EX-99.1 2 x97780exv99w1.txt COMPUTATIONAL MATERIALS EXHIBIT 99.1 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC2 ABS NEW TRANSACTION COMPUTATIONAL MATERIALS $575,000,000 (APPROXIMATE) SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2004-BC2 [SURF LOGO] [LITTON LOAN SERVICING, L.P.] SERVICER [J.P. MORGAN CHASE BANK] TRUSTEE MAY 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previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 1 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC2 The attached tables and other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 The information herein is preliminary, and will be superseded by the applicable Prospectus Supplement and by any other information subsequently filed with the Securities and Exchange Commission.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-BC2 TERM SHEET MAY 25, 2004 SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2004-BC2 $575,000,000 (APPROXIMATE) SUBJECT TO REVISION
PRINCIPAL EXPECTED STATED WAL (YRS) WINDOW FINAL FINAL EXPECTED RATINGS APPROX (CALL(4)/ (CALL(4)/ PAYMENT INTEREST MATURITY MATURITY (MOODY'S CLASS SIZE ($) COUPON MATURITY) MATURITY) DELAY ACCRUAL (4) (5) /S&P) --------- ----------- ---------- ----------- ------------------ ------- ---------- -------- -------- ---------------- CLASS A-1 321,788,000 Information not provided hereby [Aaa/AAA] CLASS A-2 150,000,000 LIBOR + [] 2.36 / 2.65 1 - 80 / 1 - 194 0 Actual/360 02/2011 05/2035 [Aaa/AAA] (1), (2) CLASS M-1 38,525,000 LIBOR + [] 4.71 / 5.24 41 - 80 / 41 - 159 0 Actual/360 02/2011 05/2035 [Aa2/AA] (1), (3) CLASS M-2 31,913,000 LIBOR + [] 4.59 / 5.05 39 - 80 / 39 - 142 0 Actual/360 02/2011 05/2035 [A2/A] (1), (3) CLASS M-3 9,775,000 LIBOR + [] 4.54 / 4.91 38 - 80 / 38 - 119 0 Actual/360 02/2011 05/2035 [A3/A-] (1), (3) CLASS B-1 15,813,000 LIBOR + [] 4.52 / 4.73 37 - 80 / 37 - 108 0 Actual/360 02/2011 05/2035 [Baa2/BBB] (1), (3) CLASS B-2 7,186,000 LIBOR + [] 4.28 / 4.28 37 - 80 / 37 - 80 0 Actual/360 02/2011 05/2035 [Baa3/BBB-] (1), (3) ----------- TOTAL 575,000,000 ----------- OFFERED:
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-1 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 margin 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. The maximum CPR in any one period is 95%. 5) Assumes latest maturity date of any Mortgage Loan plus one year. -------------------------------------------------------------------------------- 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-BC2 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 Tom Saywell 212-449-2122 tom_saywell@ml.com Alan Chan 212-449-8140 alan_chan@ml.com Fred Hubert 212-449-5071 fred_hubert@ml.com Alice Chu 212-449-1701 alice_chu@ml.com Sonia Lee 212-449-5067 sonia_lee@ml.com Amanda de Zutter 212-449-0425 amanda_dezutter@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-BC2 TITLE OF OFFERED Specialty Underwriting & Residential Finance ("SURF"), CERTIFICATES Mortgage Loan Asset-Backed Certificates, Series 2004-BC2, consisting of: Class A-1 Certificates, Class A-2 Certificates (together, with the Class A-1 Certificates, the "Class A 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 CUT-OFF DATE June 1, 2004 PRICING DATE [On or about May 26, 2004] CLOSING DATE On or about June 24, 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 July 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"). 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. -------------------------------------------------------------------------------- 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-BC2 MORTGAGE LOANS The mortgage pool will consist of fixed rate and adjustable rate, first and second lien, sub-prime mortgage loans ("Mortgage Loans") originated under the SURF program and will be serviced by Litton Loan Servicing, L.P. The information described herein is based on a pool of Mortgage Loans having an aggregate statistical principal balance of approximately $582,808,654, as of May 1, 2004 ("Statistical Calculation Date"). The Mortgage Loans are expected to have an aggregate stated principal balance as of the Cut-Off Date of approximately $575,000,000. TOTAL DEAL SIZE Approximately $575,000,000 ADMINISTRATIVE FEES The Servicer, Trustee will be paid fees aggregating approximately 50.00 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 Class A Certificates (commencing with the distribution date in [January 2005]) 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., 1.25% of the aggregate principal balance of the Mortgage Loans as of the Closing Date). Initial: 0.00% of original balance Target: 1.25% of original balance before stepdown (1.90% of original balance if Step Up Trigger occurs before stepdown), 2.50% of current balance after stepdown (3.80% of original balance if Step Up Trigger occurs after stepdown) Floor: 0.50% of original balance STEP UP TRIGGER EVENT A Step Up Trigger Event is in effect on any Distribution < Preliminary and Date on or after the occurrence of the following: the Subject to Revision > aggregate Realized Losses incurred from the Cut-off Date through the last day of the calendar month preceding such Distribution Date as a percentage of the aggregate principal balance of the Mortgage Loans as of the Cut-Off Date equals or exceeds the following percentages:
DISTRIBUTION DATE OCCURRING LOSS PERCENTAGE --------------------------- ----------------------------------------------------- July 2005 - June 2006 [1.35%] with respect to July 2005, plus an additional 1/12th of [1.15%] for each month thereafter July 2006 - June 2007 [2.50%] with respect to July 2006, plus an additional 1/12th of [1.75%] for each month thereafter July 2007 - June 2008 [4.25%] with respect to July 2007, plus an additional 1/12th of [1.50%] for each month thereafter July 2008 - June 2009 [5.75%] with respect to July 2008, plus an additional 1/12th of [1.75%] for each month thereafter July 2009 - June 2010 [7.50%] with respect to July 2009, plus an additional 1/12th of [0.75%] for each month thereafter July 2010 and thereafter [8.25%]
-------------------------------------------------------------------------------- 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-BC2 SUBORDINATION:
CLASSES RATING (M/S) SUBORDINATION (1) SUBORDINATION (2) --------- ------------ ----------------- ----------------- Class A [Aaa/AAA] 19.20% 19.85% Class M-1 [Aa2AA] 12.50% 13.15% Class M-2 [A2/A] 6.95% 7.60% Class M-3 [A3/A-] 5.25% 5.90% Class B-1 [Baa2/BBB] 2.50% 3.15% Class B-2 [Baa3/BBB-] 1.25% 1.90%
(1) includes OC target (2) includes OC target (after Step Up Trigger occurs) CLASS SIZES:
CLASSES RATING (M/S) CLASS SIZES --------- ------------ ----------- Class A [Aaa/AAA] 82.05% Class M-1 [Aa2AA] 6.70% Class M-2 [A2/A] 5.55% Class M-3 [A3/A-] 1.70% Class B-1 [Baa2/BBB] 2.75% Class B-2 [Baa3/BBB-] 1.25%
INTEREST ACCRUAL For the Offered 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. 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-1 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 each case on the following Distribution Date. AVAILABLE FUNDS CAP The pass-through rates of the Class A-1, 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, 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. "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 35. Payments received on the cap contract will be available to pay amounts to the holders of the Certificates, in respect of shortfalls arising as a result 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-1, 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, 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-BC2 SHORTFALL If on any Distribution Date the pass-through rate is REIMBURSEMENT 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) 8.985% 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 35), 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. < Preliminary and 2. Servicing Fees and Loss Mitigation Advisor Fees. Subject to Revision > 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, 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 build or 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-BC2 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 January 2005) 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. 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-BC2 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 38.40% (39.70% if Step Up Trigger occurs) CLASS M-1 25.00% (26.30% if Step Up Trigger occurs) CLASS M-2 13.90% (15.20% if Step Up Trigger occurs) CLASS M-3 10.50% (11.80% if Step Up Trigger occurs) CLASS B-1 5.00% (6.30% if Step Up Trigger occurs) CLASS B-2 2.50% (3.80% if Step Up Trigger occurs)
THE SUBORDINATE CLASS PRINCIPAL DISTRIBUTION TEST IS MET IF: i) The Distribution Date is on or after the July 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 The first Distribution Date on which the Senior CLASS PRINCIPAL Enhancement Percentage (i.e., the sum of the outstanding DISTRIBUTION principal balance of the subordinate Certificates and DATE 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: 38.40% (39.70% if Step Up Trigger occurs) or (17.95%+1.25%)*2 or (17.95%+1.90%)*2, if Step Up Trigger occurs STEP DOWN LOSS The situation that exists with respect to any TRIGGER EVENT Distribution Date after the Stepdown Date, if (a) the < Preliminary and quotient of (1) the aggregate Stated Principal Balance Subject to Revision > of 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) [44.5%] 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 --------------------------- --------------- July 2007 - June 2008 [3.25%] with respect to July 2007, plus an additional 1/12th of [1.75%] for each month thereafter July 2008 - June 2009 [5.00%] with respect to July 2008, plus an additional 1/12th of [1.25%] for each month thereafter July 2009 - June 2010 [6.25%] with respect to July 2009, plus an additional 1/12th of [0.50%] for each month thereafter July 2010 and thereafter [6.75%]
(PRELIMINARY AND SUBJECT TO REVISION) -------------------------------------------------------------------------------- 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-BC2 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 Statistical Calculation Date, except where otherwise noted. 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-BC2 TOTAL MORTGAGE LOANS Aggregate Outstanding Principal Balance $582,808,654 Aggregate Original Principal Balance $583,130,781 Number of Mortgage Loans 4,094
MINIMUM MAXIMUM AVERAGE (1) ------- -------- ----------- Original Principal Balance $12,975 $801,500 $ 142,435 Outstanding Principal Balance $12,975 $801,500 $ 142,357
MINIMUM MAXIMUM WEIGHTED AVERAGE (2) ------- ------- -------------------- Original Term (mos) 120 360 352 Stated remaining Term (mos)(5) 115 359 348 Loan Age (mos)(5) 1 10 3 Current Interest Rate 4.600% 13.690% 7.192% Initial Interest Rate Cap (3) 1.000% 6.000% 2.919% Periodic Rate Cap (3) 1.000% 2.000% 1.069% Gross Margin (3) 3.250% 11.905% 6.763% Maximum Mortgage Rate (3) 10.600% 17.425% 13.292% Minimum Mortgage Rate (3) 4.600% 11.325% 7.091% Months to Roll (3)(5) 14 35 22 Original Loan-to-Value 13.95% 100.00% 82.75% Credit Score (4) 498 806 618
EARLIEST LATEST -------- -------- Maturity Date 01/25/14 05/01/34
