<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
----------
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported): September 22, 1999
CONSECO FINANCE SECURITIZATIONS CORP.
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(Exact name of registrant as specified in its charter)
Delaware 333-85119-01 41-1807858
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(State or other jurisdiction (Commission (IRS employer
of incorporation) file number) identification No.)
1100 Landmark Towers, 345 St. Peter Street, Saint Paul, Minnesota 55102-1639
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(Address of principal executive offices)
Registrant's telephone number, including area code: (651) 293-3400
Not Applicable
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(Former name or former address, if changed since last report)
<PAGE>
Item 1. Changes in Control of Registrant.
Not applicable.
Item 2. Acquisition or Disposition of Assets.
Not applicable.
Item 3. Bankruptcy or Receivership.
Not applicable.
Item 4. Changes in Registrant's Certifying Accountant.
Not applicable.
Item 5. Other Events.
Not applicable.
Item 6. Resignations of Registrant's Directors.
Not applicable.
Item 7. Financial Statements and Exhibits.
(a) Financial statements of businesses acquired.
Not applicable.
(b) Pro forma financial information.
Not applicable.
(c) Exhibits.
The following is filed herewith. The exhibit numbers correspond
with Item 601(b) of Regulation S-K.
2
<PAGE>
Exhibit No. Description
----------- -----------
99.1 Terms Sheet of Merrill Lynch & Co., dated
September 22, 1999, distributed in connection
with $750,000,000 (approximate) Certificates for
Home Equity Loans, Series 1999-F, issued by
Green Tree Home Equity Loan Trust 1999-F,
formed by Conseco Finance Securitizations Corp.
99.2 Corrected page 3 to Terms Sheet of Merrill
Lynch & Co.
3
<PAGE>
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this Report to be signed on its behalf by the
undersigned hereunto duly authorized.
GREEN TREE FINANCIAL CORPORATION
By: /s/ Phyllis A. Knight
------------------------------------
Phyllis A. Knight
Senior Vice President and Treasurer
4
<PAGE>
INDEX TO EXHIBITS
Exhibit Number Page
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99.1 Terms Sheet of Merrill Lynch & Co. dated
September 22, 1999 distributed in connection with
$750,000,000 (approximate) Certificates for Home
Equity Loans, Series 1999-F, issued by Green Tree
Home Equity Loan Trust 1999-F, formed by Conseco
Finance Securitizations Corp.
99.2 Corrected page 3 to Terms Sheet of Merrill
Lynch & Co.
5
<PAGE>
EXHIBIT 99.1
Computational Materials
$750,000,000 (approx.)
[GRAPHIC OMITTED]
Servicer
Conseco Finance Securitizations Corp.
Seller
Certificates for Home Equity Loans Series 1999-F
September 22, 1999
[MERRILL LYNCH LOGO] 1
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
The attached tables and other statistical analyses (the "Computational
Materials") are privileged and confidential and are intended for use by the
addressee only. These 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.
Neither Merrill Lynch, the issuer of the securities nor any of its 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. They may not be provided 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 shortfalls. 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 an 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 computational materials 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 mortgage-backed and/or 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 risks. 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.
[MERRILL LYNCH LOGO] 2
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
TERM SHEET DATED September 22, 1999
Conseco Finance Securitizations Corp.
Certificates for Home Equity Loans, Series 1999-F
$750,000,000 (Approximate)
Subject to Revision
SELLER: Conseco Finance Securitizations Corp.
SERVICER: Green Tree Financial Corporation ("Green Tree")
TRUSTEE: U.S. Bank Trust National Association
LEAD UNDERWRITERS: Chase Securities (Co-Lead), Merrill Lynch (Co-Lead)
CO-UNDERWRITERS: Credit Suisse First Boston (Co), First Union Capital
Markets (Co), Lehman Brothers (Co)
OFFERED CERTIFICATES:
<TABLE>
<CAPTION>
Ratings WAL at Exp Final
Amount (S&P/Fitch) Prepayment Model(1) Maturity
------ ----------- ------------------- --------
<S> <C> <C> <C> <C>
To Call*:
A-1A ARM $175,000,000 AAA / AAA 2.29 03/05
(Conforming Balance (Conforming Balance
Loans) Loans)
A-1B ARM 75,000,000 AAA / AAA 2.29 03/05
A-1 88,000,000 AAA / AAA 0.75 12/00
A-2 124,500,000 AAA / AAA 2.00 08/02
A-3 39,368,000 AAA / AAA 3.43 10/03
A-3A 95,881,580 AAA / AAA 3.19 03/05
A-4 IO (2) 75,000,000 AAA / AAA 1.63 05/01
M-1 42,375,000 AA / AA 5.46 03/05
M-2 43,875,000 A / A 5.46 03/05
B-1 26,250,000 BBB / BBB 3.77 07/04
B-2 28,500,420 BBB-/BBB+ 5.42 03/05
To Maturity
A-3A 95,881,580 AAA / AAA 3.27 10/05
M-1 42,375,000 AA / AA 6.96 12/07
M-2 43,875,000 A / A 9.05 05/10
B-1 26,250,000 BBB / BBB 7.01 05/08
</TABLE>
OTHER CERTIFICATES: The Class B-2 Certificates are not offered hereby.
They will be retained by the Seller or an affiliate
thereof.
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(1) The Certificates (other than the Class A-1A ARM Certificates, the Class
A-1B ARM Certificates and the Class A-3A Certificates) will be priced, with
respect to the Group I Fixed Rate Home Equity Loans, using 125% of the Base
Prepayment Assumption. The Class A-3A Certificates will be priced, with
respect to the Group II Fixed Rate Home Equity Loans, using 100% of the
Base Prepayment Assumption. The Base Prepayment Assumption assumes a
conditional prepayment rate of 4% per annum of the then outstanding
principal balance of the Fixed Rate Home Equity Loans in the first month of
the life of the Fixed Rate Home Equity Loans and an additional 1.45%
(precisely, 16/11%) per annum in each month thereafter until the twelfth
month. Beginning in the twelfth month and in each month thereafter, the
assumed conditional prepayment rate is 20%. The Class A-1A ARM Certificates
and Class A-1B ARM Certificates will be priced, with respect to the
Adjustable Rate Home Equity Loans, using a constant prepayment rate of 30%
CPR.
(2) Interest will be based on a notional principal amount which will equal
$75,000,000 (or the Class A Principal Balance for such Payment Date, if
less) for the first 20 Payment Dates, and will thereafter equal zero. The
Class A-4 IO Certificates are interest-only Certificates and are not
entitled to receive distributions of principal.
* Call at 20%, as further described herein.
[MERRILL LYNCH LOGO] 3
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CUT-OFF DATE: August 31, 1999 (or the date of origination, if
later), in each case for loans other than Subsequent
Loans. For each Subsequent Loan, the date of
purchase by the Trust.
PAYMENT DATE: The 15th day of each month (or if such 15th day is
not a business day, the next succeeding business
day) commencing on October 15, 1999.
EXP. PRICING: Week of September 20, 1999.
EXP. SETTLEMENT/
CLOSING DATE: September 30, 1999.
ERISA: The Class A-3A Certificate is not ERISA eligible.
The Class A-1A ARM, A-1B ARM, A-1, A-2, A-3 and A-4
IO Certificates are ERISA eligible.
TAX STATUS: The Trust will be treated as a "real estate mortgage
investment conduit" (a "REMIC") for federal income
tax purposes.
OPTIONAL REDEMPTION: 20% cleanup call or auction sale subject to certain
requirements, if call is not exercised.
COLLATERAL: The pool includes adjustable-rate closed-end home
equity loans subject to interest rate adjustments
after an initial period of up to 36 months (the
"Adjustable Rate Home Equity Loans") and fixed-rate
closed-end home equity loans (the "Fixed Rate Home
Equity Loans" and together with the Adjustable Rate
Home Equity Loans, the "Home Equity Loans").
For purposes of determining the amount of principal
due to the Class A-1A ARM and Class A-1B ARM
Certificates, the adjustable-rate loans will be
divided into two groups, Group I ARM and Group II
ARM, and for purposes of determining the amount of
interest and principal due to the Class A-1, A-2 and
A-3 Certificates, on the one hand, and the Class
A-3A Certificates, on the other hand, the fixed-rate
loans will be divided into two groups, Group I Fixed
and Group II Fixed. These four groups of loans are
collectively referred to as the "Groups."
ADDITIONAL COLLATERAL: The data set forth below with respect to the pool is
based solely on the loans identified for inclusion
in the pool as of the Cut-off Date ("Original Home
Equity Loans"). Certain additional loans will be
identified for inclusion in the pool prior to the
Closing Date ("Additional Home Equity Loans").
During a limited period following the Closing Date,
the Trust will purchase subsequent loans
("Subsequent Home Equity Loans"). It is expected
that the Additional Home Equity Loans and Subsequent
Home Equity Loans will have characteristics which
are substantially similar to the original loans.
[MERRILL LYNCH LOGO] 4
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
HOME EQUITY CERTIFICATE STRUCTURE
CREDIT ENHANCEMENT: Class A: 20.30% subordination (Class M-1, M-2,
B-1, B-2 and overcollateralization) &
Residual (Class C)
Class M-1: 14.65% subordination (Class M-2, B-1,
B-2 and overcollateralization) &
Residual (Class C)
Class M-2: 8.80% subordination (Class B-1, B-2
and overcollateralization) & Residual
(Class C)
Class B-1: 5.30% subordination (Class B-2 and
overcollateralization) & Residual
(Class C)
Class B-2: Overcollateralization and Limited
Guaranty & Residual (Class C)
There will be initial overcollateralization of
approximately 1.5% of the sum of (i) the aggregate
Cut-Off Date principal balance of the Home Equity
Loans included in the Trust as of the Closing Date
and (ii) the amount on deposit in the Pre-Funding
Account on the Closing Date.
DISTRIBUTIONS: The Amount Available will generally consist of
payments made on or in respect of the Home Equity
Loans, and will include amounts otherwise payable to
the Servicer (as long as Green Tree is the Servicer)
as the Monthly Servicing Fee, amounts otherwise
payable to Green Tree as the Guaranty Fee, and
amounts otherwise payable to the Class C
Certificateholder.
Class A Certificates are senior to the Class M and
Class B Certificates. Class M Certificates are
senior to the Class B Certificates.
