/25/04 01/25/05 442,379,832.73 5.169 9.000 ----------------------------------------------------------------------------------------------------- 11 01/25/05 02/25/05 430,414,317.18 5.228 9.000 ----------------------------------------------------------------------------------------------------- 12 02/25/05 03/25/05 418,780,150.64 5.875 9.000 ----------------------------------------------------------------------------------------------------- 13 03/25/05 04/25/05 407,467,913.36 5.334 9.000 ----------------------------------------------------------------------------------------------------- 14 04/25/05 05/25/05 396,468,521.22 5.571 9.000 ----------------------------------------------------------------------------------------------------- 15 05/25/05 06/25/05 385,773,150.16 5.430 9.000 ----------------------------------------------------------------------------------------------------- 16 06/25/05 07/25/05 375,373,228.62 5.665 9.000 ----------------------------------------------------------------------------------------------------- 17 07/25/05 08/25/05 365,260,434.67 5.518 9.000 ----------------------------------------------------------------------------------------------------- 18 08/25/05 09/25/05 355,426,695.19 5.559 9.000 ----------------------------------------------------------------------------------------------------- 19 09/25/05 10/25/05 345,857,913.26 5.792 9.000 ----------------------------------------------------------------------------------------------------- 20 10/25/05 11/25/05 334,490,616.51 5.631 9.000 ----------------------------------------------------------------------------------------------------- 21 11/25/05 12/25/05 319,387,858.25 6.465 9.000 ----------------------------------------------------------------------------------------------------- 22 12/25/05 01/25/06 304,992,883.50 7.276 9.000 ----------------------------------------------------------------------------------------------------- 23 01/25/06 02/25/06 291,374,680.15 7.306 9.000 ----------------------------------------------------------------------------------------------------- 24 02/25/06 03/25/06 278,459,274.23 8.119 9.000 ----------------------------------------------------------------------------------------------------- 25 03/25/06 04/25/06 267,401,280.36 7.320 9.000 ----------------------------------------------------------------------------------------------------- 26 04/25/06 05/25/06 259,278,618.29 7.593 9.000 ----------------------------------------------------------------------------------------------------- 27 05/25/06 06/25/06 251,475,416.03 7.580 9.000 ----------------------------------------------------------------------------------------------------- 28 06/25/06 07/25/06 243,926,590.98 8.238 9.000 ----------------------------------------------------------------------------------------------------- 29 07/25/06 08/25/06 236,625,501.66 7.986 9.000 ----------------------------------------------------------------------------------------------------- 30 08/25/06 09/25/06 229,556,464.61 7.998 9.000 ----------------------------------------------------------------------------------------------------- 31 09/25/06 10/25/06 222,711,589.22 8.750 9.000 ----------------------------------------------------------------------------------------------------- 32 10/25/06 11/25/06 216,083,443.74 8.449 9.000 ----------------------------------------------------------------------------------------------------- 33 11/25/06 12/25/06 209,664,849.90 8.970 9.000 -----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 28 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 CLASS X NOTIONAL BALANCE SCHEDULE