LIEN POSITION PERCENT OF MORTGAGE POOL ------------- ------------------------ 1st Lien 97.32% 2nd Lien 2.68%
OCCUPANCY PERCENT OF MORTGAGE POOL ------------- ------------------------ Primary 93.70% Second Home 1.33% Investment 4.97%
LOAN TYPE PERCENT OF MORTGAGE POOL ------------- ------------------------ Fixed Rate 26.32% ARM 73.68%
AMORTIZATION TYPE PERCENT OF MORTGAGE POOL ----------------- ------------------------ Fully Amortizing 85.74% Interest-Only 11.95% Balloon 2.30%
YEAR OF ORIGINATION PERCENT OF MORTGAGE POOL ------------------- ------------------------ 2003 8.79% 2004 91.21%
LOAN PURPOSE PERCENT OF MORTGAGE POOL --------------------- ------------------------ Purchase 32.67% Refinance - Rate Term 8.40% Refinance - Cashout 58.92%
PROPERTY TYPE PERCENT OF MORTGAGE POOL ------------------------ ------------------------ Single Family 77.39% Rowhouse 0.18% Townhouse 0.59% Condominium 3.81% Two-to Four-Family 4.45% Planned Unit Development 13.30% Manufactured Housing 0.27%
(1) Sum of Principal Balance divided by total number of loans. (2) Weighted by Outstanding Principal Balance. (3) Adjustable Rate Mortgage Loans only. (4) Minimum and Weighting only for loans with scores. (5) As of the Cut-off Date. -------------------------------------------------------------------------------- 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-BC2 TOTAL MORTGAGE LOANS MORTGAGE RATES
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL RANGE OF MORTGAGE RATES MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION ----------------------- -------------- ------------ ---------- -------- -------- ----------- -------- ------------- 6.000% or less 530 $102,607,675 17.61% 5.749% 645 $ 193,599 79.25% 73.69% 6.001% to 6.500% 508 92,258,298 15.83 6.343 629 181,611 79.76 62.74 6.501% to 7.000% 734 122,480,270 21.02 6.839 613 166,867 82.48 64.03 7.001% to 7.500% 543 82,321,728 14.13 7.323 610 151,605 83.61 56.52 7.501% to 8.000% 532 69,544,578 11.93 7.810 606 130,723 84.53 61.75 8.001% to 8.500% 327 36,381,021 6.24 8.304 605 111,257 84.84 58.07 8.501% to 9.000% 291 30,645,910 5.26 8.823 598 105,312 85.20 62.44 9.001% to 9.500% 203 20,098,946 3.45 9.319 598 99,010 87.43 48.15 9.501% to 10.000% 171 13,940,873 2.39 9.798 606 81,526 87.94 54.09 10.001% to 10.500% 98 5,524,537 0.95 10.301 631 56,373 94.05 33.84 10.501% to 11.000% 85 3,980,589 0.68 10.897 639 46,830 95.89 39.69 11.001% to 11.500% 20 1,000,511 0.17 11.223 600 50,026 91.33 71.79 11.501% to 12.000% 24 981,002 0.17 11.891 637 40,875 99.84 42.25 12.001% to 12.500% 12 376,677 0.06 12.331 648 31,390 100.00 40.91 12.501% to 13.000% 14 590,244 0.10 12.888 642 42,160 94.27 4.57 13.001% to 13.500% 1 49,800 0.01 13.250 629 49,800 100.00 0.00 13.501% to 14.000% 1 25,995 0.00 13.690 664 25,995 100.00 0.00 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 4,094 $582,808,654 100.00% 7.192% 618 $ 142,357 82.75% 62.39% ----- ------------ ------ ----- --- ----------- ----- -----
As of the Statistical Calculation Date, Mortgage Rates borne by the Mortgage Loans ranged from 4.600% per annum to 13.690% per annum and the weighted average Mortgage Rate of the Rate Mortgage Loans was approximately 7.192% per annum. REMAINING MONTHS TO STATED MATURITY
AGGREGATE WEIGHTED AVERAGE WEIGHTED RANGE OF PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT REMAINING MONTHS NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL TO STATED MATURITY MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION ----------------------- -------------- ------------ ---------- -------- -------- ----------- -------- ------------- 109 to 120 9 $625,066 0.11% 6.811% 628 $ 69,452 66.71% 88.77% 169 to 180 387 21,262,544 3.65 9.395 648 54,942 91.39 45.74 229 to 240 84 7,101,736 1.22 7.926 618 84,544 81.22 65.73 289 to 300 8 1,236,189 0.21 6.678 593 154,524 77.26 79.72 349 to 360 3606 552,583,119 94.81 7.099 617 153,240 82.47 62.92 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 4,094 $582,808,654 100.00% 7.192% 618 $ 142,357 82.75% 62.39% ----- ------------ ------ ----- --- ----------- ----- -----
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 term to stated maturity of the Mortgage Loans was approximately 348 months. -------------------------------------------------------------------------------- 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-BC2 TOTAL MORTGAGE LOANS ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCES
AGGREGATE WEIGHTED AVERAGE WEIGHTED RANGE OF ORIGINAL PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT MORTGAGE NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL LOAN PRINCIPAL BALANCES MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION ----------------------- -------------- ------------ ---------- -------- -------- ----------- -------- ------------- $50,000 or less 411 $ 15,533,048 2.67% 9.617% 633 $ 37,793 86.75% 51.44% $50,001 to $100,000 1155 87,246,083 14.97 7.882 614 75,538 82.94 74.68 $100,001 to $150,000 1025 126,904,467 21.77 7.313 613 123,809 82.73 68.83 $150,001 to $200,000 641 111,016,925 19.05 7.013 618 173,193 81.44 59.39 $200,001 to $250,000 376 83,946,235 14.40 6.967 614 223,261 82.20 58.34 $250,001 to $300,000 209 57,237,173 9.82 6.777 627 273,862 82.82 49.82 $300,001 to $350,000 134 43,394,417 7.45 6.822 626 323,839 84.32 55.80 $350,001 to $400,000 99 37,308,399 6.40 6.579 625 376,853 84.27 55.49 $400,001 to $450,000 25 10,584,045 1.82 6.917 617 423,362 84.49 71.66 $450,001 to $500,000 14 6,623,959 1.14 6.327 647 473,140 80.73 63.47 $500,001 to $550,000 2 1,053,469 0.18 5.685 622 526,734 86.71 100.00 $550,001 to $600,000 2 1,158,935 0.20 6.509 691 579,467 70.88 100.00 $800,001 to $850,000 1 801,500 0.14 6.250 632 801,500 70.00 100.00 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 4,094 $582,808,654 100.00% 7.192% 618 $ 142,357 82.75% 62.39% ----- ------------ ------ ----- --- ----------- ----- -----
As of the Statistical Calculation Date, the outstanding principal balances of the Mortgage Loans ranged from approximately $12,975 to approximately $801,500 and the average outstanding principal balance of the Mortgage Loans was approximately $142,357. PRODUCT TYPES
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL PRODUCT TYPES MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION ------------------------- -------------- ------------ ---------- -------- -------- ----------- -------- ------------- Balloon Loans 279 $ 13,428,456 2.30% 10.317% 659 $ 48,131 99.32% 44.21% 10 to 14 Year Fixed Loans 9 625,066 0.11 6.811 628 69,452 66.71 88.77 15 to 19 Year Fixed Loans 108 7,834,088 1.34 7.815 627 72,538 77.79 48.35 20 to 24 Year Fixed Loans 84 7,101,736 1.22 7.926 618 84,544 81.22 65.73 25 to 29 Year Fixed Loans 8 1,236,189 0.21 6.678 593 154,524 77.26 79.72 30 Year Fixed Loans 844 123,149,062 21.13 7.115 628 145,911 81.03 70.71 2/28 LIBOR ARM 2,429 374,418,170 64.24 7.123 613 154,145 83.04 61.21 3/27 LIBOR ARM 333 55,015,887 9.44 6.903 625 165,213 81.81 57.13 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 4,094 $582,808,654 100.00% 7.192% 618 $ 142,357 82.75% 62.39% ----- ------------ ------ ----- --- ----------- ----- -----
-------------------------------------------------------------------------------- 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-BC2 TOTAL MORTGAGE LOANS STATE DISTRIBUTIONS OF MORTGAGED PROPERTIES
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT STATE DISTRIBUTIONS NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL OF MORTGAGED PROPERTIES MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION ----------------------- -------------- ------------ ---------- -------- -------- ----------- -------- ------------- Alabama 80 $ 8,560,833 1.47% 7.953% 600 $ 107,010 84.21% 62.72% Arizona 96 11,132,922 1.91 6.909 641 115,968 84.67 43.04 Arkansas 33 2,801,886 0.48 7.883 626 84,906 84.88 73.24 California 630 124,112,828 21.30 6.512 639 197,004 81.05 55.38 Colorado 58 8,267,476 1.42 6.896 620 142,543 82.83 76.06 Connecticut 82 13,731,019 2.36 7.305 606 167,451 82.59 68.80 Delaware 12 1,532,948 0.26 7.515 583 127,746 80.40 75.62 District of Columbia 14 2,401,536 0.41 8.155 597 171,538 73.28 72.03 Florida 357 46,142,672 7.92 7.537 616 129,251 82.55 50.63 Georgia 293 37,816,410 6.49 7.606 610 129,066 83.16 60.08 Idaho 1 148,000 0.03 6.375 682 148,000 80.00 0.00 Illinois 191 29,097,454 4.99 7.132 624 152,343 84.03 69.87 Indiana 89 7,908,550 1.36 7.596 618 88,860 86.50 79.00 Iowa 15 1,192,352 0.20 7.562 600 79,490 85.53 90.77 Kansas 22 2,472,818 0.42 7.480 622 112,401 85.59 60.05 Kentucky 46 4,056,731 0.70 7.546 607 88,190 86.23 76.80 Louisiana 49 4,460,338 0.77 8.143 588 91,027 79.43 78.24 Maine 14 1,385,389 0.24 7.211 586 98,956 80.65 54.13 Maryland 157 25,155,875 4.32 7.221 603 160,229 81.24 74.95 Massachusetts 91 20,431,847 3.51 7.093 602 224,526 79.08 54.72 Michigan 149 18,228,653 3.13 7.346 610 122,340 85.73 71.55 Minnesota 82 12,407,723 2.13 7.077 616 151,314 81.78 56.88 Mississippi 38 3,031,968 0.52 8.233 598 79,789 85.26 84.83 Missouri 66 6,703,780 1.15 7.604 607 101,572 84.34 68.01 Montana 2 80,000 0.01 7.425 602 40,000 84.00 100.00 Nebraska 5 406,065 0.07 7.728 612 81,213 83.09 100.00 Nevada 74 11,984,086 2.06 7.163 635 161,947 84.58 50.87 New Hampshire 30 4,464,334 0.77 7.419 600 148,811 76.13 58.18 New Jersey 43 9,382,716 1.61 7.616 625 218,203 84.89 43.91 New Mexico 3 278,693 0.05 8.339 662 92,898 78.04 0.00 New York 125 25,335,453 4.35 7.127 615 202,684 82.89 57.54 North Carolina 123 13,728,128 2.36 7.688 611 111,611 83.25 61.42 Ohio 189 20,048,746 3.44 7.355 611 106,078 86.41 77.00 Oklahoma 14 1,737,458 0.30 7.526 608 124,104 79.28 46.61 Oregon 28 4,075,577 0.70 6.835 633 145,556 85.74 66.90 Pennsylvania 125 15,031,725 2.58 7.454 599 120,254 81.56 81.67 Rhode Island 38 6,808,069 1.17 7.069 597 179,160 79.68 74.19 South Carolina 99 10,603,553 1.82 7.830 602 107,107 83.58 64.04 Tennessee 98 10,187,613 1.75 7.602 614 103,955 84.13 72.13 Texas 107 10,715,833 1.84 7.874 629 100,148 85.48 45.20 Utah 17 2,310,941 0.40 6.792 630 135,938 85.99 72.40 Virginia 173 25,440,196 4.37 7.300 602 147,053 84.18 75.90 Washington 63 8,541,787 1.47 6.739 638 135,584 84.40 64.66 West Virginia 11 1,228,932 0.21 7.321 601 111,721 82.91 82.91 Wisconsin 61 7,133,241 1.22 7.104 616 116,938 82.40 69.92 Wyoming 1 103,500 0.02 6.625 579 103,500 90.00 100.00 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 4,094 $582,808,654 100.00% 7.192% 618 $ 142,357 82.75% 62.39% ----- ------------ ------ ----- --- ----------- ----- -----
No more than approximately 0.33% 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. 15 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC2 TOTAL MORTGAGE LOANS ORIGINAL LOAN-TO-VALUE RATIOS