PRE-FUNDING FEATURE: On the Closing Date, a portion of the proceeds from
the sale of the Certificates (the "Pre-Funded
Amount") will be deposited with the Trustee in a
segregated account (the "Pre-Funding Account") and
used by the Trust to purchase Subsequent Home Equity
Loans during a period (not longer than 90 days)
following the Closing Date (the "Pre-Funding
Period"). The Pre-Funded Amount will be reduced
during the Pre-Funding Period by the amounts thereof
used to fund such purchases. Any amounts remaining
in the Pre-Funding Account following the Pre-Funding
Period will be paid (i) to the Class A-1
Certificates in the case of amounts remaining which
had been allocated to fund the purchase of
Subsequent Home Equity Loans which are Group I Fixed
Rate Home Equity Loans, and (ii) to the Class A-1A
ARM and Class A-1B ARM Certificates in the case of
amounts remaining which had been allocated to fund
the purchase of Subsequent Home Equity Loans which
are Adjustable Rate Home Equity Loans.
LOSSES ON LIQUIDATED
HOME EQUITY LOANS: If net liquidation proceeds from liquidated loans in
the respective collection period are less than the
scheduled principal balance of such liquidated loans
plus accrued and unpaid interest thereon, the
deficiency (a "Liquidation Loss Principal Amount")
will be absorbed by the Class C Certificateholder,
then the Guaranty Fee otherwise payable to Green
Tree, then the Monthly Servicing Fee otherwise
payable to the Servicer (as long as Green Tree is
the Servicer), then the Class B-2
Certificateholders, then the Class B-1
Certificateholders, then the Class M-2
Certificateholders and then the Class M-1
Certificateholders.
[MERRILL LYNCH LOGO] 5
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
INTEREST
(Class A, M-1, M-2, B-1): Interest will be distributable first to each Class
of Class A Certificates ratably, then to the Class
M-1 Certificates, then to the Class M-2
Certificates, and then to the Class B-1 Certificates
in each case to the extent of the Amount Available.
Interest will be paid ratably (based upon principal
and interest collected in the applicable month for
the respective Group) on each Class of Class A
Certificates at the related Pass-Through Rate on the
then outstanding related Class A Principal Balance
(in the case of Class A Certificates other than the
Class A-4 IO Certificates) or based on the Notional
Principal Amount (in the case of the Class A-4 IO
Certificates). Interest will be calculated on the
Class A-4 IO Certificates on the basis of a
"Notional Principal Amount" equal to the lesser of
(a) the principal balance of the Class A
Certificates and (b) $75,000,000 (reference to the
Notional Principal Amount is solely for convenience
in certain calculations and does not represent the
right to receive any distribution allocable to
principal). The Class A-4 IO Certificates are
entitled to receive interest payments only through
the Payment Date in May 2001.
The Class A-1A ARM Certificates will bear interest
at a variable Pass-Through Rate calculated on an
actual/360 basis. The Pass-Through Rate for the
Class A-1A ARM Certificates will be floating and
will equal the lesser of:
i. one-month LIBOR plus the Class A-1A
Pass-Through Margin;
ii. the Available Funds Pass-Through Rate;
or
iii. 14.00%.
The "Class A-1A Pass-Through Margin" will equal
[___%] per annum. The "Available Funds Pass-Through
Rate" for any Payment Date will be a rate per annum
equal to the weighted average of the Expense
Adjusted Mortgage Rates on the then outstanding
Adjustable Rate Home Equity Loans. The "Expense
Adjusted Mortgage Rate" on any Adjustable Rate Home
Equity Loan is equal to the then applicable Loan
Interest Rate thereon, minus 0.50% per annum, which
is the sum of the servicing fee and the trustee fee.
[MERRILL LYNCH LOGO] 6
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
INTEREST (continued): The Class A-1B ARM Certificates will bear interest
at a variable Pass-Through Rate calculated on an
actual/360 basis. The Pass-Through Rate for the
Class A-1B ARM Certificates will be floating and
will equal the lesser of :
i. one-month LIBOR plus the Class A-1B
Pass-Through Margin;
ii. the Available Funds Pass-Through Rate;
or
iii. 14.00%.
The "Class A-1B Pass-Through Margin" will equal
[___%] per annum.
The Class A (other than the Class A-1A ARM and Class
A-1B ARM), Class M and Class B Certificates will
bear interest at a fixed Pass-Through Rate.
Interest on the outstanding Class A Principal
Balance, Class M-1 Adjusted Principal Balance, Class
M-2 Adjusted Principal Balance and Class B-1
Adjusted Principal Balance will accrue from the
Settlement Date, or from the most recent Payment
Date on which interest has been paid, to but
excluding the following Payment Date. Interest on
the Class A-1A ARM and Class A-1B ARM Certificates
will accrue on an actual/360 basis. Interest on all
other Certificates will accrue on a 30/360 basis.
Interest shortfalls will be carried forward, and
will bear interest at the applicable Pass-Through
Rate, to the extent legally permissible.
The Class M-1 Adjusted Principal Balance is the
Class M-1 Principal Balance less any Class M-1
Liquidation Loss Principal Amount. The Class M-1
Principal Balance is the Original Class M-1
Principal Balance less all amounts previously
distributed on account of principal of the Class M-1
Certificates.
The Class M-2 Adjusted Principal Balance is the
Class M-2 Principal Balance less any Class M-2
Liquidation Loss Principal Amount. The Class M-2
Principal Balance is the Original Class M-2
Principal Balance less all amounts previously
distributed on account of principal of the Class M-2
Certificates.
The Class B-1 Adjusted Principal Balance is the
Class B-1 Principal Balance less any Class B-1
Liquidation Loss Principal Amount. The Class B-1
Principal Balance is the Original Class B-1
Principal Balance less all amounts previously
distributed on account of principal of the Class B-1
Certificates.
PRINCIPAL
(Class A, M-1, M-2, B-1): After the payment of all interest distributable to
Class A, Class M-1, Class M-2, and Class B-1
Certificateholders, principal will be distributed in
the following manner.
[MERRILL LYNCH LOGO] 7
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CLASS A PRINCIPAL: After payment of all interest distributable to the
Class A, Class M-1, Class M-2, and Class B-1
Certificateholders, and to the extent of the
remaining Amount Available (A) holders of the Class
A-1A ARM Certificates, the Class A-1B ARM
Certificates and the Class A-3A Certificates will be
entitled to receive, as payments of principal, the
Group I ARM Formula Principal Distribution Amount,
the Group II ARM Formula Principal Distribution
Amount, and the Group II Fixed Formula Principal
Distribution Amount, respectively. On each Payment
Date, each Class of Class A Certificates (other than
the Class A-1A ARM, Class A-1B ARM, Class A-3A, and
Class A-4 IO Certificates) will be entitled to
receive the Senior Percentage of the Formula
Principal Distribution Amount as follows: (i) the
Senior Percentage of the Formula Principal
Distribution Amount will be distributed in the
following order: first to the Class A-1
Certificateholders until the Class A-1 Principal
Balance has been reduced to zero, then to the Class
A-2 Certificateholders until the Class A-2 Principal
Balance has been reduced to zero, and then to the
Class A-3 Certificateholders until the Class A-3
Principal Balance has been reduced to zero.
In addition, on any Payment Date which is on or
after the Payment Date on which the Class A-1, A-2
and A-3 Certificates have been paid in full, holders
of the Class A-1A ARM Certificates will be entitled
to receive a pro rata portion (based on the
outstanding balances of the Class A-1A ARM
Certificates and the Class A-1B ARM Certificates) of
(a) the Senior Percentage times (x) the sum of the
amounts described in clauses (A)(i) through (A)(v)
of the definition of the Formula Principal
Distribution Amount less (y) the sum of the amounts
described in clauses (B)(i) through (B)(iv) of the
definition of the Group I ARM Formula Principal
Distribution Amount, the amounts described in
clauses (B)(i) through (B) (iv) of the definition of
the Group II ARM Formula Principal Distribution
Amount and the amounts described in clauses (B)(i)
through (B)(iv) of the definition of Group II Fixed
Formula Distribution Amount less (b) the amount, if
any, distributed in payment of principal on the
Class A-1, A-2 and A-3 Certificates on such Payment
Date.
In addition, on any Payment Date which is on or
after the Payment Date on which the Class A-1, A-2
and A-3 Certificates have been paid in full, holders
of the Class A-1B ARM Certificates will be entitled
to receive a pro rata portion (based on the
outstanding balances of the Class A-1A ARM
Certificates and the Class A-1B ARM Certificates) of
(a) the Senior Percentage times (x) the sum of the
amounts described in clauses (A)(i) through (A)(v)
of the definition of the Formula Principal
Distribution Amount less (y) the sum of the amounts
described in clauses (B)(i) through (B)(iv) of the
definition of the Group I ARM Formula Principal
Distribution Amount, the amounts described in
clauses (B)(i) through (B)(iv) of the definition of
the Group II ARM Formula Principal Distribution
Amount and the amounts described in clauses (B)(i)
through (B)(iv) of the definition of Group II Fixed
Formula Distribution Amount less (b) the amount, if
any, distributed in payment of principal on the
Class A-1, A-2 and A-3 Certificates on such Payment
Date.
[MERRILL LYNCH LOGO] 8
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CLASS A PRINCIPAL
(Continued): In addition, on any Payment Date which is on or
after the Payment Date on which the Class A-1A ARM,
A-1B ARM, A-1, A-2 and A-3 Certificates have been
paid in full, holders of the Class A-3A Certificates
will be entitled to receive (a) the Senior
Percentage times (x) the sum of the amounts
described in clauses (A)(i) through (A)(v) of the
definition of Formula Principal Distribution Amount,
less (y) the sum of the amounts described in clauses
(B)(i) through (B)(iv) of the definition of Group II
Fixed Formula Principal Distribution Amount, less
(b) the amount, if any, distributed in payment of
principal on the Class A-1A ARM, A-1B ARM, A-1, A-2
and A-3 Certificates on such Payment Date.
The "Formula Principal Distribution Amount" will
generally be equal to (A) the sum of (i) all
scheduled payments of principal due on each
outstanding Home Equity Loan during the related Due
Period, (ii) the scheduled principal balance of each
Home Equity Loan which, during the related Due
Period, was repurchased by the Seller, (iii) all
partial principal prepayments applied and all
principal prepayments in full received during such
Due Period in respect of Home Equity Loans, (iv) the
scheduled principal balance of each Home Equity Loan
that became a liquidated loan during such related
Due Period and (v) any amount described in clauses
(i) through (iv) above that was not previously
distributed because of an insufficient amount of
funds available if (a) the Payment Date occurs on or
after the Payment Date on which the Class B-2
Principal Balance has been reduced to zero, or (b)
such amount was not covered by a Class B-2 Guaranty
Payment and corresponding reduction in the Class B-2
Principal Balance, minus (B) the sum of the Group I
ARM Formula Principal Distribution Amount, the Group
II ARM Formula Principal Distribution Amount and the
Group II Fixed Formula Principal Distribution
Amount.
