EX-99.1 2 x01837kexv99w1.txt COMPUTATIONAL MATERIALS EXHIBIT 99.1 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 ABS NEW TRANSACTION COMPUTATIONAL MATERIALS $650,000,000 (APPROXIMATE) SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2004-BC3 [SURF LOGO] LITTON LOAN SERVICING, L.P. SERVICER J.P. MORGAN CHASE BANK TRUSTEE SEPTEMBER [9], 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previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 1 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 The attached tables and other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 The information herein is preliminary, and will be superseded by the applicable Prospectus Supplement and by any other information subsequently filed with the Securities and Exchange Commission.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-BC3 TERM SHEET SEPTEMBER [9], 2004 SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2004-BC3 $650,000,000 (APPROXIMATE) SUBJECT TO REVISION
PRINCIPAL EXPECTED STATED WAL (YRS) WINDOW FINAL FINAL EXPECTED RATINGS APPROX (CALL(4)/ (CALL(4)/ PAYMENT INTEREST MATURITY MATURITY (MOODY'S CLASS SIZE ($) COUPON MATURITY) MATURITY) DELAY ACCRUAL (4) (5) /S&P) ---------- ----------- ----------- ----------- ------------------ ------- ---------- -------- -------- ---------------- CLASS A-1A 238,737,000 Information not provided hereby [Aaa/AAA] CLASS A-1B 59,684,000 LIBOR + [ ] 2.09 / 2.22 1 - 81 / 1 - 164 0 Actual/360 07/2011 07/2035 [Aaa/AAA] (1), (2) CLASS A-2A 144,512,000 LIBOR + [ ] 1.00 / 1.00 1 - 23 / 1 - 23 0 Actual/360 09/2006 07/2035 [Aaa/AAA] (1), (2) CLASS A-2B 66,776,000 LIBOR + [ ] 3.00 / 3.00 23 - 62 / 23 - 62 0 Actual/360 12/2009 07/2035 [Aaa/AAA] (1), (2) CLASS A-2C 37,591,000 LIBOR + [ ] 6.43 / 8.66 62 - 81 / 62 - 196 0 Actual/360 07/2011 07/2035 [Aaa/AAA] (1), (2) CLASS M-1 40,625,000 LIBOR + [ ] 4.72 / 5.26 42 - 81 / 42 - 160 0 Actual/360 07/2011 07/2035 [Aa2/AA+] (1), (3) CLASS M-2 30,875,000 LIBOR + [ ] 4.60 / 5.08 39 - 81 / 39 - 143 0 Actual/360 07/2011 07/2035 [A2/AA-] (1), (3) CLASS M-3 8,775,000 LIBOR + [ ] 4.56 / 4.96 39 - 81 / 39 - 123 0 Actual/360 07/2011 07/2035 [A3/A+] (1), (3) CLASS B-1 12,675,000 LIBOR + [ ] 4.54 / 4.85 38 - 81 / 38 - 115 0 Actual/360 07/2011 07/2035 [Baa2/A-] (1), (3) CLASS B-2 6,500,000 LIBOR + [ ] 4.53 / 4.72 37 - 81 / 37 - 99 0 Actual/360 07/2011 07/2035 [Baa3/BBB] (1), (3) CLASS B-3 3,250,000 Information not provided hereby [NR/BBB] TOTAL OFFERED: 650,000,000
1) Subject to the Available Funds Cap and the Maximum Rate Cap. 2) If the 10% cleanup call is not exercised on the first Distribution Date on which it is exercisable, the margin on each of the Class A-1A, Class A-1B, Class A-2A, Class A-2B, Class A-2C 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, Class B-2, and Class B-3 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-BC3 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 Calvin Look 212-449-5029 calvin_look@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-BC3 TITLE OF OFFERED CERTIFICATES Specialty Underwriting & Residential Finance ("SURF"), Mortgage Loan Asset-Backed Certificates, Series 2004-BC3, consisting of: Class A-1A and Class A-1B Certificates (collectively, the "Class A-1 Certificates"),, Class A-2A, Class A-2B and Class A-2C Certificates (collectively, the "Class A-2 Certificates", and 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, Class B-2, and Class B-3 Certificates (collectively, the "Class B Certificates" and together with the Class M Certificates, the "Subordinate Certificates") UNDERWRITERS Merrill Lynch, Pierce, Fenner & Smith Incorporated and Banc of America Securities LLC 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 October 1, 2004 PRICING DATE On or about September [10], 2004 CLOSING DATE On or about October [28], 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 November 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-BC3 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 $653,620,324, as of September 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 $650,000,000. TOTAL DEAL SIZE Approximately $650,000,000 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 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., 2.55% of the aggregate principal balance of the Mortgage Loans as of the Closing Date). Initial: 0.00% of original balance Target: 2.55% of original balance before stepdown, 5.10% of current balance after stepdown Floor: 0.50% of original balance
SUBORDINATION: CLASSES RATING (M/S) SUBORDINATION (1) --------- ------------ ----------------- (1) includes OC target Class A [Aaa/AAA] 18.35% Class M-1 [Aa2/AA+] 12.10% Class M-2 [A2/AA-] 7.35% Class M-3 [A3/A+] 6.00% Class B-1 [Baa2/A-] 4.05% Class B-2 [Baa3/BBB] 3.05% Class B-3 [NR/BBB] 2.55%
-------------------------------------------------------------------------------- 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-BC3 CLASS SIZES:
CLASSES RATING (M/S) CLASS SIZES --------- ------------ ----------- Class A [Aaa/AAA] 84.20% Class M-1 [Aa2/AA+] 6.25% Class M-2 [A2/AA-] 4.75% Class M-3 [A3/A+] 1.35% Class B-1 [Baa2/A-] 1.95% Class B-2 [Baa3/BBB] 1.00% Class B-3 [NR/BBB] 0.50%
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 each class of the Class A Certificates will increase to 2x their respective margins, and (ii) the margins on each class of the Subordinate Certificates will increase to 1.5x their respective margins, in each case on the following Distribution Date. AVAILABLE FUNDS Class A-1 Certificates: The per annum rate equal to (A) CAPS 12 times the quotient of (x) the total scheduled interest based on the Group A Net Mortgage Rates in effect on the related due date, divided by (y) the aggregate principal balance of the Group A Mortgage Loans 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. Class A-2 Certificates: The per annum rate equal to (A) 12 times the quotient of (x) the total scheduled interest based on the Group B Net Mortgage Rates in effect on the related due date, divided by (y) the aggregate principal balance of the Group B Mortgage Loans 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. Subordinate Certificates: The per annum rate equal to the weighted average (weighted in proportion to the results of subtracting from the aggregate principal balance of each loan group the current principal balance of the related Class A Certificates) of the Class A-1 Available Funds Cap and the Class A-2 Available Funds Cap. "Net Mortgage Rate" means, with respect to any mortgage loan the mortgage rate on such mortgage loan less the administrative fees. CAP CONTRACTS The Certificates will each have the benefit of one of the three cap contracts as specified below:
BEGINNING 1ML STRIKE, CLASS NUMBER OF MONTHS DISTRIBUTION DATE UPPER COLLAR ------------------------ ---------------- ----------------- ------------ Class A-1 Certificates [31] November 2004 8.90% Class A-2 Certificates [81] November 2004 9.65% Subordinate Certificates [37] November 2004 8.50%
Payments received on the related cap contract will be available to pay amounts to the holders of the Certificates, in respect of shortfalls arising as a result of the applicable 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 Subordinate Certificates have been written down to zero). -------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 7 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 MAXIMUM RATE The pass-through rates of each of the Offered CAPS Certificates will also be subject to a related "Maximum Rate Cap", which will be calculated in the same manner as the related Available Funds Cap, but based on the net maximum mortgage rate rather than the net mortgage rate. Any interest shortfall due to the Maximum Rate Cap will not be reimbursed. SHORTFALL If on any Distribution Date the pass-through rate is REIMBURSEMENT limited by the related 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 related Available Funds Cap, up to but not exceeding the greater of (i) the related Maximum Rate Cap and (ii) the lesser of (A) One Month LIBOR and (B) the applicable rate for the related class or classes of certificates shown under the heading "1ML Strike, Upper Collar", under the heading, "Cap Contracts" shown on page 7 hereof), and the aggregate of such shortfalls from previous Distribution Dates together with accrued interest at the pass-through rate will be carried over to the next Distribution Date until paid (herein referred to as "Carryover"). Such reimbursement will be paid only on a subordinated basis, as described below in the "Cashflow Priority" section. No such Carryover will be paid once the Certificate principal balance has been reduced to zero. CASHFLOW PRIORITY 1. Repayment of any unreimbursed Servicer advances. 2. Servicing Fees, Trustee Fees and Loss Mitigation Advisor Fees. 3. Available interest funds, as follows: monthly interest, including any unpaid monthly interest from prior months, concurrently, to each class of the Class A Certificates, 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, then to the Class B-2 Certificates, and then Class B-3 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, then monthly principal to the Class B-2 Certificates and then monthly principal to the Class B-3 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 related Cap Contract will only be available to the related classes of 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 Subordinate Certificates have been written down to zero. Any excess of amounts received on the related Cap Contract over amounts needed to pay such Carryovers on the related classes of 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-BC3 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 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. Amounts allocated to the Class A-1A and the Class A-1B Certificates shall be distributed pro-rata. 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. Amounts allocated to the Class A-2A, Class A-2B and Class A-2C Certificates shall be distributed sequentially, with all amounts paid to the Class A-2A Certificates until its Certificate principal balance has been reduced to zero, then to the Class A-2B Certificates until its Certificate principal balance has been reduced to zero and thereafter to the Class A-2C Certificates until its Certificate principal balance has been reduced to zero. "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, Class B-2, and Class B-3 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-BC3 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, sixth to the Class B-2 Certificates, and seventh to the Class B-3 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 36.70% CLASS M-1 24.20% CLASS M-2 14.70% CLASS M-3 12.00% CLASS B-1 8.10% CLASS B-2 6.10% CLASS B-3 5.10%
THE SUBORDINATE CLASS PRINCIPAL DISTRIBUTION TEST IS MET IF: i) The Distribution Date is on or after the November 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 DISTRIBUTION outstanding principal balance of the subordinate DATE Certificates and the O/C amount divided by the aggregate stated principal balance of the Mortgage Loans) is greater than or equal to the Senior Specified Enhancement Percentage (including O/C), which is equal to two times the initial AAA subordination percentage. SENIOR SPECIFIED ENHANCEMENT PERCENTAGE: 36.70% or (15.80%+2.55%)*2 STEP DOWN LOSS The situation that exists with respect to any TRIGGER EVENT Distribution Date after the Stepdown Date, if (a) the 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) [TBD%] and (ii) the Required Percentage or (b) the quotient (expressed as a percentage)of (1) the aggregate Realized Losses incurred from the Cut-off Date through the last day of the calendar month preceding such Distribution Date and (2) the aggregate principal balance of the Mortgage Loans as of the Cut-off Date exceeds the Required Loss Percentage.
DISTRIBUTION DATE OCCURRING LOSS PERCENTAGE ---------------------------- -------------------------------------------------------- November 2007 - October 2008 [TBD%] with respect to November 2007, plus an additional 1/12th of [TBD%] for each month thereafter November 2008 - October 2009 [TBD%] with respect to November 2008, plus an additional 1/12th of [TBD%] for each month thereafter November 2009 - October 2010 [TBD%] with respect to November 2009, plus an additional 1/12th of [TBD%] for each month thereafter November 2010 and thereafter [TBD%]
(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-BC3 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-BC3 TOTAL MORTGAGE LOANS Aggregate Outstanding Principal Balance $653,620,324 Aggregate Original Principal Balance $655,167,230 Number of Mortgage Loans 4,442
MINIMUM MAXIMUM AVERAGE (1) ------- ------- ---------- Original Principal Balance $12,980 $616,000 $147,494 Outstanding Principal Balance $12,912 $613,619 $147,146
MINIMUM MAXIMUM WEIGHTED AVERAGE (2) ------- ------- ------------------- Original Term (mos) 180 360 350 Stated remaining Term (mos)(5) 172 357 345 Loan Age (mos)(5) 3 11 5 Current Interest Rate 4.100% 13.650% 6.819% Initial Interest Rate Cap (3) 1.000% 5.000% 2.896% Periodic Rate Cap (3) 1.000% 2.000% 1.128% Gross Margin (3) 3.250% 10.250% 6.186% Maximum Mortgage Rate (3) 8.800% 18.900% 12.938% Minimum Mortgage Rate (3) 3.875% 10.500% 6.563% Months to Roll (3)(5) 13 56 21 Original Loan-to-Value 7.17% 100.00% 82.66% Credit Score (4) 500 814 631
EARLIEST LATEST -------- ------ Maturity Date 02/01/19 07/01/34
LIEN POSITION PERCENT OF MORTGAGE POOL ------------- ------------------------ 1st Lien 96.03% 2nd Lien 3.97%
YEAR OF ORIGINATION PERCENT OF MORTGAGE POOL ------------------- ------------------------ 2003 0.33% 2004 99.67%
OCCUPANCY PERCENT OF MORTGAGE POOL --------- ------------------------ Primary 95.67% Second Home 0.98% Investment 3.35%
LOAN PURPOSE PERCENT OF MORTGAGE POOL ------------ ------------------------ Purchase 35.44% Refinance - Rate Term 6.78% Refinance - Cashout 57.78%
LOAN TYPE PERCENT OF MORTGAGE POOL --------- ------------------------ Fixed Rate 29.53% ARM 70.47%
AMORTIZATION TYPE PERCENT OF MORTGAGE POOL ----------------- ------------------------ Fully Amortizing 78.96% Interest-Only 17.63% Balloon 3.41%
PROPERTY TYPE PERCENT OF MORTGAGE POOL ------------- ------------------------ Single Family 77.44% Rowhouse 0.17% Townhouse 0.73% Condominium 4.11% Two- to Four-Family 3.07% Planned Unit Development 14.43% Manufactured Housing 0.06%
(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-BC3 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 ----------------------- -------------- ----------- ---------- -------- -------- ----------- -------- ------------- 5.500% or less 250 $ 51,887,500 7.94% 5.265% 665 $ 207,550 78.48% 81.83% 5.501% to 6.000% 618 123,204,720 18.85 5.846 653 199,360 80.03 73.68 6.001% to 6.500% 727 134,436,835 20.57 6.312 637 184,920 80.18 60.22 6.501% to 7.000% 867 147,254,276 22.53 6.814 620 169,843 83.11 62.59 7.001% to 7.500% 469 68,056,064 10.41 7.302 613 145,109 83.97 60.70 7.501% to 8.000% 395 51,180,775 7.83 7.789 606 129,572 84.89 60.21 8.001% to 8.500% 243 25,455,597 3.89 8.322 605 104,756 85.51 63.80 8.501% to 9.000% 214 20,282,582 3.10 8.791 599 94,778 87.97 70.97 9.001% to 9.500% 167 10,375,385 1.59 9.368 613 62,128 93.01 69.94 9.501% to 10.000% 114 6,106,629 0.93 9.863 634 53,567 92.86 42.55 10.001% to 10.500% 114 5,101,386 0.78 10.364 652 44,749 98.22 22.76 10.501% to 11.000% 140 5,577,280 0.85 10.854 656 39,838 99.77 34.42 11.001% to 11.500% 53 2,091,464 0.32 11.287 641 39,462 99.85 56.38 11.501% to 12.000% 49 1,719,624 0.26 11.891 644 35,094 99.77 40.14 12.001% to 12.500% 13 532,980 0.08 12.338 634 40,998 100.00 43.69 12.501% to 13.000% 5 162,915 0.02 12.796 645 32,583 97.56 38.89 13.001% to 13.500% 3 168,327 0.03 13.254 635 56,109 100.00 33.07 13.501% to 14.000% 1 25,984 0.00 13.650 606 25,984 100.00 100.00 ----- ------------ ------ ----- --- -------- ------ ------ TOTAL: 4,442 $653,620,324 100.00% 6.819% 631 $147,146 82.66% 64.92% ===== ============ ====== ===== === ======== ====== ======