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT RANGE OF ORIGINAL NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL LOAN-TO-VALUE RATIOS MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION ----------------------- -------------- ------------ ---------- -------- -------- ----------- -------- ------------- 50.00% or less 100 $ 9,948,187 1.71% 7.164% 597 $ 99,482 40.50% 54.31% 50.01% to 55.00% 37 4,466,478 0.77 7.220 590 120,716 53.00 60.49 55.01% to 60.00% 64 8,357,736 1.43 6.979 608 130,590 57.97 56.36 60.01% to 65.00% 87 13,475,009 2.31 6.880 611 154,885 63.21 52.36 65.01% to 70.00% 203 28,430,504 4.88 6.985 597 140,052 68.52 56.18 70.01% to 75.00% 258 37,130,137 6.37 7.105 600 143,915 73.90 55.27 75.01% to 80.00% 1074 168,347,109 28.89 6.597 633 156,748 79.72 57.44 80.01% to 85.00% 543 82,460,682 14.15 7.140 596 151,861 84.31 72.93 85.01% to 90.00% 988 155,444,933 26.67 7.496 615 157,333 89.66 59.65 90.01% to 95.00% 282 42,071,424 7.22 7.579 632 149,189 94.71 82.50 95.01% to 100.00% 458 32,676,454 5.61 8.912 655 71,346 99.86 70.39 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 4,094 $582,808,654 100.00% 7.192% 618 $ 142,357 82.75% 62.39% ----- ------------ ------ ----- --- ----------- ----- -----
As of the Statistical Calculation Date, the Original Loan-to-Value Ratios of the Mortgage Loans ranged from 13.95% 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 2.68% 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 99.62%. The weighted average Second Lien ratio for the Mortgage Loans which are in a second lien position was approximately 19.81%. LOAN PURPOSE
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL LOAN PURPOSE MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION ----------------------- -------------- ------------ ---------- -------- -------- ----------- -------- ------------- Refinance - Cashout 2,287 $343,416,950 58.92% 7.087% 607 $ 150,160 81.21% 67.87% Purchase 1,480 90,409,329 32.67 7.404 638 128,655 85.48 51.31 Refinance - Rate/Term 327 48,982,375 8.40 7.102 619 149,793 82.90 67.09 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 4,094 $582,808,654 100.00% 7.192% 618 $ 142,357 82.75% 62.39% ----- ------------ ------ ----- --- ----------- ----- -----
-------------------------------------------------------------------------------- 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-BC2 TOTAL MORTGAGE LOANS PROPERTY TYPE
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL PROPERTY TYPE MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOC ----------------------- -------------- ------------ ---------- -------- -------- ----------- -------- ------------- Single Family 3,258 $451,052,088 77.39% 7.178% 617 $ 138,444 82.78% 63.24% Rowhouse 10 1,056,878 0.18 8.046 573 105,688 79.66 90.73 Townhouse 32 3,417,009 0.59 7.333 600 106,782 82.97 92.63 Condominium 161 22,227,410 3.81 7.073 638 138,058 83.04 66.66 Two- to Four-Family 142 25,958,837 4.45 7.332 636 182,809 79.13 51.77 Manufactured Housing 21 1,571,169 0.27 7.510 645 74,818 80.83 100.00 Planned Unit Development 470 77,525,262 13.30 7.236 617 164,947 83.78 57.32 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 4,094 $582,808,654 100.00% 7.192% 618 $ 142,357 82.75% 62.39% ----- ------------ ------ ----- --- ----------- ----- -----
DOCUMENTATION
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL DOCUMENTATION MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOC ----------------------- -------------- ------------ ---------- -------- -------- ----------- -------- ------------- Full Documentation 2,634 $363,631,755 62.39% 7.076% 608 $ 138,053 83.48% 100.00% Stated Documentation 1414 208,542,385 35.78 7.422 637 147,484 81.40 0.00 Lite Documentation 46 10,634,514 1.82 6.642 626 231,185 83.92 0.00 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 4,094 $582,808,654 100.00% 7.192% 618 $ 142,357 82.75% 62.39% ----- ------------ ------ ----- --- ----------- ----- -----
OCCUPANCY
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL OCCUPANCY MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOC ----------------------- -------------- ------------ ---------- -------- -------- ----------- -------- ------------- Primary 3,739 $546,081,388 93.70% 7.156% 617 $ 146,050 82.95% 62.76% Investment 302 28,969,541 4.97 7.694 647 95,926 79.37 62.05 Second Home 53 7,757,725 1.33 7.874 615 146,372 81.44 37.72 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 4,094 $582,808,654 100.00% 7.192% 618 $ 142,357 82.75% 62.39% ----- ------------ ------ ----- --- ----------- ----- -----
The information set forth above with respect to occupancy is based upon representations of the related mortgagors at the time of origination. -------------------------------------------------------------------------------- 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-BC2 TOTAL MORTGAGE LOANS MORTGAGE LOAN AGE SUMMARY
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT MORTGAGE LOAN AGE NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL SUMMARY MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION ----------------------- -------------- ------------ ---------- -------- -------- ----------- -------- ------------- 1 99 $ 13,590,440 2.33% 6.842% 623 $ 137,277 83.73% 52.66% 2 1,288 191,506,779 32.86 6.864 623 148,685 82.31 63.49 3 1,142 164,949,152 28.30 7.194 615 144,439 83.05 64.07 4 1,148 156,914,877 26.92 7.423 615 136,685 82.70 62.77 5 313 42,602,875 7.31 7.643 623 136,111 83.01 56.41 6 48 5,820,243 1.00 8.173 623 121,255 85.40 49.78 7 33 4,027,304 0.69 8.113 616 122,040 81.71 57.54 8 13 2,216,967 0.38 7.992 616 170,536 83.27 43.26 9 6 826,438 0.14 7.879 650 137,740 88.34 33.29 10 4 353,579 0.06 7.545 619 88,395 86.11 61.09 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 4,094 $582,808,654 100.00% 7.192% 618 $ 142,357 82.75% 62.39% ----- ------------ ------ ----- --- ----------- ----- -----
As of the Cut-off Date, the weighted average age of the Mortgage Loans was approximately 3 months. ORIGINAL PREPAYMENT PENALTY TERM
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT ORIGINAL PREPAYMENT NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL PENALTY TERM MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION ----------------------- -------------- ------------ ---------- -------- -------- ----------- -------- ------------- None 681 $ 85,941,221 14.75% 7.670% 620 $ 126,199 83.15% 56.69% 6 Months 3 329,852 0.06 7.590 609 109,951 82.19 0.00 12 Months 153 28,067,666 4.82 7.308 618 183,449 84.23 60.10 13 Months 21 3,807,640 0.65 6.647 654 181,316 86.28 58.43 24 Months 1,926 282,806,239 48.52 7.123 614 146,836 83.28 60.81 36 Months 940 132,047,857 22.66 7.104 630 140,476 81.55 64.49 48 Months 4 347,221 0.06 8.620 599 86,805 89.72 100.00 60 Months 366 49,460,959 8.49 6.957 607 135,139 81.03 77.54 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 4,094 $582,808,654 100.00% 7.192% 618 $ 142,357 82.75% 62.39% ----- ------------ ------ ----- --- ----------- ----- -----
The weighted average prepayment penalty term at origination with respect to the Mortgage Loans having prepayment penalties is approximately 30 months. -------------------------------------------------------------------------------- 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-BC2 TOTAL MORTGAGE LOANS CREDIT SCORES
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL RANGE OF CREDIT SCORES MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION ----------------------- -------------- ------------ ---------- -------- -------- ----------- -------- ------------- Not Available 5 $ 344,285 0.06% 8.362% 0 $ 68,857 60.66% 50.25% 498 to 500 2 223,424 0.04 9.257 498 111,712 69.71 100.00 501 to 525 50 6,015,907 1.03 8.207 521 120,318 69.94 82.30 526 to 550 335 43,120,419 7.40 7.620 540 128,718 76.30 90.77 551 to 575 514 72,557,469 12.45 7.479 564 141,162 80.89 78.95 576 to 600 588 88,962,006 15.26 7.453 588 151,296 82.88 67.17 601 to 625 819 118,991,934 20.42 7.141 613 145,289 84.89 66.59 626 to 650 804 117,779,948 20.21 7.010 637 146,492 83.86 54.99 651 to 675 534 70,975,788 12.18 6.990 662 132,913 83.79 43.38 676 to 700 212 30,564,815 5.24 6.779 686 144,174 82.79 42.05 701 to 725 98 13,262,628 2.28 6.715 711 135,333 83.79 45.48 726 to 750 76 11,307,715 1.94 6.778 735 148,786 85.66 38.92 751 to 775 42 6,290,263 1.08 6.909 762 149,768 80.59 52.45 776 to 800 11 2,046,403 0.35 6.224 787 186,037 80.05 35.87 801 to 806 4 365,649 0.06 6.875 806 91,412 84.00 0.00 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 4,094 $582,808,654 100.00% 7.192% 618 $ 142,357 82.75% 62.39% ----- ------------ ------ ----- --- ----------- ----- -----
The Credit Scores of the Mortgage Loans that were scored as of the Statistical Calculation Date ranged from 498 to 806 and the weighted average Credit Score of the Mortgage Loans that were scored as of the Statistical Calculation Date was approximately 618. CREDIT GRADE
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL CREDIT GRADE MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION ----------------------- -------------- ------------ ---------- -------- -------- ----------- -------- ------------- A+ 1,795 $257,001,012 44.10% 6.946% 660 $ 143,176 84.18% 48.51% A 966 143,368,245 24.6 7.291 604 148,414 84.95 64.29 A- 518 75,094,248 12.88 7.4 587 144,970 82.79 74.46 B 505 67,526,992 11.59 7.333 569 133,717 78.23 81.30 C 202 25,701,389 4.41 7.707 542 127,235 73.91 91.43 C- 108 14,116,769 2.42 7.954 540 130,711 71.82 88.27 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 4,094 $582,808,654 100.00% 7.192% 618 $ 142,357 82.75% 62.39% ----- ------------ ------ ----- --- ----------- ----- -----
-------------------------------------------------------------------------------- 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-BC2 TOTAL MORTGAGE LOANS MARGINS
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL RANGE OF MARGINS MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION ----------------------- -------------- ------------ ---------- -------- -------- ----------- -------- ------------- 3.001% to 3.500% 3 $ 402,725 0.09% 5.270% 687 $ 134,242 81.69% 68.34% 3.501% to 4.000% 10 2,767,472 0.64 5.588 647 276,747 76.69 62.42 4.001% to 4.500% 32 7,871,858 1.83 5.392 664 245,996 78.82 76.28 4.501% to 5.000% 71 15,799,189 3.68 5.698 654 222,524 80.61 53.97 5.001% to 5.500% 192 37,849,379 8.81 5.917 639 197,132 81.12 62.62 5.501% to 6.000% 360 63,673,662 14.83 6.202 626 176,871 81.15 69.13 6.001% to 6.500% 391 70,521,375 16.42 6.669 613 180,362 81.40 61.85 6.501% to 7.000% 439 71,005,292 16.53 7.032 607 161,743 83.22 59.67 7.001% to 7.500% 375 55,984,692 13.04 7.500 606 149,293 84.49 55.57 7.501% to 8.000% 293 38,055,196 8.86 7.982 604 129,881 84.69 59.13 8.001% to 8.500% 198 22,497,679 5.24 8.450 602 113,625 86.32 62.36 8.501% to 9.000% 201 21,022,085 4.90 8.860 593 104,587 85.01 56.56 9.001% to 9.500% 129 14,794,367 3.45 9.371 591 114,685 86.75 47.44 9.501% to 10.000% 57 6,060,369 1.41 9.590 570 106,322 83.57 55.35 10.001% to 10.500% 8 940,836 0.22 10.190 567 117,604 85.64 29.45 10.501% to 11.000% 1 63,654 0.01 11.000 534 63,654 70.00 100.00 11.501% to 12.000% 2 124,227 0.03 11.053 557 62,114 61.32 100.00 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 2,762 $429,434,057 100.00% 7.095% 614 $ 155,479 82.88% 60.69% ----- ------------ ------ ----- --- ----------- ----- -----
As of the Statistical Calculation Date, the Gross Margins for the Adjustable Rate Mortgage Loans ranged from 3.250% per annum to 11.905% per annum and the weighted average Gross Margin of the Adjustable Rate Mortgage Loans was approximately 6.763% 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. 20 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC2 TOTAL MORTGAGE LOANS MAXIMUM MORTGAGE RATES