------------------------------------------------- PERIOD BALANCE SCHEDULE ($) ------------------------------------------------- 1 525,000,000.00 ------------------------------------------------- 2 486,001,117.63 ------------------------------------------------- 3 449,896,581.07 ------------------------------------------------- 4 416,471,759.48 ------------------------------------------------- 5 385,527,926.16 ------------------------------------------------- 6 356,881,094.58 ------------------------------------------------- 7 330,360,884.79 ------------------------------------------------- 8 305,809,558.80 ------------------------------------------------- 9 283,081,069.55 ------------------------------------------------- 10 262,040,195.06 ------------------------------------------------- 11 242,561,739.79 ------------------------------------------------- 12 224,529,796.17 ------------------------------------------------- 13 207,837,023.70 ------------------------------------------------- 14 192,384,054.82 ------------------------------------------------- 15 178,078,889.19 ------------------------------------------------- 16 164,836,347.92 ------------------------------------------------- 17 152,577,568.14 ------------------------------------------------- 18 141,229,535.00 ------------------------------------------------- 19 130,724,648.33 ------------------------------------------------- 20 121,000,321.43 ------------------------------------------------- 21 111,998,609.50 ------------------------------------------------- 22 103,668,670.96 ------------------------------------------------- 23 95,960,851.50 ------------------------------------------------- 24 88,825,535.20 ------------------------------------------------- 25 82,220,220.07 ------------------------------------------------- 26 76,105,575.45 ------------------------------------------------- 27 70,445,186.88 ------------------------------------------------- 28 65,205,340.02 ------------------------------------------------- 29 60,354,820.64 ------------------------------------------------- 30 55,864,729.32 ------------------------------------------------- 31 0.00 -------------------------------------------------
-------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 29 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 HYPOTHETICAL AVAILABLE FUNDS CAP TABLE
AVAILABLE AVAILABLE PAYMENT FUNDS CAP FUNDS CAP PERIOD DATE (%) (1)(2) (%) (1)(3) ------ ---------- ---------- ---------- 1 04/25/2004 5.511 5.511 2 05/25/2004 4.906 9.250 3 06/25/2004 4.862 9.250 4 07/25/2004 5.131 9.250 5 08/25/2004 5.060 9.250 6 09/25/2004 5.145 9.250 7 10/25/2004 5.395 9.250 8 11/25/2004 5.309 9.249 9 12/25/2004 5.572 9.248 10 01/25/2005 5.472 9.247 11 02/25/2005 5.544 9.246 12 03/25/2005 6.200 9.246 13 04/25/2005 5.655 9.246 14 05/25/2005 5.897 9.245 15 06/25/2005 5.756 9.246 16 07/25/2005 5.997 9.246 17 08/25/2005 5.849 9.245 18 09/25/2005 5.893 9.245 19 10/25/2005 6.132 9.245 20 11/25/2005 5.972 9.245 21 12/25/2005 6.359 9.245 22 01/25/2006 6.421 9.243 23 02/25/2006 6.451 9.242 24 03/25/2006 7.171 9.242 25 04/25/2006 6.504 9.242 