As of the Statistical Calculation Date, Mortgage Rates borne by the Mortgage Loans ranged from 4.100% per annum to 13.650% per annum and the weighted average Mortgage Rate of the Rate Mortgage Loans was approximately 6.819% 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 ------------------ -------------- ----------- ---------- -------- -------- ----------- -------- ------------- 169 to 180 660 $ 31,184,944 4.77% 9.601% 652 $ 47,250 93.79% 49.14% 229 to 240 68 6,005,739 0.92 7.522 631 88,320 80.29 83.60 241 to 252 1 90,572 0.01 7.900 612 90,572 52.00 100.00 277 to 288 1 265,636 0.04 6.850 681 265,636 90.00 100.00 289 to 300 6 903,406 0.14 6.466 662 150,568 78.73 100.00 337 to 348 1 106,141 0.02 7.500 718 106,141 95.00 100.00 349 to 360 3705 615,063,887 94.10 6.672 629 166,009 82.12 65.46 ----- ------------ ------ ----- --- ---------- ----- ----- TOTAL: 4,442 $653,620,324 100.00% 6.819% 631 $ 147,146 82.66% 64.92% ===== ============ ====== ===== === ========== ===== =====
As of the Statistical Calculation Date, the remaining term to stated maturity of the Mortgage Loans ranged from 173 months to 358 months and the weighted average remaining term to stated maturity of the Mortgage Loans was approximately 346 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-BC3 TOTAL 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 584 $ 20,084,311 3.07% 9.814% 646 $ 34,391 94.15% 50.75% $50,001 to $100,000 1,024 78,803,337 12.06 7.717 626 76,956 83.50 73.23 $100,001 to $150,000 1,100 136,423,236 20.87 6.854 629 124,021 82.13 71.17 $150,001 to $200,000 729 126,086,099 19.29 6.685 624 172,958 81.50 68.62 $200,001 to $250,000 392 88,079,116 13.48 6.552 627 224,692 81.77 61.16 $250,001 to $300,000 235 64,178,767 9.82 6.347 636 273,101 82.76 60.66 $300,001 to $350,000 178 57,589,727 8.81 6.393 638 323,538 82.93 60.58 $350,001 to $400,000 119 44,684,803 6.84 6.425 636 375,503 83.27 44.43 $400,001 to $450,000 39 16,586,629 2.54 6.329 634 425,298 82.37 64.11 $450,001 to $500,000 29 13,811,087 2.11 6.052 659 476,244 80.93 69.02 $500,001 to $550,000 4 2,079,965 0.32 6.283 652 519,991 75.97 75.10 $550,001 to $600,000 8 4,599,628 0.70 6.476 617 574,954 82.14 63.27 $600,001 to $650,000 1 613,619 0.09 5.000 631 613,619 73.42 100.00 ----- ------------ ------ ----- --- --------- ----- ------ Total: 4,442 $653,620,324 100.00% 6.819% 631 $ 147,146 82.66% 64.92% ===== ============ ====== ===== === ========= ===== ======
As of the Statistical Calculation Date, the outstanding principal balances of the Mortgage Loans ranged from approximately $12,912 to approximately $613,619 and the average outstanding principal balance of the Mortgage Loans was approximately $147,146. 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 528 $ 22,311,170 3.41% 10.257% 660 $ 42,256 99.73% 46.46% 15 to 19 Year Fixed Loans 132 8,873,773 1.36 7.949 631 67,226 78.88 55.88 20 to 24 Year Fixed Loans 68 6,005,739 0.92 7.522 631 88,320 80.29 83.60 25 to 29 Year Fixed Loans 8 1,259,614 0.19 6.650 662 157,452 79.18 100.00 30 Year Fixed Loans 969 154,539,171 23.64 6.808 645 159,483 80.54 75.35 2/28 LIBOR ARM Loans 2,329 382,583,853 58.53 6.671 624 164,270 82.96 63.65 3/27 LIBOR ARM Loans 402 76,764,783 11.74 6.417 625 190,957 81.26 54.69 5/25 ARM Loans 6 1,282,221 0.20 5.822 628 213,703 76.50 57.89 ----- ------------ ------ ----- --- --------- ----- ------ TOTAL: 4,442 $653,620,324 100.00% 6.819% 631 $ 147,146 82.66% 64.92% ===== ============ ====== ===== === ========= ===== ======
-------------------------------------------------------------------------------- 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-BC3 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 63 $ 6,082,075 0.93% 7.379% 632 $ 96,541 87.02% 87.14% Arizona 130 14,244,951 2.18 6.796 647 109,577 84.46 55.46 Arkansas 34 3,196,608 0.49 7.354 643 94,018 89.42 60.17 California 864 189,841,455 29.04 6.340 638 219,724 80.85 59.62 Colorado 89 13,278,534 2.03 6.710 637 149,197 83.25 54.45 Connecticut 62 9,701,460 1.48 7.081 627 156,475 84.00 75.39 Delaware 8 999,396 0.15 6.620 679 124,924 82.37 100.00 District of Columbia 9 1,312,522 0.20 7.682 600 145,836 71.29 86.19 Florida 435 55,391,573 8.47 6.959 626 127,337 82.92 61.10 Georgia 234 30,557,558 4.68 7.110 617 130,588 82.30 66.73 Idaho 2 113,772 0.02 8.373 556 56,886 66.47 37.71 Illinois 162 24,128,813 3.69 6.918 629 148,943 83.95 64.01 Indiana 97 10,916,794 1.67 7.276 619 112,544 85.92 74.72 Iowa 9 592,860 0.09 7.429 655 65,873 83.70 66.02 Kansas 32 3,046,178 0.47 7.324 634 95,193 85.11 65.27 Kentucky 44 4,170,687 0.64 7.269 628 94,788 83.36 74.13 Louisiana 26 2,417,310 0.37 7.221 632 92,973 84.78 57.56 Maine 15 2,357,059 0.36 7.253 636 157,137 84.81 86.77 Maryland 141 25,179,144 3.85 6.865 609 178,575 82.69 78.07 Massachusetts 55 11,796,496 1.80 6.688 624 214,482 83.69 77.83 Michigan 175 19,187,440 2.94 7.237 622 109,643 83.73 60.11 Minnesota 117 16,396,559 2.51 6.795 637 140,142 84.19 69.12 Mississippi 24 2,001,513 0.31 7.454 612 83,396 85.50 79.19 Missouri 76 8,043,030 1.23 7.335 630 105,829 85.76 59.69 Montana 3 320,401 0.05 6.490 652 106,800 82.06 100.00 Nebraska 11 1,299,116 0.20 6.885 639 118,101 85.15 91.79 Nevada 90 15,275,054 2.34 6.778 646 169,723 84.63 45.26 New Hampshire 10 1,538,699 0.24 6.419 621 153,870 78.34 66.70 New Jersey 42 8,450,204 1.29 7.248 587 201,195 81.07 76.76 New Mexico 3 741,120 0.11 6.218 615 247,040 83.87 55.12 New York 85 15,783,738 2.41 6.732 629 185,691 77.46 69.41 North Carolina 102 12,610,877 1.93 7.305 630 123,636 85.56 70.66 Ohio 120 13,090,349 2.00 7.137 626 109,086 85.37 77.83 Oklahoma 9 661,870 0.10 7.228 621 73,541 85.59 80.57 Oregon 61 7,518,540 1.15 6.707 651 123,255 83.64 63.03 Pennsylvania 154 20,040,693 3.07 6.933 625 130,134 83.08 79.14 Rhode Island 30 5,158,618 0.79 6.806 604 171,954 78.30 55.40 South Carolina 90 9,568,147 1.46 7.528 611 106,313 82.81 83.60 South Dakota 3 475,544 0.07 6.866 595 158,515 85.48 41.17 Tennessee 81 8,390,031 1.28 7.607 626 103,581 87.02 78.79 Texas 249 21,666,211 3.31 7.381 650 87,013 82.89 40.91 Utah 24 2,804,721 0.43 6.570 666 116,863 82.79 83.91 Vermont 1 269,227 0.04 6.250 623 269,227 90.00 100.00 Virginia 172 27,836,493 4.26 7.002 619 161,840 82.80 74.39 Washington 113 16,082,026 2.46 6.658 647 142,319 84.28 64.17 West Virginia 28 2,451,782 0.38 7.453 602 87,564 79.90 81.96 Wisconsin 56 6,415,168 0.98 6.855 640 114,557 84.80 71.32 Wyoming 2 217,908 0.03 8.034 619 108,954 96.69 66.87 ----- ------------ ------ ----- --- --------- ----- ------ TOTAL: 4,442 $653,620,324 100.00% 6.819% 631 $ 147,146 82.66% 64.92% ===== ============ ====== ===== === ========= ===== ======
No more than approximately 0.50% 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-BC3 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 80 $ 8,568,262 1.31% 6.491% 621 $ 107,103 40.11% 59.56% 50.01% to 55.00% 40 5,681,844 0.87 6.840 617 142,046 52.89 45.74 55.01% to 60.00% 66 9,277,251 1.42 6.566 607 140,564 57.82 53.90 60.01% to 65.00% 78 13,814,146 2.11 6.586 613 177,104 62.82 53.18 65.01% to 70.00% 168 27,192,047 4.16 6.587 611 161,857 68.27 56.38 70.01% to 75.00% 257 42,809,515 6.55 6.635 610 166,574 73.76 66.65 75.01% to 80.00% 1,379 225,773,377 34.54 6.311 645 163,723 79.69 60.72 80.01% to 85.00% 473 82,717,776 12.66 6.777 607 174,879 84.41 67.42 85.01% to 90.00% 873 151,824,189 23.23 6.954 626 173,911 89.62 68.06 90.01% to 95.00% 257 39,763,051 6.08 7.296 636 154,720 94.78 80.92 95.01% to 100.00% 771 46,198,867 7.07 9.013 660 59,921 99.93 69.32 ----- ------------ ------ ----- --- ------------ ----- ----- TOTAL: 4,442 $653,620,324 100.00% 6.819% 631 $ 147,146 82.66% 64.92% ----- ------------ ------ ----- --- ------------ ----- -----
As of the Statistical Calculation Date, the Original Loan-to-Value Ratios of the Mortgage Loans ranged from 7.17% 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 3.97% 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 99.73%. The weighted average Second Lien ratio for the Mortgage Loans which are in a second lien position was approximately 19.93%. 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 2,240 $377,661,608 57.78% 6.738% 618 $ 168,599 81.37% 69.62% Purchase 1,905 231,660,423 35.44 6.944 651 121,607 84.89 55.90 Refinance - Rate/Term 297 44,298,294 6.78 6.862 627 149,153 81.98 71.96 ----- ------------ ------ ----- --- --------- ----- ----- TOTAL: 4,442 $653,620,324 100.00% 6.819% 631 $ 147,146 82.66% 64.92% ----- ------------ ------ ----- --- --------- ----- -----
-------------------------------------------------------------------------------- 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-BC3 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 3,503 $506,165,956 77.44% 6.821% 630 $ 144,495 82.96% 66.15% Rowhouse 10 1,081,581 0.17 7.341 634 108,158 80.75 83.24 Townhouse 44 4,784,175 0.73 7.036 626 108,731 83.79 74.27 Condominium 194 26,867,100 4.11 6.831 640 138,490 82.37 61.66 Two- to Four-Family 124 20,035,313 3.07 6.987 635 161,575 75.93 58.68 Manufactured Housing 5 360,428 0.06 7.498 634 72,086 77.55 100.00 Planned Unit Development 562 94,325,771 14.43 6.752 631 167,839 82.56 59.74 ----- ------------ ------ ----- --- ---------- ----- ------ TOTAL: 4,442 $653,620,324 100.00% 6.819% 631 $ 147,146 82.66% 64.92% ----- ------------ ------ ----- --- ---------- ----- ------
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 2,915 $424,308,373 64.92% 6.711% 624 $ 145,560 83.38% 100.00% Stated Documentation 1,452 212,909,209 32.57 7.059 644 146,632 81.07 0.00 Lite Documentation 75 16,402,742 2.51 6.506 639 218,703 84.68 0.00 ----- ------------ ------ ----- --- ---------- ----- ------ TOTAL: 4,442 $653,620,324 100.00% 6.819% 631 $ 147,146 82.66% 64.92% ----- ------------ ------ ----- --- ---------- ----- ------
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 4,185 $625,303,648 95.67% 6.795% 630 $ 149,415 82.75% 64.80% Investment 212 21,909,290 3.35 7.367 656 103,346 80.04 71.88 Second Home 45 6,407,386 0.98 7.282 621 142,386 82.95 52.49 TOTAL: 4,442 $653,620,324 100.00% 6.819% 631 $ 147,146 82.66% 64.92%
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-BC3 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 ------- -------------- ----------- ---------- -------- -------- ----------- -------- ------------- 2 155 $ 26,017,496 3.98% 6.736% 637 $ 167,855 82.83% 67.98% 3 1,750 268,177,422 41.03 6.828 631 153,244 82.72 68.92 4 1,691 245,188,502 37.51 6.751 630 144,996 82.35 64.41 5 626 85,931,439 13.15 6.884 629 137,271 83.53 55.34 6 173 21,183,303 3.24 7.135 636 122,447 82.88 54.21 7 32 4,778,601 0.73 7.298 609 149,331 79.52 74.73 8 12 1,894,521 0.29 7.814 638 157,877 79.43 48.96 9 2 240,747 0.04 8.356 571 120,374 74.05 50.64 10 10 208,293 0.03 6.990 528 208,293 80.00 100.00 ----- ------------ ------ ----- --- ---------- ----- ------ TOTAL: 4,442 $653,620,324 100.00% 6.819% 631 $ 147,146 82.66% 64.92% ----- ------------ ------ ----- --- ---------- ----- ------
As of the Statistical Calculation Date, the weighted average age of the Mortgage Loans was approximately 4 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 $ 69,594,510 10.65% 7.595% 628 $ 102,195 85.61% 64.13% 6 Months 4 559,884 0.09 6.878 607 139,971 83.24 74.80 12 Months 145 25,728,601 3.94 6.803 627 177,439 82.34 68.22 13 Months 18 3,976,526 0.61 6.404 650 220,918 86.30 56.58 24 Months 2,096 321,013,024 49.11 6.723 627 153,155 83.33 62.39 30 Months 1 324,259 0.05 5.990 758 324,259 80.00 100.00 36 Months 1,187 188,991,492 28.91 6.702 639 159,218 80.79 65.40 48 Months 6 979,755 0.15 6.385 668 163,293 84.78 92.77 60 Months 303 42,210,700 6.46 6.868 625 139,309 80.81 80.80 84 Months 1 241,572 0.04 6.150 641 241,572 90.00 100.00 ----- ------------ ------ ----- --- ---------- ----- ------ TOTAL: 4,442 $653,620,324 100.00% 6.819% 631 $ 147,146 82.66% 64.92% ----- ------------ ------ ----- --- ---------- ----- ------
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-BC3 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 1 $ 50,874 0.01% 7.000% 0 $ 50,874 51.00% 100.00% 500 to 500 1 179,487 0.03 7.750 500 179,487 67.92 0.00 501 to 525 44 6,371,109 0.97 7.537 517 144,798 72.12 80.27 526 to 550 273 37,954,524 5.81 7.315 540 139,028 77.51 85.46 551 to 575 401 59,733,889 9.14 7.225 564 148,962 79.59 78.94 576 to 600 509 79,573,172 12.17 7.076 588 156,332 82.97 69.49 601 to 625 885 134,488,595 20.58 6.837 613 151,965 83.89 69.83 626 to 650 809 114,848,540 17.57 6.761 638 141,964 83.74 59.22 651 to 675 687 100,146,615 15.32 6.599 662 145,774 83.62 56.23 676 to 700 385 55,240,495 8.45 6.530 686 143,482 83.37 52.47 701 to 725 198 28,755,952 4.40 6.463 712 145,232 83.14 52.83 726 to 750 128 17,677,634 2.70 6.613 736 138,107 83.71 56.24 751 to 775 78 11,909,683 1.82 6.262 763 152,688 81.87 58.77 776 to 800 38 5,925,571 0.91 6.045 785 155,936 80.34 77.26 801 to 814 5 764,184 0.12 5.947 805 152,837 69.98 42.39 ----- ------------ ------ ----- --- ----------- ----- ------ TOTAL: 4,442 $653,620,324 100.00% 6.819% 631 $ 147,146 82.66% 64.92% ----- ------------ ------ ----- --- ----------- ----- ------
The Credit Scores of the Mortgage Loans that were scored as of the Statistical Calculation Date ranged from 500 to 814 and the weighted average Credit Score of the Mortgage Loans that were scored as of the Statistical Calculation Date was approximately 631. 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+ 2,312 $330,772,427 50.61% 6.617% 670 $ 143,068 83.87% 56.39% A 1016 157,509,395 24.1 6.906 608 155,029 83.95 68.90 A- 453 72,016,972 11.02 7.008 594 158,978 81.09 71.74 B 409 57,424,710 8.79 7.206 568 140,403 78.71 78.97 C 168 23,617,249 3.61 7.337 540 140,579 76.61 90.51 C- 84 12,279,571 1.88 7.255 552 146,185 72.83 88.50 TOTAL: 4,442 $653,620,324 100.00% 6.819% 631 $ 147,146 82.66% 64.92%
-------------------------------------------------------------------------------- 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-BC3 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 $ 658,750 0.14% 4.740% 683 $219,583 80.00% 67.92% 3.501% to 4.000% 32 7,610,312 1.65 4.960 670 237,822 78.65 95.97 4.001% to 4.500% 82 18,672,338 4.05 5.378 661 227,711 79.18 81.42 4.501% to 5.000% 178 38,637,616 8.39 5.690 651 217,065 79.62 68.58 5.001% to 5.500% 318 61,671,132 13.39 5.915 637 193,934 81.13 62.80 5.501% to 6.000% 534 96,436,542 20.94 6.215 629 180,593 82.08 65.20 6.001% to 6.500% 485 84,388,447 18.32 6.649 620 173,997 82.43 57.37 6.501% to 7.000% 407 65,369,924 14.19 7.056 613 160,614 84.00 55.12 7.001% to 7.500% 252 35,211,328 7.64 7.546 606 139,727 85.27 55.42 7.501% to 8.000% 182 22,477,952 4.88 8.008 602 123,505 85.92 56.39 8.001% to 8.500% 137 15,799,498 3.43 8.498 597 115,325 87.02 62.38 8.501% to 9.000% 76 8,738,557 1.90 8.846 585 114,981 87.47 65.32 9.001% to 9.500% 42 4,134,600 0.90 9.457 578 98,443 87.19 61.57 9.501% to 10.000% 8 731,904 0.16 9.956 567 91,488 81.52 62.33 10.001% to 10.500% 1 91,956 0.02 10.500 607 91,956 95.00 0.00 ----- ------------ ------ ------ --- -------- ----- ----- TOTAL: 2,737 $460,630,857 100.00% 6.626% 624 $168,298 82.66% 62.14% ----- ------------ ------ ------ --- -------- ----- -----