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT RANGE OF MAXIMUM NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL MORTGAGE RATES MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION ----------------------- -------------- ------------ ---------- -------- -------- ----------- -------- ------------- 12.000% or less 349 $ 62,973,021 14.66% 5.734% 634 $ 180,438 79.49% 73.78% 12.001% to 12.500% 314 56,557,950 13.17 6.219 622 180,121 79.97 68.13 12.501% to 13.000% 476 84,450,508 19.67 6.679 614 177,417 82.68 64.78 13.001% to 13.500% 390 62,645,553 14.59 7.081 612 160,630 83.89 55.23 13.501% to 14.000% 422 62,624,014 14.58 7.520 609 148,398 84.70 59.35 14.001% to 14.500% 301 40,255,074 9.37 7.941 613 133,738 84.75 47.30 14.501% to 15.000% 258 31,042,745 7.23 8.551 602 120,321 84.91 50.99 15.001% to 15.500% 149 17,668,629 4.11 9.173 590 118,581 86.74 46.22 15.501% to 16.000% 75 8,700,823 2.03 9.546 583 116,011 84.56 55.55 16.001% to 16.500% 20 2,017,817 0.47 9.917 578 100,891 84.89 38.95 16.501% to 17.000% 5 306,588 0.07 10.144 567 61,318 62.62 100.00 17.001% to 17.500% 3 191,334 0.04 10.651 578 63,778 73.74 100.00 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 2,762 $429,434,057 100.00% 7.095% 614 $ 155,479 82.88% 60.69% ----- ------------ ------ ----- --- ----------- ----- -----
As of the Statistical Calculation Date, the Maximum Mortgage Rates for the Adjustable Rate Mortgage Loans ranged from 10.600% per annum to 17.425% per annum and the weighted average Maximum Mortgage Rate of the Adjustable Rate Mortgage Loans was approximately 13.292% per annum. NEXT RATE ADJUSTMENT DATE
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL NEXT RATE ADJUSTMENT DATE MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION ------------------------- -------------- ------------ ---------- -------- -------- ----------- -------- ------------- August 2005 3 $ 215,994 0.05% 7.898% 590 $ 71,998 90.00% 100.00% September 2005 4 357,141 0.08 8.526 591 89,285 87.45 50.94 October 2005 8 1,533,808 0.36 8.061 611 191,726 86.49 26.11 November 2005 19 2,745,224 0.64 7.901 609 144,485 82.53 50.96 December 2005 32 4,107,332 0.96 8.033 612 128,354 83.69 55.90 January 2006 185 26,231,201 6.11 7.653 619 141,790 82.35 51.58 February 2006 719 105,719,539 24.62 7.398 611 147,037 82.83 59.43 March 2006 722 114,665,572 26.70 7.073 610 158,817 83.16 64.04 April 2006 697 112,424,269 26.18 6.741 615 161,297 83.01 62.41 May 2006 40 6,418,090 1.49 6.794 618 160,452 85.81 74.04 October 2006 1 234,868 0.05 7.250 587 234,868 90.00 100.00 November 2006 2 233,234 0.05 7.837 625 116,617 65.04 100.00 December 2006 2 215,475 0.05 7.043 643 107,737 92.86 100.00 January 2007 32 6,484,365 1.51 7.293 606 202,636 81.62 50.78 February 2007 75 11,468,525 2.67 7.184 626 152,914 81.89 63.92 March 2007 80 12,395,339 2.89 7.143 624 154,942 81.39 56.86 April 2007 122 20,856,880 4.86 6.520 630 170,958 82.56 59.35 May 2007 19 3,127,200 0.73 6.559 626 164,589 78.38 22.23 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 2,762 $429,434,057 100.00% 7.095% 614 $ 155,479 82.88% 60.69% ----- ------------ ------ ----- --- ----------- ----- -----
-------------------------------------------------------------------------------- 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-BC2 GROUP B MORTGAGE LOANS
MINIMUM MAXIMUM AVERAGE (1) ------- -------- ----------- Original Principal Balance $18,000 $801,500 $ 174,198 Outstanding Principal Balance $17,994 $801,500 $ 174,110
WEIGHTED MINIMUM MAXIMUM AVERAGE (2) ------- ------- ------------ Original Term (mos) 120 360 350 Stated remaining Term (mos)(5) 115 359 347 Loan Age (mos)(5) 1 10 3 Current Interest Rate 4.600% 12.990% 6.988% Initial Interest Rate Cap (3) 1.000% 6.000% 2.875% Periodic Rate Cap (3) 1.000% 2.000% 1.069% Gross Margin (3) 3.875% 10.280% 6.533% Maximum Mortgage Rate (3) 10.600% 17.025% 13.141% Minimum Mortgage Rate(3) 4.600% 10.375% 6.900% Months to Roll (3)(5) 14 35 22 Original Loan-to-Value 14.62% 100.00% 83.08% Credit Score (4) 513 794 618
EARLIEST LATEST -------- -------- Maturity Date 01/25/14 05/01/34
LIEN POSITION PERCENT OF MORTGAGE POOL ------------- ------------------------ 1st Lien 96.92% 2nd Lien 3.08%
OCCUPANCY PERCENT OF MORTGAGE POOL ----------- ------------------------ Primary 96.11% Second Home 0.83% Investment 3.07%
LOAN TYPE PERCENT OF MORTGAGE POOL ---------- ------------------------ Fixed Rate 31.30% ARM 68.70%
AMORTIZATION TYPE PERCENT OF MORTGAGE POOL ----------------- ------------------------ Fully Amortizing 78.96% Interest-Only 18.20% Balloon 2.84%
YEAR OF ORIGINATION PERCENT OF MORTGAGE POOL ------------------- ------------------------ 2003 8.33% 2004 91.67%
LOAN PURPOSE PERCENT OF MORTGAGE POOL --------------------- ------------------------ Purchase 27.24% Refinance - Rate Term 7.86% Refinance - Cashout 64.90%
PROPERTY TYPE PERCENT OF MORTGAGE POOL --------------------- ------------------------ Single Family 79.30% Rowhouse 0.03% Townhouse 0.41% Condominium 3.31% Two-to Four-Family 2.11% Planned Unit Development 14.57% Manufactured Housing 0.28%
(1) Sum of Principal Balance divided by total number of loans. (2) Weighted by Outstanding Principal Balance. (3) Adjustable Rate Mortgage Loans only. (4) Minimum and Weighting only for loans with scores. (5) As of the Cut-off Date. -------------------------------------------------------------------------------- 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-BC2 GROUP B MORTGAGE LOANS MORTGAGE RATES
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL RANGE OF MORTGAGE RATES MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION ----------------------- -------------- ------------ ---------- -------- -------- ----------- -------- ------------- 6.000% or less 157 $ 37,177,436 20.34% 5.753% 642 $ 236,799 80.46% 73.49% 6.001% to 6.500% 159 36,048,487 19.72 6.341 622 226,720 80.71 72.00 6.501% to 7.000% 222 40,547,913 22.18 6.845 607 182,648 81.80 65.36 7.001% to 7.500% 161 26,894,094 14.71 7.314 609 167,044 83.49 58.80 7.501% to 8.000% 131 19,240,316 10.52 7.785 611 146,873 86.09 56.02 8.001% to 8.500% 56 6,394,659 3.50 8.323 602 114,190 86.49 64.67 8.501% to 9.000% 47 5,558,679 3.04 8.814 603 118,270 88.66 70.05 9.001% to 9.500% 42 4,504,859 2.46 9.331 606 107,259 91.00 40.77 9.501% to 10.000% 30 3,068,368 1.68 9.799 616 102,279 91.13 46.73 10.001% to 10.500% 16 1,469,509 0.80 10.238 647 91,844 97.19 32.28 10.501% to 11.000% 19 1,236,132 0.68 10.923 649 65,060 99.82 41.18 11.001% to 11.500% 3 217,928 0.12 11.125 621 72,643 97.06 70.75 11.501% to 12.000% 3 240,603 0.13 11.990 648 80,201 100.00 27.85 12.501% to 13.000% 4 216,995 0.12 12.960 669 54,249 100.00 12.44 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 1,050 $182,815,976 100.00% 6.988% 618 $ 174,110 83.08% 65.04% ----- ------------ ------ ----- --- ----------- ----- -----
As of the Statistical Calculation Date, Mortgage Rates borne by the Mortgage Loans ranged from 4.600% per annum to 12.990% per annum and the weighted average Mortgage Rate of the Rate Mortgage Loans was approximately 6.988% per annum. REMAINING MONTHS TO STATED MATURITY
AGGREGATE WEIGHTED AVERAGE WEIGHTED RANGE OF PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT REMAINING MONTHS NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL TO STATED MATURITY MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION ----------------------- -------------- ------------ ---------- -------- -------- ----------- -------- ------------- 109 to 120 6 $478,120 0.26% 6.462% 616 $ 79,687 65.30% 85.32% 169 to 180 84 6,461,625 3.53 9.697 652 76,924 95.15 53.80 229 to 240 32 3,413,460 1.87 7.389 604 106,671 78.59 71.06 289 to 300 6 860,440 0.47 6.608 595 143,407 74.70 100.00 349 to 360 922 171,602,330 93.87 6.881 617 186,120 82.80 65.11 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 1,050 $182,815,976 100.00% 6.988% 618 $ 174,110 83.08% 65.04% ----- ------------ ------ ----- --- ----------- ----- -----
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. -------------------------------------------------------------------------------- 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-BC2 GROUP B MORTGAGE LOANS ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCES
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT RANGE OF ORIGINAL MORTGAGE NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL LOAN PRINCIPAL BALANCES MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION -------------------------- -------------- ------------ ---------- -------- -------- ----------- -------- ------------- $50,000 or less 33 $ 1,367,842 0.75% 8.909% 598 $ 41,450 79.12% 62.03% $50,001 to $100,000 312 24,140,845 13.20 7.968 620 77,375 84.84 75.66 $100,001 to $150,000 257 31,432,451 17.19 7.254 606 122,305 82.88 76.10 $150,001 to $200,000 136 23,365,951 12.78 6.953 619 171,808 82.18 64.99 $200,001 to $250,000 73 16,360,731 8.95 6.995 597 224,120 80.72 64.45 $250,001 to $300,000 51 13,906,173 7.61 6.581 618 272,670 84.05 56.63 $300,001 to $350,000 51 17,034,417 9.32 6.747 626 334,008 82.89 48.90 $350,001 to $400,000 95 35,813,115 19.59 6.554 626 376,980 84.44 55.74 $400,001 to $450,000 23 9,756,589 5.34 6.804 618 424,200 83.66 69.26 $450,001 to $500,000 14 6,623,959 3.62 6.327 647 473,140 80.73 63.47 $500,001 to $550,000 2 1,053,469 0.58 5.685 622 526,734 86.71 100.00 $550,001 to $600,000 2 1,158,935 0.63 6.509 691 579,467 70.88 100.00 $800,001 to $850,000 1 801,500 0.44 6.250 632 801,500 70.00 100.00 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 1,050 $182,815,976 100.00% 6.988% 618 $ 174,110 83.08% 65.04% ----- ------------ ------ ----- --- ----------- ----- -----
As of the Statistical Calculation Date, the outstanding principal balances of the Mortgage Loans ranged from approximately $17,994 to approximately $801,500 and the average outstanding principal balance of the Mortgage Loans was approximately $174,110. PRODUCT TYPES
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL PRODUCT TYPES MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION ----------------------- -------------- ------------ ---------- -------- -------- ----------- -------- ------------- Balloon Loans 69 $ 5,194,953 2.84% 10.185% 660 $ 75,289 99.02% 52.12% 10 to 14 Year Fixed Loans 6 478,120 0.26 6.462 616 79,687 65.30 85.32 15 to 19 Year Fixed Loans 15 1,266,673 0.69 7.694 621 84,445 79.24 60.71 20 to 24 Year Fixed Loans 32 3,413,460 1.87 7.389 604 106,671 78.59 71.06 25 to 29 Year Fixed Loans 6 860,440 0.47 6.608 595 143,407 74.70 100.00 30 Year Fixed Loans 272 46,004,096 25.16 6.804 619 169,133 80.37 77.89 2/28 LIBOR ARM 582 109,964,043 60.15 6.934 613 188,942 83.60 61.51 3/27 LIBOR ARM 68 15,634,191 8.55 6.733 640 229,915 84.36 52.84 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 1,050 $182,815,976 100.00% 6.988% 618 $ 174,110 83.08% 65.04% ----- ------------ ------ ----- --- ----------- ----- -----
-------------------------------------------------------------------------------- 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-BC2 GROUP B MORTGAGE LOANS STATE DISTRIBUTIONS OF MORTGAGED PROPERTIES