26 05/25/2006 6.754 9.241 27 06/25/2006 6.566 9.241 28 07/25/2006 6.816 9.241 29 08/25/2006 6.624 9.240 30 09/25/2006 6.652 9.240 31 10/25/2006 7.378 9.238 32 11/25/2006 7.145 9.238 33 12/25/2006 7.394 9.237 34 01/25/2007 7.184 9.519 35 02/25/2007 7.189 9.511 36 03/25/2007 7.966 10.512 37 04/25/2007 7.201 9.478 38 05/25/2007 7.374 9.776 39 06/25/2007 7.136 9.631 40 07/25/2007 7.373 10.345 41 08/25/2007 7.134 9.999 42 9/25/2007 7.134 9.978 43 10/25/2007 7.371 10.289 44 11/25/2007 7.133 9.936 45 12/25/2007 7.370 10.253 46 1/25/2008 7.131 10.007 47 2/25/2008 7.131 9.988 48 3/25/2008 7.622 10.653 49 4/25/2008 7.130 9.944 50 5/25/2008 7.367 10.253 51 6/25/2008 7.132 9.906 52 7/25/2008 7.373 10.296 53 8/25/2008 7.140 9.942 54 9/25/2008 7.144 9.919 55 10/25/2008 7.387 10.226 56 11/25/2008 7.153 9.875 57 12/25/2008 7.397 10.186 58 1/25/2009 7.163 9.836 59 2/25/2009 7.169 9.817 60 3/25/2009 7.943 10.843 61 4/25/2009 7.180 9.771 62 5/25/2009 7.425 10.074 63 6/25/2009 7.191 9.727 64 7/25/2009 7.437 10.028 65 8/25/2009 7.203 9.683 66 9/25/2009 7.209 9.660 67 10/25/2009 7.456 9.959 68 11/25/2009 7.222 9.615 69 12/25/2009 7.470 9.914 70 1/25/2010 7.236 9.571 71 2/25/2010 7.244 9.549 72 3/25/2010 8.028 10.547 73 4/25/2010 7.259 9.504 74 5/25/2010 7.509 9.798 75 6/25/2010 7.275 9.460 76 7/25/2010 7.527 9.752 77 8/25/2010 7.293 9.416 78 9/25/2010 7.302 9.394 79 10/25/2010 7.555 9.684 80 11/25/2010 7.320 9.349 81 12/25/2010 N/A 9.638 82 1/25/2011 N/A N/A
1. Available Funds Cap means a per annum (A) 12 times the quotient of (x) the total scheduled interest based on the Net Mortgage Rates in effect on the related due date less interest due on the Class X Certificates on such Distribution Date, divided by (y) the aggregate principal balance of the Offered Certificates as of the first day of the applicable accrual period multiplied by 30 and divided by the actual number of days in the related accrual period. 2. Assumes no losses, 10% cleanup call, 20% HEP on fixed rate collateral and 100% PPC on the adjustable rate collateral, and 1 month LIBOR and 6 month LIBOR remain constant at 1.09% and 1.17%, respectively. 3. Assumes no losses, 10% cleanup call, 20% HEP on fixed rate collateral and 100% PPC on the adjustable rate collateral, and 1 month LIBOR and 6 month LIBOR start at 1.09% and 1.17% in month 1, respectively, both increasing to 20.00% thereafter. The values indicated include proceeds from the Cap Contract, although such proceeds are excluded from the calculation of the Available Funds Cap described herein. -------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 30 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 DISCOUNT MARGIN TABLE (TO CALL)
----------------------------------------------------------------------------------------------------------- 0% 80% 100% 150% 200% PRICING SPEED PRICING SPEED PRICING SPEED PRICING SPEED PRICING SPEED TO CALL TO CALL TO CALL TO CALL TO CALL ----------------------------------------------------------------------------------------------------------- DISC MARGIN DISC MARGIN DISC MARGIN DISC MARGIN DISC MARGIN =========================================================================================================== A-1B 100 42 42 42 42 42 WAL 18.88 5.90 5.53 2.67 1.85 PRINCIPAL WINDOW Apr07 - Sep32 Jul07 - Sep12 Jan08 - Nov10 Sep06 - Jan07 Jan06 - Feb06 ----------------------------------------------------------------------------------------------------------- A-2 100 24 24 24 24 24 WAL 17.97 3.03 2.37 1.32 1.00 PRINCIPAL WINDOW Apr04 - Sep32 Apr04 - Sep12 Apr04 - Nov10 Apr04 - Mar07 Apr04 - Mar06 ----------------------------------------------------------------------------------------------------------- M-1 100 53 53 53 53 53 WAL 25.90 5.55 4.68 4.07 2.16 PRINCIPAL WINDOW Aug25 - Sep32 May07 - Sep12 Aug07 - Nov10 Mar07 - May08 Mar06 - Sep06 ----------------------------------------------------------------------------------------------------------- M-2 100 115 115 115 115 115 WAL 25.90 5.54 4.57 4.01 2.68 PRINCIPAL WINDOW Aug25 - Sep32 Apr07 - Sep12 Jun07 - Nov10 Nov07 - May08 Sep06 - Dec06 ----------------------------------------------------------------------------------------------------------- M-3 100 135 135 135 135 135 WAL 25.90 5.53 4.52 3.67 2.74 PRINCIPAL WINDOW Aug25 - Sep32 Apr07 - Sep12 May07 - Nov10 Aug07 - May08 Dec06 - Dec06 ----------------------------------------------------------------------------------------------------------- B-1 100 170 170 170 170 170 WAL 25.90 5.52 4.50 3.52 2.74 PRINCIPAL WINDOW Aug25 - Sep32 Apr07 - Sep12 Apr07 - Nov10 May07 - May08 Dec06 - Dec06 ----------------------------------------------------------------------------------------------------------- B-2 100 285 285 285 285 285 WAL 25.67 5.10 4.16 3.22 2.74 PRINCIPAL WINDOW Aug25 - Jul32 Apr07 - May12 Apr07 - Aug10 Apr07 - Mar08 Dec06 - Dec06 ----------------------------------------------------------------------------------------------------------- YIELD TABLE (TO CALL) ----------------------------------------------------------------------------------------------------------- NAS IO 1.81911 2.50 2.50 2.50 2.50 2.50 WAL 1.00 1.00 1.00 1.00 1.00 PRINCIPAL WINDOW NA - NA NA - NA NA - NA NA - NA NA - NA -----------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 31 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 DISCOUNT MARGIN TABLE (TO MATURITY)
---------------------------------------------------------------------------------------------------------- 0% 80% 100% 150% 200% PRICING SPEED PRICING SPEED PRICING SPEED PRICING SPEED PRICING SPEED TO MATURITY TO MATURITY TO MATURITY TO MATURITY TO MATURITY ---------------------------------------------------------------------------------------------------------- DISC MARGIN DISC MARGIN DISC MARGIN DISC MARGIN DISC MARGIN ========================================================================================================== A-1B 100 42 45 46 42 42 WAL 18.92 6.37 6.14 2.67 1.85 PRINCIPAL WINDOW Apr07 - Nov33 Jul07 - Jan19 Jan08 - Apr16 Sep06 - Jan07 Jan06 - Feb06 ---------------------------------------------------------------------------------------------------------- A-2 100 24 27 27 24 24 WAL 18.03 3.43 2.72 1.32 1.00 PRINCIPAL WINDOW Apr04 - Nov33 Apr04 - Jan24 Apr04 - Jul20 Apr04 - Mar07 Apr04 - Mar06 ---------------------------------------------------------------------------------------------------------- M-1 100 53 55 55 62 53 WAL 26.02 6.18 5.22 6.26 2.16 PRINCIPAL WINDOW Aug25 - Oct33 May07 - Mar20 Aug07 - May17 Mar07 - Feb15 Mar06 - Sep06 ---------------------------------------------------------------------------------------------------------- M-2 100 115 119 120 119 129 WAL 26.01 6.09 5.03 4.37 3.59 PRINCIPAL WINDOW Aug25 - Sep33 Apr07 - Oct18 Jun07 - Dec15 Nov07 - Sep11 Sep06 - Jan12 ---------------------------------------------------------------------------------------------------------- M-3 100 135 139 139 139 163 WAL 26.00 5.97 4.89 3.91 4.86 PRINCIPAL WINDOW Aug25 - Jul33 Apr07 - Jul16 May07 - Jan14 Aug07 - Jun10 Jul08 - Oct09 ---------------------------------------------------------------------------------------------------------- B-1 100 170 173 173 172 193 WAL 25.95 5.74 4.69 3.63 3.82 PRINCIPAL WINDOW Aug25 - May33 Apr07 - May15 Apr07 - Feb13 May07 - Oct09 Aug07 - Jul08 ---------------------------------------------------------------------------------------------------------- B-2 100 285 285 285 285 307 WAL 25.67 5.10 4.16 3.22 3.27 PRINCIPAL WINDOW Aug25 - Jul32 Apr07 - May12 Apr07 - Aug10 Apr07 - Mar08 May07 - Aug07 ---------------------------------------------------------------------------------------------------------- YIELD TABLE (TO MATURITY) ---------------------------------------------------------------------------------------------------------- NAS IO 1.81911 2.50 2.50 2.50 2.50 2.50 WAL 1.00 1.00 1.00 1.00 1.00 PRINCIPAL WINDOW NA - NA NA - NA NA - NA NA - NA NA - NA ----------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 32 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 TO MATURITY PERCENTAGE OF CLASS A-1B CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
0% PRICING 80% PRICING 100% PRICING 150% PRICING 200% PRICING DATE SPEED SPEED SPEED SPEED SPEED ---------------------------- ---------- ----------- ------------ ------------ ------------ Initial Percentage 100 100 100 100 100 25-Mar-05 100 100 100 100 100 25-Mar-06 100 100 100 100 0 25-Mar-07 100 100 100 0 0 25-Mar-08 98 80 92 0 0 25-Mar-09 97 59 62 0 0 25-Mar-10 95 43 42 0 0 25-Mar-11 93 32 28 0 0 25-Mar-12 91 23 18 0 0 25-Mar-13 89 17 11 0 0 25-Mar-14 86 12 6 0 0 25-Mar-15 84 8 3 0 0 25-Mar-16 81 5 * 0 0 25-Mar-17 78 3 0 0 0 25-Mar-18 74 1 0 0 0 25-Mar-19 69 0 0 0 0 25-Mar-20 65 0 0 0 0 25-Mar-21 61 0 0 0 0 25-Mar-22 57 0 0 0 0 25-Mar-23 53 0 0 0 0 25-Mar-24 48 0 0 0 0 25-Mar-25 43 0 0 0 0 25-Mar-26 38 0 0 0 0 25-Mar-27 34 0 0 0 0 25-Mar-28 30 0 0 0 0 25-Mar-29 26 0 0 0 0 25-Mar-30 21 0 0 0 0 25-Mar-31 16 0 0 0 0 25-Mar-32 10 0 0 0 0 25-Mar-33 4 0 0 0 0 25-Mar-34 0 0 0 0 0 Average Life (years) 18.92 6.36 6.14 2.67 1.85 First Principal Payment Date Apr07 Jul07 Jan08 Sep06 Jan06 Last Principal Payment Date Nov33 Jan19 Mar16 Jan07 Feb06
-------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 33 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 TO MATURITY PERCENTAGE OF CLASS A-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
0% PRICING 80% PRICING 100% PRICING 150% PRICING 200% PRICING DATE SPEED SPEED SPEED SPEED SPEED ---------------------------- ---------- ----------- ------------ ------------ ------------ Initial Percentage 100 100 100 100 100 25-Mar-05 98 77 72 59 45 25-Mar-06 96 50 41 18 0 25-Mar-07 95 33 22 0 0 25-Mar-08 94 27 21 0 0 25-Mar-09 92 21 15 0 0 25-Mar-10 90 16 11 0 0 25-Mar-11 88 13 9 0 0 25-Mar-12 86 10 7 0 0 25-Mar-13 84 8 5 0 0 25-Mar-14 82 7 4 0 0 25-Mar-15 79 6 4 0 0 25-Mar-16 77 5 3 0 0 25-Mar-17 74 4 2 0 0 25-Mar-18 70 3 1 0 0 25-Mar-19 65 3 1 0 0 25-Mar-20 61 2 * 0 0 25-Mar-21 58 1 0 0 0 25-Mar-22 54 1 0 0 0 25-Mar-23 49 * 0 0 0 25-Mar-24 45 0 0 0 0 25-Mar-25 40 0 0 0 0 25-Mar-26 36 0 0 0 0 25-Mar-27 32 0 0 0 0 25-Mar-28 29 0 0 0 0 25-Mar-29 25 0 0 0 0 25-Mar-30 20 0 0 0 0 25-Mar-31 16 0 0 0 0 25-Mar-32 10 0 0 0 0 25-Mar-33 5 0 0 0 0 25-Mar-34 0 0 0 0 0 Average Life (years) 18.03 3.43 2.72 1.32 1.00 First Principal Payment Date Apr04 Apr04 Apr04 Apr04 Apr04 Last Principal Payment Date Nov33 Jan24 Jul20 Mar07 Mar06