The "Group I ARM Formula Principal Distribution
Amount" on or before the Payment Date on which the
Class A-1A ARM Certificates have been paid in full
will generally be equal to the lesser of (A) the
Class A-1A ARM Principal Balance or (B) the sum of
the following: (i) all scheduled payments of
principal due on each outstanding Group I Adjustable
Rate Loan during the related Due Period; (ii) all
partial principal prepayments and principal
prepayments in full received on each Group I
Adjustable Rate Loan during the related Due Period;
(iii) the scheduled principal balance of each Group
I Adjustable Rate Loan that became a liquidated loan
during the related Due Period; and (iv) the
scheduled principal balance of each Group I
Adjustable Rate Loan repurchased by the Seller
during the related Due Period.
The "Group II ARM Formula Principal Distribution
Amount" on or before the Payment Date on which the
Class A-1B ARM Certificates have been paid in full
will generally be equal to the lesser of (A) the
Class A-1B ARM Principal Balance or (B) the sum of
the following: (i) all scheduled payments of
principal due on each outstanding Group II
Adjustable Rate Loan during the related Due Period;
(ii) all partial principal prepayments and principal
prepayments in full received on each Group II
Adjustable Rate Loan during the related Due Period;
(iii) the scheduled principal balance of each Group
II Adjustable Rate Loan that became a liquidated
loan during the related Due Period; and (iv) the
scheduled principal balance of each Group II
Adjustable Rate Loan repurchased by the Seller
during the related Due Period.
[MERRILL LYNCH LOGO] 9
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
The "Group II Fixed Formula Principal Distribution
Amount" on or before the Payment Date on which the
Class A-3A Certificates have been paid in full will
generally be equal to the lesser of (A) the Class
A-3A Principal Balance or (B) the sum of the
following: (i) all scheduled payments of principal
due on each outstanding Group II Fixed Rate Loan
during the related Due Period; (ii) all partial
principal prepayments and principal prepayments in
full received on each Group II Fixed Rate Loan
during the related Due Period; (iii) the scheduled
principal balance of each Group II Fixed Rate Loan
that became a liquidated loan during the related Due
Period; and (iv) the scheduled principal balance of
each Group II Fixed Rate Loan repurchased by the
Seller during the related Due Period.
The Senior Percentage will equal 100% if either of
the following exist:
i) the Payment Date is prior to October
2002 (month 37); or
ii) any Class B Principal Distribution Test
(see below) is not satisfied.
On each Payment Date on which the Class B Principal
Distribution Test has been satisfied, the Senior
Percentage will equal a fraction, expressed as a
percentage, the numerator of which is the sum of the
Class A Principal Balance (excluding the Class A-1A
ARM Principal Balance, the Class A-1B ARM Principal
Balance and the Class A-3A Principal Balance) and
the Class M Principal Balance for such Payment Date,
and the denominator of which is the Pool Scheduled
Principal Balance of Home Equity Loans other than
the Adjustable Rate Home Equity Loans and the Group
II Fixed Rate Loans for the immediately preceding
Payment Date.
The Class A-4 IO Certificates are interest-only
Certificates and are not entitled to receive
distributions of principal.
CLASS M-1 PRINCIPAL: Class M-1 Certificateholders will not receive
principal until the Class A Principal Balance has
been reduced to zero. At that time the Class M-1
Certificateholders will be entitled to receive the
Senior Percentage of the Formula Principal
Distribution Amount, until the Class M-1 Principal
Balance has been reduced to zero.
CLASS M-2 PRINCIPAL: Class M-2 Certificateholders will not receive
principal until the Class A and Class M-1 Principal
Balances have been reduced to zero. At that time the
Class M-2 Certificateholders will be entitled to
receive the Senior Percentage of the Formula
Principal Distribution Amount, until the Class M-2
Principal Balance has been reduced to zero.
CLASS B-1 PRINCIPAL: The Class B-1 Certificateholders will not receive
principal payments until (i) the Class B Cross-over
Date and (ii) such time as either (a) each Class B
Principal Distribution Test is satisfied or (b) the
Class A Principal Balance and the Class M Principal
Balance have each been reduced to zero. At that
time, to the extent of the amount available after
payment of all interest distributable to the Class
A, Class M-1, Class M-2, and Class B-1
Certificateholders and all principal distributable
to the Class A, Class M-1 and Class M-2
Certificateholders, Class B-1 Certificateholders
will receive the Class B Percentage of the Formula
Principal Distribution Amount until the Class B-1
Principal Balance has been reduced to zero.
The Class B Percentage will be equal to 100% minus
the Senior Percentage. The Class B Percentage after
the Class A and Class M Principal Balances have been
reduced to zero will be equal to 100%.
[MERRILL LYNCH LOGO] 10
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CLASS B PRINCIPAL
DISTRIBUTION TESTS: (i) the Average Sixty-Day Delinquency Ratio
as of such Payment Date, must not exceed
20% of the Senior Subordination
Percentage;
(ii) the Average Thirty-Day Delinquency Ratio
as of the given Payment Date and the
prior two Payment Dates must not exceed
12%;
(iii) the Cumulative Realized Losses as of the
given Payment Date must not exceed 7.5%;
(iv) the Current Realized Loss Ratio as of
the given Payment Date must not exceed
2.0%; and
(v) the Class B Principal Balance divided by
the Pool Scheduled Principal Balance as
of the immediately preceding Payment
Date must be equal to or greater than
17.6%.
The Senior Subordination Percentage for any Payment
Date will equal (a) on any Payment Date on which the
Class A Principal Balance has not been reduced to
zero, a fraction, expressed as a percentage, the
numerator of which is the sum of (i) the Class M-1
Adjusted Principal Balance, if any, (ii) the Class
M-2 Adjusted Principal Balance, if any, (iii) the
Class B-1 Adjusted Principal Balance, if any, and
(iv) the Class B-2 Principal Balance, if any, and
the denominator of which is the Pool Scheduled
Principal Balance of the Home Equity Loans, (b) on
any Payment Date on which the Class A Principal
Balance has been reduced to zero and the Class M-1
Principal Balance has not been reduced to zero, a
fraction, expressed as a percentage, the numerator
of which is the sum of (i) the Class M-2 Adjusted
Principal Balance, if any, (ii) the Class B-1
Adjusted Principal Balance, if any, and (iii) the
Class B-2 Principal Balance, if any, and the
denominator of which is the Pool Scheduled Principal
Balance of the Home Equity Loans, (c) on any Payment
Date on which the Class M-1 Principal Balance has
been reduced to zero and the Class M-2 Principal
Balance has not been reduced to zero, a fraction,
expressed as a percentage, the numerator of which is
the sum of (i) the Class B-1 Adjusted Principal
Balance, if any, and (ii) the Class B-2 Principal
Balance, if any, and the denominator of which is the
Pool Scheduled Principal Balance of the Home Equity
Loans, or (d) on any Payment Date on which the Class
M-2 Principal Balance has been reduced to zero and
the Class B-1 Principal Balance has not been reduced
to zero, a fraction, expressed as a percentage, the
numerator of which is the Class B-2 Principal
Balance, if any, and the denominator of which is the
Pool Scheduled Principal Balance of the Home Equity
Loans.
LIQUIDATION LOSS INTEREST: Interest on Liquidation Loss Principal Amounts will
be distributable first to the Class M-1
Certificates, then to the Class M-2 Certificates,
then to the Class B-1 Certificates. Interest on the
outstanding Class M-1 Liquidation Loss Principal
Amount, Class M-2 Liquidation Loss Principal Amount
and Class B-1 Liquidation Loss Principal Amount, as
applicable, will accrue from the Payment Date on
which a Liquidation Loss Principal Amount was
realized to but excluding the following Payment
Date.
[MERRILL LYNCH LOGO] 11
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
PURCHASE OPTION;
AUCTION SALE Commencing on the first Payment Date when the
scheduled principal balance of the loans is less
than 20% of the aggregate principal balance of the
certificates on the closing date, the holder of the
Class C Certificates will have the right to
repurchase all of the outstanding loans, at a price
sufficient to pay the aggregate unpaid principal
balance of the certificates and all accrued and
unpaid interest thereon.
If the holder of the Class C Certificates does not
exercise this purchase option, then on the next
Payment Date the trustee will begin an auction
process to sell the loans and the other trust assets
at the highest possible price, but the trustee
cannot sell the trust assets and liquidate the trust
unless the proceeds of that sale are sufficient to
pay the aggregate unpaid principal balance of the
certificates and all accrued and unpaid interest
thereon. If the auction of the trust property is not
successful because the highest bid received was too
low, then on each Payment Date thereafter all of the
Amount Available remaining after payments of
interest and principal due on all Certificates are
made will be used to make additional payments of
principal to the Class M-1, M-2, B-1 and B-2
Certificateholders, pro rata based on the then
outstanding principal balance of such Certificates.
In addition, the trustee will continue to conduct an
auction of the loans every third month thereafter,
until an acceptable bid is received for the trust
property. The Class C Certificateholders purchase
option will expire upon the trustee's acceptance of
a qualifying bid.
CLASS B-2 INTEREST: After payment of all interest and principal due on
the Class A, Class M-1, Class M-2 and Class B-1
Certificates, interest will be paid to the Class B-2
Certificateholders in an amount equal to the product
of (a) the Class B-2 Pass-Through Rate and (b) the
then outstanding Class B-2 Principal Balance. The
Class B-2 Limited Guaranty will be available to pay
interest to the Class B-2 Certificateholders if the
Class B-2 remaining Amount Available is not
sufficient. Interest will initially accrue from the
Settlement Date and thereafter will accrue from the
most recent Payment Date on which interest has been
paid to, in each case, but excluding the following
Payment Date. Interest will be computed on a 30/360
basis. Interest shortfalls will be carried forward,
and will bear interest at the Class B-2 Pass-Through
Rate, to the extent legally permissible.
CLASS B-2 PRINCIPAL: Except as described below, the Class B-2
Certificateholders will not receive principal
payments until the Class B-1 Principal Balance has
been reduced to zero. At that time, if each Class B
Principal Distribution Test is satisfied (unless the
Class A and Class M Principal Balances have been
reduced to zero), to the extent of the Amount
Available after payment of the Class A, the Class M
and the Class B-1 Certificates and any amounts
actually paid under the Class B-2 Limited Guaranty,
the Class B-2 Certificateholders will receive the
Class B Percentage of the Formula Principal
Distribution Amount until the Class B-2 Principal
Balance has been reduced to zero.
On each Payment Date, the Class B-2
Certificateholders will also be entitled to receive,
pursuant to the Class B-2 Limited Guaranty, the
Class B-2 Liquidation Loss Principal Amount until
the Class B-2 Principal Balance has been reduced to
zero.
CLASS B-2 LIMITED GUARANTY: The Class B-2 Limited Guaranty will be available to
pay the Class B-2 Liquidation Loss Principal Amount
and the Class B-2 Distribution Amount. The Class B-2
Limited Guaranty will be an unsecured general
obligation of the Company.