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT STATE DISTRIBUTIONS NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL OF MORTGAGED PROPERTIES MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION --------------------------------------------------------------------------------------------------------------------------- Alabama 14 $ 1,905,422 1.04% 8.250% 602 $ 136,102 83.30% 32.05% Arizona 17 2,994,219 1.64 6.864 646 176,131 84.98 23.20 Arkansas 6 751,510 0.41 7.195 626 125,252 86.93 63.59 California 207 51,758,605 28.31 6.502 637 250,042 81.99 58.07 Colorado 11 1,894,910 1.04 6.919 616 172,265 84.71 81.00 Connecticut 21 4,338,433 2.37 6.944 624 206,592 82.61 66.67 Delaware 5 707,667 0.39 7.441 587 141,533 77.05 58.83 District of Columbia 2 524,654 0.29 8.393 585 262,327 79.29 100.00 Florida 75 11,436,327 6.26 7.315 614 152,484 82.56 60.08 Georgia 72 9,674,433 5.29 7.315 611 134,367 80.51 56.39 Illinois 36 6,175,652 3.38 7.136 609 171,546 83.29 80.01 Indiana 30 2,835,152 1.55 7.347 615 94,505 85.01 77.04 Iowa 4 303,814 0.17 7.472 610 75,953 85.77 71.03 Kansas 3 409,130 0.22 7.465 624 136,377 86.09 63.10 Kentucky 6 929,950 0.51 7.412 612 154,992 90.65 100.00 Louisiana 13 1,465,344 0.80 7.529 596 112,719 80.31 75.43 Maine 2 114,443 0.06 6.726 589 57,222 77.34 100.00 Maryland 58 9,413,379 5.15 7.179 602 162,300 82.64 77.12 Massachusetts 26 6,918,125 3.78 6.845 603 266,082 82.99 61.45 Michigan 53 6,614,876 3.62 7.040 606 124,809 87.10 78.46 Minnesota 11 2,854,755 1.56 6.817 609 259,523 79.18 78.01 Mississippi 8 784,165 0.43 7.846 606 98,021 84.96 61.49 Missouri 12 1,155,001 0.63 7.220 602 96,250 87.19 93.28 Nebraska 1 117,654 0.06 8.490 539 117,654 85.00 100.00 Nevada 19 3,964,367 2.17 7.350 658 208,651 84.67 38.18 New Hampshire 4 1,074,545 0.59 6.480 580 268,636 82.34 90.84 New Jersey 13 2,795,616 1.53 7.422 604 215,047 87.28 49.23 New York 35 8,318,966 4.55 6.785 606 237,685 82.37 69.90 North Carolina 11 1,851,778 1.01 7.685 619 168,343 86.69 52.63 Ohio 86 9,213,023 5.04 7.103 606 107,128 85.80 83.60 Oklahoma 4 772,345 0.42 7.411 593 193,086 71.22 27.86 Oregon 7 1,262,114 0.69 6.991 631 180,302 86.89 66.33 Pennsylvania 40 5,721,595 3.13 7.146 602 143,040 79.59 88.92 Rhode Island 11 1,888,689 1.03 6.941 609 171,699 80.21 74.20 South Carolina 13 1,963,411 1.07 8.104 594 151,032 83.26 43.07 Tennessee 19 2,754,502 1.51 7.316 628 144,974 86.12 52.13 Texas 16 2,258,069 1.24 7.343 625 141,129 86.90 52.91 Utah 1 157,105 0.09 7.375 621 157,105 95.00 0.00 Virginia 62 9,866,551 5.40 7.258 602 159,138 85.41 78.88 Washington 7 1,595,042 0.87 6.897 628 227,863 86.17 66.75 West Virginia 1 235,000 0.13 6.500 618 235,000 74.60 100.00 Wisconsin 8 1,045,638 0.57 6.795 633 130,705 79.59 53.27 ----- ------------ ------ ----- --- ---------- ----- ------ TOTAL: 1,050 $182,815,976 100.00% 6.988% 618 $ 174,110 83.08% 65.04% ----- ------------ ------ ----- --- ---------- ----- ------
No more than approximately 0.79% 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. 25 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC2 GROUP B MORTGAGE LOANS ORIGINAL LOAN-TO-VALUE RATIOS
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT RANGE OF ORIGINAL NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL LOAN-TO-VALUE RATIOS MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION --------------------------------------------------------------------------------------------------------------------------- 50.00% or less 23 $ 2,139,568 1.17% 6.918% 573 $ 93,025 42.46% 90.67% 50.01% to 55.00% 8 1,132,392 0.62 7.305 559 141,549 53.20 60.26 55.01% to 60.00% 15 2,209,944 1.21 6.579 603 147,330 58.75 87.61 60.01% to 65.00% 25 5,113,137 2.80 6.578 623 204,525 63.21 55.64 65.01% to 70.00% 56 9,693,747 5.30 6.650 606 173,103 68.35 61.25 70.01% to 75.00% 65 10,735,989 5.87 6.866 606 165,169 73.89 49.19 75.01% to 80.00% 246 48,103,782 26.31 6.452 636 195,544 79.72 59.24 80.01% to 85.00% 163 29,430,167 16.10 6.889 595 180,553 84.32 80.19 85.01% to 90.00% 278 52,437,106 28.68 7.194 614 188,623 89.60 61.04 90.01% to 95.00% 77 12,720,299 6.96 7.455 627 165,199 94.77 80.02 95.01% to 100.00% 94 9,099,844 4.98 9.110 659 96,807 99.80 65.90 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 1,050 $182,815,976 100.00% 6.988% 618 $ 174,110 83.08% 65.04% ----- ------------ ------ ----- --- ----------- ----- -----
As of the Statistical Calculation Date, the Original Loan-to-Value Ratios of the Mortgage Loans ranged from 14.62% 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 3.08% 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 99.39%. The weighted average Second Lien ratio for the Mortgage Loans which are in a second lien position was approximately 19.55%. LOAN PURPOSE
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL LOAN PURPOSE MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION --------------------------------------------------------------------------------------------------------------------------- Refinance - Cashout 664 $118,650,847 64.90% 6.906% 608 $ 178,691 82.34% 71.85% Purchase 304 49,796,986 27.24 7.207 641 163,806 85.17 50.06 Refinance - Rate/Ter 82 14,368,142 7.86 6.904 620 175,221 81.91 60.74 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 1,050 $182,815,976 100.00% 6.988% 618 $ 174,110 83.08% 65.04% ----- ------------ ------ ----- --- ----------- ----- -----
-------------------------------------------------------------------------------- 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-BC2 GROUP B MORTGAGE LOANS PROPERTY TYPE
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL PROPERTY TYPE MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOC --------------------------------------------------------------------------------------------------------------------- Single Family 849 $144,977,373 79.30% 6.958% 618 $ 170,763 82.98% 65.41% Rowhouse 1 54,000 0.03 7.250 549 54,000 83.08 100.00 Townhouse 10 751,709 0.41 7.578 564 75,171 79.81 100.00 Condominium 36 6,050,157 3.31 6.760 642 168,060 83.15 79.35 Two- to Four-Family 22 3,848,822 2.11 7.135 620 174,946 77.77 66.63 Manufactured Housing 6 504,300 0.28 6.986 604 84,050 77.25 100.00 Planned Unit Develop 126 26,629,616 14.57 7.165 618 211,346 84.54 57.81 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 1,050 $182,815,976 100.00% 6.988% 618 $ 174,110 83.08% 65.04% ----- ------------ ------ ----- --- ----------- ----- -----
DOCUMENTATION
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL DOCUMENTATION MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION --------------------------------------------------------------------------------------------------------------------------- Full Documentation 724 $118,901,116 65.04% 6.857% 608 $ 164,228 83.25% 100.00% Stated Documentation 305 57,669,144 31.54 7.301 638 189,079 82.76 0.00 Lite Documentation 21 6,245,716 3.42 6.592 635 297,415 82.74 0.00 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 1,050 $182,815,976 100.00% 6.988% 618 $ 174,110 83.08% 65.04% ----- ------------ ------ ----- --- ----------- ----- -----
OCCUPANCY
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL OCCUPANCY MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION --------------------------------------------------------------------------------------------------------------------------- Primary 982 $175,696,765 96.11% 6.964% 617 $ 178,917 83.22% 65.19% Investment 59 5,606,407 3.07 7.514 651 95,024 78.93 68.74 Second Home 9 1,512,804 0.83 7.834 612 168,089 82.40 33.59 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 1,050 $182,815,976 100.00% 6.988% 618 $ 174,110 83.08% 65.04% ----- ------------ ------ ----- --- ----------- ----- -----
The information set forth above with respect to occupancy is based upon representations of the related mortgagors at the time of origination. -------------------------------------------------------------------------------- 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-BC2 GROUP B MORTGAGE LOANS MORTGAGE LOAN AGE SUMMARY
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT MORTGAGE LOAN AGE NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL SUMMARY MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION --------------------------------------------------------------------------------------------------------------------------- 1 26 $ 3,807,850 2.08% 6.790% 609 $ 146,456 86.54% 60.58% 2 361 64,583,748 35.33 6.710 624 178,902 82.54 66.81 3 293 50,810,353 27.79 6.963 616 173,414 83.64 65.79 4 290 46,935,289 25.67 7.266 611 161,846 83.03 67.80 5 66 13,560,973 7.42 7.355 622 205,469 82.82 56.38 6 5 914,999 0.50 8.332 604 183,000 82.98 23.21 7 4 931,170 0.51 7.058 635 232,793 75.58 13.26 8 3 813,041 0.44 7.699 614 271,014 86.41 15.94 9 1 376,110 0.21 6.990 704 376,110 90.00 0.00 10 1 82,444 0.05 7.750 566 82,444 90.00 100.00 ----- ------------ ------ ----- --- ---------- ----- ------ TOTAL: 1,050 $182,815,976 100.00% 6.988% 618 $ 174,110 83.08% 65.04% ----- ------------ ------ ----- --- ---------- ----- ------
As of the Cut-off Date, the weighted average age of the Mortgage Loans was approximately 3 months. ORIGINAL PREPAYMENT PENALTY TERM
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT ORIGINAL PREPAYMENT NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL PENALTY TERM MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION --------------------------------------------------------------------------------------------------------------------------- None 89 $ 15,595,971 8.53% 7.519% 615 $ 175,236 84.98% 56.18% 12 Months 38 9,935,272 5.43 7.191 629 261,455 85.36 60.35 13 Months 5 1,502,250 0.82 6.473 649 300,450 87.39 49.76 24 Months 435 79,637,978 43.56 6.956 615 183,076 83.49 60.81 36 Months 113 26,336,326 14.41 6.760 645 233,065 83.36 61.77 48 Months 4 347,221 0.19 8.620 599 86,805 89.72 100.00 60 Months 366 49,460,959 27.06 6.957 607 135,139 81.03 77.54 ----- ------------ ------ ----- --- ----------- ----- ------ TOTAL: 1,050 $182,815,976 100.00% 6.988% 618 $ 174,110 83.08% 65.04% ----- ------------ ------ ----- --- ----------- ----- ------
The weighted average prepayment penalty term at origination with respect to the Mortgage Loans having prepayment penalties was approximately 36 months. -------------------------------------------------------------------------------- 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-BC2 GROUP B MORTGAGE LOANS CREDIT SCORES
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL RANGE OF CREDIT SCORES MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION --------------------------------------------------------------------------------------------------------------------------- Not Available 2 $ 171,284 0.09% 8.349% 0 $ 85,642 47.97% 0.00% 501 to 525 8 847,870 0.46 7.761 519 105,984 71.30 75.23 526 to 550 81 11,329,265 6.20 7.063 541 139,867 76.12 95.09 551 to 575 145 24,160,886 13.22 7.250 564 166,627 80.64 81.43 576 to 600 158 29,081,920 15.91 7.184 588 184,063 83.34 74.94 601 to 625 228 38,549,877 21.09 7.024 614 169,078 84.82 65.93 626 to 650 221 41,281,877 22.58 6.820 637 186,796 84.26 57.61 651 to 675 109 18,048,036 9.87 6.842 662 165,578 84.81 51.04 676 to 700 50 9,299,212 5.09 6.750 685 185,984 82.78 31.75 701 to 725 16 3,839,328 2.10 6.365 709 239,958 85.48 57.16 726 to 750 18 3,301,467 1.81 7.051 735 183,415 86.10 23.64 751 to 775 12 2,336,950 1.28 6.713 759 194,746 79.28 72.17 776 to 800 2 568,004 0.31 5.925 789 284,002 67.88 0.00 ----- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 1,050 $182,815,976 100.00% 6.988% 618 $ 174,110 83.08% 65.04% ----- ------------ ------ ----- --- ----------- ----- -----