As of the Statistical Calculation Date, the Gross Margins for the Adjustable Rate Mortgage Loans ranged from 3.250% per annum to 10.250% per annum and the weighted average Gross Margin of the Adjustable Rate Mortgage Loans was approximately 6.186% per annum. 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 ------------------ -------------- ------------ ---------- -------- -------- ----------- -------- ------------- 11.500% or less 138 $ 26,949,159 5.85% 5.303% 662 $195,284 78.22% 75.75% 11.501% to 12.000% 350 66,446,142 14.43 5.754 639 189,846 80.08 76.65 12.001% to 12.500% 442 81,431,183 17.68 6.108 632 184,233 80.66 64.18 12.501% to 13.000% 592 109,619,695 23.80 6.532 622 185,168 83.62 60.94 13.001% to 13.500% 368 60,801,321 13.20 6.826 621 165,221 83.56 55.85 13.501% to 14.000% 333 52,933,544 11.49 7.284 611 158,960 84.97 55.56 14.001% to 14.500% 230 29,851,024 6.48 7.828 609 129,787 84.46 50.10 14.501% to 15.000% 170 20,034,976 4.35 8.328 600 117,853 85.69 52.50 15.001% to 15.500% 64 7,318,017 1.59 8.855 591 114,344 88.22 48.88 15.501% to 16.000% 38 3,991,033 0.87 9.098 583 105,027 85.95 65.21 16.001% to 16.500% 7 584,457 0.13 9.531 578 83,494 89.27 69.26 16.501% to 17.000% 2 294,266 0.06 9.959 558 147,133 73.19 59.61 17.001% to 17.500% 2 129,066 0.03 10.500 620 64,533 90.69 0.00 18.501% to 19.000% 1 246,975 0.05 5.950 601 246,975 79.99 100.00 ----- ------------ ------ ------ --- -------- ----- ------ TOTAL: 2,737 $460,630,857 100.00% 6.626% 624 $168,298 82.66% 62.14% ----- ------------ ------ ------ --- -------- ----- ------
As of the Statistical Calculation Date, the Maximum Mortgage Rates for the Adjustable Rate Mortgage Loans ranged from 8.800% per annum to 18.900% per annum and the weighted average Maximum Mortgage Rate of the Adjustable Rate Mortgage Loans was approximately 12.938% 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-BC3 TOTAL 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 ------------------------- -------------- ------------ ---------- -------- -------- ----------- -------- ------------- November 2005 1 $ 208,293 0.05% 6.990% 528 $208,293 80.00% 100.00% December 2005 2 240,747 0.05 8.356 571 120,374 74.05 50.64 January 2006 10 1,545,482 0.34 7.982 641 154,548 78.23 37.43 February 2006 25 4,232,306 0.92 7.189 606 169,292 79.49 77.84 March 2006 111 15,125,005 3.28 6.986 635 136,261 83.91 56.56 April 2006 342 52,788,458 11.46 6.720 631 154,352 83.81 52.63 May 2006 816 136,868,692 29.71 6.523 626 167,731 82.11 60.97 June 2006 960 160,501,296 34.84 6.738 620 167,189 83.32 69.50 July 2006 61 10,889,574 2.36 6.438 628 178,518 85.10 71.75 October 2006 1 184,000 0.04 6.050 601 184,000 80.00 100.00 February 2007 2 161,729 0.04 7.520 546 80,864 61.16 100.00 March 2007 11 2,035,597 0.44 6.796 589 185,054 72.08 46.97 April 2007 65 12,832,918 2.79 6.565 607 197,430 81.98 42.45 May 2007 147 27,148,164 5.89 6.300 633 184,681 82.70 56.54 June 2007 152 29,665,942 6.44 6.360 629 195,171 80.59 59.34 July 2007 25 4,920,433 1.07 6.834 614 196,817 79.99 50.00 March 2009 1 163,014 0.04 5.625 655 163,014 71.30 0.00 April 2009 1 186,267 0.04 6.250 617 186,267 84.93 100.00 June 2009 4 932,940 0.20 5.771 625 233,235 75.72 59.59 ----- ------------ ------ ----- --- -------- ----- ------ TOTAL: 2,737 $460,630,857 100.00% 6.626% 624 $168,298 82.66% 62.14% ----- ------------ ------ ----- --- -------- ----- ------
-------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 21 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 GROUP A MORTGAGE LOANS Aggregate Outstanding Principal Balance $354,906,328 Aggregate Original Principal Balance $355,747,998 Number of Mortgage Loans 2,551
MINIMUM MAXIMUM AVERAGE (1) ------- ------- ----------- Original Principal Balance $12,980 $420,000 $139,454 Outstanding Principal Balance $12,912 $418,615 $139,124
MINIMUM MAXIMUM WEIGHTED AVERAGE (2) ------- ------- -------------------- Original Term (mos) 180 360 353 Stated remaining Term (mos)(5) 173 358 349 Loan Age (mos)(5) 2 10 4 Current Interest Rate 4.100% 13.500% 6.812% Initial Interest Rate Cap (3) 1.000% 3.000% 2.913% Periodic Rate Cap (3) 1.000% 1.500% 1.127% Gross Margin (3) 3.250% 10.250% 6.236% Maximum Mortgage Rate (3) 10.100% 18.900% 12.979% Minimum Mortgage Rate (3) 3.875% 10.500% 6.606% Months to Roll (3)(5) 13 33 21 Original Loan-to-Value 7.17% 100.00% 82.76% Credit Score (4) 501 814 629
EARLIEST LATEST -------- ------ Maturity Date 02/01/19 07/01/34
LIEN POSITION PERCENT OF MORTGAGE POOL ------------- ------------------------ 1st Lien 97.04% 2nd Lien 2.96%
OCCUPANCY PERCENT OF MORTGAGE POOL --------- ------------------------ Primary 95.31% Second Home 1.05% Investment 3.64%
LOAN TYPE PERCENT OF MORTGAGE POOL --------- ------------------------ Fixed Rate 19.99% ARM 80.01%
AMORTIZATION TYPE PERCENT OF MORTGAGE POOL ----------------- ------------------------ Fully Amortizing 80.29% Interest-Only 17.24% Balloon 2.47%
YEAR OF ORIGINATION PERCENT OF MORTGAGE POOL ------------------- ------------------------ 2003 0.41% 2004 99.59%
LOAN PURPOSE PERCENT OF MORTGAGE POOL ------------ ------------------------ Purchase 39.40% Refinance - Rate Term 6.02% Refinance - Cashout 54.58%
PROPERTY TYPE PERCENT OF MORTGAGE POOL ------------- ------------------------ Single Family 76.99% Rowhouse 0.05% Townhouse 0.74% Condominium 4.13% Two- to Four-Family 3.87% Planned Unit Development 14.17% Manufactured Housing 0.04%
(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-BC3 GROUP A 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 ----------------------- -------------- ------------ ---------- -------- -------- ----------- -------- ------------- 5.500% or less 159 $ 28,869,208 8.13% 5.255% 668 $181,567 78.38% 84.13% 5.501% to 6.000% 372 65,193,598 18.37 5.835 650 175,252 80.03 74.30 6.001% to 6.500% 434 72,647,244 20.47 6.310 636 167,390 80.80 61.69 6.501% to 7.000% 490 79,025,748 22.27 6.811 617 161,277 83.51 62.97 7.001% to 7.500% 273 37,908,695 10.68 7.299 611 138,860 83.72 59.99 7.501% to 8.000% 233 29,321,547 8.26 7.788 607 125,844 84.86 57.79 8.001% to 8.500% 137 13,832,135 3.90 8.326 606 100,964 85.94 70.13 8.501% to 9.000% 120 11,675,155 3.29 8.780 593 97,293 87.20 65.74 9.001% to 9.500% 92 6,064,541 1.71 9.349 603 65,919 91.58 70.22 9.501% to 10.000% 68 3,880,145 1.09 9.822 617 57,061 91.42 53.77 10.001% to 10.500% 45 1,956,660 0.55 10.340 641 43,481 97.60 30.85 10.501% to 11.000% 62 2,250,620 0.63 10.853 652 36,300 99.93 36.58 11.001% to 11.500% 29 1,075,504 0.30 11.317 649 37,086 99.78 47.50 11.501% to 12.000% 23 732,726 0.21 11.890 638 31,858 99.71 44.81 12.001% to 12.500% 8 264,297 0.07 12.279 636 33,037 100.00 52.96 12.501% to 13.000% 4 139,931 0.04 12.764 650 34,983 100.00 28.85 13.001% to 13.500% 2 68,572 0.02 13.492 617 34,286 100.00 81.17 ----- ------------ ------ ------ --- -------- ------ ----- TOTAL: 2,551 $354,906,328 100.00% 6.812% 629 $139,124 82.76% 65.71% ----- ------------ ------ ------ --- -------- ------ -----
As of the Statistical Calculation Date, Mortgage Rates borne by the Mortgage Loans ranged from 4.100% per annum to 13.500% per annum and the weighted average Mortgage Rate of the Rate Mortgage Loans was approximately 6.812% 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 ------------------ -------------- ----------- ---------- -------- -------- ----------- -------- ------------- 169 to 180 293 $ 11,972,182 3.37% 9.808% 650 $ 40,861 96.21% 51.69% 229 to 240 22 1,722,438 0.49 8.054 625 78,293 79.81 76.84 277 to 288 1 265,636 0.07 6.850 681 265,636 90.00 100.00 289 to 300 1 231,304 0.07 5.760 720 231,304 77.33 100.00 349 to 360 2234 340,714,767 96.00 6.702 628 152,513 82.30 66.10 ----- ------------ ------ ----- --- -------- ----- ------ TOTAL: 2,551 $354,906,328 100.00% 6.812% 629 $139,124 82.76% 65.71% ----- ------------ ------ ----- --- -------- ----- ------
As of the Statistical Calculation Date, the remaining term to stated maturity of the Mortgage Loans ranged from 173 months to 358 months and the weighted average remaining term to stated maturity of the Mortgage Loans was approximately 349 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-BC3 GROUP A MORTGAGE LOANS ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCES
AGGREGATE WEIGHTED AVERAGE WEIGHTED RANGE OF ORIGINAL PRINCIPAL PERCENT OF WEIGHTED AVERAGE PRINCIPAL AVERAGE PERCENT MORTGAGE LOAN NUMBER OF BALANCE MORTGAGE AVERAGE CREDIT BALANCE ORIGINAL FULL PRINCIPAL BALANCES MORTGAGE LOANS OUTSTANDING POOL COUPON SCORE OUTSTANDING LTV DOCUMENTATION ------------------ -------------- ----------- ---------- -------- -------- ----------- -------- ------------- $50,000 or less 305 $ 10,680,251 3.01% 9.738% 641 $ 35,017 93.17% 54.11% $50,001 to $100,000 562 43,435,793 12.24 7.549 622 77,288 82.85 72.30 $100,001 to $150,000 699 86,766,291 24.45 6.807 629 124,129 82.18 69.93 $150,001 to $200,000 479 82,869,028 23.35 6.688 622 173,004 81.65 68.05 $200,001 to $250,000 243 54,773,138 15.43 6.526 627 225,404 82.77 61.68 $250,001 to $300,000 164 44,599,441 12.57 6.337 638 271,948 83.18 59.59 $300,001 to $350,000 94 29,821,560 8.40 6.317 639 317,251 82.90 59.64 $350,001 to $400,000 4 1,542,212 0.43 6.687 666 385,553 86.26 25.52 $400,001 to $450,000 1 418,615 0.12 5.500 619 418,615 80.00 100.00 ----- ------------ ------ ----- --- --------- ----- ----- TOTAL: 2,551 $354,906,328 100.00% 6.812% 629 $ 139,124 82.76% 65.71% ----- ------------ ------ ----- --- --------- ----- -----
As of the Statistical Calculation Date, the outstanding principal balances of the Mortgage Loans ranged from approximately $12,912 to approximately $418,615 and the average outstanding principal balance of the Mortgage Loans was approximately $139,124. 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 234 $ 8,759,205 2.47% 10.334% 658 $ 37,433 99.87% 47.57% 15 to 19 Year Fixed Loans 59 3,212,977 0.91 8.374 629 54,457 86.23 62.93 20 to 24 Year Fixed Loans 22 1,722,438 0.49 8.054 625 78,293 79.81 76.84 25 to 29 Year Fixed Loans 2 496,940 0.14 6.343 699 248,470 84.10 100.00 30 Year Fixed Loans 395 56,759,501 15.99 6.878 648 143,695 81.18 75.92 2/28 LIBOR ARM Loans 1,579 241,349,523 68.00 6.704 624 152,850 82.80 65.12 3/27 LIBOR ARM Loans 260 42,605,743 12.00 6.456 624 163,868 80.96 58.56 ----- ------------ ------ ----- --- -------- ----- ----- TOTAL: 2,551 $354,906,328 100.00% 6.812% 629 $139,124 82.76% 65.71% ----- ------------ ------ ----- --- -------- ----- -----
-------------------------------------------------------------------------------- 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-BC3 GROUP A 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 40 $ 3,746,032 1.06% 7.740% 619 $ 93,651 88.23% 84.76% Arizona 80 9,781,274 2.76 6.625 646 122,266 83.70 60.73 Arkansas 27 2,545,096 0.72 7.294 642 94,263 88.84 58.15 California 429 84,342,613 23.76 6.330 635 196,603 80.66 58.40 Colorado 60 8,812,960 2.48 6.637 643 146,883 84.19 56.25 Connecticut 37 5,916,933 1.67 7.009 616 159,917 83.34 77.65 Delaware 2 393,241 0.11 5.331 758 196,620 80.00 100.00 District of Columbia 5 704,535 0.20 7.393 582 140,907 76.63 100.00 Florida 272 33,805,108 9.53 6.959 621 124,283 82.57 63.29 Georgia 157 18,549,126 5.23 7.183 615 118,147 83.85 73.96 Idaho 1 42,908 0.01 7.750 503 42,908 52.38 100.00 Illinois 102 15,650,149 4.41 6.869 634 153,433 83.58 54.75 Indiana 64 6,763,079 1.91 7.125 616 105,673 86.35 81.07 Iowa 6 348,640 0.10 7.861 698 58,107 84.02 42.22 Kansas 22 2,211,473 0.62 7.314 643 100,522 85.20 60.60 Kentucky 23 1,972,361 0.56 7.189 629 85,755 84.52 85.81 Louisiana 16 1,463,155 0.41 7.371 630 91,447 87.66 60.55 Maine 9 1,132,810 0.32 7.551 598 125,868 81.14 90.26 Maryland 71 12,798,249 3.61 6.668 613 180,257 81.09 82.99 Massachusetts 36 6,914,767 1.95 6.738 610 192,077 83.64 76.15 Michigan 90 9,769,183 2.75 7.335 619 108,546 84.67 53.60 Minnesota 79 11,437,195 3.22 6.608 636 144,775 83.82 72.11 Mississippi 11 984,781 0.28 7.206 618 89,526 88.54 72.49 Missouri 50 5,433,986 1.53 7.289 625 108,680 84.79 62.94 Montana 2 287,430 0.08 6.073 655 143,715 80.00 100.00 Nebraska 10 1,021,677 0.29 6.799 659 102,168 83.84 89.56 Nevada 51 8,510,896 2.40 6.855 653 166,880 84.69 49.18 New Hampshire 8 1,325,870 0.37 6.530 603 165,734 79.21 65.38 New Jersey 24 4,705,993 1.33 7.345 580 196,083 79.54 73.66 New Mexico 3 741,120 0.21 6.218 615 247,040 83.87 55.12 New York 35 5,831,482 1.64 6.733 630 166,614 75.66 67.42 North Carolina 63 7,610,628 2.14 7.130 632 120,804 84.71 78.67 Ohio 62 6,678,982 1.88 7.079 633 107,726 84.41 72.84 Oklahoma 6 425,699 0.12 7.741 611 70,950 85.41 69.78 Oregon 37 4,525,964 1.28 6.691 636 122,323 85.63 67.88 Pennsylvania 72 9,407,524 2.65 6.922 621 130,660 84.34 74.94 Rhode Island 19 3,265,139 0.92 6.471 609 171,849 75.81 60.19 South Carolina 59 6,011,746 1.69 7.518 610 101,894 81.84 82.67 South Dakota 1 279,750 0.08 6.600 594 279,750 85.00 0.00 Tennessee 45 4,376,723 1.23 7.834 616 97,261 89.37 81.53 Texas 149 13,783,242 3.88 7.197 651 92,505 82.88 45.54 Utah 14 1,933,317 0.54 6.415 661 138,094 80.88 81.77 Vermont 1 269,227 0.08 6.250 623 269,227 90.00 100.00 Virginia 84 13,534,594 3.81 6.832 610 161,126 82.15 76.56 Washington 65 8,886,171 2.50 6.498 646 136,710 84.26 69.22 West Virginia 12 1,126,051 0.32 7.398 601 93,838 78.26 79.18 Wisconsin 39 4,775,252 1.35 6.740 641 122,442 85.23 74.26 Wyoming 1 72,196 0.02 7.850 635 72,196 90.00 0.00 ----- ------------ ------ ----- --- --------- ----- ----- TOTAL: 2,551 $354,906,328 100.00% 6.812% 629 $ 139,124 82.76% 65.71% ----- ------------ ------ ----- --- --------- ----- -----
No more than approximately 0.39% 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-BC3 GROUP A 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 38 $ 3,969,420 1.12% 6.526% 603 $104,458 39.11% 57.24% 50.01% to 55.00% 21 2,470,742 0.70 6.917 608 117,654 52.90 58.17 55.01% to 60.00% 31 4,136,930 1.17 6.662 605 133,449 58.04 51.22 60.01% to 65.00% 36 5,487,886 1.55 6.611 623 152,441 62.92 67.94 65.01% to 70.00% 92 13,229,061 3.73 6.694 605 143,794 68.04 55.05 70.01% to 75.00% 156 22,566,297 6.36 6.725 599 144,656 73.65 68.39 75.01% to 80.00% 868 133,702,373 37.67 6.278 646 154,035 79.73 60.92 80.01% to 85.00% 273 43,828,979 12.35 6.846 601 160,546 84.34 69.63 85.01% to 90.00% 528 83,047,546 23.40 7.036 622 157,287 89.65 68.12 90.01% to 95.00% 145 20,901,999 5.89 7.437 633 144,152 94.80 78.97 95.01% to 100.00% 363 21,565,094 6.08 8.877 658 59,408 99.95 73.71 ----- ------------ ------- ----- --- -------- ----- ----- TOTAL: 2,551 $354,906,328 100.00% 6.812% 629 $139,124 82.76% 65.71% ----- ------------ ------- ----- --- -------- ----- -----