[MERRILL LYNCH LOGO] 12
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CLASS A-1A INTEREST
CARRYOVER If on any Payment Date, the Class A-1A ARM
Pass-Through Rate is based on the Available Funds
Pass-Through Rate, holders of such Certificates will
be entitled to receive the Available Funds Cap
Carryover Amount to the extent funds are available
after payments of all interest and principal due on
the Class A, Class M and Class B Certificates for
such Payment Date have been made and certain fees
and expenses have been paid. The "Available Funds
Cap Carryover Amount" is the excess of (i) the
amount of interest the Class A-1A ARM
Certificateholders would be entitled to receive on
such Payment Date had interest been calculated based
on one-month LIBOR plus the Class A-1A Pass-Through
Margin (but in no event exceeding 14%) over (ii) the
amount of interest such Class will receive on such
Payment Date at the Available Funds Pass-Through
Rate, together with the unpaid portion of any such
excess from prior Payment Dates (and interest
accrued thereon at the then applicable Class A-1A
ARM Pass-Through Rate, without giving effect to the
Available Funds Pass-Through Rate, but in no event
exceeding 14%). The ratings assigned to the Class
A-1A ARM Certificates do not address the likelihood
of the payment of any Interest Carryover Amount.
CLASS A-1B INTEREST
CARRYOVER If on any Payment Date, the Class A-1B ARM
Pass-Through Rate is based on the Available Funds
Pass-Through Rate, holders of such Certificates will
be entitled to receive the Available Funds Cap
Carryover Amount to the extent funds are available
after payments of all interest and principal due on
the Class A, Class M and Class B Certificates for
such Payment Date have been made and certain fees
and expenses have been paid. The "Available Funds
Cap Carryover Amount" is the excess of (i) the
amount of interest the Class A-1B ARM
Certificateholders would be entitled to receive on
such Payment Date had interest been calculated based
on one-month LIBOR plus the Class A-1B Pass-Through
Margin (but in no event exceeding 14%) over (ii) the
amount of interest such Class will receive on such
Payment Date at the Available Funds Pass-Through
Rate, together with the unpaid portion of any such
excess from prior Payment Dates (and interest
accrued thereon at the then applicable Class A-1B
ARM Pass-Through Rate, without giving effect to the
Available Funds Pass-Through Rate, but in no event
exceeding 14%). The ratings assigned to the Class
A-1B ARM Certificates do not address the likelihood
of the payment of any Interest Carryover Amount.
[MERRILL LYNCH LOGO] 13
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
HOME EQUITY LOANS
The Home Equity Loans consist of both fixed rate and adjustable rate
closed-end home equity loans. The adjustable rate closed-end home equity loans
are subject to interest rate adjustments after an initial six month, twenty-four
month, or thirty-six month period (the "Adjustable Rate Home Equity Loans"). All
Home Equity Loans which are not Adjustable Rate Loans are referred to herein as
"Fixed Rate Home Equity Loans." The obligations of the Obligor under each Home
Equity Loan are secured by the related real estate.
The information concerning the Initial Home Equity Loans presented below is
based on a pool originated through August 31, 1999. Green Tree intends to
acquire and sell Additional Home Equity Loans to the Trust on the Closing Date
and Subsequent Loans to the Trust thereafter. Although the characteristics of
the final pool of Home Equity Loans will differ from the characteristics of the
Initial Home Equity Loans shown below, Green Tree does not expect that the
characteristics of the Additional and Subsequent Home Equity Loans sold to the
Trust will vary materially from those of the Initial Home Equity Loans herein.
GROUP I
THE INITIAL HOME EQUITY LOAN POOL
INITIAL GROUP I FIXED RATE HOME EQUITY LOANS
Number of Loans in pool: 3,009
Wgt. Avg. Loan Rate: 11.545%
Range of Rates: 6.940% - 19.990%
Wgt. Avg. Orig. Maturity: 247
Wgt. Avg. Rem. Maturity: 246
Avg. Rem. Princ. Balance: 60,449.27
Wgt. Avg. CLTV: 89.67
[MERRILL LYNCH LOGO] 14
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL GROUP I FIXED RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Fixed Rate
Loans by
Number of % of Loan Pool by Aggregate Principal Outstanding
State Loans Number of Loans Balance Outstanding Principal Balance
- ----- --------- ----------------- ------------------- -----------------
<S> <C> <C> <C> <C>
Alabama 92 3.06% 4,626,815.93 2.54%
Arizona 49 1.63 2,069,334.02 1.14
Arkansas 42 1.40 2,254,998.35 1.24
California 226 7.51 18,406,333.80 10.12
Colorado 72 2.39 4,927,449.13 2.71
Connecticut 51 1.69 3,254,519.06 1.79
Delaware 14 0.47 1,216,400.00 0.67
District of Columbia 2 0.07 22,399.94 0.01
Florioda 135 4.49 8,501,515.35 4.67
Georgia 83 2.76 5,263,697.70 2.89
Idaho 17 0.56 692,277.72 0.38
Illinois 125 4.15 8,340,516.76 4.59
Indiana 100 3.32 5,038,443.37 2.77
Iowa 52 1.73 2,739,033.48 1.51
Kansas 42 1.40 2,386,265.40 1.31
Kentucky 41 1.36 2,357,009.09 1.30
Louisiana 76 2.53 4,159,357.41 2.29
Maine 6 0.20 428,653.53 0.24
Maryland 56 1.86 3,757,519.91 2.07
Massachusetts 47 1.56 2,908,837.15 1.60
Michigan 200 6.65 12,890,415.23 7.09
Minnesota 49 1.63 2,983,670.51 1.64
Mississippi 37 1.23 2,085,214.68 1.15
Missouri 109 3.62 5,840,127.41 3.21
Montana 8 0.27 410,045.41 0.23
Nebraska 35 1.16 2,423,355.05 1.33
Nevada 24 0.80 858,665.94 0.47
New Hampshire 13 0.43 948,822.51 0.52
New Jersey 40 1.33 2,683,613.28 1.48
New Mexico 9 0.30 580,656.64 0.32
New York 133 4.42 7,495,455.25 4.12
North Carolina 88 2.92 6,025,867.78 3.31
North Dakota 2 0.07 131,900.00 0.07
Ohio 135 4.49 7,925,335.34 4.36
Oklahoma 18 0.60 792,282.00 0.44
Oregon 21 0.70 1,167,519.60 0.64
Pennsylvania 124 4.12 6,847,665.55 3.76
Rhode Island 8 0.27 397,000.00 0.22
South Carolina 78 2.59 5,416,145.55 2.98
South Dakota 10 0.33 604,718.32 0.33
Tennessee 71 2.36 4,298,488.49 2.36
Texas 217 7.21 9,306,463.40 5.12
</TABLE>
[MERRILL LYNCH LOGO] 15
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
% of Fixed Rate
Loans by
Number of % of Loan Pool by Aggregate Principal Outstanding
State Loans Number of Loans Balance Outstanding Principal Balance
- ----- --------- ----------------- ------------------- -----------------
<S> <C> <C> <C> <C>
Utah 23 0.76 1,428,864.08 0.79
Vermont 2 0.07 70,800.00 0.04
Virginia 89 2.96 5,029,436.16 2.77
Washington 64 2.13 6,062,510.42 3.33
West Virginia 18 0.60 918,981.03 0.51
Wisconson 45 1.50 2,274,387.55 1.25
Wyoming 11 0.37 642,056.75 0.35
----- ------ -------------- ------
Total (1) 3,009 100.00% 181,891,841.03 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding.
[MERRILL LYNCH LOGO] 16
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
YEARS OF ORIGINATION OF INITIAL GROUP I FIXED RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Fixed Rate Loans
Number of Aggregate Principal by Outstanding
Year of Origination Loans Balance Outstanding Principal Balance
- ------------------- --------- ------------------- ---------------------
<S> <C> <C> <C>
1996 1 14,752.84 0.01%
1997 3 146,601.33 0.08
1998 115 8,823,542.89 4.85
1999 2,890 172,906,943.97 95.06
---- ----- -------------- ------
Total (1) 3,009 181,891,841.03 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding.
INITIAL GROUP I FIXED RATE HOME EQUITY LOAN RATES
<TABLE>
<CAPTION>
% of Fixed Rate Loans
Range of Loans by Number of Aggregate Principal by Outstanding
Loan Rates Loans Balance Outstanding Principal Balance
- ----------------- --------- ------------------- ---------------------
<S> <C> <C> <C>
Less than 8.001 8 1,347,368.90 0.74%
8.001 - 9.000 53 7,125,182.83 3.92
9.001 - 10.000 261 27,034,418.69 14.86
10.001 - 11.000 487 41,571,094.54 22.85
11.001 - 12.000 687 50,166,010.61 27.58
12.001 - 13.000 440 19,248,485.99 10.58
13.001 - 14.000 579 21,581,276.04 11.86
14.001 - 15.000 283 8,889,003.11 4.89
15.001 - 16.000 106 3,023,133.48 1.66
16.001 - 17.000 55 1,040,783.35 0.57
Greater than 17.000 50 865,083.49 0.48
----- -------------- -----
Total (1) 3,009 181,891,841.03 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding.
[MERRILL LYNCH LOGO] 17
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
DISTRIBUTION OF ORIGINAL INITIAL GROUP I FIXED RATE HOME EQUITY LOAN AMOUNTS
<TABLE>
<CAPTION>
% of Fixed Rate Loans
Original Loan Number of Aggregate Principal by Outstanding
Amount (in Dollars) Loans Balance Outstanding Principal Balance
- ------------------- --------- ------------------- ---------------------
<S> <C> <C> <C>
0.01 9,999.99 4 34,688.88 0.02%
10,000.00 - 19,999.99 526 7,593,715.04 4.17
20,000.00 - 29,999.99 423 10,214,075.21 5.62
30,000.00 - 39,999.99 273 9,394,734.09 5.17
40,000.00 - 49,999.99 289 12,829,633.62 7.05
50,000.00 - 59,999.99 271 14,887,312.96 8.18
60,000.00 - 69,999.99 264 16,970,726.69 9.33
70,000.00 - 79,999.99 204 15,109,467.17 8.31
80,000.00 - 89,999.99 148 12,346,536.86 6.79
90,000.00 - 99,999.99 127 11,933,930.62 6.56
100,000.00 - 109,999.99 87 9,017,313.64 4.96
110,000.00 - 119,999.99 84 9,571,442.45 5.26
120,000.00 - 129,999.99 59 7,315,934.14 4.02
130,000.00 - 139,999.99 46 6,159,163.67 3.39
140,000.00 - 149,999.99 42 6,052,112.51 3.33
150,000.00 - 159,999.99 34 5,156,069.06 2.83
160,000.00 - 169,999.99 16 2,642,257.04 1.45
170,000.00 - 179,999.99 21 3,664,305.35 2.01
180,000.00 - 189,999.99 17 3,126,784.72 1.72
190,000.00 - 199,999.99 13 2,533,551.88 1.39
200,000.00 - 249,999.99 37 8,345,783.99 4.59
250,000.00 - 299,999.99 14 3,777,834.21 2.08
Greater than 299,999.99 10 3,214,467.23 1.77
----- -------------- ------
Total (1) 3,009 181,891,841.03 100.00%
</TABLE>
REMAINING MONTHS TO MATURITY OF INITIAL GROUP I FIXED RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Fixed Rate Loans
Number of Aggregate Principal by Outstanding
Months Remaining Loans Balance Outstanding Principal Balance
- ---------------- --------- ------------------- ---------------------
<S> <C> <C> <C>
31 - 60 40 769,372.70 0.42%
61 - 90 29 691,191.58 0.38
91 - 120 229 6,515,400.18 3.58
121 - 150 23 991,661.37 0.55
151 - 180 886 50,168,941.72 27.58
181 - 210 6 235,053.88 0.13
211 - 240 1,129 65,875,169.67 36.22
241 - 270 1 58,200.00 0.03
271 - 300 354 23,309,629.39 12.82
301 - 330 3 535,522.93 0.29
331 - 360 309 32,741,697.61 18.00
----- -------------- ------
Total (1) 3,009 181,891,841.03 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding.