The Credit Scores of the Mortgage Loans that were scored as of the Statistical Calculation Date ranged from 513 to 794 and the weighted average Credit Score of the Mortgage Loans that were scored as of the Statistical Calculation Date was approximately 618. CREDIT GRADE
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL CREDIT GRADE MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION --------------------------------------------------------------------------------------------------------------------------- A+ 433 $ 80,639,172 44.11% 6.821% 658 $ 186,234 84.09% 50.03% A 271 47,398,042 25.93 7.097 603 174,901 85.62 67.84 A- 135 23,262,210 12.72 7.204 587 172,313 83.26 78.24 B 143 22,756,218 12.45 6.954 568 159,134 77.58 87.17 C 46 6,028,077 3.3 7.316 541 131,045 75.72 98.79 C- 22 2,732,256 1.49 7.741 538 124,193 69.49 88.06 ----- ------------ ----- ----- --- ----------- ----- ----- TOTAL: 1,050 $182,815,976 100.00% 6.988% 618 $ 174,110 83.08% 65.04% ----- ------------ ----- ----- --- ----------- ----- -----
-------------------------------------------------------------------------------- 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-BC2 GROUP B MORTGAGE LOANS MARGINS
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL RANGE OF MARGINS MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION --------------------------------------------------------------------------------------------------------------------------- 3.501% to 4.000% 4 $ 1,657,040 1.32% 5.767% 629 $ 414,260 76.25% 43.42% 4.001% to 4.500% 10 3,074,605 2.45 5.326 655 307,461 79.80 78.69 4.501% to 5.000% 21 5,289,926 4.21 5.789 665 251,901 80.90 55.06 5.001% to 5.500% 58 15,428,169 12.28 5.909 638 266,003 81.61 55.65 5.501% to 6.000% 99 21,749,020 17.32 6.228 616 219,687 82.76 72.85 6.001% to 6.500% 93 20,366,342 16.22 6.662 606 218,993 83.66 68.45 6.501% to 7.000% 101 19,833,969 15.79 7.014 611 196,376 83.60 57.55 7.001% to 7.500% 93 16,681,249 13.28 7.496 615 179,368 86.08 44.94 7.501% to 8.000% 53 7,625,408 6.07 7.978 608 143,876 84.41 62.61 8.001% to 8.500% 38 4,818,510 3.84 8.408 606 126,803 88.78 78.86 8.501% to 9.000% 37 3,723,914 2.96 8.817 590 100,646 84.36 55.56 9.001% to 9.500% 30 3,775,735 3.01 9.303 595 125,858 88.58 35.79 9.501% to 10.000% 11 1,246,843 0.99 9.768 580 113,349 86.73 38.82 10.001% to 10.500% 2 327,503 0.26 10.122 557 163,751 83.63 27.36 --- ------------ ------ ------ --- ----------- ----- ----- TOTAL: 650 $125,598,234 100.00% 6.909% 617 $ 193,228 83.70% 60.43% --- ------------ ------ ------ --- ----------- ----- -----
As of the Statistical Calculation Date, the Gross Margins for the Adjustable Rate Mortgage Loans ranged from 3.875% per annum to 10.280% per annum and the weighted average Gross Margin of the Adjustable Rate Mortgage Loans was approximately 6.533% 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. 30 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC2 GROUP B MORTGAGE LOANS MAXIMUM MORTGAGE RATES
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT RANGE OF MAXIMUM NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL MORTGAGE RATES MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION --------------------------------------------------------------------------------------------------------------------------- 12.000% or less 103 $ 23,326,803 18.57% 5.746% 628 $ 226,474 81.11% 74.01% 12.001% to 12.500% 81 18,940,098 15.08 6.218 610 233,828 82.28 76.74 12.501% to 13.000% 108 23,042,445 18.35 6.655 623 213,356 82.87 59.79 13.001% to 13.500% 99 19,075,050 15.19 6.987 617 192,677 84.50 56.98 13.501% to 14.000% 100 17,653,018 14.06 7.472 612 176,530 85.79 48.95 14.001% to 14.500% 63 10,826,852 8.62 7.763 617 171,855 83.95 45.17 14.501% to 15.000% 47 6,548,132 5.21 8.418 607 139,322 87.03 53.89 15.001% to 15.500% 30 3,593,582 2.86 9.304 594 119,786 89.41 37.93 15.501% to 16.000% 14 2,046,059 1.63 9.534 594 146,147 89.43 35.45 16.001% to 16.500% 3 409,278 0.33 9.886 560 136,426 85.43 41.87 16.501% to 17.000% 1 91,956 0.07 9.600 543 91,956 40.89 100.00 17.001% to 17.500% 1 44,960 0.04 10.025 579 44,960 90.00 100.00 --- ------------ ------ ------ --- ----------- ----- ------ TOTAL: 650 $125,598,234 100.00% 6.909% 617 $ 193,228 83.70% 60.43% --- ------------ ------ ------ --- ----------- ----- ------
As of the Statistical Calculation Date, the Maximum Mortgage Rates for the Adjustable Rate Mortgage Loans ranged from 10.600% per annum to 17.025% per annum and the weighted average Maximum Mortgage Rate of the Adjustable Rate Mortgage Loans was approximately 13.141% 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. 31 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC2 GROUP B MORTGAGE LOANS NEXT RATE ADJUSTMENT DATE
AGGREGATE WEIGHTED AVERAGE WEIGHTED PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL NEXT RATE ADJUSTMENT DATE MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION ----------------------------------------------------------------------------------------------------------------------------- August 2005 1 $ 82,444 0.07% 7.750% 566 $ 82,444 90.00% 100.00% October 2005 3 813,041 0.65 7.699 614 271,014 86.41 15.94 November 2005 4 931,170 0.74 7.058 635 232,793 75.58 13.26 December 2005 5 914,999 0.73 8.332 604 183,000 82.98 23.21 January 2006 40 8,327,912 6.63 7.434 618 208,198 82.61 53.46 February 2006 170 29,607,072 23.57 7.291 608 174,159 83.33 61.69 March 2006 172 33,799,861 26.91 6.787 613 196,511 83.64 65.29 April 2006 173 33,459,894 26.64 6.583 619 193,410 84.05 61.80 May 2006 14 2,027,650 1.61 6.905 593 144,832 86.14 80.35 January 2007 8 2,264,180 1.80 7.169 620 283,023 85.91 18.29 February 2007 17 3,384,325 2.69 7.182 636 199,078 83.47 73.04 March 2007 13 2,600,360 2.07 6.889 649 200,028 85.24 52.08 April 2007 26 6,569,276 5.23 6.325 645 252,664 83.78 59.00 May 2007 4 816,050 0.65 6.443 644 204,013 85.65 17.81 --- ------------ ------ ----- --- ----------- ----- ----- TOTAL: 650 $125,598,234 100.00% 6.909% 617 $ 193,228 83.70% 60.43% --- ------------ ------ ----- --- ----------- ----- -----
-------------------------------------------------------------------------------- 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-BC2 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 ($) RATE(%) RATE(%) (MONTHS) (MONTHS) (MONTHS) (MONTHS) (MONTHS) (MONTHS) EXPIRATION ----------------------------------------------------------------------------------------------------------------------------- 1,674,139.89 10.379 9.879 180 177 360 357 0 0 0 245,901.33 11.781 11.281 180 178 360 358 0 0 12 295,418.49 9.742 9.242 180 178 360 358 0 0 13 3,966,952.87 10.568 10.068 180 177 360 357 0 0 24 1,890,369.24 9.991 9.491 180 177 360 357 0 0 36 52,672.14 8.990 8.490 120 117 120 117 0 0 0 91,405.30 7.343 6.843 120 117 120 117 0 0 36 2,226,271.97 8.648 8.148 180 176 180 176 0 0 0 171,240.75 6.972 6.472 180 178 180 178 0 0 12 564,425.14 6.603 6.103 180 177 180 177 0 0 24 3,293,438.94 7.635 7.135 180 177 180 177 0 0 36 183,839.92 6.250 5.750 180 178 180 178 60 58 36 511,413.39 9.670 9.170 240 236 240 236 0 0 0 147,949.86 8.821 8.321 240 237 240 237 0 0 12 246,174.46 11.899 11.399 240 237 240 237 0 0 24 2,710,741.03 7.849 7.349 240 237 240 237 0 0 36 368,414.03 6.839 6.339 300 297 300 297 0 0 36 10,095,807.37 8.115 7.615 360 356 360 356 0 0 0 141,559.65 7.125 6.625 360 356 360 356 0 0 6 3,605,222.99 7.523 7.023 360 356 360 356 0 0 12 80,341.13 7.625 7.125 360 356 360 356 0 0 13 6,193,475.93 7.479 6.979 360 357 360 357 0 0 24 53,165,374.15 7.155 6.655 360 357 360 357 0 0 36 222,372.76 5.990 5.490 360 357 360 357 120 117 12 2,134,907.63 6.293 5.793 360 358 360 358 58 56 36
GROUP A ADJUSTABLE RATE MORTGAGE LOANS
ORIG REM ORIG REM NET ORIGINAL REMAINING AMORT AMORT IO IO GROSS CURRENT MORTGAGE MORTGAGE TERM TERM TERM TERM TERM TERM MARGIN BALANCE ($) RATE(%) RATE(%) (MOS) (MOS) (MOS) (MOS) (MOS) (MOS) (%) ------------------------------------------------------------------------------------------- 57,321.66 9.500 9.000 360 355 360 355 0 0 9.250 49,715,221.41 7.523 7.023 360 357 360 357 0 0 7.245 181,853.68 7.951 7.451 360 356 360 356 0 0 7.701 11,223,559.74 7.379 6.879 360 357 360 357 0 0 7.162 875,519.22 6.464 5.964 360 358 360 358 0 0 5.464 161,342,845.01 7.230 6.730 360 357 360 357 0 0 6.928 8,050,317.83 7.774 7.274 360 357 360 357 0 0 7.653 650,950.18 6.429 5.929 360 357 360 357 60 57 6.179 865,332.03 6.236 5.736 360 357 360 357 60 57 5.986 1,009,108.58 6.075 5.575 360 358 360 358 24 22 5.075 24,888,915.31 6.235 5.735 360 357 360 357 47 44 5.725 430,920.77 6.958 6.458 360 357 360 357 60 57 6.708 3,988,281.36 7.173 6.673 360 356 360 356 0 0 6.941 909,769.62 6.938 6.438 360 356 360 356 0 0 6.810 1,826,973.61 7.855 7.355 360 356 360 356 0 0 7.551 26,577,945.89 7.053 6.553 360 357 360 357 0 0 6.761 387,093.33 6.942 6.442 360 358 360 358 48 46 6.566 172,564.40 5.900 5.400 360 358 360 358 60 58 5.650 4,750,319.52 6.045 5.545 360 358 360 358 41 39 5.447 NUMBER OF MONTHS ORIGINAL INITIAL RATE UNTIL NEXT MONTHS TO RATE CHANGE RATE PREPAY CURRENT CHANGE PERIODIC MAXIMUM MINIMUM FREQUENCY ADJUSTMENT PENALTY BALANCE ($) CAP(%) CAP(%) RATE(%) RATE(%) (MOS) DATE INDEX EXPIRATION ---------------------------------------------------------------------------------------------- 57,321.66 3.000 1.000 15.500 9.500 12 19 1YL 0 49,715,221.41 2.911 1.039 13.650 7.546 6 21 6ML 0 181,853.68 3.000 1.500 14.951 7.701 6 20 6ML 6 11,223,559.74 3.000 1.000 13.379 7.379 6 21 6ML 12 875,519.22 3.000 1.500 13.464 6.464 6 22 6ML 13 161,342,845.01 2.990 1.097 13.429 7.225 6 21 6ML 24 8,050,317.83 2.946 1.008 13.798 7.796 6 21 6ML 36 650,950.18 3.000 1.000 12.429 6.429 6 21 6ML 0 865,332.03 3.000 1.000 12.236 6.236 6 21 6ML 12 1,009,108.58 2.000 1.000 13.075 6.075 6 22 6ML 13 24,888,915.31 2.719 1.011 12.523 6.235 6 21 6ML 24 430,920.77 3.000 1.000 12.958 6.958 6 21 6ML 36 3,988,281.36 2.876 1.017 13.346 7.173 6 32 6ML 0 909,769.62 3.000 1.000 12.938 6.938 6 32 6ML 12 1,826,973.61 2.701 1.200 14.256 7.657 6 32 6ML 24 26,577,945.89 2.925 1.058 13.194 7.019 6 33 6ML 36 387,093.33 3.000 1.000 12.942 6.942 6 34 6ML 12 172,564.40 3.000 1.000 11.900 5.900 6 34 6ML 24 4,750,319.52 2.756 1.000 12.348 6.045 6 34 6ML 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. 33 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC2 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 ----------------------------------------------------------------------------------------------------------------------------- 400,942.34 10.823 10.323 180 176 360 356 0 0 0 242,499.18 11.486 10.986 180 178 360 358 0 0 12 63,749.78 11.125 10.625 180 177 360 357 0 0 13 2,606,605.15 10.151 9.651 180 177 360 357 0 0 24 1,353,576.96 9.668 9.168 180 178 360 358 0 0 36 26,999.91 12.750 12.250 180 178 360 358 0 0 48 500,561.90 10.365 9.865 180 177 360 357 0 0 60 478,118.39 6.462 5.962 120 117 120 117 0 0 60 84,999.71 9.990 9.490 180 177 180 177 0 0 0 186,999.37 10.236 9.736 180 177 180 177 0 0 24 994,669.17 7.020 6.520 180 177 180 177 0 0 60 133,922.30 11.559 11.059 240 237 240 237 0 0 24 3,279,526.28 7.219 6.719 240 237 240 237 0 0 60 860,437.45 6.608 6.108 300 298 300 298 0 0 60 710,997.59 6.062 5.562 360 358 360 358 0 0 12 449,643.73 7.062 6.562 360 356 360 356 0 0 24 7,644,503.26 6.448 5.948 360 357 360 357 0 0 36 180,499.39 6.942 6.442 360 358 360 358 0 0 48 33,390,658.88 6.944 6.444 360 357 360 357 0 0 60 480,998.37 7.550 7.050 360 358 360 358 60 58 12 1,634,394.46 5.893 5.393 360 358 360 358 51 49 36 1,512,244.87 6.521 6.021 360 357 360 357 60 57 60