As of the Statistical Calculation Date, the Original Loan-to-Value Ratios of the Mortgage Loans ranged from 7.17% 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 2.96% 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 99.84%. The weighted average Second Lien ratio for the Mortgage Loans which are in a second lien position was approximately 20.01%. 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 1,243 $193,696,501 54.58% 6.769% 614 $155,830 81.66% 70.43% Purchase 1,152 139,835,289 39.40 6.855 650 121,385 84.31 58.11 Refinance - Rate/Term 156 21,374,538 6.02 6.929 617 137,016 82.62 72.72 ----- ------------ ------ ----- --- -------- ----- ----- TOTAL: 2,551 $354,906,328 100.00% 6.812% 629 $139,124 82.76% 65.71% ----- ------------ ------ ----- --- -------- ----- -----
------------------------------------------------------------------------------- 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-BC3 GROUP A 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 1,997 $273,251,155 76.99% 6.814% 627 $136,831 83.10% 67.26% Rowhouse 1 179,204 0.05 6.475 658 179,204 88.24 100.00 Townhouse 23 2,642,832 0.74 6.922 640 114,906 85.93 74.56 Condominium 114 14,674,222 4.13 6.932 639 128,721 83.21 50.68 Two- to Four-Family 82 13,719,886 3.87 6.949 635 167,316 76.13 57.60 Manufactured Housing 2 154,873 0.04 7.086 631 77,436 75.67 100.00 Planned Unit Development 332 50,284,156 14.17 6.727 635 151,458 82.43 63.18 ----- ------------ ------ ----- --- -------- ----- ----- TOTAL: 2,551 $354,906,328 100.00% 6.812% 629 $139,124 82.76% 65.71% ----- ------------ ------ ----- --- -------- ----- -----
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 1,686 $233,216,053 65.71% 6.709% 621 $138,325 83.40% 100.00% Stated Documentation 824 114,258,840 32.19 7.044 645 138,664 81.32 0.00 Lite Documentation 41 7,431,434 2.09 6.504 633 181,254 84.86 0.00 ----- ------------ ------ ----- --- -------- ----- ----- TOTAL: 2,551 $354,906,328 100.00% 6.812% 629 $139,124 82.76% 65.71% ----- ------------ ------ ----- --- -------- ----- -----
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 2,396 $338,269,640 95.31% 6.786% 628 $141,181 82.83% 65.54% Investment 125 12,920,972 3.64 7.309 657 103,368 80.74 72.82 Second Home 30 3,715,716 1.05 7.514 612 123,857 83.34 56.25 ----- ------------ ------ ----- --- -------- ----- ----- TOTAL: 2,551 $354,906,328 100.00% 6.812% 629 $139,124 82.76% 65.71% ----- ------------ ------ ----- --- -------- ----- -----
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-BC3 GROUP A 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 ----------------- -------------- ----------- ---- ------ ----- ----------- --- ------------- 2 71 $ 10,445,456 2.94% 6.736% 628 $147,119 85.01% 76.52% 3 1,024 147,024,110 41.43 6.834 627 143,578 83.09 71.69 4 948 132,124,230 37.23 6.707 629 139,372 82.20 63.72 5 362 46,171,969 13.01 6.925 630 127,547 83.33 53.84 6 116 15,010,422 4.23 7.065 638 129,400 81.94 51.08 7 19 2,512,127 0.71 7.181 600 132,217 78.10 75.94 8 9 1,287,817 0.36 8.072 618 143,091 82.56 67.03 9 1 121,904 0.03 6.850 543 121,904 84.66 100.00 10 1 208,293 0.06 6.990 528 208,293 80.00 100.00 ----- ------------ ------ ----- --- -------- ----- ------ TOTAL: 2,551 $354,906,328 100.00% 6.812% 629 $139,124 82.76% 65.71% ----- ------------ ------ ----- --- -------- ----- ------
As of the Statistical Calculation Date, the weighted average age of the Mortgage Loans was approximately 4 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 379 $ 39,706,765 11.19% 7.459% 625 $104,767 84.51% 65.43% 6 Months 4 559,884 0.16 6.878 607 139,971 83.24 74.80 12 Months 94 16,161,083 4.55 6.755 631 171,926 82.49 69.70 13 Months 9 2,047,748 0.58 5.932 672 227,528 84.64 50.13 24 Months 1,426 205,595,699 57.93 6.741 625 144,177 83.10 64.71 30 Months 1 324,259 0.09 5.990 758 324,259 80.00 100.00 36 Months 638 90,510,889 25.50 6.724 638 141,867 81.24 67.56 ----- ------------ ------ ----- --- -------- ----- ------ TOTAL: 2,551 $354,906,328 100.00% 6.812% 629 $139,124 82.76% 65.71% ----- ------------ ------ ----- --- -------- ----- ------
The weighted average prepayment penalty term at origination with respect to the Mortgage Loans having prepayment penalties is approximately 27 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-BC3 GROUP A 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 1 $ 50,874 0.01% 7.000% 0 $ 50,874 51.00% 100.00% 501 to 525 29 4,148,760 1.17 7.540 518 143,061 72.40 82.91 526 to 550 174 23,972,503 6.75 7.294 541 137,773 77.34 85.08 551 to 575 250 35,346,228 9.96 7.236 564 141,385 80.31 80.90 576 to 600 291 42,143,642 11.87 7.149 588 144,824 83.80 69.44 601 to 625 504 70,027,328 19.73 6.816 613 138,943 84.22 74.02 626 to 650 468 63,178,035 17.80 6.732 638 134,996 83.77 59.67 651 to 675 384 53,616,409 15.11 6.535 662 139,626 83.77 54.47 676 to 700 202 26,908,414 7.58 6.515 686 133,210 83.62 50.73 701 to 725 114 15,691,483 4.42 6.399 712 137,645 83.12 45.85 726 to 750 68 9,288,227 2.62 6.536 735 136,592 81.78 50.22 751 to 775 39 6,269,592 1.77 6.290 762 160,759 82.03 71.33 776 to 800 22 3,500,649 0.99 5.931 785 159,120 80.52 69.42 801 to 814 5 764,184 0.22 5.947 805 152,837 69.98 42.39 ----- ------------ ------ ----- --- -------- ----- ----- TOTAL: 2,551 $354,906,328 100.00% 6.812% 629 $139,124 82.76% 65.71% ----- ------------ ------ ----- --- -------- ----- -----
The Credit Scores of the Mortgage Loans that were scored as of the Statistical Calculation Date ranged from 500 to 814 and the weighted average Credit Score of the Mortgage Loans that were scored as of the Statistical Calculation Date was approximately 629. 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+ 1,294 $177,637,656 50.05% 6.555% 669 $137,278 83.63% 55.34% A 580 81,142,238 22.86 6.92 607 139,900 84.30 71.34 A- 268 40,131,248 11.31 7.07 593 149,743 82.91 76.52 B 258 34,698,135 9.78 7.279 564 134,489 79.35 79.89 C 100 14,248,821 4.01 7.318 540 142,488 76.33 87.39 C- 51 7,048,230 1.99 7.28 545 138,201 72.16 87.08 ----- ------------ ------ ----- --- -------- ----- ----- TOTAL: 2,551 $354,906,328 100.00% 6.812% 629 $139,124 82.76% 65.71% ----- ------------ ------ ----- --- -------- ----- -----
------------------------------------------------------------------------------- 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-BC3 GROUP A 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% 2 $ 447,433 0.16% 4.322% 675 $223,716 80.00% 100.00% 3.501% to 4.000% 20 4,238,364 1.49 4.985 674 211,918 79.58 92.76 4.001% to 4.500% 51 10,415,651 3.67 5.402 660 204,228 78.34 79.84 4.501% to 5.000% 116 22,255,573 7.84 5.690 646 191,858 79.45 69.37 5.001% to 5.500% 210 35,721,185 12.58 5.877 642 170,101 81.20 70.28 5.501% to 6.000% 357 58,420,973 20.57 6.213 630 163,644 81.70 68.50 6.001% to 6.500% 334 54,642,941 19.24 6.658 617 163,602 82.47 60.27 6.501% to 7.000% 268 40,366,404 14.22 7.062 612 150,621 83.04 53.84 7.001% to 7.500% 175 23,798,476 8.38 7.550 607 135,991 85.27 57.47 7.501% to 8.000% 120 14,213,943 5.01 8.018 607 118,450 86.03 56.50 8.001% to 8.500% 96 10,121,052 3.56 8.514 598 105,428 86.80 66.66 8.501% to 9.000% 50 5,549,367 1.95 8.916 583 110,987 87.58 59.73 9.001% to 9.500% 34 3,279,291 1.15 9.460 572 96,450 86.91 66.68 9.501% to 10.000% 5 392,659 0.14 9.978 574 78,532 86.79 60.05 10.001% to 10.500% 1 91,956 0.03 10.500 607 91,956 95.00 0.00 ----- ------------ ------ ------ --- -------- ----- ----- TOTAL: 1,839 $283,955,267 100.00% 6.666% 624 $154,407 82.53% 64.14% ----- ------------ ------ ------ --- -------- ----- -----
As of the Statistical Calculation Date, the Gross Margins for the Adjustable Rate Mortgage Loans ranged from 3.250% per annum to 10.250% per annum and the weighted average Gross Margin of the Adjustable Rate Mortgage Loans was approximately 6.236% per annum. 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 ---------------- -------------- ----------- ---- ------ ----- ----------- --- ------------- 11.500% or less 86 $ 14,632,390 5.15% 5.274% 667 $170,144 78.67% 83.53% 11.501% to 12.000% 240 41,321,120 14.55 5.757 639 172,171 80.02 78.71 12.001% to 12.500% 294 49,738,085 17.52 6.110 630 169,177 80.69 69.36 12.501% to 13.000% 373 63,407,312 22.33 6.557 619 169,993 83.17 62.22 13.001% to 13.500% 261 39,498,099 13.91 6.824 621 151,334 83.03 57.79 13.501% to 14.000% 230 34,010,671 11.98 7.304 612 147,872 84.75 55.47 14.001% to 14.500% 156 18,864,481 6.64 7.814 613 120,926 84.12 52.27 14.501% to 15.000% 113 13,128,288 4.62 8.301 601 116,180 85.45 48.43 15.001% to 15.500% 44 4,877,944 1.72 8.900 593 110,862 88.94 53.88 15.501% to 16.000% 32 3,516,380 1.24 9.127 583 109,887 85.53 63.32 16.001% to 16.500% 7 584,457 0.21 9.531 578 83,494 89.27 69.26 17.001% to 17.500% 2 129,066 0.05 10.500 620 64,533 90.69 0.00 18.501% to 19.000% 1 246,975 0.09 5.950 601 246,975 79.99 100.00 ----- ------------ ------ ------ --- -------- ----- ------ TOTAL: 1,839 $283,955,267 100.00% 6.666% 624 $154,407 82.53% 64.14% ----- ------------ ------ ------ --- -------- ----- ------
As of the Statistical Calculation Date, the Maximum Mortgage Rates for the Adjustable Rate Mortgage Loans ranged from 10.100% per annum to 18.900% per annum and the weighted average Maximum Mortgage Rate of the Adjustable Rate Mortgage Loans was approximately 12.979% 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-BC3 GROUP A 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 ------------------------- -------------- ----------- ---- ------ ------ ----------- --- ------------- November 2005 1 $ 208,293 0.07% 6.990% 528 $208,293 80.00% 100.00% December 2005 1 121,904 0.04 6.850 543 121,904 84.66 100.00 January 2006 7 938,778 0.33 8.445 614 134,111 81.76 54.77 February 2006 14 2,221,675 0.78 7.012 600 158,691 79.47 77.48 March 2006 86 11,717,137 4.13 6.975 639 136,246 83.19 50.69 April 2006 225 32,621,419 11.49 6.810 632 144,984 83.30 50.82 May 2006 567 88,581,891 31.20 6.562 626 156,229 81.72 61.98 June 2006 639 99,280,335 34.96 6.754 618 155,368 83.45 72.50 July 2006 38 5,474,091 1.93 6.453 630 144,055 86.41 91.59 October 2006 1 184,000 0.06 6.050 601 184,000 80.00 100.00 February 2007 2 161,729 0.06 7.520 546 80,864 61.16 100.00 March 2007 7 1,146,429 0.40 6.638 585 163,776 67.01 46.75 April 2007 45 7,529,509 2.65 6.593 612 167,322 81.85 48.46 May 2007 93 14,616,058 5.15 6.354 635 157,162 82.90 57.13 June 2007 97 16,258,056 5.73 6.372 628 167,609 79.79 66.84 July 2007 16 2,893,962 1.02 6.948 597 180,873 82.02 47.92 ----- ------------ ------ ----- --- -------- ----- ------ TOTAL: 1,839 $283,955,267 100.00% 6.666% 624 $154,407 82.53% 64.14% ----- ------------ ------ ----- --- -------- ----- ------
------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 31 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 GROUP B MORTGAGE LOANS Aggregate Outstanding Principal Balance $298,713,997 Aggregate Original Principal Balance $299,419,232 Number of Mortgage Loans 1,891
MINIMUM MAXIMUM AVERAGE (1) ------- ------- ----------- Original Principal Balance $13,700 $616,000 $158,339 Outstanding Principal Balance $13,673 $613,619 $157,966
MINIMUM MAXIMUM WEIGHTED AVERAGE (2) ------- ------- -------------------- Original Term (mos) 180 360 347 Stated remaining Term (mos)(5) 173 357 342 Loan Age (mos)(5) 3 10 5 Current Interest Rate 4.450% 13.650% 6.828% Initial Interest Rate Cap (3) 1.000% 5.000% 2.869% Periodic Rate Cap (3) 1.000% 2.000% 1.129% Gross Margin (3) 3.250% 9.740% 6.105% Maximum Mortgage Rate (3) 8.800% 16.999% 12.873% Minimum Mortgage Rate (3) 4.125% 9.999% 6.493% Months to Roll (3)(5) 14 56 22 Original Loan-to-Value 11.24% 100.00% 82.54% Credit Score (4) 500 799 633
EARLIEST LATEST -------- ------ Maturity Date 03/01/19 07/01/34
LIEN POSITION PERCENT OF MORTGAGE POOL ------------- ------------------------ 1st Lien 94.82% 2nd Lien 5.18%
OCCUPANCY PERCENT OF MORTGAGE POOL --------- ------------------------ Primary 96.09% Second Home 0.90% Investment 3.01%
LOAN TYPE PERCENT OF MORTGAGE POOL --------- ------------------------ Fixed Rate 40.85% ARM 59.15%
PERCENT OF MORTGAGE AMORTIZATION TYPE POOL ----------------- ------------------- Fully Amortizing 77.38% Interest-Only 18.09% Balloon 4.54%
YEAR OF ORIGINATION PERCENT OF MORTGAGE POOL ------------------- ------------------------ 2003 0.24% 2004 99.76%
LOAN PURPOSE PERCENT OF MORTGAGE POOL ------------ ------------------------ Purchase 30.74% Refinance - Rate Term 7.67% Refinance - Cashout 61.59%
PROPERTY TYPE PERCENT OF MORTGAGE POOL ------------- ------------------------ Single Family 77.97% Rowhouse 0.30% Townhouse 0.72% Condominium 4.08% Two- to Four-Family 2.11% Planned Unit Development 14.74% Manufactured Housing 0.07%
(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. 32 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 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 ----------------------- --------------- ----------- ---- ------ ----- ----------- --- ------------- 5.500% or less 91 $ 23,018,292 7.71% 5.278% 660 $252,948 78.60% 78.95% 5.501% to 6.000% 246 58,011,122 19.42 5.859 656 235,818 80.02 72.99 6.001% to 6.500% 293 61,789,591 20.69 6.315 637 210,886 79.45 58.49 6.501% to 7.000% 377 68,228,528 22.84 6.817 622 180,978 82.64 62.15 7.001% to 7.500% 196 30,147,369 10.09 7.305 614 153,813 84.29 61.60 7.501% to 8.000% 162 21,859,228 7.32 7.790 604 134,934 84.93 63.45 8.001% to 8.500% 106 11,623,461 3.89 8.316 605 109,655 85.00 56.27 8.501% to 9.000% 94 8,607,427 2.88 8.805 606 91,568 89.02 78.06 9.001% to 9.500% 75 4,310,844 1.44 9.395 628 57,478 95.03 69.55 9.501% to 10.000% 46 2,226,484 0.75 9.935 665 48,402 95.37 23.00 10.001% to 10.500% 69 3,144,727 1.05 10.379 659 45,576 98.60 17.73 10.501% to 11.000% 78 3,326,660 1.11 10.855 659 42,649 99.66 32.96 11.001% to 11.500% 24 1,015,960 0.34 11.255 632 42,332 99.92 65.78 11.501% to 12.000% 26 986,898 0.33 11.891 649 37,958 99.82 36.67 12.001% to 12.500% 5 268,684 0.09 12.396 632 53,737 100.00 34.58 12.501% to 13.000% 1 22,984 0.01 12.990 616 22,984 82.73 100.00 13.001% to 13.500% 1 99,755 0.03 13.090 648 99,755 100.00 0.00 13.501% to 14.000% 1 25,984 0.01 13.650 606 25,984 100.00 100.00 ----- ------------ ------ ------ --- -------- ------ ------ TOTAL: 1,891 $298,713,997 100.00% 6.828% 633 $157,966 82.54% 63.97% ----- ------------ ------ ------ --- -------- ------ ------
As of the Statistical Calculation Date, Mortgage Rates borne by the Mortgage Loans ranged from 4.450% per annum to 13.650% per annum and the weighted average Mortgage Rate of the Rate Mortgage Loans was approximately 6.828% 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 ------------------ -------------- ------------ ---------- -------- -------- ----------- -------- ------------- 169 to 180 367 $ 19,212,762 6.43% 9.471% 653 $ 52,351 92.29% 47.56% 229 to 240 46 4,283,301 1.43 7.308 633 93,115 80.48 86.32 241 to 252 1 90,572 0.03 7.900 612 90,572 52.00 100.00 289 to 300 5 672,102 0.22 6.709 642 134,420 79.21 100.00 337 to 348 1 106,141 0.04 7.500 718 106,141 95.00 100.00 349 to 360 1471 274,349,119 91.84 6.635 631 186,505 81.90 64.66 ----- ------------ ------ ----- --- -------- ----- ----- TOTAL: 1,891 $298,713,997 100.00% 6.828% 633 $157,966 82.54% 63.97% ----- ------------ ------ ----- --- -------- ----- -----