[MERRILL LYNCH LOGO] 18
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
LIEN POSITION OF INITIAL GROUP I FIXED RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Fixed Rate Loans
Number of Aggregate Principal by Outstanding
Lien Loans Balance Outstanding Principal Balance
---- --------- ------------------- ---------------------
<S> <C> <C> <C>
First 1,823 148,963,722.50 81.90%
Second 1,152 32,294,960.15 17.76
Third 34 633,158.38 0.35
----- -------------- ------
Total (1) 3,009 181,891,841.03 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding.
COMBINED LOAN-TO-VALUE RATIO OF INITIAL GROUP I FIXED RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Fixed Rate Loans
Number of Aggregate Principal by Outstanding
Combined Loan-to-Value Ratio Loans Balance Outstanding Principal Balance
- ---------------------------- --------- ------------------- ---------------------
<S> <C> <C> <C>
0.00 - 10.00 1 11,700.00 0.01%
10.01 - 20.00 8 207,434.20 0.11
20.01 - 30.00 17 472,083.66 0.26
30.01 - 40.00 11 586,216.32 0.32
40.01 - 50.00 34 950,937.40 0.52
50.01 - 60.00 54 1,833,972.95 1.01
60.01 - 70.00 111 5,635,136.31 3.10
70.01 - 80.00 404 22,535,034.09 12.39
80.01 - 90.00 808 48,450,134.60 26.64
Greater than 90.00 1,561 101,209,191.50 55.64
----- -------------- -----
3,009 181,891,841.03 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding.
[MERRILL LYNCH LOGO] 19
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
GROUP II
THE INITIAL HOME EQUITY LOAN POOL
INITIAL GROUP II FIXED RATE HOME EQUITY LOANS
Number of Loans in pool: 1,172
Wgt. Avg. Loan Rate: 11.107%
Range of Rates: 7.660% - 19.490%
Wgt. Avg. Orig. Maturity: 244
Wgt. Avg. Rem. Maturity: 240
Avg. Rem. Princ. Balance: 81,810.22
Wgt. Avg. CLTV: 105.44
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL GROUP II FIXED RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Adjustable
Rate Loans by
Number of % of Loan Pool by Aggregate Principal Outstanding
State Loans Number of Loans Balance Outstanding Principal Balance
- ----- --------- ----------------- ------------------- -----------------
<S> <C> <C> <C> <C>
Alabama 6 0.51 264,171.57 0.28%
Arizona 7 0.60 716,932.23 0.75
Arkansas 15 1.28 961,764.49 1.00
California 20 1.71 1,552,621.38 1.62
Colorado 20 1.71 2,194,620.63 2.29
Connecticut 6 0.51 583,184.31 0.61
Delaware 2 0.17 196,217.22 0.20
Florioda 35 2.99 2,533,207.11 2.64
Georgia 32 2.73 2,223,030.69 2.32
Idaho 7 0.60 445,561.56 0.46
Illinois 93 7.94 8,034,364.08 8.38
Indiana 21 1.79 1,695,081.27 1.77
Iowa 49 4.18 3,763,857.94 3.93
Kansas 80 6.83 5,979,311.96 6.24
Kentucky 27 2.30 1,766,139.08 1.84
Louisiana 12 1.02 817,931.33 0.85
Maine 1 0.09 95,042.13 0.10
Maryland 6 0.51 280,864.63 0.29
Massachusetts 5 0.43 245,375.54 0.26
Michigan 78 6.66 6,962,637.53 7.26
Minnesota 38 3.24 3,557,950.23 3.71
Mississippi 28 2.39 1,998,771.68 2.08
Missouri 78 6.66 6,198,119.32 6.46
Montana 4 0.34 302,238.18 0.32
Nebraska 43 3.67 3,700,822.17 3.86
Nevada 5 0.43 447,668.62 0.47
New Jersey 7 0.60 633,612.54 0.66
New Mexico 13 1.11 949,427.35 0.99
New York 4 0.34 182,242.99 0.19
North Carolina 83 7.08 6,985,148.68 7.29
North Dakota 1 0.09 13,000.00 0.01
</TABLE>
[MERRILL LYNCH LOGO] 20
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
% of Adjustable
Rate Loans by
Number of % of Loan Pool by Aggregate Principal Outstanding
State Loans Number of Loans Balance Outstanding Principal Balance
- ----- --------- ----------------- ------------------- -----------------
<S> <C> <C> <C> <C>
Ohio 87 7.42 7,856,543.92 8.19
Oklahoma 5 0.43 387,446.22 0.40
Oregon 2 0.17 264,956.85 0.28
Pennsylvania 60 5.12 5,457,549.43 5.69
Rhode Island 2 0.17 152,091.77 0.16
South Carolina 54 4.61 4,135,047.89 4.31
South Dakota 6 0.51 551,225.15 0.57
Tennessee 43 3.67 3,343,258.92 3.49
Virginia 40 3.41 3,195,878.58 3.33
Washington 6 0.51 505,656.47 0.53
West Virginia 6 0.51 469,869.47 0.49
Wisconsin 34 2.90 3,189,012.56 3.33
Wyoming 1 0.09 92,124.55 0.10
----- ------ ------------- ------
Total (1) 1,172 100.00% 95,881,580.22 100.00%
</TABLE>
- ---------------
* Percentages do not add to 100% due to rounding.
[MERRILL LYNCH LOGO] 21
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
YEARS OF ORIGINATION OF INITIAL GROUP II FIXED RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Loans by Outstanding
Year of Origination Loans Balance Outstanding Principal Balance
------------------- --------- ------------------- --------------------
<S> <C> <C> <C>
1997 1 99,110.61 0.10%
1998 221 18,339,606.28 19.13
1999 950 77,442,863.33 80.77
----- ------------- ------
Total (1) 1,172 95,881,580.22 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding.
DISTRIBUTION OF ORIGINAL INITIAL GROUP II FIXED RATE HOME EQUITY LOAN AMOUNTS
<TABLE>
<CAPTION>
% of Adjustable Rate
Original Loan Number of Aggregate Principal Loans by Outstanding
Amount (in Dollars) Loans Balance Outstanding Principal Balance
- ------------------- --------- ------------------- --------------------
<S> <C> <C> <C>
Less than 8.001 4 538,959.54 0.56%
8.001 - 9.000 24 2,258,041.62 2.36
9.001 - 10.000 160 15,381,197.39 16.04
10.001 - 11.000 451 40,740,221.75 42.49
11.001 - 12.000 266 22,664,605.57 23.64
12.001 - 13.000 99 7,902,079.90 8.24
13.001 - 14.000 57 3,468,513.47 3.62
14.001 - 15.000 31 1,272,943.54 1.33
15.001 - 16.000 15 442,203.48 0.46
16.001 - 17.000 34 690,330.78 0.72
Greater than 17.000 31 522,483.18 0.54
----- ------------- ------
Total (1) 1,172 95,881,580.22 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding.
[MERRILL LYNCH LOGO] 22
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL GROUP II FIXED RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Loans by Outstanding
Months Remaining Loans Balance Outstanding Principal Balance
- ---------------- --------- ------------------- --------------------
<S> <C> <C> <C>
31 - 60 5 303,540.11 0.32%
61 - 90 3 57,500.00 0.06
91 - 120 24 1,020,659.86 1.06
121 - 150 2 147,398.07 0.15
151 - 180 365 30,503,753.42 31.81
181 - 210 3 248,335.24 0.26
211 - 240 455 35,117,275.26 36.63
271 - 300 194 16,869,388.30 17.59
331 - 360 121 11,613,729.96 12.11
----- ------------- ------
Total(1) 1,172 95,881,580.22 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding.
DISTRIBUTION OF ORIGINAL INITIAL GROUP II FIXED RATE HOME EQUITY LOAN AMOUNTS
<TABLE>
<CAPTION>
% of Fixed Rate Loans
Original Loan Number of Aggregate Principal by Outstanding
Amount (in Dollars) Loans Balance Outstanding Principal Balance
- ------------------- --------- ------------------- ---------------------
<S> <C> <C> <C>
10,000.00 - 19,999.99 46 645,886.19 0.67
20,000.00 - 29,999.99 54 1,270,634.99 1.33
30,000.00 - 39,999.99 17 575,097.98 0.60
40,000.00 - 49,999.99 13 598,793.73 0.62
50,000.00 - 59,999.99 127 6,938,479.90 7.24
60,000.00 - 69,999.99 177 11,391,767.05 11.88
70,000.00 - 79,999.99 155 11,459,257.85 11.95
80,000.00 - 89,999.99 155 13,048,434.16 13.61
90,000.00 - 99,999.99 110 10,389,333.96 10.84
100,000.00 - 109,999.99 89 9,236,417.42 9.63
110,000.00 - 119,999.99 80 9,130,659.27 9.52
120,000.00 - 129,999.99 55 6,796,154.81 7.09
130,000.00 - 139,999.99 34 4,538,458.21 4.73
140,000.00 - 149,999.99 18 2,579,738.79 2.69
150,000.00 - 159,999.99 12 1,835,767.73 1.91
160,000.00 - 169,999.99 10 1,623,569.36 1.69
170,000.00 - 179,999.99 6 1,036,593.00 1.08
180,000.00 - 189,999.99 6 1,116,181.23 1.16
190,000.00 - 199,999.99 2 375,885.60 0.39
Greater than 199,999.99 6 1,294,468.99 1.35
----- ------------- ------
Total (1) 1,172 95,881,580.22 100.00
</TABLE>
[MERRILL LYNCH LOGO] 23
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
LIEN POSITION OF INITIAL GROUP II FIXED RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Fixed Rate Loans
Number of Aggregate Principal by Outstanding
Lien Loans Balance Outstanding Principal Balance
------- --------- ------------------- ---------------------
<S> <C> <C> <C>
First 1,043 92,319,283.73 96.28%
Second 129 3,562,296.49 3.72
----- ------------- ------
Total (1) 1,172 95,881,580.22 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding.