* = less than 0.5% -------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 34 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 TO MATURITY PERCENTAGE OF CLASS M-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
0% PRICING 80% PRICING 100% PRICING 150% PRICING 200% PRICING DATE SPEED SPEED SPEED SPEED SPEED ---------------------------- ---------- ----------- ------------ ------------ ------------ Initial Percentage 100 100 100 100 100 25-Mar-05 100 100 100 100 100 25-Mar-06 100 100 100 100 71 25-Mar-07 100 100 100 93 0 25-Mar-08 100 67 49 93 0 25-Mar-09 100 51 35 75 0 25-Mar-10 100 39 25 47 0 25-Mar-11 100 29 18 30 0 25-Mar-12 100 22 13 18 0 25-Mar-13 100 17 9 9 0 25-Mar-14 100 13 7 3 0 25-Mar-15 100 10 5 0 0 25-Mar-16 100 8 3 0 0 25-Mar-17 100 6 * 0 0 25-Mar-18 100 5 0 0 0 25-Mar-19 100 2 0 0 0 25-Mar-20 100 0 0 0 0 25-Mar-21 100 0 0 0 0 25-Mar-22 100 0 0 0 0 25-Mar-23 100 0 0 0 0 25-Mar-24 100 0 0 0 0 25-Mar-25 100 0 0 0 0 25-Mar-26 95 0 0 0 0 25-Mar-27 85 0 0 0 0 25-Mar-28 75 0 0 0 0 25-Mar-29 64 0 0 0 0 25-Mar-30 53 0 0 0 0 25-Mar-31 40 0 0 0 0 25-Mar-32 26 0 0 0 0 25-Mar-33 11 0 0 0 0 25-Mar-34 0 0 0 0 0 Average Life (years) 26.02 6.18 5.22 6.26 2.16 First Principal Payment Date Aug25 May07 Aug07 Mar07 Mar06 Last Principal Payment Date Oct33 Mar20 May17 Feb15 Sep06
* = less than 0.5% -------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 35 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 TO MATURITY PERCENTAGE OF CLASS M-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
0% PRICING 80% PRICING 100% PRICING 150% PRICING 200% PRICING DATE SPEED SPEED SPEED SPEED SPEED ---------------------------- ---------- ----------- ------------ ------------ ------------ Initial Percentage 100 100 100 100 100 25-Mar-05 100 100 100 100 100 25-Mar-06 100 100 100 100 100 25-Mar-07 100 100 100 100 23 25-Mar-08 100 67 49 59 23 25-Mar-09 100 51 35 13 23 25-Mar-10 100 39 25 8 16 25-Mar-11 100 29 18 2 5 25-Mar-12 100 22 13 0 0 25-Mar-13 100 17 9 0 0 25-Mar-14 100 13 6 0 0 25-Mar-15 100 10 2 0 0 25-Mar-16 100 8 0 0 0 25-Mar-17 100 5 0 0 0 25-Mar-18 100 1 0 0 0 25-Mar-19 100 0 0 0 0 25-Mar-20 100 0 0 0 0 25-Mar-21 100 0 0 0 0 25-Mar-22 100 0 0 0 0 25-Mar-23 100 0 0 0 0 25-Mar-24 100 0 0 0 0 25-Mar-25 100 0 0 0 0 25-Mar-26 95 0 0 0 0 25-Mar-27 85 0 0 0 0 25-Mar-28 75 0 0 0 0 25-Mar-29 64 0 0 0 0 25-Mar-30 53 0 0 0 0 25-Mar-31 40 0 0 0 0 25-Mar-32 26 0 0 0 0 25-Mar-33 11 0 0 0 0 25-Mar-34 0 0 0 0 0 Average Life (years) 26.01 6.09 5.03 4.37 3.59 First Principal Payment Date Aug25 Apr07 Jun07 Nov07 Sep06 Last Principal Payment Date Sep33 Oct18 Dec15 Sep11 Jan12
-------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 36 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 TO MATURITY PERCENTAGE OF CLASS M-3 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