As of the Statistical Calculation Date, the remaining term to stated maturity of the Mortgage Loans ranged from 174 months to 358 months and the weighted average remaining term to stated maturity of the Mortgage Loans was approximately 343 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. 33 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 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 279 $ 9,404,060 3.15% 9.901% 652 $ 33,706 95.26% 46.93% $50,001 to $100,000 462 35,367,544 11.84 7.924 630 76,553 84.30 74.38 $100,001 to $150,000 401 49,656,945 16.62 6.935 629 123,833 82.04 73.34 $150,001 to $200,000 250 43,217,070 14.47 6.680 627 172,868 81.21 69.69 $200,001 to $250,000 149 33,305,978 11.15 6.595 628 223,530 80.13 60.30 $250,001 to $300,000 71 19,579,327 6.55 6.370 634 275,765 81.82 63.08 $300,001 to $350,000 84 27,768,168 9.30 6.474 637 330,573 82.98 61.59 $350,001 to $400,000 115 43,142,590 14.44 6.415 635 375,153 83.16 45.11 $400,001 to $450,000 38 16,168,015 5.41 6.350 635 425,474 82.43 63.18 $450,001 to $500,000 29 13,811,087 4.62 6.052 659 476,244 80.93 69.02 $500,001 to $550,000 4 2,079,965 0.70 6.283 652 519,991 75.97 75.10 $550,001 to $600,000 8 4,599,628 1.54 6.476 617 574,954 82.14 63.27 $600,001 to $650,000 1 613,619 0.21 5.000 631 613,619 73.42 100.00 ----- ------------ ------- ------ ------ --------- ------- ------ TOTAL: 1,891 $298,713,997 100.00% 6.828% 633 $157,966 82.54% 63.97% ----- ------------ ------- ------ ------ --------- ------- ------
As of the Statistical Calculation Date, the outstanding principal balances of the Mortgage Loans ranged from approximately $13,673 to approximately $613,619 and the average outstanding principal balance of the Mortgage Loans was approximately $157,966. 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 294 $ 13,551,965 4.54% 10.208% 662 $ 46,095 99.63% 45.75% 15 to 19 Year Fixed Loans 73 5,660,797 1.90 7.708 631 77,545 74.71 51.87 20 to 24 Year Fixed Loans 46 4,283,301 1.43 7.308 633 93,115 80.48 86.32 25 to 29 Year Fixed Loans 6 762,674 0.26 6.850 639 127,112 75.98 100.00 30 Year Fixed Loans 574 97,779,670 32.73 6.768 643 170,348 80.17 75.02 2/28 LIBOR ARM Loans 750 141,234,329 47.28 6.615 625 188,312 83.22 61.15 3/27 LIBOR ARM Loans 142 34,159,040 11.44 6.369 626 240,557 81.64 49.86 5/25 ARM Loans 6 1,282,221 0.43 5.822 628 213,703 76.50 57.89 ----- ------------ ------ ----- --- -------- ----- ----- TOTAL: 1,891 $298,713,997 100.00% 6.828% 633 $157,966 82.54% 63.97% ----- ------------ ------ ----- --- -------- ----- -----
------------------------------------------------------------------------------- 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-BC3 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 23 $ 2,336,043 0.78% 6.799% 652 $101,567 85.07% 90.96% Arizona 50 4,463,678 1.49 7.172 649 89,274 86.11 43.91 Arkansas 7 651,513 0.22 7.589 648 93,073 91.69 68.06 California 435 105,498,842 35.32 6.347 639 242,526 80.99 60.60 Colorado 29 4,465,574 1.49 6.853 624 153,985 81.40 50.89 Connecticut 25 3,784,527 1.27 7.193 644 151,381 85.02 71.86 Delaware 6 606,155 0.20 7.457 629 101,026 83.91 100.00 District of Columbia 4 607,987 0.20 8.018 621 151,997 65.11 70.19 Florida 163 21,586,465 7.23 6.958 634 132,432 83.47 57.65 Georgia 77 12,008,432 4.02 6.998 621 155,954 79.89 55.55 Idaho 1 70,863 0.02 8.750 588 70,863 75.00 0.00 Illinois 60 8,478,663 2.84 7.009 620 141,311 84.62 81.12 Indiana 33 4,153,715 1.39 7.523 624 125,870 85.21 64.38 Iowa 3 244,219 0.08 6.812 594 81,406 83.25 100.00 Kansas 10 834,705 0.28 7.349 608 83,470 84.86 77.62 Kentucky 21 2,198,325 0.74 7.341 626 104,682 82.32 63.66 Louisiana 10 954,155 0.32 6.991 635 95,416 80.36 52.98 Maine 6 1,224,249 0.41 6.977 672 204,042 88.22 83.55 Maryland 70 12,380,895 4.14 7.070 606 176,870 84.34 72.97 Massachusetts 19 4,881,729 1.63 6.617 644 256,933 83.77 80.21 Michigan 85 9,418,257 3.15 7.134 625 110,803 82.76 66.87 Minnesota 38 4,959,364 1.66 7.225 638 130,510 85.06 62.22 Mississippi 13 1,016,732 0.34 7.694 606 78,210 82.57 85.68 Missouri 26 2,609,044 0.87 7.431 641 100,348 87.79 52.91 Montana 1 32,971 0.01 10.125 627 32,971 100.00 100.00 Nebraska 1 277,439 0.09 7.200 565 277,439 90.00 100.00 Nevada 39 6,764,158 2.26 6.680 637 173,440 84.55 40.32 New Hampshire 2 212,828 0.07 5.725 735 106,414 72.95 74.97 New Jersey 18 3,744,211 1.25 7.125 596 208,012 83.00 80.66 New York 50 9,952,256 3.33 6.732 629 199,045 78.52 70.58 North Carolina 39 5,000,249 1.67 7.571 627 128,212 86.86 58.48 Ohio 58 6,411,367 2.15 7.197 620 110,541 86.38 83.04 Oklahoma 3 236,172 0.08 6.303 639 78,724 85.90 100.00 Oregon 24 2,992,576 1.00 6.730 674 124,691 80.62 55.68 Pennsylvania 82 10,633,169 3.56 6.943 628 129,673 81.97 82.85 Rhode Island 11 1,893,480 0.63 7.384 595 172,135 82.60 47.13 South Carolina 31 3,556,401 1.19 7.547 613 114,723 84.44 85.17 South Dakota 2 195,794 0.07 7.247 596 97,897 86.16 100.00 Tennessee 36 4,013,308 1.34 7.360 638 111,481 84.45 75.80 Texas 100 7,882,969 2.64 7.704 648 78,830 82.89 32.81 Utah 10 871,404 0.29 6.915 675 87,140 87.02 88.66 Virginia 88 14,301,899 4.79 7.163 626 162,522 83.41 72.33 Washington 48 7,195,855 2.41 6.856 649 149,914 84.31 57.94 West Virginia 16 1,325,731 0.44 7.500 603 82,858 81.29 84.32 Wisconsin 17 1,639,916 0.55 7.189 638 96,466 83.56 62.76 Wyoming 1 145,712 0.05 8.125 611 145,712 100.00 100.00 ----- ----------- ------ ----- --- -------- ------ ------ TOTAL: 1,891 $298,713,997 100.00% 6.828% 633 $157,966 82.54% 63.97% ----- ----------- ------ ----- --- -------- ------ ------
No more than approximately 0.70% 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. 35 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 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 42 $ 4,598,841 1.54% 6.461% 637 $109,496 40.97% 61.57% 50.01% to 55.00% 19 3,211,102 1.07 6.780 624 169,005 52.89 36.17 55.01% to 60.00% 35 5,140,321 1.72 6.490 609 146,866 57.64 56.05 60.01% to 65.00% 42 8,326,260 2.79 6.569 606 198,244 62.76 43.45 65.01% to 70.00% 76 13,962,986 4.67 6.487 617 183,723 68.49 57.64 70.01% to 75.00% 101 20,243,218 6.78 6.534 622 200,428 73.90 64.70 75.01% to 80.00% 511 92,071,004 30.82 6.359 643 180,178 79.62 60.43 80.01% to 85.00% 200 38,888,797 13.02 6.699 613 194,444 84.48 64.94 85.01% to 90.00% 345 68,776,643 23.02 6.855 630 199,353 89.59 68.00 90.01% to 95.00% 112 18,861,052 6.31 7.140 640 168,402 94.75 83.09 95.01% to 100.00% 408 24,633,773 8.25 9.132 661 60,377 99.91 65.47 ----- ------------ ------ ----- --- -------- ----- ----- TOTAL: 1,891 $298,713,997 100.00% 6.828% 633 $157,966 82.54% 63.97% ----- ------------ ------ ----- --- -------- ----- -----
As of the Statistical Calculation Date, the Original Loan-to-Value Ratios of the Mortgage Loans ranged from 11.24% 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 5.18% 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 99.65%. The weighted average Second Lien ratio for the Mortgage Loans which are in a second lien position was approximately 19.87%. 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 997 $183,965,107 61.59% 6.705% 623 $184,519 81.06% 68.77% Purchase 753 91,825,134 30.74 7.080 653 121,946 85.78 52.54 Refinance - Rate/Term 141 22,923,756 7.67 6.799 637 162,580 81.39 71.26 ----- ------------ ------ ----- --- -------- ----- ----- TOTAL: 1,891 $298,713,997 100.00% 6.828% 633 $157,966 82.54% 63.97% ----- ------------ ------ ----- --- -------- ----- -----
------------------------------------------------------------------------------- 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-BC3 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 1,506 $232,914,801 77.97% 6.829% 634 $154,658 82.79% 64.84% Rowhouse 9 902,377 0.30 7.513 630 100,264 79.27 79.91 Townhouse 21 2,141,344 0.72 7.175 608 101,969 81.15 73.92 Condominium 80 12,192,878 4.08 6.708 643 152,411 81.36 74.88 Two- to Four-Family 42 6,315,427 2.11 7.072 637 150,367 75.51 61.03 Manufactured Housing 3 205,555 0.07 7.809 636 68,518 78.96 100.00 Planned Unit Development 230 44,041,615 14.74 6.781 627 191,485 82.70 55.81 ----- ------------ ------ ----- --- -------- ----- ----- TOTAL: 1,891 $298,713,997 100.00% 6.828% 633 $157,966 82.54% 63.97% ----- ------------ ------ ----- --- -------- ----- -----
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 1,229 $191,092,320 63.97% 6.714% 628 $155,486 83.35% 100.00% Stated Documentation 628 98,650,369 33.03 7.076 642 157,087 80.78 0.00 Lite Documentation 34 8,971,308 3.00 6.508 645 263,862 84.53 0.00 ----- ------------ ------ ----- --- -------- ----- ----- TOTAL: 1,891 $298,713,997 100.00% 6.828% 633 $157,966 82.54% 63.97% ----- ------------ ------ ----- --- -------- ----- -----
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 1,789 $287,034,008 96.09% 6.807% 632 $160,444 82.65% 63.92% Investment 87 8,988,318 3.01 7.450 656 103,314 79.04 70.54 Second Home 15 2,691,670 0.90 6.962 634 179,445 82.42 47.31 ----- ------------ ------ ----- --- -------- ----- ----- TOTAL: 1,891 $298,713,997 100.00% 6.828% 633 $157,966 82.54% 63.97% ----- ------------ ------ ----- --- -------- ----- -----
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. 37 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 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 ----------------- -------------- ----------- ------- ------ ----- ----------- --- ------------- 2 84 $ 15,572,041 5.21% 6.736% 643 $185,381 81.37% 62.25% 3 726 121,153,312 40.56 6.820 636 166,878 82.26 65.56 4 743 113,064,272 37.85 6.802 630 152,173 82.52 65.22 5 264 39,759,470 13.31 6.836 629 150,604 83.76 57.08 6 57 6,172,881 2.07 7.305 630 108,296 85.18 61.81 7 13 2,266,474 0.76 7.427 620 174,344 81.10 73.38 8 3 606,704 0.20 7.267 682 202,235 72.78 10.60 9 1 118,843 0.04 9.900 599 118,843 63.16 0.00 ----- ------------ ------ ----- --- -------- ----- ----- TOTAL: 1,891 $298,713,997 100.00% 6.828% 633 $157,966 82.54% 63.97% ----- ------------ ------ ----- --- -------- ----- -----
As of the Statistical Calculation Date, the weighted average age of the Mortgage Loans was approximately 4 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 302 $ 29,887,745 10.01% 7.777% 632 $98,966 87.06% 62.41% 12 Months 51 9,567,518 3.20 6.884 621 187,598 82.09 65.73 13 Months 9 1,928,778 0.65 6.905 626 214,309 88.07 63.44 24 Months 670 115,417,325 38.64 6.691 631 172,265 83.75 58.24 36 Months 549 98,480,603 32.97 6.682 640 179,382 80.38 63.42 48 Months 6 979,755 0.33 6.385 668 163,293 84.78 92.77 60 Months 303 42,210,700 14.13 6.868 625 139,309 80.81 80.80 84 Months 1 241,572 0.08 6.150 641 241,572 90.00 100.00 ----- ------------ ------ ----- --- -------- ----- ------ TOTAL: 1,891 $298,713,997 100.00% 6.828% 633 $157,966 82.54% 63.97% ----- ------------ ------ ----- --- -------- ----- ------
The weighted average prepayment penalty term at origination with respect to the Mortgage Loans having prepayment penalties was approximately 34 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. 38 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 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 ---------------------- -------------- ----------- ---------- -------- -------- ----------- -------- ------------- 500 to 500 1 $179,487 0.06% 7.750% 500 $179,487 67.92% 0.00% 501 to 525 15 2,222,349 0.74 7.532 517 148,157 71.60 75.35 526 to 550 99 13,982,021 4.68 7.351 540 141,233 77.81 86.11 551 to 575 151 24,387,661 8.16 7.209 564 161,508 78.55 76.10 576 to 600 218 37,429,530 12.53 6.994 589 171,695 82.04 69.54 601 to 625 381 64,461,267 21.58 6.859 613 169,190 83.52 65.28 626 to 650 341 51,670,505 17.30 6.796 638 151,526 83.71 58.67 651 to 675 303 46,530,206 15.58 6.672 662 153,565 83.45 58.27 676 to 700 183 28,332,081 9.48 6.545 687 154,820 83.14 54.13 701 to 725 84 13,064,469 4.37 6.539 712 155,529 83.17 61.20 726 to 750 60 8,389,407 2.81 6.698 736 139,823 85.85 62.90 751 to 775 39 5,640,091 1.89 6.230 764 144,618 81.69 44.81 776 to 799 16 2,424,923 0.81 6.210 784 151,558 80.09 88.58 ----- ------------ ------ ----- --- -------- ----- ----- TOTAL: 1,891 $298,713,997 100.00% 6.828% 633 $157,966 82.54% 63.97% ----- ------------ ------ ----- --- -------- ----- -----
The Credit Scores of the Mortgage Loans that were scored as of the Statistical Calculation Date ranged from 500 to 799 and the weighted average Credit Score of the Mortgage Loans that were scored as of the Statistical Calculation Date was approximately 633. 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+ 1,018 $153,134,770 51.26% 6.689% 670 $150,427 84.15% 57.60% A 436 76,367,157 25.57 6.89 608 175,154 83.58 66.32 A- 185 31,885,725 10.67 6.93 595 172,355 78.79 65.73 B 151 22,726,575 7.61 7.095 575 150,507 77.73 77.56 C 68 9,368,428 3.14 7.366 541 137,771 77.03 95.25 C- 33 5,231,341 1.75 7.221 560 158,525 73.73 90.41 ----- ------------ ------ ----- --- -------- ----- ----- TOTAL: 1,891 $298,713,997 100.00% 6.828% 633 $157,966 82.54% 63.97% ----- ------------ ------ ----- --- -------- ----- -----
------------------------------------------------------------------------------- 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-BC3 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 ---------------- -------------- ----------- ---- ------ ----- ----------- --- ------------- 3.001% to 3.500% 1 $ 211,317 0.12% 5.625% 702 $211,317 80.00% 0.00% 3.501% to 4.000% 12 3,371,948 1.91 4.929 666 280,996 77.48 100.00 4.001% to 4.500% 31 8,256,687 4.67 5.347 661 266,345 80.24 83.41 4.501% to 5.000% 62 16,382,043 9.27 5.691 657 264,226 79.83 67.51 5.001% to 5.500% 108 25,949,948 14.69 5.966 629 240,277 81.05 52.50 5.501% to 6.000% 177 38,015,569 21.52 6.217 627 214,777 82.65 60.12 6.001% to 6.500% 151 29,745,506 16.84 6.633 625 196,990 82.36 52.05 6.501% to 7.000% 139 25,003,520 14.15 7.047 613 179,881 85.56 57.19 7.001% to 7.500% 77 11,412,852 6.46 7.536 605 148,219 85.27 51.14 7.501% to 8.000% 62 8,264,009 4.68 7.989 594 133,290 85.73 56.19 8.001% to 8.500% 41 5,678,447 3.21 8.469 596 138,499 87.41 54.77 8.501% to 9.000% 26 3,189,190 1.81 8.724 588 122,661 87.28 75.04 9.001% to 9.500% 8 855,310 0.48 9.443 600 106,914 88.27 41.98 9.501% to 10.000% 3 339,245 0.19 9.931 559 113,082 75.42 64.97 --- ------------ ------ ----- --- -------- ----- ----- TOTAL: 898 $176,675,590 100.00% 6.561% 625 $196,743 82.87% 58.94% --- ------------ ------ ----- --- -------- ----- -----
As of the Statistical Calculation Date, the Gross Margins for the Adjustable Rate Mortgage Loans ranged from 3.250% per annum to 9.740% per annum and the weighted average Gross Margin of the Adjustable Rate Mortgage Loans was approximately 6.105% per annum. 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 ---------------- -------------- ----------- ---- ------ ----- ----------- --- ------------- 11.500% or less 52 $ 12,316,769 6.97% 5.337% 656 $236,861 77.69% 66.50% 11.501% to 12.000% 110 25,125,022 14.22 5.750 639 228,409 80.18 73.27 12.001% to 12.500% 148 31,693,098 17.94 6.103 635 214,143 80.62 56.04 12.501% to 13.000% 219 46,212,383 26.16 6.497 625 211,015 84.23 59.18 13.001% to 13.500% 107 21,303,222 12.06 6.830 621 199,096 84.54 52.25 13.501% to 14.000% 103 18,922,872 10.71 7.248 608 183,717 85.36 55.72 14.001% to 14.500% 74 10,986,544 6.22 7.852 603 148,467 85.03 46.37 14.501% to 15.000% 57 6,906,688 3.91 8.380 598 121,170 86.14 60.25 15.001% to 15.500% 20 2,440,073 1.38 8.766 587 122,004 86.79 38.88 15.501% to 16.000% 6 474,653 0.27 8.879 582 79,109 89.05 79.18 16.501% to 17.000% 2 294,266 0.17 9.959 558 147,133 73.19 59.61 --- ------------ ------ ----- --- -------- ----- ----- TOTAL: 898 $176,675,590 100.00% 6.561% 625 $196,743 82.87% 58.94% --- ------------ ------ ----- --- -------- ----- -----