COMBINED LOAN-TO-VALUE RATIO OF INITIAL GROUP II FIXED RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Fixed Rate Loans
Number of Aggregate Principal by Outstanding
Combined Loan-to-Value Ratio Loans Balance Outstanding Principal Balance
---------------------------- --------- ------------------- ---------------------
<S> <C> <C> <C>
100.01 - 105.00 721 57,110,615.22 59.56%
105.01 - 110.00 315 26,527,927.99 27.67
110.01 - 115.00 80 6,621,326.57 6.91
115.01 - 120.00 19 1,491,934.95 1.56
120.01 - 125.00 37 4,129,775.49 4.31
----- ------------- ------
1,172 95,881,580.22 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding.
[MERRILL LYNCH LOGO] 24
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
GROUP I
THE INITIAL HOME EQUITY LOAN POOL
INITIAL GROUP I ADJUSTABLE RATE HOME EQUITY LOANS
Number of Loans in pool: 1,297
Wgt. Avg. Loan Rate: 9.654%
Range of Rates: 6.990% - 15.650%
Wgt. Avg. Orig. Maturity: 360
Wgt. Avg. Rem. Maturity: 357
Avg. Rem. Princ. Balance: 103,315.33
Wgt. Avg. CLTV: 85.50
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL GROUP I ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Adjustable
Rate Loans by
Number of % of Loan Pool by Aggregate Principal Outstanding
State Loans Number of Loans Balance Outstanding Principal Balance
- ----- --------- ----------------- ------------------- -----------------
<S> <C> <C> <C> <C>
Alabama 43 3.32% 3,570,480.26 2.66%
Arizona 29 2.24 2,721,471.37 2.03
Arkansas 1 0.08 93,416.46 0.07
California 85 6.55 12,372,243.73 9.23
Colorado 67 5.17 7,815,389.73 5.83
Connecticut 7 0.54 790,937.36 0.59
Delaware 1 0.08 216,122.07 0.16
District of Columbia 5 0.39 708,016.28 0.53
Florioda 59 4.55 5,624,138.84 4.20
Georgia 32 2.47 3,201,839.55 2.39
Idaho 8 0.62 709,890.20 0.53
Illinois 49 3.78 5,264,811.44 3.93
Indiana 72 5.55 6,083,277.93 4.54
Iowa 6 0.46 618,577.30 0.46
Kansas 13 1.00 1,491,853.13 1.11
Kentucky 23 1.77 1,976,676.74 1.48
Louisiana 17 1.31 2,135,238.40 1.59
Maine 3 0.23 220,960.64 0.16
Maryland 50 3.86 6,736,982.05 5.03
Massachusetts 14 1.08 1,572,308.52 1.17
Michigan 67 5.17 5,546,807.78 4.14
Minnesota 18 1.39 1,712,873.93 1.28
Mississippi 12 0.93 894,230.13 0.67
Missouri 33 2.54 2,510,883.91 1.87
Montana 2 0.15 178,996.52 0.13
Nebraska 1 0.08 55,210.34 0.04
Nevada 24 1.85 2,798,310.09 2.09
New Jersey 6 0.46 584,577.12 0.44
New Mexico 4 0.31 413,398.51 0.31
New York 15 1.16 1,433,795.93 1.07
North Carolina 57 4.39 5,030,194.62 3.75
</TABLE>
[MERRILL LYNCH LOGO] 25
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
% of Adjustable
Rate Loans by
Number of % of Loan Pool by Aggregate Principal Outstanding
State Loans Number of Loans Balance Outstanding Principal Balance
- ----- --------- ----------------- ------------------- -----------------
<S> <C> <C> <C> <C>
Ohio 107 8.25 9,328,578.88 6.96
Oklahoma 6 0.46 668,167.65 0.50
Oregon 46 3.55 5,206,242.08 3.89
Pennsylvania 34 2.62 3,322,248.45 2.48
Rhode Island 5 0.39 632,488.80 0.47
South Carolina 36 2.78 2,925,234.21 2.18
Tennessee 27 2.08 2,890,634.25 2.16
Texas 53 4.09 4,962,957.35 3.70
Utah 37 2.85 4,452,712.59 3.32
Virginia 28 2.16 3,052,392.18 2.28
Washington 76 5.86 9,719,260.41 7.25
West Virginia 6 0.46 451,261.09 0.34
Wisconson 10 0.77 912,612.00 0.68
Wyoming 3 0.23 391,280.73 0.29
----- ------ -------------- ------
Total(1) 1,297 100.00% 133,999,981.55 100.00%
</TABLE>
- ---------------
* Percentages do not add to 100% due to rounding.
[MERRILL LYNCH LOGO] 26
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
YEARS OF ORIGINATION OF INITIAL GROUP I ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Loans by Outstanding
Year of Origination Loans Balance Outstanding Principal Balance
------------------- --------- ------------------- --------------------
<S> <C> <C> <C>
1997 4 409,300.54 0.31%
1998 129 10,774,957.92 8.04
1999 1,164 122,815,723.09 91.65
----- -------------- -----
Total(1) 1,297 133,999,981.55 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding.
DISTRIBUTION OF ORIGINAL INITIAL GROUP I
ADJUSTABLE RATE HOME EQUITY LOAN AMOUNTS
<TABLE>
<CAPTION>
% of Adjustable Rate
Original Loan Number of Aggregate Principal Loans by Outstanding
Amount (in Dollars) Loans Balance Outstanding Principal Balance
- ------------------- --------- ------------------- --------------------
<S> <C> <C> <C>
20,000.00 - 29,999.99 6 159,525.91 0.12%
30,000.00 - 39,999.99 38 1,330,829.42 0.99
40,000.00 - 49,999.99 75 3,365,947.12 2.51
50,000.00 - 59,999.99 112 6,136,385.44 4.58
60,000.00 - 69,999.99 119 7,733,322.74 5.77
70,000.00 - 79,999.99 127 9,551,386.41 7.13
80,000.00 - 89,999.99 127 10,742,670.70 8.02
90,000.00 - 99,999.99 103 9,812,737.35 7.32
100,000.00 - 109,999.99 89 9,329,173.72 6.96
110,000.00 - 119,999.99 100 11,342,176.98 8.46
120,000.00 - 129,999.99 81 10,070,939.93 7.52
130,000.00 - 139,999.99 51 6,822,620.53 5.09
140,000.00 - 149,999.99 49 7,109,134.02 5.31
150,000.00 - 159,999.99 43 6,600,643.23 4.93
160,000.00 - 169,999.99 36 5,899,308.21 4.40
170,000.00 - 179,999.99 33 5,761,391.27 4.30
180,000.00 - 189,999.99 27 4,987,146.32 3.72
190,000.00 - 199,999.99 21 4,076,388.45 3.04
200,000.00 - 209,999.99 18 3,685,724.96 2.75
210,000.00 - 219,999.99 11 2,353,856.02 1.76
Greater than 219,999.99 31 7,128,672.82 5.32
----- -------------- ------
Total(1) 1,297 133,999,981.55 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding.
[MERRILL LYNCH LOGO] 27
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL
GROUP I ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Loans by Outstanding
Months Remaining Loans Balance Outstanding Principal Balance
- ---------------- --------- ------------------- --------------------
<S> <C> <C> <C>
151 - 180 2 214,013.12 0.16%
331 - 360 1,295 133,785,968.43 99.84
----- -------------- ------
Total(1) 1,297 133,999,981.55 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding.
INITIAL GROUP I ADJUSTABLE RATE HOME EQUITY LOAN RATES
<TABLE>
<CAPTION>
% of Adjustable Rate
Range of Loans by Number of Aggregate Principal Loans by Outstanding
Loan Rates Loans Balance Outstanding Principal Balance
- ----------------- --------- ------------------- --------------------
<S> <C> <C> <C>
Less than 8.001 44 5,596,492.22 4.18%
8.001 - 9.000 279 30,886,651.64 23.05
9.001 - 10.000 582 62,383,683.14 46.55
10.001 - 11.000 292 27,318,802.72 20.39
11.001 - 12.000 84 6,944,995.99 5.18
12.001 - 13.000 12 591,770.76 0.44
13.001 - 14.000 3 246,140.95 0.18
15.001 - 16.000 1 31,444.13 0.02
----- -------------- ------
1,297 133,999,981.55 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding.
COMBINED LOAN-TO-VALUE RATIO OF INITIAL
GROUP I ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Loans by Outstanding
Combined Loan-to-Value Ratio Loans Balance Outstanding Principal Balance
- ---------------------------- --------- ------------------- --------------------
<S> <C> <C> <C>
10.01 - 20.00 1 49,983.84 0.04%
30.01 - 40.00 8 367,725.24 0.27
40.01 - 50.00 9 616,652.30 0.46
50.01 - 60.00 14 1,024,272.58 0.76
60.01 - 70.00 53 3,700,629.74 2.76
70.01 - 80.00 404 39,448,888.58 29.44
80.01 - 90.00 588 62,003,661.40 46.27
Greater than 90.00 220 26,788,167.87 19.99
----- --------------- ------
Total(1) 1,297 133,999,981.55 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding.