GROUP B ADJUSTABLE RATE MORTGAGE LOANS
ORIG REM ORIG REM NET ORIGINAL REMAINING AMORT AMORT IO IO GROSS CURRENT MORTGAGE MORTGAGE TERM TERM TERM TERM TERM TERM MARGIN BALANCE ($) RATE(%) RATE(%) (MOS) (MOS) (MOS) (MOS) (MOS) (MOS) (%) -------------------------------------------------------------------------------------------- 13,044,685.85 7.455 6.955 360 356 360 356 0 0 7.164 6,138,450.88 7.428 6.928 360 356 360 356 0 0 7.198 542,498.16 6.760 6.260 360 357 360 357 0 0 5.760 54,557,657.46 7.074 6.574 360 357 360 357 0 0 6.753 3,371,875.66 7.066 6.566 360 356 360 356 0 0 6.720 139,720.06 9.990 9.490 360 356 360 356 0 0 9.740 6,897,486.89 6.995 6.495 360 357 360 357 0 0 6.752 199,499.32 8.600 8.100 360 358 360 358 60 58 8.350 1,391,295.28 6.246 5.746 360 358 360 358 60 58 5.996 895,996.96 5.968 5.468 360 357 360 357 24 21 4.968 21,505,757.97 6.212 5.712 360 357 360 357 47 44 5.692 495,998.32 5.512 5.012 360 358 360 358 24 22 4.512 782,747.35 5.775 5.275 360 357 360 357 60 57 5.525 1,653,391.65 6.790 6.290 360 357 360 357 0 0 6.444 197,122.03 6.605 6.105 360 357 360 357 0 0 6.434 9,017,771.65 6.930 6.430 360 357 360 357 0 0 6.494 399,340.98 7.000 6.500 360 355 360 355 0 0 5.750 212,399.28 8.875 8.375 360 355 360 355 36 31 6.375 970,996.71 6.624 6.124 360 358 360 358 42 40 6.185 2,818,116.83 6.016 5.516 360 357 360 357 39 36 5.347 364,998.76 5.950 5.450 360 358 360 358 60 58 5.700 NUMBER OF MONTHS ORIGINAL INITIAL RATE UNTIL NEXT MONTHS TO RATE CHANGE RATE PREPAY CURRENT CHANGE PERIODIC MAXIMUM MINIMUM FREQUENCY ADJUSTMENT PENALTY BALANCE ($) CAP(%) CAP(%) RATE(%) RATE(%) (MOS) DATE INDEX EXPIRATION ---------------------------------------------------------------------------------------------- 13,044,685.85 2.873 1.031 13.669 7.477 6 20 6ML 0 6,138,450.88 3.000 1.000 13.428 7.428 6 20 6ML 12 542,498.16 3.000 1.500 13.760 6.760 6 21 6ML 13 54,557,657.46 2.970 1.103 13.309 7.071 6 21 6ML 24 3,371,875.66 2.696 1.120 13.447 7.088 6 20 6ML 36 139,720.06 3.000 1.000 15.990 9.990 6 20 6ML 48 6,897,486.89 3.000 1.000 12.995 6.995 6 21 6ML 60 199,499.32 3.000 1.000 14.600 8.600 6 22 6ML 0 1,391,295.28 3.000 1.000 12.246 6.246 6 22 6ML 12 895,996.96 2.000 1.000 12.968 5.968 6 21 6ML 13 21,505,757.97 2.707 1.021 12.521 6.212 6 21 6ML 24 495,998.32 2.000 1.000 12.512 5.512 6 22 6ML 36 782,747.35 3.000 1.000 11.775 5.775 6 21 6ML 60 1,653,391.65 2.793 1.000 12.997 6.845 6 33 6ML 0 197,122.03 4.905 1.635 12.605 6.526 6 33 6ML 24 9,017,771.65 2.794 1.104 13.150 6.834 6 33 6ML 36 399,340.98 1.500 1.500 14.000 5.750 6 31 6ML 60 212,399.28 1.500 1.500 15.875 8.875 6 31 6ML 0 970,996.71 3.000 1.000 12.624 6.624 6 34 6ML 12 2,818,116.83 2.679 1.064 12.273 6.016 6 33 6ML 36 364,998.76 3.000 1.000 11.950 5.950 6 34 6ML 60
-------------------------------------------------------------------------------- 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-BC2 ONE MONTH LIBOR CAP TABLE
NOTIONAL 1ML STRIKE 1ML STRIKE BEGINNING ENDING BALANCE LOWER COLLAR UPPER COLLAR PERIOD ACCRUAL ACCRUAL ($) (%) (%) ---------------------------------------------------------------------------------- 1 06/24/04 07/25/04 575,000,000.00 6.210 8.985 2 07/25/04 08/25/04 569,898,863.26 6.210 8.985 3 08/25/04 09/25/04 563,578,999.78 6.210 8.985 4 09/25/04 10/25/04 556,044,443.02 6.426 8.985 5 10/25/04 11/25/04 547,313,344.24 6.210 8.985 6 11/25/04 12/25/04 537,405,129.46 6.426 8.985 7 12/25/04 01/25/05 526,353,820.63 6.210 8.985 8 01/25/05 02/25/05 514,227,820.70 6.210 8.985 9 02/25/05 03/25/05 501,313,228.29 6.905 8.985 10 03/25/05 04/25/05 487,740,945.89 6.211 8.985 11 04/25/05 05/25/05 474,517,946.41 6.428 8.985 12 05/25/05 06/25/05 461,661,720.78 6.213 8.985 13 06/25/05 07/25/05 449,161,902.51 6.429 8.985 14 07/25/05 08/25/05 437,008,422.18 6.214 8.985 15 08/25/05 09/25/05 425,191,498.82 6.215 8.985 16 09/25/05 10/25/05 413,701,631.53 6.432 8.985 17 10/25/05 11/25/05 402,529,591.45 6.216 8.985 18 11/25/05 12/25/05 391,666,413.86 6.433 8.985 19 12/25/05 01/25/06 381,092,015.68 6.218 8.985 20 01/25/06 02/25/06 370,315,101.45 6.219 8.985 21 02/25/06 03/25/06 353,511,870.16 7.027 8.985 22 03/25/06 04/25/06 337,404,496.34 7.910 8.985 23 04/25/06 05/25/06 322,192,780.53 8.183 8.985 24 05/25/06 06/25/06 307,770,774.81 7.892 8.985 25 06/25/06 07/25/06 294,376,382.02 8.146 8.985 26 07/25/06 08/25/06 285,345,061.48 7.868 8.985 27 08/25/06 09/25/06 276,713,254.27 7.895 8.985 28 09/25/06 10/25/06 268,358,836.74 8.725 8.985 29 10/25/06 11/25/06 260,283,841.97 8.430 8.985 30 11/25/06 12/25/06 252,466,450.48 8.709 8.985 31 12/25/06 01/25/07 244,897,945.56 8.408 8.985 32 01/25/07 02/25/07 237,570,055.92 8.398 8.985
-------------------------------------------------------------------------------- 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-BC2 HYPOTHETICAL AVAILABLE FUNDS CAP TABLE
AVAILABLE AVAILABLE PAYMENT FUNDS CAP FUNDS CAP PERIOD DATE (%) (1)(2) (%) (1)(3) ------------------------------------------- 1 07/25/2004 6.475 6.475 2 08/25/2004 6.475 9.250 3 09/25/2004 6.475 9.250 4 10/25/2004 6.691 9.250 5 11/25/2004 6.475 9.250 6 12/25/2004 6.691 9.250 7 01/25/2005 6.475 9.250 8 02/25/2005 6.503 9.250 9 03/25/2005 7.233 9.250 10 04/25/2005 6.565 9.250 11 05/25/2005 6.796 9.250 12 06/25/2005 6.580 9.250 13 07/25/2005 6.803 9.250 14 08/25/2005 6.588 9.250 15 09/25/2005 6.591 9.250 16 10/25/2005 6.815 9.250 17 11/25/2005 6.599 9.250 18 12/25/2005 6.823 9.250 19 01/25/2006 6.607 9.250 20 02/25/2006 6.612 9.250 21 03/25/2006 7.380 9.250 22 04/25/2006 7.363 9.250 23 05/25/2006 7.617 9.250 24 06/25/2006 7.373 9.250 25 07/25/2006 7.621 9.250 26 08/25/2006 7.379 9.250 27 09/25/2006 7.382 9.250 28 10/25/2006 7.632 9.250 29 11/25/2006 7.389 9.250 30 12/25/2006 7.639 9.250 31 01/25/2007 7.397 9.250 32 02/25/2007 7.401 9.250 33 03/25/2007 8.213 9.645 34 04/25/2007 7.496 9.395 35 05/25/2007 7.761 9.728 36 06/25/2007 7.515 9.397 37 07/25/2007 7.770 9.694 38 08/25/2007 7.437 9.365 39 09/25/2007 7.434 9.391 40 10/25/2007 7.678 10.251 41 11/25/2007 7.427 9.915 42 12/25/2007 7.671 10.225 43 1/25/2008 7.420 9.874 44 2/25/2008 7.416 9.855 45 3/25/2008 7.924 10.528 46 4/25/2008 7.409 9.927 47 5/25/2008 7.653 10.247 48 6/25/2008 7.402 9.894 49 7/25/2008 7.645 10.201 50 8/25/2008 7.395 9.852 51 9/25/2008 7.392 9.838 52 10/25/2008 7.635 10.201 53 11/25/2008 7.385 9.860 54 12/25/2008 7.627 10.165 55 1/25/2009 7.378 9.815 56 2/25/2009 7.374 9.793 57 3/25/2009 8.165 10.818 58 4/25/2009 7.377 9.753 59 5/25/2009 7.625 10.058 60 6/25/2009 7.381 9.711 61 7/25/2009 7.630 10.011 62 8/25/2009 7.387 9.666 63 9/25/2009 7.390 9.643 64 10/25/2009 7.639 9.941 65 11/25/2009 7.396 9.597 66 12/25/2009 7.647 9.894 67 1/25/2010 7.404 9.552 68 2/25/2010 7.408 9.529 69 3/25/2010 8.206 10.525 70 4/25/2010 7.416 9.484 71 5/25/2010 7.668 9.776 72 6/25/2010 7.426 9.438 73 7/25/2010 7.679 9.729 74 8/25/2010 7.436 9.393 75 9/25/2010 7.442 9.370 76 10/25/2010 7.696 9.659 77 11/25/2010 7.454 9.325 78 12/25/2010 7.709 9.613 79 1/25/2011 7.467 9.280 80 2/25/2011 7.474 9.258 81 3/25/2011 N/A 10.225 82 4/25/2011 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, 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 1.10% and 1.57%, 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 1.10% and 1.57% 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. 36 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC2 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-2 100 25 25 25 25 25 WAL 17.96 3.00 2.36 1.33 1.03 PRINCIPAL WINDOW Jul04 - Dec32 Jul04 - Dec12 Jul04 - Feb11 Jul04 - May07 Jul04 - May06 ------------------------------------------------------------------------------------------------- M-1 100 53 53 53 53 53 WAL 26.05 5.57 4.71 3.99 2.14 PRINCIPAL WINDOW Feb26 - Dec32 Aug07 - Dec12 Nov07 - Feb11 May07 - Aug08 May06 - Nov06 ------------------------------------------------------------------------------------------------- M-2 100 115 115 115 115 115 WAL 26.05 5.55 4.59 4.04 2.67 PRINCIPAL WINDOW Feb26 - Dec32 Jul07 - Dec12 Sep07 - Feb11 Feb08 - Aug08 Nov06 - Mar07 ------------------------------------------------------------------------------------------------- M-3 100 135 135 135 135 135 WAL 26.05 5.55 4.54 3.70 2.75 PRINCIPAL WINDOW Feb26 - Dec32 Jul07 - Dec12 Aug07 - Feb11 Dec07 - Aug08 Mar07 - Mar07 ------------------------------------------------------------------------------------------------- B-1 100 225 225 225 225 225 WAL 26.05 5.55 4.52 3.54 2.75 PRINCIPAL WINDOW Feb26 - Dec32 Jul07 - Dec12 Jul07 - Feb11 Sep07 - Aug08 Mar07 - Mar07 ------------------------------------------------------------------------------------------------- B-2 100 400 400 400 400 400 WAL 25.92 5.25 4.28 3.29 2.75 PRINCIPAL WINDOW Feb26 - Dec32 Jul07 - Dec12 Jul07 - Feb11 Jul07 - Aug08 Mar07 - Mar07 -------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 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-BC2 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-2 100 25 27 27 25 25 WAL 18.00 3.33 2.65 1.33 1.03 PRINCIPAL WINDOW Jul04 - Feb34 Jul04 - Feb24 Jul04 - Aug20 Jul04 - May07 Jul04 - May06 -------------------------------------------------------------------------------------------------- M-1 100 53 55 55 62 53 WAL 26.18 6.20 5.24 6.04 2.14 PRINCIPAL WINDOW Feb26 - Feb34 Aug07 - Jun20 Nov07 - Sep17 May07 - May15 May06 - Nov06 -------------------------------------------------------------------------------------------------- M-2 100 115 119 120 120 127 WAL 26.17 6.11 5.05 4.42 3.43 PRINCIPAL WINDOW Feb26 - Jan34 Jul07 - Feb19 Sep07 - Apr16 Feb08 - Jan12 Nov06 - Mar12 -------------------------------------------------------------------------------------------------- M-3 100 135 139 139 139 164 WAL 26.16 5.99 4.91 3.94 5.01 PRINCIPAL WINDOW Feb26 - Oct33 Jul07 - Nov16 Aug07 - May14 Dec07 - Sep10 Nov08 - Mar10 -------------------------------------------------------------------------------------------------- B-1 100 225 229 229 229 257 WAL 26.12 5.79 4.73 3.67 3.90 PRINCIPAL WINDOW Feb26 - Aug33 Jul07 - Oct15 Jul07 - Jun13 Sep07 - Feb10 Dec07 - Nov08 -------------------------------------------------------------------------------------------------- B-2 100 400 400 400 400 432 WAL 25.92 5.25 4.28 3.29 3.32 PRINCIPAL WINDOW Feb26 - Dec32 Jul07 - Dec12 Jul07 - Feb11 Jul07 - Aug08 Aug07 - Dec07 --------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 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-BC2 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-Jun-05 97 77 72 59 46 25-Jun-06 96 50 40 17 0 25-Jun-07 95 32 21 0 0 25-Jun-08 94 26 20 0 0 25-Jun-09 92 20 14 0 0 25-Jun-10 91 16 10 0 0 25-Jun-11 89 12 8 0 0 25-Jun-12 87 9 6 0 0 25-Jun-13 85 7 4 0 0 25-Jun-14 82 6 3 0 0 25-Jun-15 80 5 3 0 0 25-Jun-16 77 4 2 0 0 25-Jun-17 74 3 2 0 0 25-Jun-18 71 2 1 0 0 25-Jun-19 65 2 1 0 0 25-Jun-20 61 2 * 0 0 25-Jun-21 58 1 0 0 0 25-Jun-22 54 1 0 0 0 25-Jun-23 49 * 0 0 0 25-Jun-24 44 0 0 0 0 25-Jun-25 40 0 0 0 0 25-Jun-26 35 0 0 0 0 25-Jun-27 32 0 0 0 0 25-Jun-28 28 0 0 0 0 25-Jun-29 24 0 0 0 0 25-Jun-30 19 0 0 0 0 25-Jun-31 15 0 0 0 0 25-Jun-32 9 0 0 0 0 25-Jun-33 4 0 0 0 0 25-Jun-34 0 0 0 0 0 Average Life (years) 18.00 3.33 2.65 1.33 1.03 First Principal Payment Date Jul04 Jul04 Jul04 Jul04 Jul04 Last Principal Payment Date Feb34 Feb24 Aug20 May07 May06