As of the Statistical Calculation Date, the Maximum Mortgage Rates for the Adjustable Rate Mortgage Loans ranged from 8.800% per annum to 16.999% per annum and the weighted average Maximum Mortgage Rate of the Adjustable Rate Mortgage Loans was approximately 12.873% 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. 40 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 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 ------------------------- -------------- ----------- ---- ------ ----- ----------- --- ------------- December 2005 1 $ 118,843 0.07% 9.900% 599 $118,843 63.16% 0.00% January 2006 3 606,704 0.34 7.267 682 202,235 72.78 10.60 February 2006 11 2,010,632 1.14 7.384 612 182,785 79.52 78.23 March 2006 25 3,407,868 1.93 7.024 621 136,315 86.38 76.75 April 2006 117 20,167,039 11.41 6.576 629 172,368 84.62 55.54 May 2006 249 48,286,800 27.33 6.452 626 193,923 82.82 59.10 June 2006 321 61,220,961 34.65 6.712 623 190,720 83.11 64.64 July 2006 23 5,415,482 3.07 6.423 627 235,456 83.78 51.69 March 2007 4 889,167 0.50 6.999 593 222,292 78.61 47.24 April 2007 20 5,303,409 3.00 6.526 599 265,170 82.16 33.93 May 2007 54 12,532,107 7.09 6.236 632 232,076 82.46 55.86 June 2007 55 13,407,885 7.59 6.344 632 243,780 81.56 50.25 July 2007 9 2,026,471 1.15 6.672 639 225,163 77.09 52.96 March 2009 1 163,014 0.09 5.625 655 163,014 71.30 0.00 April 2009 1 186,267 0.11 6.250 617 186,267 84.93 100.00 June 2009 4 932,940 0.53 5.771 625 233,235 75.72 59.59 TOTAL: 898 $176,675,590 100.00% 6.561% 625 $196,743 82.87% 58.94%
------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 41 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 ASSUMED MORTGAGE POOL GROUP A FIXED RATE MORTGAGE LOANS
ORIGINAL ORIGINAL REMAINING ORIGINAL REMAINING MONTHS TO NET ORIGINAL REMAINING AMORTIZATION AMORTIZATION IO IO PREPAYMENT CURRENT MORTGAGE MORTGAGE TERM TERM TERM TERM TERM TERM PENALTY BALANCE ($) RATE(%) RATE(%) (MONTHS) (MONTHS) (MONTHS) (MONTHS) (MONTHS) (MONTHS) EXPIRATION ----------- ------- ------- -------- -------- -------- -------- -------- -------- ---------- 3,132,364.82 10.204 9.704 180 175 360 355 0 0 0 187,127.51 11.992 11.492 180 176 360 356 0 0 12 3,508,606.33 10.359 9.859 180 175 360 355 0 0 24 1,882,590.55 10.338 9.838 180 175 360 355 0 0 36 1,118,540.74 9.825 9.325 180 175 180 175 0 0 0 41,880.29 12.460 11.960 180 175 180 175 0 0 24 2,034,759.28 7.492 6.992 180 175 180 175 0 0 36 705,253.99 8.017 7.517 240 235 240 235 0 0 0 158,259.48 7.625 7.125 240 235 240 235 0 0 12 259,973.35 11.509 11.009 240 235 240 235 0 0 24 589,410.81 6.690 6.190 240 235 240 235 0 0 36 230,022.51 5.760 5.260 300 297 300 297 0 0 0 264,165.08 6.850 6.350 288 284 288 284 0 0 36 5,351,839.56 7.704 7.204 360 355 360 355 0 0 0 670,207.99 7.481 6.981 360 355 360 355 0 0 12 4,184,992.99 6.965 6.465 360 355 360 355 0 0 24 322,463.21 5.990 5.490 360 356 360 356 0 0 30 42,316,470.60 6.805 6.305 360 355 360 355 0 0 36 229,792.43 6.350 5.850 360 355 300 300 60 55 24 3,369,349.83 6.365 5.865 360 356 300 300 60 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 ($) RATE(%) RATE(%) (MOS) (MOS) (MOS) (MOS) (MOS) (MOS) (%) ----------- ------- ------- ----- ----- ----- ----- ----- ----- --- 24,836,387.93 7.066 6.566 360 355 360 355 0 0 6.604 556,783.04 6.878 6.378 360 355 360 355 0 0 6.378 11,550,778.74 6.676 6.176 360 355 360 355 0 0 6.361 664,521.95 5.359 4.859 360 355 360 355 0 0 4.362 154,770,997.48 6.803 6.303 360 355 360 355 0 0 6.435 2,812,499.48 6.894 6.394 360 355 360 355 0 0 6.470 2,526,862.16 6.803 6.303 360 355 360 355 0 0 6.311 685,956.99 6.871 6.371 360 355 360 355 0 0 6.483 2,091,462.75 6.520 6.020 360 355 360 355 0 0 6.029 24,648,810.46 6.646 6.146 360 355 360 355 0 0 6.075 472,253.67 7.130 6.630 360 354 336 336 24 18 6.800 1,371,883.96 6.210 5.710 360 355 336 336 24 19 5.210 15,383,136.12 6.017 5.517 360 355 336 336 24 19 5.154 151,535.99 4.990 4.490 360 356 336 336 24 20 3.990 313,255.24 6.250 5.750 360 357 324 324 36 33 5.250 457,253.22 5.483 4.983 360 356 324 324 36 32 4.483 9,740,408.76 5.927 5.427 360 355 324 324 36 31 5.151 1,113,308.37 6.582 6.082 360 356 300 300 60 56 6.332 2,505,983.03 6.506 6.006 360 355 300 300 60 55 6.256 23,528,834.25 6.211 5.711 360 356 300 300 60 56 5.961 293,813.41 5.750 5.250 360 355 300 300 60 55 5.500 1,905,745.81 6.275 5.775 360 356 300 300 60 56 6.025 NUMBER OF MONTHS UNTIL ORIGINAL INITIAL RATE NEXT MONTHS RATE CHANGE RATE PREPAY CURRENT CHANGE PERIODIC MAXIMUM MINIMUM FREQUENCY ADJUSTMENT PENALTY BALANCE ($) CAP(%) CAP(%) RATE(%) RATE(%) (MOS) DATE INDEX EXPIRATI ----------- ------ ------ ------- ------- ----- ---- ----- -------- 24,836,387.93 2.985 1.136 13.342 7.028 6 19 6M LIBOR 0 556,783.04 3.000 1.201 13.280 6.611 6 19 6M LIBOR 6 11,550,778.74 3.000 1.024 12.725 6.645 6 19 6M LIBOR 12 664,521.95 3.000 1.500 12.359 5.359 6 19 6M LIBOR 13 154,770,997.48 2.990 1.167 13.148 6.748 6 19 6M LIBOR 24 2,812,499.48 3.000 1.058 13.011 6.892 6 19 6M LIBOR 36 2,526,862.16 3.000 1.099 13.002 6.787 6 31 6M LIBOR 0 685,956.99 3.000 1.000 12.871 6.827 6 31 6M LIBOR 12 2,091,462.75 3.000 1.122 12.765 6.274 6 31 6M LIBOR 24 24,648,810.46 3.000 1.064 12.775 6.413 6 31 6M LIBOR 36 472,253.67 3.000 1.500 14.130 6.800 6 18 6M LIBOR 0 1,371,883.96 2.000 1.000 13.210 6.210 6 19 6M LIBOR 13 15,383,136.12 2.117 1.106 12.858 5.987 6 19 6M LIBOR 24 151,535.99 2.000 1.000 11.990 4.990 6 20 6M LIBOR 36 313,255.24 1.500 1.500 13.250 6.250 6 33 6M LIBOR 12 457,253.22 2.358 1.000 12.125 5.483 6 32 6M LIBOR 24 9,740,408.76 2.291 1.166 12.592 5.918 6 31 6M LIBOR 36 1,113,308.37 3.000 1.000 12.582 6.582 6 20 6M LIBOR 0 2,505,983.03 3.000 1.000 12.506 6.506 6 19 6M LIBOR 12 23,528,834.25 3.000 1.000 12.211 6.211 6 20 6M LIBOR 24 293,813.41 3.000 1.000 11.750 5.750 6 19 6M LIBOR 36 1,905,745.81 3.000 1.000 12.275 6.275 6 32 6M LIBOR 36
------------------------------------------------------------------------------- Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the final prospectus supplement. 42 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 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 ----------- ------- ------- -------- -------- -------- -------- -------- -------- ---------- 4,432,282.05 10.098 9.598 180 175 360 355 0 0 0 200,176.32 10.522 10.022 180 175 360 355 0 0 12 209,798.99 9.724 9.224 180 175 360 355 0 0 13 5,115,069.64 10.171 9.671 180 175 360 355 0 0 24 2,813,699.58 10.224 9.724 180 175 360 355 0 0 36 705,875.67 11.166 10.666 180 175 360 355 0 0 60 1,278,776.16 9.682 9.182 180 175 180 175 0 0 0 49,079.09 6.800 6.300 180 175 180 175 0 0 12 180,831.93 8.689 8.189 180 175 180 175 0 0 24 3,132,843.12 7.109 6.609 180 176 180 176 0 0 36 70,470.94 8.750 8.250 180 176 180 176 0 0 48 917,441.09 6.774 6.274 180 175 180 175 0 0 60 828,459.62 8.294 7.794 240 234 240 234 0 0 0 396,026.27 7.043 6.543 240 237 240 237 0 0 12 1,393,653.05 6.824 6.324 240 236 240 236 0 0 36 123,682.08 6.950 6.450 240 235 240 235 0 0 48 1,517,755.55 7.312 6.812 240 235 240 235 0 0 60 75,939.83 8.990 8.490 300 296 300 296 0 0 0 211,960.70 7.354 6.854 280 275 280 275 0 0 36 470,548.87 6.278 5.778 300 295 300 295 0 0 60 6,527,091.49 7.162 6.662 360 356 360 356 0 0 0 2,015,262.22 7.247 6.747 360 356 360 356 0 0 12 459,420.74 6.624 6.124 360 356 360 356 0 0 13 2,569,259.98 7.316 6.816 360 355 360 355 0 0 24 50,184,553.84 6.720 6.220 360 355 360 355 0 0 36 640,953.39 5.915 5.415 360 355 360 355 0 0 48 25,995,815.54 6.840 6.340 360 355 360 355 0 0 60 5,543,889.38 6.280 5.780 360 356 300 300 60 56 36 3,301,833.45 6.442 5.942 360 355 300 300 60 55 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. 43 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 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) (%) ----------- ------- ------- ----- ----- ----- ----- ----- ----- --- 13,276,879.37 7.359 6.859 360 355 360 355 0 0 6.988 6,044,618.63 6.697 6.197 360 355 360 355 0 0 6.340 776,505.95 6.867 6.367 360 355 360 355 0 0 5.867 79,182,393.03 6.666 6.166 360 355 360 355 0 0 6.302 2,842,474.54 6.920 6.420 360 355 360 355 0 0 6.397 5,759,679.18 6.899 6.399 360 356 360 356 0 0 6.656 240,233.50 6.150 5.650 360 353 360 353 0 0 5.900 2,105,863.79 6.616 6.116 360 356 360 356 0 0 6.123 428,640.16 6.118 5.618 360 356 360 356 0 0 5.522 18,981,491.96 6.376 5.876 360 355 360 355 0 0 5.716 681,355.96 7.288 6.788 360 355 360 355 0 0 6.709 162,110.69 5.625 5.125 360 353 360 353 0 0 4.125 331,379.61 6.581 6.081 360 355 360 355 0 0 6.581 876,915.81 7.101 6.601 360 356 336 336 24 20 6.273 472,369.03 5.990 5.490 360 354 336 336 24 18 4.990 14,365,851.27 5.785 5.285 360 356 336 336 24 20 4.899 909,320.04 5.897 5.397 360 355 336 336 24 19 4.897 111,379.65 6.250 5.750 360 355 336 336 24 19 5.250 9,491,687.96 6.291 5.791 360 356 324 324 36 32 5.588 157,881.74 5.850 5.350 360 355 300 300 60 55 5.600 809,362.07 6.404 5.904 360 356 300 300 60 56 6.154 12,935,996.68 6.342 5.842 360 356 300 300 60 56 6.099 139,222.06 6.850 6.350 360 356 300 300 60 56 6.600 1,550,966.74 6.124 5.624 360 356 300 300 60 56 5.874 1,990,022.76 6.005 5.505 360 355 300 300 60 55 5.755 290,774.46 7.401 6.901 360 355 300 300 60 55 7.151 439,533.99 5.670 5.170 360 356 300 300 60 56 5.430 342,094.63 5.375 4.875 360 356 300 300 60 56 5.375 NUMBER OF MONTHS UNTIL ORIGINAL INITIAL RATE NEXT MONTHS RATE CHANGE RATE PREPAY CURRENT CHANGE PERIODIC MAXIMUM MINIMUM FREQUENCY ADJUSTMENT PENALTY BALANCE ($) CAP(%) CAP(%) RATE(%) RATE(%) (MOS) DATE INDEX EXPIRATI ----------- ------ ------ ------- ------- ----- ---- ----- -------- 13,276,879.37 2.942 1.077 13.513 7.316 6 19 6M LIBOR 0 6,044,618.63 3.000 1.024 12.744 6.697 6 19 6M LIBOR 12 776,505.95 3.000 1.500 13.867 6.867 6 19 6M LIBOR 13 79,182,393.03 2.991 1.173 13.011 6.619 6 19 6M LIBOR 24 2,842,474.54 3.000 1.099 13.118 6.732 6 19 6M LIBOR 36 5,759,679.18 3.000 1.000 12.899 6.891 6 20 6M LIBOR 60 240,233.50 3.000 1.500 13.150 6.150 6 17 6M LIBOR 84 2,105,863.79 3.000 1.000 12.616 6.324 6 32 6M LIBOR 0 428,640.16 3.000 1.000 12.118 6.118 6 32 6M LIBOR 24 18,981,491.96 3.000 1.094 12.564 6.094 6 31 6M LIBOR 36 681,355.96 3.000 1.000 13.288 6.849 6 31 6M LIBOR 60 162,110.69 5.000 2.000 10.625 4.125 12 53 1Y CMT 0 331,379.61 5.000 1.000 11.581 6.581 6 55 6M LIBOR 60 876,915.81 2.311 1.230 13.560 7.101 6 20 6M LIBOR 0 472,369.03 2.000 1.000 12.990 5.990 6 18 6M LIBOR 13 14,365,851.27 1.992 1.109 12.724 5.785 6 20 6M LIBOR 24 909,320.04 1.914 1.086 12.897 5.897 6 19 6M LIBOR 36 111,379.65 2.000 1.000 13.250 6.250 6 19 6M LIBOR 60 9,491,687.96 2.222 1.246 12.964 6.237 6 32 6M LIBOR 36 157,881.74 3.000 1.000 11.850 5.850 6 19 6M LIBOR 0 809,362.07 3.000 1.000 12.404 6.404 6 20 6M LIBOR 12 12,935,996.68 3.000 1.000 12.299 6.342 6 20 6M LIBOR 24 139,222.06 3.000 1.000 12.850 6.850 6 20 6M LIBOR 48 1,550,966.74 3.000 1.000 12.124 6.124 6 20 6M LIBOR 60 1,990,022.76 3.000 1.000 12.005 6.005 6 31 6M LIBOR 36 290,774.46 3.000 1.000 13.401 7.401 6 31 6M LIBOR 60 439,533.99 5.000 2.000 10.670 5.430 12 56 1Y LIBOR 36 342,094.63 5.000 2.000 10.375 5.375 12 56 1Y LIBOR 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. 44 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 GROUP B MORTGAGE LOANS ONE MONTH LIBOR CAP TABLE FOR CLASS A-1 CERTIFICATES
NOTIONAL 1ML STRIKE 1 ML STRIKE BEGINNING ENDING BALANCE LOWER COLLAR UPPER COLLAR PERIOD ACCRUAL ACCRUAL ($) (%) (%) ------ -------- ------- ------- ------------ ------------ 1 10/28/04 11/25/04 298,421,000.00 6.413 8.900 2 11/25/04 12/25/04 292,452,284.68 5.962 8.900 3 12/25/04 01/25/05 287,035,656.43 5.759 8.900 4 01/25/05 02/25/05 280,869,342.29 5.759 8.900 5 02/25/05 03/25/05 273,974,485.79 6.414 8.900 6 03/25/05 04/25/05 266,372,786.29 5.760 8.900 7 04/25/05 05/25/05 258,222,241.51 5.964 8.900 8 05/25/05 06/25/05 249,558,823.04 5.762 8.900 9 06/25/05 07/25/05 241,068,768.86 5.967 8.900 10 07/25/05 08/25/05 232,818,154.22 5.764 8.900 11 08/25/05 09/25/05 224,800,923.50 5.765 8.900 12 09/25/05 10/25/05 217,010,384.09 5.970 8.900 13 10/25/05 11/25/05 209,440,037.12 5.768 8.900 14 11/25/05 12/25/05 202,083,571.80 5.973 8.900 15 12/25/05 01/25/06 194,934,859.99 5.770 8.900 16 01/25/06 02/25/06 187,987,950.84 5.771 8.900 17 02/25/06 03/25/06 181,237,065.62 6.429 8.900 18 03/25/06 04/25/06 174,668,370.92 5.774 8.900 19 04/25/06 05/25/06 163,978,367.39 5.985 8.900 20 05/25/06 06/25/06 153,382,103.17 7.414 8.900 21 06/25/06 07/25/06 143,382,096.44 7.872 8.900 22 07/25/06 08/25/06 133,911,511.86 7.595 8.900 23 08/25/06 09/25/06 124,945,983.67 7.582 8.900 24 09/25/06 10/25/06 118,952,499.40 7.841 8.900 25 10/25/06 11/25/06 113,442,569.88 7.573 8.900 26 11/25/06 12/25/06 108,117,713.93 8.466 8.900 27 12/25/06 01/25/07 102,978,859.01 8.238 8.900 28 01/25/07 02/25/07 98,008,834.34 8.229 8.900 29 02/25/07 03/25/07 93,201,903.47 8.900 8.900 30 03/25/07 04/25/07 88,552,538.87 8.211 8.900 31 04/25/07 05/25/07 84,055,404.01 8.489 8.900
------------------------------------------------------------------------------- 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-BC3 ONE MONTH LIBOR CAP TABLE FOR CLASS A-2 CERTIFICATES
NOTIONAL 1ML STRIKE 1ML STRIKE NOTIONAL 1ML STRIKE 1ML STRIKE BEGINNING ENDING BALANCE LOWER UPPER BEGINNING ENDING BALANCE LOWER UPPER PERIOD ACCRUAL ACCRUAL ($) COLLAR (%) COLLAR (%) PERIOD ACCRUAL ACCRUAL ($) COLLAR (%) COLLAR (%) ------ ------- ------- --- ---------- ---------- ------ ------- ------- --- ---------- ---------- 1 10/28/04 11/25/04 248,879,000.00 6.430 9.650 42 03/25/08 04/25/08 62,172,663.97 8.231 9.650 2 11/25/04 12/25/04 244,164,946.13 5.978 9.650 43 04/25/08 05/25/08 61,542,603.76 8.498 9.650 3 12/25/04 01/25/05 239,878,946.12 5.774 9.650 44 05/25/08 06/25/08 59,956,557.15 8.249 9.650 4 01/25/05 02/25/05 234,993,251.37 5.774 9.650 45 06/25/08 07/25/08 58,416,149.54 8.591 9.650 5 02/25/05 03/25/05 229,522,773.78 6.431 9.650 46 07/25/08 08/25/08 56,920,080.22 8.282 9.650 6 03/25/05 04/25/05 223,486,379.78 5.775 9.650 47 08/25/08 09/25/08 55,466,556.42 8.261 9.650 7 04/25/05 05/25/05 217,100,871.58 5.980 9.650 48 09/25/08 10/25/08 54,054,275.92 8.527 9.650 8 05/25/05 06/25/05 210,421,212.12 5.777 9.650 49 10/25/08 11/25/08 52,681,978.66 8.221 9.650 9 06/25/05 07/25/05 203,789,139.05 5.983 9.650 50 11/25/08 12/25/08 51,348,449.71 8.537 9.650 10 07/25/05 08/25/05 197,332,251.84 5.781 9.650 51 12/25/08 01/25/09 50,052,699.07 8.278 9.650 11 08/25/05 09/25/05 191,045,778.78 5.782 9.650 52 01/25/09 02/25/09 48,793,592.37 8.257 9.650 12 09/25/05 10/25/05 184,925,081.35 5.988 9.650 53 02/25/09 03/25/09 47,569,796.34 9.156 9.650 13 10/25/05 11/25/05 178,965,650.44 5.786 9.650 54 03/25/09 04/25/09 46,380,242.72 8.217 9.650 14 11/25/05 12/25/05 173,163,102.63 5.992 9.650 55 04/25/09 05/25/09 45,223,909.45 8.481 9.650 15 12/25/05 01/25/06 167,513,176.70 5.789 9.650 56 05/25/09 06/25/09 44,099,783.06 8.178 9.650 16 01/25/06 02/25/06 162,011,730.09 5.791 9.650 57 06/25/09 07/25/09 43,005,788.05 8.465 9.650 17 02/25/06 03/25/06 156,647,743.50 6.450 9.650 58 07/25/09 08/25/09 41,939,711.59 8.160 9.650 18 03/25/06 04/25/06 151,416,682.65 5.796 9.650 59 08/25/09 09/25/09 40,903,160.80 8.139 9.650 19 04/25/06 05/25/06 144,201,810.63 6.007 9.650 60 09/25/09 10/25/09 39,895,252.67 8.401 9.650 20 05/25/06 06/25/06 136,471,691.23 6.705 9.650 61 10/25/09 11/25/09 38,915,132.29 8.098 9.650 21 06/25/06 07/25/06 129,139,239.89 7.227 9.650 62 11/25/09 12/25/09 37,961,971.95 8.359 9.650 22 07/25/06 08/25/06 122,157,745.06 6.968 9.650 63 12/25/09 01/25/10 37,034,970.20 8.058 9.650 23 08/25/06 09/25/06 115,514,808.06 6.953 9.650 64 01/25/10 02/25/10 36,133,351.02 8.038 9.650 24 09/25/06 10/25/06 110,418,757.81 7.190 9.650 65 02/25/10 03/25/10 35,256,362.95 8.914 9.650 25 10/25/06 11/25/06 105,992,745.15 6.941 9.650 66 03/25/10 04/25/10 34,403,278.27 7.998 9.650 26 11/25/06 12/25/06 101,699,233.32 7.510 9.650 67 04/25/10 05/25/10 33,573,392.23 8.256 9.650 27 12/25/06 01/25/07 97,539,036.97 7.354 9.650 68 05/25/10 06/25/10 32,766,022.30 7.958 9.650 28 01/25/07 02/25/07 93,503,897.84 7.343 9.650 69 06/25/10 07/25/10 31,980,507.40 8.215 9.650 29 02/25/07 03/25/07 89,588,566.86 8.156 9.650 70 07/25/10 08/25/10 31,216,207.24 7.919 9.650 30 03/25/07 04/25/07 85,789,246.96 7.324 9.650 71 08/25/10 09/25/10 30,472,501.60 7.900 9.650 31 04/25/07 05/25/07 82,102,277.95 7.571 9.650 72 09/25/10 10/25/10 29,748,789.66 8.155 9.650 32 05/25/07 06/25/07 78,524,118.49 7.778 9.650 73 10/25/10 11/25/10 29,044,489.41 7.862 9.650 33 06/25/07 07/25/07 75,057,824.65 8.218 9.650 74 11/25/10 12/25/10 28,359,036.98 8.116 9.650 34 07/25/07 08/25/07 71,691,854.97 7.926 9.650 75 12/25/10 01/25/11 27,691,886.10 7.824 9.650 35 08/25/07 09/25/07 68,424,377.39 7.910 9.650 76 01/25/11 02/25/11 27,042,507.45 7.806 9.650 36 09/25/07 10/25/07 65,252,306.67 8.170 9.650 77 02/25/11 03/25/11 26,410,388.18 8.659 9.650 37 10/25/07 11/25/07 62,172,663.97 7.880 9.650 78 03/25/11 04/25/11 25,795,031.32 7.769 9.650 38 11/25/07 12/25/07 62,172,663.97 8.461 9.650 79 04/25/11 05/25/11 25,195,955.28 8.020 9.650 39 12/25/07 01/25/08 62,172,663.97 8.289 9.650 80 05/25/11 06/25/11 24,612,693.34 7.732 9.650 40 01/25/08 02/25/08 62,172,663.97 8.270 9.650 81 06/25/11 07/25/11 24,044,793.20 7.983 9.650 41 02/25/08 03/25/08 62,172,663.97 8.843 9.650