0% PRICING 80% PRICING 100% PRICING 150% PRICING 200% PRICING DATE SPEED SPEED SPEED SPEED SPEED ---------------------------- ---------- ----------- ------------ ------------ ------------ Initial Percentage 100 100 100 100 100 25-Mar-05 100 100 100 100 100 25-Mar-06 100 100 100 100 100 25-Mar-07 100 100 100 100 100 25-Mar-08 100 67 49 21 100 25-Mar-09 100 51 35 13 34 25-Mar-10 100 39 25 2 0 25-Mar-11 100 29 18 0 0 25-Mar-12 100 22 13 0 0 25-Mar-13 100 17 8 0 0 25-Mar-14 100 13 0 0 0 25-Mar-15 100 10 0 0 0 25-Mar-16 100 2 0 0 0 25-Mar-17 100 0 0 0 0 25-Mar-18 100 0 0 0 0 25-Mar-19 100 0 0 0 0 25-Mar-20 100 0 0 0 0 25-Mar-21 100 0 0 0 0 25-Mar-22 100 0 0 0 0 25-Mar-23 100 0 0 0 0 25-Mar-24 100 0 0 0 0 25-Mar-25 100 0 0 0 0 25-Mar-26 95 0 0 0 0 25-Mar-27 85 0 0 0 0 25-Mar-28 75 0 0 0 0 25-Mar-29 64 0 0 0 0 25-Mar-30 53 0 0 0 0 25-Mar-31 40 0 0 0 0 25-Mar-32 26 0 0 0 0 25-Mar-33 11 0 0 0 0 25-Mar-34 0 0 0 0 0 Average Life (years) 26.00 5.97 4.89 3.91 4.86 First Principal Payment Date Aug25 Apr07 May07 Aug07 Jul08 Last Principal Payment Date Jul33 Jul16 Jan14 Jun10 Oct09
-------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 37 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 TO MATURITY PERCENTAGE OF CLASS B-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
0% PRICING 80% PRICING 100% PRICING 150% PRICING 200% PRICING DATE SPEED SPEED SPEED SPEED SPEED ---------------------------- ---------- ----------- ------------ ------------ ------------ Initial Percentage 100 100 100 100 100 25-Mar-05 100 100 100 100 100 25-Mar-06 100 100 100 100 100 25-Mar-07 100 100 100 100 100 25-Mar-08 100 67 49 21 26 25-Mar-09 100 51 35 5 0 25-Mar-10 100 39 25 0 0 25-Mar-11 100 29 15 0 0 25-Mar-12 100 22 6 0 0 25-Mar-13 100 14 0 0 0 25-Mar-14 100 6 0 0 0 25-Mar-15 100 1 0 0 0 25-Mar-16 100 0 0 0 0 25-Mar-17 100 0 0 0 0 25-Mar-18 100 0 0 0 0 25-Mar-19 100 0 0 0 0 25-Mar-20 100 0 0 0 0 25-Mar-21 100 0 0 0 0 25-Mar-22 100 0 0 0 0 25-Mar-23 100 0 0 0 0 25-Mar-24 100 0 0 0 0 25-Mar-25 100 0 0 0 0 25-Mar-26 95 0 0 0 0 25-Mar-27 85 0 0 0 0 25-Mar-28 75 0 0 0 0 25-Mar-29 64 0 0 0 0 25-Mar-30 53 0 0 0 0 25-Mar-31 40 0 0 0 0 25-Mar-32 26 0 0 0 0 25-Mar-33 3 0 0 0 0 25-Mar-34 0 0 0 0 0 Average Life (years) 25.95 5.74 4.69 3.63 3.82 First Principal Payment Date Aug25 Apr07 Apr07 May07 Aug07 Last Principal Payment Date May33 May15 Feb13 Oct09 Jul08
-------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 38 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC1 TO MATURITY PERCENTAGE OF CLASS B-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
0% PRICING 80% PRICING 100% PRICING 150% PRICING 200% PRICING DATE SPEED SPEED SPEED SPEED SPEED ---------------------------- ---------- ----------- ------------ ------------ ------------ Initial Percentage 100 100 100 100 100 25-Mar-05 100 100 100 100 100 25-Mar-06 100 100 100 100 100 25-Mar-07 100 100 100 100 100 25-Mar-08 100 67 49 0 0 25-Mar-09 100 51 24 0 0 25-Mar-10 100 31 6 0 0 25-Mar-11 100 14 0 0 0 25-Mar-12 100 1 0 0 0 25-Mar-13 100 0 0 0 0 25-Mar-14 100 0 0 0 0 25-Mar-15 100 0 0 0 0 25-Mar-16 100 0 0 0 0 25-Mar-17 100 0 0 0 0 25-Mar-18 100 0 0 0 0 25-Mar-19 100 0 0 0 0 25-Mar-20 100 0 0 0 0 25-Mar-21 100 0 0 0 0 25-Mar-22 100 0 0 0 0 25-Mar-23 100 0 0 0 0 25-Mar-24 100 0 0 0 0 25-Mar-25 100 0 0 0 0 25-Mar-26 95 0 0 0 0 25-Mar-27 85 0 0 0 0 25-Mar-28 75 0 0 0 0 25-Mar-29 64 0 0 0 0 25-Mar-30 53 0 0 0 0 25-Mar-31 33 0 0 0 0 25-Mar-32 8 0 0 0 0 25-Mar-33 0 0 0 0 0 Average Life (years) 25.67 5.10 4.16 3.22 3.27 First Principal Payment Date Aug25 Apr07 Apr07 Apr07 May07 Last Principal Payment Date Jul32 May12 Aug10 Mar08 Aug07
-------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 39