* = 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. 39 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC2 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-Jun-05 100 100 100 100 100 25-Jun-06 100 100 100 100 64 25-Jun-07 100 100 100 84 0 25-Jun-08 100 67 50 84 0 25-Jun-09 100 51 35 71 0 25-Jun-10 100 39 25 44 0 25-Jun-11 100 29 18 28 0 25-Jun-12 100 22 13 17 0 25-Jun-13 100 17 9 8 0 25-Jun-14 100 13 7 3 0 25-Jun-15 100 10 5 0 0 25-Jun-16 100 8 3 0 0 25-Jun-17 100 6 * 0 0 25-Jun-18 100 5 0 0 0 25-Jun-19 100 2 0 0 0 25-Jun-20 100 0 0 0 0 25-Jun-21 100 0 0 0 0 25-Jun-22 100 0 0 0 0 25-Jun-23 100 0 0 0 0 25-Jun-24 100 0 0 0 0 25-Jun-25 100 0 0 0 0 25-Jun-26 97 0 0 0 0 25-Jun-27 88 0 0 0 0 25-Jun-28 77 0 0 0 0 25-Jun-29 66 0 0 0 0 25-Jun-30 54 0 0 0 0 25-Jun-31 41 0 0 0 0 25-Jun-32 27 0 0 0 0 25-Jun-33 12 0 0 0 0 25-Jun-34 0 0 0 0 0 Average Life (years) 26.18 6.20 5.24 6.04 2.14 First Principal Payment Date Feb26 Aug07 Nov07 May07 May06 Last Principal Payment Date Feb34 Jun20 Sep17 May15 Nov06
* = 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. 40 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC2 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-Jun-05 100 100 100 100 100 25-Jun-06 100 100 100 100 100 25-Jun-07 100 100 100 100 19 25-Jun-08 100 67 50 62 19 25-Jun-09 100 51 35 13 19 25-Jun-10 100 39 25 8 14 25-Jun-11 100 29 18 2 4 25-Jun-12 100 22 13 0 0 25-Jun-13 100 17 9 0 0 25-Jun-14 100 13 6 0 0 25-Jun-15 100 10 2 0 0 25-Jun-16 100 8 0 0 0 25-Jun-17 100 5 0 0 0 25-Jun-18 100 2 0 0 0 25-Jun-19 100 0 0 0 0 25-Jun-20 100 0 0 0 0 25-Jun-21 100 0 0 0 0 25-Jun-22 100 0 0 0 0 25-Jun-23 100 0 0 0 0 25-Jun-24 100 0 0 0 0 25-Jun-25 100 0 0 0 0 25-Jun-26 97 0 0 0 0 25-Jun-27 88 0 0 0 0 25-Jun-28 77 0 0 0 0 25-Jun-29 66 0 0 0 0 25-Jun-30 54 0 0 0 0 25-Jun-31 41 0 0 0 0 25-Jun-32 27 0 0 0 0 25-Jun-33 12 0 0 0 0 25-Jun-34 0 0 0 0 0 Average Life (years) 26.17 6.11 5.05 4.42 3.43 First Principal Payment Date Feb26 Jul07 Sep07 Feb08 Nov06 Last Principal Payment Date Jan34 Feb19 Apr16 Jan12 Mar12
-------------------------------------------------------------------------------- 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. 41 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC2 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-Jun-05 100 100 100 100 100 25-Jun-06 100 100 100 100 100 25-Jun-07 100 100 100 100 100 25-Jun-08 100 67 50 21 100 25-Jun-09 100 51 35 13 44 25-Jun-10 100 39 25 3 0 25-Jun-11 100 29 18 0 0 25-Jun-12 100 22 13 0 0 25-Jun-13 100 17 9 0 0 25-Jun-14 100 13 0 0 0 25-Jun-15 100 10 0 0 0 25-Jun-16 100 3 0 0 0 25-Jun-17 100 0 0 0 0 25-Jun-18 100 0 0 0 0 25-Jun-19 100 0 0 0 0 25-Jun-20 100 0 0 0 0 25-Jun-21 100 0 0 0 0 25-Jun-22 100 0 0 0 0 25-Jun-23 100 0 0 0 0 25-Jun-24 100 0 0 0 0 25-Jun-25 100 0 0 0 0 25-Jun-26 97 0 0 0 0 25-Jun-27 88 0 0 0 0 25-Jun-28 77 0 0 0 0 25-Jun-29 66 0 0 0 0 25-Jun-30 54 0 0 0 0 25-Jun-31 41 0 0 0 0 25-Jun-32 27 0 0 0 0 25-Jun-33 12 0 0 0 0 25-Jun-34 0 0 0 0 0 Average Life (years) 26.16 5.99 4.91 3.94 5.01 First Principal Payment Date Feb26 Jul07 Aug07 Dec07 Nov08 Last Principal Payment Date Oct33 Nov16 May14 Sep10 Mar10
-------------------------------------------------------------------------------- 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. 42 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC2 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-Jun-05 100 100 100 100 100 25-Jun-06 100 100 100 100 100 25-Jun-07 100 100 100 100 100 25-Jun-08 100 67 50 21 33 25-Jun-09 100 51 35 6 0 25-Jun-10 100 39 25 0 0 25-Jun-11 100 29 16 0 0 25-Jun-12 100 22 6 0 0 25-Jun-13 100 15 0 0 0 25-Jun-14 100 7 0 0 0 25-Jun-15 100 1 0 0 0 25-Jun-16 100 0 0 0 0 25-Jun-17 100 0 0 0 0 25-Jun-18 100 0 0 0 0 25-Jun-19 100 0 0 0 0 25-Jun-20 100 0 0 0 0 25-Jun-21 100 0 0 0 0 25-Jun-22 100 0 0 0 0 25-Jun-23 100 0 0 0 0 25-Jun-24 100 0 0 0 0 25-Jun-25 100 0 0 0 0 25-Jun-26 97 0 0 0 0 25-Jun-27 88 0 0 0 0 25-Jun-28 77 0 0 0 0 25-Jun-29 66 0 0 0 0 25-Jun-30 54 0 0 0 0 25-Jun-31 41 0 0 0 0 25-Jun-32 27 0 0 0 0 25-Jun-33 5 0 0 0 0 25-Jun-34 0 0 0 0 0 Average Life (years) 26.12 5.79 4.73 3.67 3.90 First Principal Payment Date Feb26 Jul07 Jul07 Sep07 Dec07 Last Principal Payment Date Aug33 Oct15 Jun13 Feb10 Nov08
-------------------------------------------------------------------------------- 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. 43 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC2 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-Jun-05 100 100 100 100 100 25-Jun-06 100 100 100 100 100 25-Jun-07 100 100 100 100 100 25-Jun-08 100 67 50 2 0 25-Jun-09 100 51 30 0 0 25-Jun-10 100 37 10 0 0 25-Jun-11 100 19 0 0 0 25-Jun-12 100 5 0 0 0 25-Jun-13 100 0 0 0 0 25-Jun-14 100 0 0 0 0 25-Jun-15 100 0 0 0 0 25-Jun-16 100 0 0 0 0 25-Jun-17 100 0 0 0 0 25-Jun-18 100 0 0 0 0 25-Jun-19 100 0 0 0 0 25-Jun-20 100 0 0 0 0 25-Jun-21 100 0 0 0 0 25-Jun-22 100 0 0 0 0 25-Jun-23 100 0 0 0 0 25-Jun-24 100 0 0 0 0 25-Jun-25 100 0 0 0 0 25-Jun-26 97 0 0 0 0 25-Jun-27 88 0 0 0 0 25-Jun-28 77 0 0 0 0 25-Jun-29 66 0 0 0 0 25-Jun-30 54 0 0 0 0 25-Jun-31 41 0 0 0 0 25-Jun-32 15 0 0 0 0 25-Jun-33 0 0 0 0 0 Average Life (years) 25.92 5.25 4.28 3.29 3.32 First Principal Payment Date Feb26 Jul07 Jul07 Jul07 Aug07 Last Principal Payment Date Dec32 Dec12 Feb11 Aug08 Dec07
-------------------------------------------------------------------------------- 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. 44 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC2 BREAKEVEN CDR TABLE The tables below display the Constant Default Rate ("CDR"), and the related cumulative collateral loss, at which the referenced Class first incurs a principal writedown. Calculations are run to maturity at both static LIBOR (1ML=1.10%, 6ML=1.57%) and forward LIBOR (shown in the graph below), and at varying loss severity percentages. Other assumptions include: (1) prepayment speed at 20% HEP for the fixed rate collateral and 100% PPC for the adjustable rate collateral, (2) 0 month lag from default to loss, (3) 100% P&I advancing, (4) triggers fail (i.e., no stepdown and no stepup):
STATIC LIBOR FORWARD LIBOR ----------------------------------------- -------------------------------------- 35% LOSS 45% LOSS 55% LOSS 35% LOSS 45% LOSS 55% LOSS SEVERITY SEVERITY SEVERITY SEVERITY SEVERITY SEVERITY ------------------------------------------------------------------------------------- CLASS M-1 CDR Break 31.045% 23.234% 18.552% 25.954% 19.014% 14.978% Cum Loss 19.23% 20.65% 21.68% 17.26% 18.07% 18.61% CLASS M-2 CDR Break 21.386% 16.492% 13.418% 16.235% 12.285% 9.869% Cum Loss 15.21% 16.32% 17.12% 12.56% 13.11% 13.47% CLASS M-3 CDR Break 18.826% 14.634% 11.964% 13.671% 10.422% 8.417% Cum Loss 13.94% 14.95% 15.67% 11.06% 11.52% 11.83% CLASS B-1 CDR Break 14.789% 11.631% 9.580% 9.172% 7.109% 5.797% Cum Loss 11.72% 12.54% 13.13% 8.08% 8.39% 8.60% CLASS B-2 CDR Break 12.934% 10.246% 8.477% 7.668% 6.020% 4.954% Cum Loss 10.59% 11.34% 11.87% 6.96% 7.27% 7.48%
FORWARD LIBOR [FORWARD LIBOR LINE GRAPH] -------------------------------------------------------------------------------- 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. 45 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC2 EXCESS SPREAD The table below displays excess spread in bps. Calculations are run to maturity at both static LIBOR (1ML=1.10%, 6ML=1.57%) and forward LIBOR (shown in the table below). Excess spread means the per annum rate equal to 12 times the quotient of (x) the difference between (a) the total scheduled interest based on the Net Mortgage Rates in effect on the related due date minus (b) the total interest due on the Offered Certificates, 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. Other assumptions include: (1) prepayment speed is 20% HEP for the fixed rate collateral and 100% PPC for the adjustable rate collateral, (2) no defaults and no losses:
EXCESS SPREAD IN BPS EXCESS SPREAD IN BPS PERIOD (STATIC LIBOR) (FORWARD LIBOR) ------- -------------------- -------------------- Avg yr1 505 405 Avg yr2 528 282 Avg yr3 576 359 Avg yr4 577 368 Avg yr5 579 342
EXCESS EXCESS EXCESS EXCESS SPREAD IN SPREAD IN SPREAD IN SPREAD IN BPS 1 MONTH 6 MONTH BPS BPS 1 MONTH 6 MONTH BPS (STATIC FORWARD FORWARD (FORWARD (STATIC FORWARD FORWARD (FORWARD PERIOD LIBOR) LIBOR LIBOR LIBOR) PERIOD LIBOR) LIBOR LIBOR LIBOR) ------ --------- ------- ------- --------- ------ --------- ------- ------- --------- 1 493 1.1000% 1.5900% 493 42 590 5.4757% 5.6471% 388 2 493 1.3278% 1.7766% 470 43 566 5.5278% 5.6869% 349 3 492 1.5059% 1.9413% 452 44 566 5.5505% 5.7258% 346 4 514 1.6891% 2.1234% 455 45 617 5.6143% 5.7666% 406 5 492 1.8480% 2.2912% 417 46 566 5.6530% 5.8016% 352 6 513 2.0138% 2.4537% 422 47 591 5.6632% 5.8378% 383 7 491 2.1918% 2.6237% 382 48 566 5.7202% 5.8767% 342 8 493 2.3737% 2.7936% 365 49 590 5.7591% 5.9126% 369 9 566 2.5485% 2.9435% 419 50 565 5.7758% 5.9442% 333 10 498 2.7104% 3.1102% 335 51 565 5.8291% 5.9820% 327 11 521 2.8608% 3.2499% 343 52 589 5.8632% 6.0141% 367 12 498 3.0146% 3.3761% 308 53 564 5.8780% 6.0438% 332 13 520 3.1602% 3.5117% 314 54 588 5.9280% 6.0758% 357 14 498 3.2844% 3.6399% 280 55 563 5.9603% 6.1036% 319 15 497 3.4322% 3.7601% 266 56 563 5.9794% 6.1327% 315 16 519 3.5733% 3.8849% 273 57 642 6.0246% 6.1612% 414 17 497 3.6519% 3.9921% 243 58 564 6.0503% 6.1874% 315 18 518 3.7963% 4.0987% 250 59 589 6.0561% 6.2169% 345 19 496 3.9270% 4.2137% 216 60 565 6.0964% 6.2443% 308 20 495 4.0201% 4.3055% 206 61 590 6.1262% 6.2728% 336 21 571 4.1508% 4.3888% 274 62 566 6.1425% 6.3001% 301 22 568 4.2317% 4.4762% 353 63 566 6.1808% 6.3268% 297 23 591 4.2897% 4.5546% 375 64 592 6.2089% 6.3525% 333 24 565 4.4032% 4.6287% 333 65 568 6.2259% 6.3781% 298 25 589 4.5018% 4.7037% 348 66 593 6.2601% 6.4013% 326 26 563 4.5191% 4.7716% 318 67 569 6.2849% 6.4259% 290 27 562 4.6290% 4.8440% 309 68 570 6.3028% 6.4517% 287 28 586 4.7140% 4.9189% 385 69 650 6.3334% 6.4747% 387 29 560 4.7386% 4.9774% 352 70 571 6.3549% 6.4995% 286 30 584 4.8367% 5.0408% 370 71 597 6.3705% 6.5254% 316 31 558 4.9147% 5.1056% 331 72 573 6.3998% 6.5483% 280 32 557 4.9451% 5.1591% 326 73 599 6.4275% 6.5725% 308 33 637 5.0345% 5.2135% 418 74 575 6.4479% 6.5968% 273 34 564 5.1011% 5.2675% 377 75 576 6.4743% 6.6193% 270 35 589 5.1075% 5.3158% 410 76 602 6.4973% 6.6445% 300 36 562 5.1920% 5.3667% 367 77 578 6.5135% 6.6641% 266 37 586 5.2509% 5.4209% 391 78 604 6.5387% 6.6855% 295 38 558 5.2626% 5.4628% 351 79 580 6.5626% 6.7069% 259 39 561 5.3376% 5.5138% 348 80 581 6.5848% 6.7294% 256 40 588 5.3935% 5.5603% 395 81 *** 6.6100% 6.7486% 357 41 564 5.4084% 5.6016% 363
-------------------------------------------------------------------------------- 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. 46