-------------------------------------------------------------------------------- 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 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 ONE MONTH LIBOR CAP TABLE FOR SUBORDINATE CERTIFICATES
NOTIONAL 1ML STRIKE 1ML STRIKE BEGINNING ENDING BALANCE LOWER COLLAR UPPER COLLAR PERIOD ACCRUAL ACCRUAL ($) (%) (%) ------ ------- ------- ------- ------------ ------------ 1 10/28/04 11/25/04 102,700,000.00 6.021 8.500 2 11/25/04 12/25/04 102,700,000.00 5.570 8.500 3 12/25/04 01/25/05 102,700,000.00 5.366 8.500 4 01/25/05 02/25/05 102,700,000.00 5.366 8.500 5 02/25/05 03/25/05 102,700,000.00 6.022 8.500 6 03/25/05 04/25/05 102,700,000.00 5.367 8.500 7 04/25/05 05/25/05 102,700,000.00 5.572 8.500 8 05/25/05 06/25/05 102,700,000.00 5.369 8.500 9 06/25/05 07/25/05 102,700,000.00 5.574 8.500 10 07/25/05 08/25/05 102,700,000.00 5.372 8.500 11 08/25/05 09/25/05 102,700,000.00 5.373 8.500 12 09/25/05 10/25/05 102,700,000.00 5.579 8.500 13 10/25/05 11/25/05 102,700,000.00 5.376 8.500 14 11/25/05 12/25/05 102,700,000.00 5.582 8.500 15 12/25/05 01/25/06 102,700,000.00 5.379 8.500 16 01/25/06 02/25/06 102,700,000.00 5.380 8.500 17 02/25/06 03/25/06 102,700,000.00 6.039 8.500 18 03/25/06 04/25/06 102,700,000.00 5.384 8.500 19 04/25/06 05/25/06 102,700,000.00 5.596 8.500 20 05/25/06 06/25/06 102,700,000.00 6.682 8.500 21 06/25/06 07/25/06 102,700,000.00 7.170 8.500 22 07/25/06 08/25/06 102,700,000.00 6.901 8.500 23 08/25/06 09/25/06 102,700,000.00 6.887 8.500 24 09/25/06 10/25/06 102,700,000.00 7.136 8.500 25 10/25/06 11/25/06 102,700,000.00 6.877 8.500 26 11/25/06 12/25/06 102,700,000.00 7.618 8.500 27 12/25/06 01/25/07 102,700,000.00 7.423 8.500 28 01/25/07 02/25/07 102,700,000.00 7.414 8.500 29 02/25/07 03/25/07 102,700,000.00 8.278 8.500 30 03/25/07 04/25/07 102,700,000.00 7.396 8.500 31 04/25/07 05/25/07 102,700,000.00 7.659 8.500 32 05/25/07 06/25/07 102,700,000.00 8.062 8.500 33 06/25/07 07/25/07 102,700,000.00 8.471 8.500 34 07/25/07 08/25/07 102,700,000.00 8.160 8.500 35 08/25/07 09/25/07 102,700,000.00 8.145 8.500 36 09/25/07 10/25/07 102,700,000.00 8.426 8.500 37 10/25/07 11/25/07 102,700,000.00 8.117 8.500
-------------------------------------------------------------------------------- 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. 47 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 HYPOTHETICAL AVAILABLE FUNDS CAP TABLE FOR THE CLASS A-1 CERTIFICATES
AVAILABLE AVAILABLE PAYMENT FUNDS CAP FUNDS CAP PERIOD DATE (%) (1) (%) (2)(3) ------ ---- ------- ---------- 1 11/25/2004 6.763 6.763 2 12/25/2004 6.312 9.250 3 01/25/2005 6.109 9.250 4 02/25/2005 6.109 9.250 5 03/25/2005 6.764 9.250 6 04/25/2005 6.110 9.250 7 05/25/2005 6.314 9.250 8 06/25/2005 6.112 9.250 9 07/25/2005 6.317 9.250 10 08/25/2005 6.114 9.250 11 09/25/2005 6.115 9.250 12 10/25/2005 6.320 9.250 13 11/25/2005 6.118 9.250 14 12/25/2005 6.323 9.250 15 01/25/2006 6.120 9.250 16 02/25/2006 6.121 9.250 17 03/25/2006 6.779 9.250 18 04/25/2006 6.124 9.250 19 05/25/2006 6.334 9.250 20 06/25/2006 7.061 9.250 21 07/25/2006 7.421 9.250 22 08/25/2006 7.177 9.250 23 09/25/2006 7.172 9.250 24 10/25/2006 7.409 9.250 25 11/25/2006 7.167 9.250 26 12/25/2006 7.404 9.250 27 01/25/2007 7.163 9.250 28 02/25/2007 7.161 9.250 29 03/25/2007 7.925 9.488 30 04/25/2007 7.156 9.250 31 05/25/2007 7.392 9.250 32 06/25/2007 7.293 9.414 33 07/25/2007 7.543 9.797 34 08/25/2007 7.298 9.468 35 09/25/2007 7.295 9.454 36 10/25/2007 7.534 9.755 37 11/25/2007 7.288 9.428 38 12/25/2007 7.528 10.368 39 01/25/2008 7.282 10.083 40 02/25/2008 7.279 10.067 41 03/25/2008 7.777 10.742 42 4/25/2008 7.272 10.031 43 5/25/2008 7.511 10.347 44 6/25/2008 7.265 10.136 45 7/25/2008 7.504 10.460 46 8/25/2008 7.259 10.105 47 9/25/2008 7.255 10.086 48 10/25/2008 7.494 10.402 49 11/25/2008 7.249 10.047 50 12/25/2008 7.487 10.469 51 1/25/2009 7.242 10.117 52 2/25/2009 7.238 10.098 53 3/25/2009 8.010 11.157 54 4/25/2009 7.231 10.057 55 5/25/2009 7.469 10.371 56 6/25/2009 7.224 10.034 57 7/25/2009 7.461 10.348 58 8/25/2009 7.217 9.994 59 9/25/2009 7.214 9.974 60 10/25/2009 7.451 10.284 61 11/25/2009 7.207 9.932 62 12/25/2009 7.443 10.241 63 1/25/2010 7.200 9.890 64 2/25/2010 7.196 9.868 65 3/25/2010 7.963 10.902 66 4/25/2010 7.189 9.826 67 5/25/2010 7.425 10.131 68 6/25/2010 7.182 9.783 69 7/25/2010 7.417 10.087 70 8/25/2010 7.174 9.740 71 9/25/2010 7.171 9.718 72 10/25/2010 7.406 10.020 73 11/25/2010 7.163 9.675 74 12/25/2010 7.398 9.975 75 1/25/2011 7.156 9.632 76 2/25/2011 7.152 9.610 77 3/25/2011 7.915 10.616 78 4/25/2011 7.145 9.567 79 5/25/2011 7.379 9.863 80 6/25/2011 7.138 9.523 81 7/25/2011 7.372 9.818 82 8/25/2011 N/A N/A
1. 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 1.7375% and 2.0800%, respectively. 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 start at 1.7375% and 2.0800% in month 1, respectively, both increasing to 20.0000% thereafter. The values indicated include proceeds from the related Cap Contract, although such proceeds are excluded from the calculation of the related Available Funds Cap described herein. 3. Calculated as (a) the Available Funds Cap plus (b) the result of the proceeds from the related Cap Contract divided by the beginning period balance of the related Cap Contract, annualized based on the actual number of days in the accrual period. -------------------------------------------------------------------------------- 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. 48 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 HYPOTHETICAL AVAILABLE FUNDS CAP TABLE FOR THE CLASS A-2 CERTIFICATES
AVAILABLE AVAILABLE PAYMENT FUNDS CAP FUNDS CAP PERIOD DATE (%) (1) (%) (2)(3) ------ ---- ------- ---------- 1 11/25/2004 6.780 6.780 2 12/25/2004 6.328 10.000 3 01/25/2005 6.124 10.000 4 02/25/2005 6.124 10.000 5 03/25/2005 6.781 10.000 6 04/25/2005 6.125 10.000 7 05/25/2005 6.330 10.000 8 06/25/2005 6.127 10.000 9 07/25/2005 6.333 10.000 10 08/25/2005 6.131 10.000 11 09/25/2005 6.132 10.000 12 10/25/2005 6.338 10.000 13 11/25/2005 6.136 10.000 14 12/25/2005 6.342 10.000 15 01/25/2006 6.139 10.000 16 02/25/2006 6.141 10.000 17 03/25/2006 6.800 10.000 18 04/25/2006 6.145 10.000 19 05/25/2006 6.355 10.000 20 06/25/2006 6.669 10.000 21 07/25/2006 7.068 10.000 22 08/25/2006 6.834 10.000 23 09/25/2006 6.828 10.000 24 10/25/2006 7.053 10.000 25 11/25/2006 6.823 10.000 26 12/25/2006 7.047 10.000 27 01/25/2007 6.817 10.000 28 02/25/2007 6.815 10.000 29 03/25/2007 7.542 10.000 30 04/25/2007 6.809 10.000 31 05/25/2007 7.033 10.000 32 06/25/2007 6.886 10.000 33 07/25/2007 7.159 10.000 34 08/25/2007 6.924 10.000 35 09/25/2007 6.920 10.000 36 10/25/2007 7.147 10.000 37 11/25/2007 6.912 10.000 38 12/25/2007 7.139 10.000 39 01/25/2008 6.905 10.000 40 02/25/2008 6.901 10.000 41 03/25/2008 7.373 10.000 42 4/25/2008 6.893 10.000 43 5/25/2008 7.119 10.000 44 6/25/2008 6.886 10.000 45 7/25/2008 7.112 10.000 46 8/25/2008 6.878 10.000 47 9/25/2008 6.875 10.000 48 10/25/2008 7.100 10.000 49 11/25/2008 6.867 10.000 50 12/25/2008 7.092 10.000 51 1/25/2009 6.860 10.000 52 2/25/2009 6.856 10.000 53 3/25/2009 7.587 10.000 54 4/25/2009 6.849 10.000 55 5/25/2009 7.074 10.000 56 6/25/2009 6.843 10.000 57 7/25/2009 7.071 10.000 58 8/25/2009 6.839 10.000 59 9/25/2009 6.836 10.000 60 10/25/2009 7.060 10.000 61 11/25/2009 6.829 10.000 62 12/25/2009 7.053 10.000 63 1/25/2010 6.822 10.000 64 2/25/2010 6.818 10.000 65 3/25/2010 7.545 10.000 66 4/25/2010 6.812 10.000 67 5/25/2010 7.035 10.000 68 6/25/2010 6.805 10.000 69 7/25/2010 7.028 10.000 70 8/25/2010 6.798 10.000 71 9/25/2010 6.795 10.000 72 10/25/2010 7.018 10.000 73 11/25/2010 6.788 10.000 74 12/25/2010 7.011 10.000 75 1/25/2011 6.782 10.000 76 2/25/2011 6.779 10.000 77 3/25/2011 7.501 10.000 78 4/25/2011 6.772 10.000 79 5/25/2011 6.995 10.000 80 6/25/2011 6.766 10.000 81 7/25/2011 6.988 10.000 82 8/25/2011 N/A N/A
1. 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 1.7375% and 2.0800%, respectively. 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 start at 1.7375% and 2.0800% in month 1, respectively, both increasing to 20.0000% thereafter. The values indicated include proceeds from the related Cap Contract, although such proceeds are excluded from the calculation of the related Available Funds Cap described herein. 3. Calculated as (a) the Available Funds Cap plus (b) the result of the proceeds from the related Cap Contract divided by the beginning period balance of the related Cap Contract, annualized based on the actual number of days in the accrual period. -------------------------------------------------------------------------------- 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. 49 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 HYPOTHETICAL AVAILABLE FUNDS CAP TABLE FOR THE SUBORDINATE CERTIFICATES
AVAILABLE AVAILABLE PAYMENT FUNDS CAP FUNDS CAP PERIOD DATE (%) (1) (%) (2)(3) ------ ---- ------- ---------- 1 11/25/2004 6.771 6.771 2 12/25/2004 6.320 9.250 3 01/25/2005 6.116 9.250 4 02/25/2005 6.116 9.250 5 03/25/2005 6.772 9.250 6 04/25/2005 6.117 9.250 7 05/25/2005 6.322 9.250 8 06/25/2005 6.119 9.250 9 07/25/2005 6.324 9.250 10 08/25/2005 6.122 9.250 11 09/25/2005 6.123 9.250 12 10/25/2005 6.329 9.250 13 11/25/2005 6.126 9.250 14 12/25/2005 6.332 9.250 15 01/25/2006 6.129 9.250 16 02/25/2006 6.130 9.250 17 03/25/2006 6.789 9.250 18 04/25/2006 6.134 9.250 19 05/25/2006 6.344 9.250 20 06/25/2006 6.879 9.250 21 07/25/2006 7.257 9.250 22 08/25/2006 7.017 9.250 23 09/25/2006 7.012 9.250 24 10/25/2006 7.243 9.250 25 11/25/2006 7.007 9.250 26 12/25/2006 7.238 9.250 27 01/25/2007 7.002 9.250 28 02/25/2007 7.000 9.250 29 03/25/2007 7.747 9.250 30 04/25/2007 6.995 9.250 31 05/25/2007 7.225 9.250 32 06/25/2007 7.104 9.250 33 07/25/2007 7.364 9.250 34 08/25/2007 7.124 9.250 35 09/25/2007 7.120 9.250 36 10/25/2007 7.354 9.250 37 11/25/2007 7.113 9.250 38 12/25/2007 7.347 9.637 39 01/25/2008 7.106 9.404 40 02/25/2008 7.102 9.385 41 03/25/2008 7.588 10.011 42 4/25/2008 7.095 9.345 43 5/25/2008 7.328 9.637 44 6/25/2008 7.088 9.408 45 7/25/2008 7.320 9.740 46 8/25/2008 7.080 9.406 47 9/25/2008 7.076 9.386 48 10/25/2008 7.309 9.678 49 11/25/2008 7.069 9.346 50 12/25/2008 7.301 9.717 51 1/25/2009 7.062 9.409 52 2/25/2009 7.059 9.388 53 3/25/2009 7.811 10.371 54 4/25/2009 7.052 9.347 55 5/25/2009 7.283 9.637 56 6/25/2009 7.045 9.317 57 7/25/2009 7.278 9.618 58 8/25/2009 7.040 9.287 59 9/25/2009 7.036 9.266 60 10/25/2009 7.267 9.553 61 11/25/2009 7.029 9.225 62 12/25/2009 7.260 9.511 63 1/25/2010 7.022 9.184 64 2/25/2010 7.019 9.163 65 3/25/2010 7.767 10.122 66 4/25/2010 7.012 9.122 67 5/25/2010 7.243 9.405 68 6/25/2010 7.006 9.082 69 7/25/2010 7.236 9.364 70 8/25/2010 6.999 9.042 71 9/25/2010 6.996 9.022 72 10/25/2010 7.226 9.302 73 11/25/2010 6.989 8.982 74 12/25/2010 7.219 9.261 75 1/25/2011 6.983 8.943 76 2/25/2011 6.980 8.923 77 3/25/2011 7.724 9.858 78 4/25/2011 6.974 8.885 79 5/25/2011 7.203 9.161 80 6/25/2011 6.968 8.847 81 7/25/2011 7.197 9.122 82 8/25/2011 N/A N/A
1. 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 1.7375% and 2.0800%, respectively. 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 start at 1.7375% and 2.0800% in month 1, respectively, both increasing to 20.0000% thereafter. The values indicated include proceeds from the related Cap Contract, although such proceeds are excluded from the calculation of the related Available Funds Cap described herein. 3. Calculated as (a) the Available Funds Cap plus (b) the result of the proceeds from the related Cap Contract divided by the beginning period balance of the related Cap Contract, annualized based on the actual number of days in the accrual period. -------------------------------------------------------------------------------- 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. 50 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 DISCOUNT MARGIN TABLE (TO CALL)
0% 80% 100% 150% 200% PRICING SPEED PRICING SPEED PRICING SPEED PRICING SPEED PRICING SPEED TO CALL TO CALL TO CALL TO CALL TO CALL ------- ------- ------- ------- ------- DISC MARGIN DISC MARGIN DISC MARGIN DISC MARGIN DISC MARGIN ----------- ----------- ----------- ----------- ----------- A-1B 100.0000% 40 40 40 40 40 WAL 18.06 2.70 2.09 1.17 0.88 PRINCIPAL WINDOW Nov04 - Feb33 Nov04 - May13 Nov04 - Jul11 Nov04 - Aug07 Nov04 - Aug06 A-2A 100.0000% 15 15 15 15 15 WAL 11.81 1.20 1.00 0.71 0.55 PRINCIPAL WINDOW Nov04 - Oct24 Nov04 - Apr07 Nov04 - Sep06 Nov04 - Mar06 Nov04 - Nov05 A-2B 100.0000% 35 35 35 35 35 WAL 23.26 4.04 3.00 1.75 1.35 PRINCIPAL WINDOW Oct24 - May31 Apr07 - Apr11 Sep06 - Dec09 Mar06 - Jan07 Nov05 - May06 A-2C 100.0000% 50 50 50 50 50 WAL 27.81 8.14 6.43 2.63 1.76 PRINCIPAL WINDOW May31 - Feb33 Apr11 - May13 Dec09 - Jul11 Jan07 - Oct07 May06 - Sep06 M-1 100.0000% 60 60 60 60 60 WAL 25.81 5.58 4.72 4.07 2.14 PRINCIPAL WINDOW Mar26 - Feb33 Dec07 - May13 Apr08 - Jul11 Oct07 - Dec08 Sep06 - Mar07 M-2 100.0000% 115 115 115 115 115 WAL 25.81 5.56 4.60 4.07 2.67 PRINCIPAL WINDOW Mar26 - Feb33 Dec07 - May13 Jan08 - Jul11 Jul08 - Dec08 Mar07 - Jul07 M-3 100.0000% 135 135 135 135 135 WAL 25.81 5.55 4.56 3.77 2.74 PRINCIPAL WINDOW Mar26 - Feb33 Nov07 - May13 Jan08 - Jul11 May08 - Dec08 Jul07 - Jul07 B-1 100.0000% 185 185 185 185 185 WAL 25.81 5.55 4.54 3.63 2.74 PRINCIPAL WINDOW Mar26 - Feb33 Nov07 - May13 Dec07 - Jul11 Feb08 - Dec08 Jul07 - Jul07 B-2 100.0000% 350 350 350 350 350 WAL 25.81 5.55 4.53 3.52 2.74 PRINCIPAL WINDOW Mar26 - Feb33 Nov07 - May13 Nov07 - Jul11 Jan08 - Dec08 Jul07 - Jul07
-------------------------------------------------------------------------------- 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. 51 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 DISCOUNT MARGIN TABLE (TO MATURITY)