[MERRILL LYNCH LOGO] 28
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
MONTH OF NEXT RATE ADJUSTMENT OF INITIAL
GROUP I ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Adjustable Rate
Month of Next Rate Number of Aggregate Principal Loans by Outstanding
Adjustment Loans Balance Outstanding Principal Balance
------------------ --------- ------------------- --------------------
<S> <C> <C> <C>
1999-11 5 526,876.16 0.39%
1999-12 1 46,723.32 0.03
2000-01 1 113,514.49 0.08
2000-02 1 87,644.69 0.07
2000-03 4 304,134.41 0.23
2000-04 4 429,384.84 0.32
2000-05 14 1,362,078.29 1.02
2000-06 24 1,997,038.20 1.49
2000-07 37 2,648,939.86 1.98
2000-08 17 1,391,760.77 1.04
2000-09 5 663,822.31 0.50
2000-10 4 227,665.77 0.17
2000-11 5 341,558.99 0.25
2001-01 7 668,320.05 0.50
2001-02 5 761,775.82 0.57
2001-03 21 2,221,933.89 1.66
2001-04 51 5,337,637.26 3.98
2001-05 210 21,539,042.27 16.07
2001-06 514 56,203,910.39 41.94
2001-07 295 30,470,813.87 22.74
2001-08 29 2,746,730.81 2.05
2001-09 2 178,650.00 0.13
2001-12 1 79,749.41 0.06
2002-02 2 128,461.12 0.10
2002-03 1 88,486.39 0.07
2002-04 1 97,603.51 0.07
2002-05 7 629,997.03 0.47
2002-06 19 1,873,408.07 1.40
2002-07 8 702,225.55 0.52
2004-04 1 50,894.01 0.04
2021-07 1 79,200.00 0.06
----- -------------- ------
Total(1) 1,297 133,999,981.55 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding
LIEN POSITION OF INITIAL GROUP I ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Loans by Outstanding
Lien Loans Balance Outstanding Principal Balance
------ --------- ------------------- --------------------
<S> <C> <C> <C>
First 1,297 133,999,981.55 100.00%
----- -------------- -------
Total(1) 1,297 133,999,981.55 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding
[MERRILL LYNCH LOGO] 29
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
DISTRIBUTION OF GROSS MARGIN OF INITIAL
GROUP I ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Loans by Outstanding
Gross Margin (%) Loans Balance Outstanding Principal Balance
- ---------------- --------- ------------------- --------------------
<S> <C> <C> <C>
3.950 - 4.249 2 100,501.16 0.08%
4.250 - 4.499 1 61,170.88 0.05
4.500 - 4.749 2 169,163.42 0.13
4.750 - 4.999 7 847,209.10 0.63
5.000 - 5.249 17 1,911,108.57 1.43
5.250 - 5.499 24 2,636,223.93 1.97
5.500 - 5.749 55 6,114,432.62 4.56
5.750 - 5.999 70 7,819,570.71 5.84
6.000 - 6.249 96 10,157,006.82 7.58
6.250 - 6.499 169 18,558,087.16 13.85
6.500 - 6.749 166 18,046,983.96 13.47
6.750 - 6.999 223 23,110,379.08 17.25
7.000 - 7.249 128 12,661,369.95 9.45
7.250 - 7.499 112 11,391,271.26 8.50
7.500 - 7.749 74 6,941,552.75 5.18
7.750 - 7.999 51 4,652,088.87 3.47
8.000 - 8.249 34 2,965,944.82 2.21
8.250 - 8.499 21 1,761,258.16 1.31
8.500 - 8.749 13 1,367,267.44 1.02
8.750 - 8.999 10 743,149.32 0.55
9.000 - 9.249 5 467,646.79 0.35
9.250 - 9.499 5 531,801.27 0.40
9.500 - 9.749 3 215,552.01 0.16
9.750 - 9.999 3 171,323.54 0.13
10.250 - 10.499 2 237,911.81 0.18
10.500 - 10.749 1 97,475.06 0.07
10.750 - 10.999 3 262,531.09 0.20
----- -------------- ------
Total(1) 1,297 133,999,981.55 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding
[MERRILL LYNCH LOGO] 30
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
MAXIMUM LOAN RATE OF INITIAL
GROUP I ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Loans by Outstanding
Maximum Loan Rate Loans Balance Outstanding Principal Balance
- ----------------- --------- ------------------- --------------------
<S> <C> <C> <C>
Less than 13.000 3 559,200.48 0.42%
13.000 - 13.249 1 53,497.73 0.04
13.250 - 13.499 1 44,089.87 0.03
13.750 - 13.999 29 3,453,541.55 2.58
14.000 - 14.249 8 1,182,532.60 0.88
14.250 - 14.499 22 2,363,717.82 1.76
14.500 - 14.749 54 6,309,964.05 4.71
14.750 - 14.999 157 16,801,321.82 12.54
15.000 - 15.249 38 4,058,468.45 3.03
15.250 - 15.499 125 13,347,393.54 9.96
15.500 - 15.749 128 13,804,547.69 10.30
15.750 - 15.999 208 22,606,271.90 16.87
16.000 - 16.249 62 6,886,422.20 5.14
16.250 - 16.499 102 10,792,664.86 8.05
16.500 - 16.749 77 7,507,450.46 5.60
16.750 - 16.999 98 9,131,621.27 6.81
17.000 - 17.249 26 2,445,622.02 1.83
17.250 - 17.499 48 4,354,758.50 3.25
17.500 - 17.749 36 2,843,324.63 2.12
17.750 - 17.999 29 2,427,689.36 1.81
18.000 - 18.249 7 582,446.04 0.43
18.250 - 18.499 8 515,820.14 0.38
18.500 - 18.749 11 856,916.26 0.64
18.750 - 18.999 2 145,258.24 0.11
19.000 - 19.249 2 142,146.74 0.11
19.250 - 19.499 4 167,293.56 0.12
19.500 - 19.749 4 204,871.31 0.15
19.750 - 19.999 1 40,675.86 0.03
Greater than 19.999 6 370,452.60 0.28
----- -------------- ------
Total(1) 1,297 133,999,981.55 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding
[MERRILL LYNCH LOGO] 31
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
MINIMUM LOAN RATE OF INITIAL GROUP I ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Loans by Outstanding
Minimum Loan Rate Loans Balance Outstanding Principal Balance
----------------- --------- ------------------- --------------------
<S> <C> <C> <C>
Less than 7.250 10 1,030,367.02 0.77%
7.250 - 7.499 1 113,514.49 0.08
7.500 - 7.749 5 470,553.17 0.35
7.750 - 7.999 38 4,624,985.15 3.45
8.000 - 8.249 8 1,182,532.60 0.88
8.250 - 8.499 26 2,756,482.74 2.06
8.500 - 8.749 62 7,130,506.72 5.32
8.750 - 8.999 176 19,202,345.59 14.33
9.000 - 9.249 47 5,161,483.34 3.85
9.250 - 9.499 154 16,539,089.58 12.34
9.500 - 9.749 142 15,428,517.05 11.51
9.750 - 9.999 230 24,241,400.97 18.09
10.000 - 10.249 62 6,249,607.29 4.66
10.250 - 10.499 100 10,041,590.85 7.49
10.500 - 10.749 65 5,991,025.95 4.47
10.750 - 10.999 65 5,411,713.03 4.04
11.000 - 11.249 19 1,726,509.46 1.29
11.250 - 11.499 28 2,166,029.31 1.62
11.500 - 11.749 29 2,366,776.11 1.77
11.750 - 11.999 12 1,024,932.18 0.76
12.000 - 12.249 3 329,146.74 0.25
12.250 - 12.499 4 167,293.56 0.12
12.500 - 12.749 5 271,869.29 0.20
12.750 - 12.999 1 40,675.86 0.03
13.000 - 13.249 2 90,034.56 0.07
13.250 - 13.499 2 209,554.81 0.16
15.500 - 15.749 1 31,444.13 0.02
----- -------------- ------
1,297 133,999,981.55 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding
[MERRILL LYNCH LOGO] 32
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
GROUP II
THE INITIAL HOME EQUITY LOAN POOL
INITIAL GROUP II ADJUSTABLE RATE HOME EQUITY LOANS
Number of Loans in pool: 409
Wgt. Avg. Loan Rate: 9.477%
Range of Rates: 6.990% - 13.400%
Wgt. Avg. Orig. Maturity: 360
Wgt. Avg. Rem. Maturity: 358
Avg. Rem. Princ. Balance: 139,714.96
Wgt. Avg. CLTV: 86.55
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL GROUP II ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Adjustable
Rate Loans by
Number of % of Loan Pool by Aggregate Principal Outstanding
State Loans Number of Loans Balance Outstanding Principal Balance
- ----- --------- ----------------- ------------------- -----------------
<S> <C> <C> <C> <C>
Alabama 5 1.22% 293,128.70 0.51%
Arizona 10 2.44 1,281,915.13 2.24
California 35 8.56 7,396,477.21 12.94
Colorado 21 5.13 3,066,413.92 5.37
Connecticut 2 0.49 225,900.28 0.40
Delaware 1 0.24 403,650.00 0.71
Florioda 14 3.42 1,407,863.50 2.46
Georgia 5 1.22 850,875.83 1.49
Idaho 4 0.98 411,853.45 0.72
Illinois 12 2.93 1,730,558.93 3.03
Indiana 19 4.65 1,656,204.51 2.90
Iowa 2 0.49 99,199.05 0.17
Kansas 1 0.24 100,113.41 0.18
Kentucky 8 1.96 688,782.64 1.21
Louisiana 6 1.47 474,438.59 0.83
Maryland 27 6.60 6,078,818.80 10.64
Massachusetts 7 1.71 1,206,837.42 2.11
Michigan 26 6.36 2,577,190.00 4.51
Minnesota 9 2.20 1,125,643.75 1.97
Mississippi 5 1.22 482,818.61 0.84
Missouri 9 2.20 851,693.94 1.49
Montana 2 0.49 357,019.69 0.62
Nebraska 1 0.24 101,136.05 0.18
Nevada 7 1.71 1,610,105.40 2.82
New Hampshire 1 0.24 60,215.79 0.11
New Jersey 3 0.73 706,194.57 1.24
New York 7 1.71 1,165,492.57 2.04
North Carolina 20 4.89 2,179,618.46 3.81
Ohio 32 7.82 3,000,601.32 5.25
Oklahoma 2 0.49 56,950.96 0.10
Oregon 17 4.16 2,653,927.21 4.64
</TABLE>
[MERRILL LYNCH LOGO] 33
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
% of Adjustable
Rate Loans by
Number of % of Loan Pool by Aggregate Principal Outstanding
State Loans Number of Loans Balance Outstanding Principal Balance
- ----- --------- ----------------- ------------------- -----------------
<S> <C> <C> <C> <C>
Pennsylvania 6 1.47 413,453.55 0.72
Rhode Island 1 0.24 46,723.87 0.08
South Carolina 5 1.22 362,624.91 0.63
Tennessee 8 1.96 864,126.29 1.51
Texas 12 2.93 1,538,308.50 2.69
Utah 10 2.44 1,197,156.90 2.10
Vermont 1 0.24 86,657.35 0.15
Virginia 20 4.89 4,371,098.80 7.65
Washington 20 4.89 3,323,285.54 5.82
West Virginia 3 0.73 383,950.92 0.67
Wisconsin 3 0.73 254,393.21 0.45
--- ------ ------------- ------
409 100.00% 57,143,419.53 100.00%
</TABLE>
- ---------------
* Percentages do not add to 100% due to rounding.
[MERRILL LYNCH LOGO] 34
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
YEARS OF ORIGINATION OF INITIAL GROUP II ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Loans by Outstanding
Year of Origination Loans Balance Outstanding Principal Balance
------------------- --------- ------------------- --------------------
<S> <C> <C> <C>
1998 47 4,915,614.30 8.60%
1999 362 52,227,805.23 91.40
--- ------------- ------
Total(1) 409 57,143,419.53 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding.