0% 80% 100% 150% 200% PRICING SPEED PRICING SPEED PRICING SPEED PRICING SPEED PRICING SPEED TO MATURITY TO MATURITY TO MATURITY TO MATURITY TO MATURITY ----------- ----------- ----------- ----------- ----------- DISC MARGIN DISC MARGIN DISC MARGIN DISC MARGIN DISC MARGIN ----------- ----------- ----------- ----------- ----------- A-1B 100.0000% 40 42 42 40 40 WAL 18.12 2.87 2.22 1.17 0.88 PRINCIPAL WINDOW Nov04 - May34 Nov04 - Oct21 Nov04 - Jun18 Nov04 - Aug07 Nov04 - Aug06 A-2A 100.0000% 15 15 15 15 15 WAL 11.81 1.20 1.00 0.71 0.55 PRINCIPAL WINDOW Nov04 - Oct24 Nov04 - Apr07 Nov04 - Sep06 Nov04 - Mar06 Nov04 - Nov05 A-2B 100.0000% 35 35 35 35 35 WAL 23.26 4.04 3.00 1.75 1.35 PRINCIPAL WINDOW Oct24 - May31 Apr07 - Apr11 Sep06 - Dec09 Mar06 - Jan07 Nov05 - May06 A-2C 100.0000% 50 60 61 50 50 WAL 28.03 10.63 8.66 2.63 1.76 PRINCIPAL WINDOW May31 - Mar34 Apr11 - Aug24 Dec09 - Feb21 Jan07 - Oct07 May06 - Sep06 M-1 100.0000% 60 63 63 70 60 WAL 25.94 6.21 5.26 6.39 2.14 PRINCIPAL WINDOW Mar26 - Apr34 Dec07 - Oct20 Apr08 - Feb18 Oct07 - Nov15 Sep06 - Mar07 M-2 100.0000% 115 119 120 120 126 WAL 25.94 6.14 5.08 4.48 3.37 PRINCIPAL WINDOW Mar26 - Mar34 Dec07 - May19 Jan08 - Sep16 Jul08 - May12 Mar07 - Sep12 M-3 100.0000% 135 139 140 139 167 WAL 25.93 6.04 4.96 4.03 5.48 PRINCIPAL WINDOW Mar26 - Jan34 Nov07 - Aug17 Jan08 - Jan15 May08 - Apr11 Sep09 - Jan11 B-1 100.0000% 185 190 190 189 218 WAL 25.92 5.93 4.85 3.83 4.38 PRINCIPAL WINDOW Mar26 - Nov33 Nov07 - Oct16 Dec07 - May14 Feb08 - Oct10 Sep08 - Sep09 B-2 100.0000% 350 355 355 355 394 WAL 25.88 5.77 4.72 3.64 3.78 PRINCIPAL WINDOW Mar26 - Aug33 Nov07 - Mar15 Nov07 - Jan13 Jan08 - Dec09 Jun08 - Sep08
-------------------------------------------------------------------------------- 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. 52 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 TO MATURITY PERCENTAGE OF CLASS A-1B CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
0% PRICING 80% PRICING 100% PRICING 150% PRICING 200% PRICING DATE SPEED SPEED SPEED SPEED SPEED ------------------ ---------- ----------- ------------ ------------ ------------ Initial Percentage 100 100 100 100 100 25-Oct-05 96 73 68 53 38 25-Oct-06 95 46 35 12 0 25-Oct-07 94 28 17 0 0 25-Oct-08 93 23 16 0 0 25-Oct-09 91 17 11 0 0 25-Oct-10 90 13 8 0 0 25-Oct-11 88 9 5 0 0 25-Oct-12 86 7 3 0 0 25-Oct-13 84 5 2 0 0 25-Oct-14 82 4 1 0 0 25-Oct-15 80 3 1 0 0 25-Oct-16 77 2 * 0 0 25-Oct-17 74 1 * 0 0 25-Oct-18 71 1 0 0 0 25-Oct-19 66 1 0 0 0 25-Oct-20 62 * 0 0 0 25-Oct-21 59 0 0 0 0 25-Oct-22 55 0 0 0 0 25-Oct-23 51 0 0 0 0 25-Oct-24 46 0 0 0 0 25-Oct-25 41 0 0 0 0 25-Oct-26 37 0 0 0 0 25-Oct-27 34 0 0 0 0 25-Oct-28 30 0 0 0 0 25-Oct-29 26 0 0 0 0 25-Oct-30 21 0 0 0 0 25-Oct-31 16 0 0 0 0 25-Oct-32 11 0 0 0 0 25-Oct-33 5 0 0 0 0 25-Oct-34 0 0 0 0 0 Average Life (years) 18.12 2.87 2.22 1.17 0.88 First Principal Payment Date Nov04 Nov04 Nov04 Nov04 Nov04 Last Principal Payment Date May34 Oct21 Jun18 Aug07 Aug06
* = 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. 53 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 TO MATURITY PERCENTAGE OF CLASS A-2A 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-Oct-05 93 56 47 24 1 25-Oct-06 91 13 0 0 0 25-Oct-07 89 0 0 0 0 25-Oct-08 86 0 0 0 0 25-Oct-09 84 0 0 0 0 25-Oct-10 81 0 0 0 0 25-Oct-11 77 0 0 0 0 25-Oct-12 74 0 0 0 0 25-Oct-13 70 0 0 0 0 25-Oct-14 66 0 0 0 0 25-Oct-15 62 0 0 0 0 25-Oct-16 57 0 0 0 0 25-Oct-17 52 0 0 0 0 25-Oct-18 46 0 0 0 0 25-Oct-19 33 0 0 0 0 25-Oct-20 27 0 0 0 0 25-Oct-21 21 0 0 0 0 25-Oct-22 14 0 0 0 0 25-Oct-23 7 0 0 0 0 25-Oct-24 0 0 0 0 0 Average Life (years) 11.81 1.20 1.00 0.71 0.55 First Principal Payment Date Nov04 Nov04 Nov04 Nov04 Nov04 Last Principal Payment Date Oct24 Apr07 Sep06 Mar06 Nov05
* = 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. 54 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 TO MATURITY PERCENTAGE OF CLASS A-2B 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-Oct-05 100 100 100 100 100 25-Oct-06 100 100 93 13 0 25-Oct-07 100 67 27 0 0 25-Oct-08 100 47 23 0 0 25-Oct-09 100 24 2 0 0 25-Oct-10 100 7 0 0 0 25-Oct-11 100 0 0 0 0 25-Oct-12 100 0 0 0 0 25-Oct-13 100 0 0 0 0 25-Oct-14 100 0 0 0 0 25-Oct-15 100 0 0 0 0 25-Oct-16 100 0 0 0 0 25-Oct-17 100 0 0 0 0 25-Oct-18 100 0 0 0 0 25-Oct-19 100 0 0 0 0 25-Oct-20 100 0 0 0 0 25-Oct-21 100 0 0 0 0 25-Oct-22 100 0 0 0 0 25-Oct-23 100 0 0 0 0 25-Oct-24 99 0 0 0 0 25-Oct-25 81 0 0 0 0 25-Oct-26 67 0 0 0 0 25-Oct-27 54 0 0 0 0 25-Oct-28 40 0 0 0 0 25-Oct-29 25 0 0 0 0 25-Oct-30 9 0 0 0 0 25-Oct-31 0 0 0 0 0 Average Life (years) 23.26 4.04 3.00 1.75 1.35 First Principal Payment Date Oct24 Apr07 Sep06 Mar06 Nov05 Last Principal Payment Date May31 Apr11 Dec09 Jan07 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. 55 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 TO MATURITY PERCENTAGE OF CLASS A-2C 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-Oct-05 100 100 100 100 100 25-Oct-06 100 100 100 100 0 25-Oct-07 100 100 100 0 0 25-Oct-08 100 100 100 0 0 25-Oct-09 100 100 100 0 0 25-Oct-10 100 100 78 0 0 25-Oct-11 100 88 59 0 0 25-Oct-12 100 70 45 0 0 25-Oct-13 100 55 35 0 0 25-Oct-14 100 44 28 0 0 25-Oct-15 100 36 22 0 0 25-Oct-16 100 29 18 0 0 25-Oct-17 100 24 15 0 0 25-Oct-18 100 19 10 0 0 25-Oct-19 100 15 4 0 0 25-Oct-20 100 12 1 0 0 25-Oct-21 100 9 0 0 0 25-Oct-22 100 5 0 0 0 25-Oct-23 100 2 0 0 0 25-Oct-24 100 0 0 0 0 25-Oct-25 100 0 0 0 0 25-Oct-26 100 0 0 0 0 25-Oct-27 100 0 0 0 0 25-Oct-28 100 0 0 0 0 25-Oct-29 100 0 0 0 0 25-Oct-30 100 0 0 0 0 25-Oct-31 84 0 0 0 0 25-Oct-32 51 0 0 0 0 25-Oct-33 15 0 0 0 0 25-Oct-34 0 0 0 0 0 Average Life (years) 28.03 10.63 8.66 2.63 1.76 First Principal Payment Date May31 Apr11 Dec09 Jan07 May06 Last Principal Payment Date Mar34 Aug24 Feb21 Oct07 Sep06
-------------------------------------------------------------------------------- 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. 56 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 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-Oct-05 100 100 100 100 100 25-Oct-06 100 100 100 100 68 25-Oct-07 100 100 100 93 0 25-Oct-08 100 67 49 93 0 25-Oct-09 100 51 35 79 0 25-Oct-10 100 39 25 50 0 25-Oct-11 100 30 18 32 0 25-Oct-12 100 23 13 20 0 25-Oct-13 100 18 10 10 0 25-Oct-14 100 14 7 4 0 25-Oct-15 100 11 5 * 0 25-Oct-16 100 8 4 0 0 25-Oct-17 100 6 1 0 0 25-Oct-18 100 5 0 0 0 25-Oct-19 100 2 0 0 0 25-Oct-20 100 0 0 0 0 25-Oct-21 100 0 0 0 0 25-Oct-22 100 0 0 0 0 25-Oct-23 100 0 0 0 0 25-Oct-24 100 0 0 0 0 25-Oct-25 100 0 0 0 0 25-Oct-26 94 0 0 0 0 25-Oct-27 85 0 0 0 0 25-Oct-28 75 0 0 0 0 25-Oct-29 64 0 0 0 0 25-Oct-30 52 0 0 0 0 25-Oct-31 39 0 0 0 0 25-Oct-32 25 0 0 0 0 25-Oct-33 10 0 0 0 0 25-Oct-34 0 0 0 0 0 Average Life (years) 25.94 6.21 5.26 6.39 2.14 First Principal Payment Date Mar26 Dec07 Apr08 Oct07 Sep06 Last Principal Payment Date Apr34 Oct20 Feb18 Nov15 Mar07
* = 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. 57 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 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-Oct-05 100 100 100 100 100 25-Oct-06 100 100 100 100 100 25-Oct-07 100 100 100 100 16 25-Oct-08 100 67 49 69 16 25-Oct-09 100 51 35 13 16 25-Oct-10 100 39 25 8 16 25-Oct-11 100 30 18 3 6 25-Oct-12 100 23 13 0 0 25-Oct-13 100 18 10 0 0 25-Oct-14 100 14 7 0 0 25-Oct-15 100 11 3 0 0 25-Oct-16 100 8 0 0 0 25-Oct-17 100 6 0 0 0 25-Oct-18 100 2 0 0 0 25-Oct-19 100 0 0 0 0 25-Oct-20 100 0 0 0 0 25-Oct-21 100 0 0 0 0 25-Oct-22 100 0 0 0 0 25-Oct-23 100 0 0 0 0 25-Oct-24 100 0 0 0 0 25-Oct-25 100 0 0 0 0 25-Oct-26 94 0 0 0 0 25-Oct-27 85 0 0 0 0 25-Oct-28 75 0 0 0 0 25-Oct-29 64 0 0 0 0 25-Oct-30 52 0 0 0 0 25-Oct-31 39 0 0 0 0 25-Oct-32 25 0 0 0 0 25-Oct-33 10 0 0 0 0 25-Oct-34 0 0 0 0 0 Average Life (years) 25.94 6.14 5.08 4.48 3.37 First Principal Payment Date Mar26 Dec07 Jan08 Jul08 Mar07 Last Principal Payment Date Mar34 May19 Sep16 May12 Sep12
-------------------------------------------------------------------------------- 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. 58 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 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-Oct-05 100 100 100 100 100 25-Oct-06 100 100 100 100 100 25-Oct-07 100 100 100 100 100 25-Oct-08 100 67 49 21 100 25-Oct-09 100 51 35 13 87 25-Oct-10 100 39 25 8 10 25-Oct-11 100 30 18 0 0 25-Oct-12 100 23 13 0 0 25-Oct-13 100 18 10 0 0 25-Oct-14 100 14 2 0 0 25-Oct-15 100 11 0 0 0 25-Oct-16 100 8 0 0 0 25-Oct-17 100 0 0 0 0 25-Oct-18 100 0 0 0 0 25-Oct-19 100 0 0 0 0 25-Oct-20 100 0 0 0 0 25-Oct-21 100 0 0 0 0 25-Oct-22 100 0 0 0 0 25-Oct-23 100 0 0 0 0 25-Oct-24 100 0 0 0 0 25-Oct-25 100 0 0 0 0 25-Oct-26 94 0 0 0 0 25-Oct-27 85 0 0 0 0 25-Oct-28 75 0 0 0 0 25-Oct-29 64 0 0 0 0 25-Oct-30 52 0 0 0 0 25-Oct-31 39 0 0 0 0 25-Oct-32 25 0 0 0 0 25-Oct-33 10 0 0 0 0 25-Oct-34 0 0 0 0 0 Average Life (years) 25.93 6.04 4.96 4.03 5.48 First Principal Payment Date Mar26 Nov07 Jan08 May08 Sep09 Last Principal Payment Date Jan34 Aug17 Jan15 Apr11 Jan11
-------------------------------------------------------------------------------- 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. 59 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 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-Oct-05 100 100 100 100 100 25-Oct-06 100 100 100 100 100 25-Oct-07 100 100 100 100 100 25-Oct-08 100 67 49 21 88 25-Oct-09 100 51 35 13 0 25-Oct-10 100 39 25 0 0 25-Oct-11 100 30 18 0 0 25-Oct-12 100 23 13 0 0 25-Oct-13 100 18 4 0 0 25-Oct-14 100 14 0 0 0 25-Oct-15 100 7 0 0 0 25-Oct-16 100 0 0 0 0 25-Oct-17 100 0 0 0 0 25-Oct-18 100 0 0 0 0 25-Oct-19 100 0 0 0 0 25-Oct-20 100 0 0 0 0 25-Oct-21 100 0 0 0 0 25-Oct-22 100 0 0 0 0 25-Oct-23 100 0 0 0 0 25-Oct-24 100 0 0 0 0 25-Oct-25 100 0 0 0 0 25-Oct-26 94 0 0 0 0 25-Oct-27 85 0 0 0 0 25-Oct-28 75 0 0 0 0 25-Oct-29 64 0 0 0 0 25-Oct-30 52 0 0 0 0 25-Oct-31 39 0 0 0 0 25-Oct-32 25 0 0 0 0 25-Oct-33 4 0 0 0 0 25-Oct-34 0 0 0 0 0 Average Life (years) 25.92 5.93 4.85 3.83 4.38 First Principal Payment Date Mar26 Nov07 Dec07 Feb08 Sep08 Last Principal Payment Date Nov33 Oct16 May14 Oct10 Sep09
-------------------------------------------------------------------------------- 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. 60 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 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-Oct-05 100 100 100 100 100 25-Oct-06 100 100 100 100 100 25-Oct-07 100 100 100 100 100 25-Oct-08 100 67 49 21 0 25-Oct-09 100 51 35 3 0 25-Oct-10 100 39 25 0 0 25-Oct-11 100 30 18 0 0 25-Oct-12 100 23 4 0 0 25-Oct-13 100 18 0 0 0 25-Oct-14 100 5 0 0 0 25-Oct-15 100 0 0 0 0 25-Oct-16 100 0 0 0 0 25-Oct-17 100 0 0 0 0 25-Oct-18 100 0 0 0 0 25-Oct-19 100 0 0 0 0 25-Oct-20 100 0 0 0 0 25-Oct-21 100 0 0 0 0 25-Oct-22 100 0 0 0 0 25-Oct-23 100 0 0 0 0 25-Oct-24 100 0 0 0 0 25-Oct-25 100 0 0 0 0 25-Oct-26 94 0 0 0 0 25-Oct-27 85 0 0 0 0 25-Oct-28 75 0 0 0 0 25-Oct-29 64 0 0 0 0 25-Oct-30 52 0 0 0 0 25-Oct-31 39 0 0 0 0 25-Oct-32 25 0 0 0 0 25-Oct-33 0 0 0 0 0 Average Life (years) 25.88 5.77 4.72 3.64 3.78 First Principal Payment Date Mar26 Nov07 Nov07 Jan08 Jun08 Last Principal Payment Date Aug33 Mar15 Jan13 Dec09 Sep08
-------------------------------------------------------------------------------- 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. 61 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 BREAKEVEN CDR TABLE The tables below display the Constant Default Rate ("CDR"), and the related cumulative collateral loss, before the referenced Class first incurs a principal writedown. Calculations are run to maturity at both static LIBOR (1ML=1.7375%, 6ML=2.0800%) 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):
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 25.546% 19.211% 15.388% 22.156% 16.416% 13.024% Cum Loss 16.71% 17.81% 18.59% 15.26% 15.96% 16.44% ------ ------ ------ ------ ------ ------ CLASS M-2 CDR Break 17.739% 13.698% 11.152% 14.307% 10.897% 8.792% Cum Loss 13.10% 13.96% 14.56% 11.23% 11.71% 12.04% ------ ------ ------ ------ ------ ------ CLASS M-3 CDR Break 15.780% 12.268% 10.030% 12.345% 9.466% 7.672% Cum Loss 12.05% 12.83% 13.38% 10.04% 10.47% 10.75% ------ ------ ------ ------ ------ ------ CLASS B-1 CDR Break 13.013% 10.201% 8.387% 9.623% 7.446% 6.072% Cum Loss 10.44% 11.10% 11.56% 8.25% 8.58% 8.80% ------ ------ ------ ------ ------ ------ CLASS B-2 CDR Break 11.525% 9.080% 7.495% 8.418% 6.568% 5.384% Cum Loss 9.51% 10.10% 10.53% 7.39% 7.71% 7.92%
[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. 62 [MERRILL LYNCH LOGO] COMPUTATIONAL MATERIALS FOR SURF 2004-BC3 EXCESS SPREAD The table below displays excess spread in bps. Calculations are run to maturity at both static LIBOR (1ML=1.7375%, 6ML=2.0800%) 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 419 352 Avg yr2 457 314 Avg yr3 517 389 Avg yr4 514 369 Avg yr5 513 336
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) ------ --------- ------- ------- --------- ------ --------- ------- ------- --------- 1 457 1.7375% 2.0800% 457 42 502 4.6735% 4.8106% 352 2 414 1.8869% 2.2319% 399 43 527 4.7000% 4.8478% 378 3 395 2.0731% 2.3399% 362 44 502 4.7367% 4.8842% 355 4 397 2.1653% 2.4440% 354 45 527 4.7830% 4.9231% 382 5 465 2.2834% 2.5484% 410 46 502 4.8141% 4.9586% 348 6 401 2.4074% 2.6403% 333 47 502 4.8547% 4.9953% 342 7 424 2.4822% 2.7270% 348 48 526 4.8995% 5.0341% 366 8 405 2.5832% 2.8220% 319 49 501 4.9229% 5.0646% 332 9 428 2.6862% 2.9022% 331 50 525 4.9598% 5.0997% 366 10 407 2.7529% 2.9845% 305 51 500 5.0006% 5.1356% 332 11 407 2.8438% 3.0766% 296 52 499 5.0288% 5.1673% 328 12 428 2.9357% 3.1585% 308 53 578 5.0648% 5.2000% 419 13 407 3.0125% 3.2396% 280 54 498 5.1010% 5.2338% 317 14 428 3.0976% 3.3253% 292 55 522 5.1260% 5.2648% 343 15 407 3.1760% 3.3997% 264 56 497 5.1593% 5.2963% 316 16 407 3.2628% 3.4780% 255 57 521 5.1964% 5.3312% 343 17 475 3.3505% 3.5509% 314 58 496 5.2208% 5.3588% 308 18 407 3.4338% 3.6174% 239 59 495 5.2540% 5.3920% 303 19 428 3.4832% 3.6829% 255 60 520 5.2890% 5.4225% 327 20 484 3.5571% 3.7454% 360 61 494 5.3130% 5.4494% 293 21 523 3.6347% 3.8031% 403 62 518 5.3438% 5.4788% 326 22 498 3.6848% 3.8629% 370 63 493 5.3758% 5.5074% 292 23 497 3.7418% 3.9195% 362 64 493 5.4057% 5.5345% 287 24 521 3.8169% 3.9752% 381 65 571 5.4364% 5.5638% 378 25 497 3.8576% 4.0322% 350 66 492 5.4628% 5.5880% 278 26 521 3.9140% 4.0835% 404 67 516 5.4822% 5.6144% 304 27 496 3.9780% 4.1346% 377 68 491 5.5081% 5.6431% 276 28 496 4.0236% 4.1897% 372 69 515 5.5374% 5.6683% 302 29 576 4.0754% 4.2363% 457 70 490 5.5608% 5.6929% 268 30 496 4.1360% 4.2858% 360 71 490 5.5878% 5.7202% 264 31 521 4.1730% 4.3336% 384 72 514 5.6154% 5.7454% 288 32 508 4.2176% 4.3790% 387 73 489 5.6403% 5.7683% 255 33 536 4.2794% 4.4255% 417 74 513 5.6658% 5.7956% 285 34 511 4.3161% 4.4732% 383 75 488 5.6884% 5.8167% 253 35 511 4.3592% 4.5153% 378 76 488 5.7146% 5.8405% 249 36 536 4.4166% 4.5626% 401 77 566 5.7395% 5.8642% 339 37 510 4.4494% 4.6040% 367 78 487 5.7606% 5.8851% 241 38 519 4.4912% 4.6456% 391 79 511 5.7820% 5.9074% 266 39 498 4.5439% 4.6872% 364 80 486 5.8032% 5.9301% 238 40 500 4.5802% 4.7297% 361 81 510 5.8247% 5.9506% 263 41 552 4.6250% 4.7682% 418
-------------------------------------------------------------------------------- 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. 63