DISTRIBUTION OF ORIGINAL INITIAL GROUP II
ADJUSTABLE RATE HOME EQUITY LOAN AMOUNTS
<TABLE>
<CAPTION>
% of Adjustable Rate
Original Loan Number of Aggregate Principal Loans by Outstanding
Amount (in Dollars) Loans Balance Outstanding Principal Balance
- ------------------- --------- ------------------- --------------------
<S> <C> <C> <C>
20,000.00 - 29,999.99 5 122,387.45 0.21%
30,000.00 - 39,999.99 21 720,608.79 1.26
40,000.00 - 49,999.99 16 723,585.96 1.27
50,000.00 - 59,999.99 21 1,181,188.16 2.07
60,000.00 - 69,999.99 37 2,414,525.44 4.23
70,000.00 - 79,999.99 26 1,928,165.35 3.37
80,000.00 - 89,999.99 26 2,184,251.11 3.82
90,000.00 - 99,999.99 23 2,171,101.31 3.80
100,000.00 - 109,999.99 22 2,287,193.04 4.00
110,000.00 - 119,999.99 21 2,408,227.68 4.21
120,000.00 - 129,999.99 16 2,002,798.64 3.50
130,000.00 - 139,999.99 19 2,586,069.75 4.53
140,000.00 - 149,999.99 13 1,882,273.47 3.29
150,000.00 - 159,999.99 10 1,548,296.38 2.71
160,000.00 - 169,999.99 13 2,148,126.63 3.76
170,000.00 - 179,999.99 6 1,036,954.38 1.81
180,000.00 - 189,999.99 7 1,288,653.99 2.26
190,000.00 - 199,999.99 10 1,944,396.73 3.40
200,000.00 - 249,999.99 28 6,453,885.96 11.29
250,000.00 - 299,999.99 44 11,918,994.51 20.86
300,000.00 - 349,999.99 21 6,664,746.11 11.66
350,000.00 - 399,999.99 3 1,123,338.69 1.97
Greater than 399,999.99 1 403,650.00 0.71
--- ------------- ------
Total(1) 409 57,143,419.53 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding.
[MERRILL LYNCH LOGO] 35
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL
GROUP II ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Loans by Outstanding
Months Remaining Loans Balance Outstanding Principal Balance
- ---------------- --------- ------------------- --------------------
<S> <C> <C> <C>
331 - 360 409 57,143,419.53 100.00%
--- ------------- -------
Total(1) 409 57,143,419.53 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding.
INITIAL GROUP II ADJUSTABLE RATE HOME EQUITY LOAN RATES
<TABLE>
<CAPTION>
% of Adjustable Rate
Range of Loans by Number of Aggregate Principal Loans by Outstanding
Loan Rates Loans Balance Outstanding Principal Balance
- ----------------- --------- ------------------- --------------------
<S> <C> <C> <C>
Less than 8.001 13 2,426,470.87 4.25%
8.001 - 9.000 103 18,331,497.35 32.08
9.001 - 10.000 189 25,827,649.60 45.20
10.001 - 11.000 80 8,509,405.53 14.89
11.001 - 12.000 18 1,703,254.89 2.98
12.001 - 13.000 2 168,542.41 0.29
13.001 - 14.000 4 176,598.88 0.31
--- ------------- ------
409 57,143,419.53 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding.
COMBINED LOAN-TO-VALUE RATIO OF INITIAL
GROUP II ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Loans by Outstanding
Combined Loan-to-Value Ratio Loans Balance Outstanding Principal Balance
- ---------------------------- --------- ------------------- --------------------
<S> <C> <C> <C>
Less than - 40.01 3 178,477.14 0.31%
40.01 - 50.00 1 65,442.30 0.11
50.01 - 60.00 5 318,038.28 0.56
60.01 - 70.00 21 1,766,478.67 3.09
70.01 - 80.00 110 13,144,543.41 23.00
80.01 - 90.00 189 28,244,367.44 49.43
Greater than 90.00 80 13,426,072.29 23.50
--- ------------- ------
Total(1) 409 57,143,419.53 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding.
[MERRILL LYNCH LOGO] 36
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
MONTH OF NEXT RATE ADJUSTMENT OF INITIAL
GROUP II ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Adjustable Rate
Month of Next Rate Number of Aggregate Principal Loans by Outstanding
Adjustment Loans Balance Outstanding Principal Balance
------------------ --------- ------------------- --------------------
<S> <C> <C> <C>
1999-12 1 93,144.49 0.16%
2000-03 2 168,971.70 0.30
2000-04 1 257,600.59 0.45
2000-05 5 506,398.19 0.89
2000-06 14 1,142,197.12 2.00
2000-07 12 1,006,628.48 1.76
2000-08 3 504,815.75 0.88
2000-09 2 88,707.80 0.16
2000-10 1 136,206.85 0.24
2000-11 3 334,694.13 0.59
2000-12 1 287,061.20 0.50
2001-02 2 98,899.47 0.17
2001-03 3 447,417.64 0.78
2001-04 12 2,092,073.53 3.66
2001-05 76 10,431,381.64 18.25
2001-06 171 26,087,752.00 45.65
2001-07 83 11,570,393.99 20.25
2001-08 7 908,908.10 1.59
2002-05 4 519,917.20 0.91
2002-06 6 460,249.66 0.81
--- ------------- ------
409 57,143,419.53 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding
LIEN POSITION OF INITIAL GROUP II ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Loans by Outstanding
Lien Loans Balance Outstanding Principal Balance
------ --------- ------------------- --------------------
<S> <C> <C> <C>
First 409 57,143,419.53 100.00%
--- ------------- -------
Total(1) 409 57,143,419.53 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding
[MERRILL LYNCH LOGO] 37
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
DISTRIBUTION OF GROSS MARGIN OF INITIAL
GROUP II ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Loans by Outstanding
Gross Margin (%) Loans Balance Outstanding Principal Balance
- ---------------- --------- ------------------- --------------------
<S> <C> <C> <C>
4.250 - 4.499 1 247,843.26 0.43%
4.500 - 4.749 1 167,862.01 0.29
4.750 - 4.999 2 392,681.13 0.69
5.000 - 5.249 7 918,990.46 1.61
5.250 - 5.499 7 1,305,523.66 2.28
5.500 - 5.749 13 1,759,104.76 3.08
5.750 - 5.999 39 6,931,239.13 12.13
6.000 - 6.249 43 7,603,901.71 13.31
6.250 - 6.499 57 9,020,513.57 15.79
6.500 - 6.749 47 5,940,505.84 10.40
6.750 - 6.999 60 9,347,631.50 16.36
7.000 - 7.249 31 3,499,032.03 6.12
7.250 - 7.499 28 2,410,639.63 4.22
7.500 - 7.749 30 3,492,149.83 6.11
7.750 - 7.999 14 1,342,666.93 2.35
8.000 - 8.249 10 1,013,555.21 1.77
8.250 - 8.499 5 545,504.41 0.95
8.500 - 8.749 3 398,980.38 0.70
8.750 - 8.999 1 23,717.44 0.04
9.000 - 9.249 1 74,390.24 0.13
9.250 - 9.499 2 183,839.18 0.32
9.750 - 9.999 2 131,950.51 0.23
10.000 - 10.249 1 130,852.80 0.23
10.250 - 10.499 1 74,873.49 0.13
11.000 - 11.249 2 148,916.69 0.26
11.500 - 11.749 1 36,553.73 0.06
--- ------------- ------
Total(1) 409 57,143,419.53 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding
[MERRILL LYNCH LOGO] 38
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
MAXIMUM LOAN RATE OF INITIAL GROUP II ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Loans by Outstanding
Maximum Loan Rate Loans Balance Outstanding Principal Balance
- ----------------- --------- ------------------- --------------------
<S> <C> <C> <C>
Less than 13.500 3 499,595.54 0.87%
13.500 - 13.749 1 68,250.00 0.12
13.750 - 13.999 10 1,962,986.78 3.44
14.000 - 14.249 3 508,717.45 0.89
14.250 - 14.499 7 1,434,331.82 2.51
14.500 - 14.749 17 2,938,824.87 5.14
14.750 - 14.999 48 7,985,931.28 13.98
15.000 - 15.249 13 1,911,045.03 3.34
15.250 - 15.499 50 7,019,952.68 12.28
15.500 - 15.749 33 4,956,908.72 8.67
15.750 - 15.999 87 13,047,708.26 22.83
16.000 - 16.249 13 1,550,084.89 2.71
16.250 - 16.499 27 3,316,148.69 5.80
16.500 - 16.749 25 2,824,012.53 4.94
16.750 - 16.999 26 3,213,093.07 5.62
17.000 - 17.249 14 1,583,202.57 2.77
17.250 - 17.499 10 750,196.70 1.31
17.500 - 17.749 4 333,261.95 0.58
17.750 - 17.999 4 256,118.20 0.45
18.000 - 18.249 5 326,916.52 0.57
18.250 - 18.499 1 108,800.00 0.19
18.500 - 18.749 1 114,715.22 0.20
18.750 - 18.999 2 130,217.88 0.23
19.000 - 19.249 2 148,470.46 0.26
20.000 - 20.249 3 153,928.42 0.27
--- ------------- ------
Total(1) 409 57,143,419.53 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding
[MERRILL LYNCH LOGO] 39
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
MINIMUM LOAN RATE OF INITIAL GROUP II ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Loans by Outstanding
Minimum Loan Rate Loans Balance Outstanding Principal Balance
----------------- --------- ------------------- --------------------
<S> <C> <C> <C>
Less than 7.500 2 496,696.72 0.87%
7.500 - 7.749 2 132,096.42 0.23
7.750 - 7.999 12 2,326,565.71 4.07
8.000 - 8.249 5 890,828.85 1.56
8.250 - 8.499 9 1,880,011.40 3.29
8.500 - 8.749 19 3,335,607.40 5.84
8.750 - 8.999 66 11,469,797.14 20.07
9.000 - 9.249 13 2,131,616.55 3.73
9.250 - 9.499 55 7,632,814.60 13.36
9.500 - 9.749 37 5,343,168.57 9.35
9.750 - 9.999 82 10,902,419.26 19.08
10.000 - 10.249 21 1,816,860.19 3.18
10.250 - 10.499 24 2,482,755.83 4.34
10.500 - 10.749 22 2,498,619.07 4.37
10.750 - 10.999 15 1,656,300.95 2.90
11.000 - 11.249 8 982,535.49 1.72
11.250 - 11.499 5 311,346.75 0.54
11.500 - 11.749 2 181,250.77 0.32
11.750 - 11.999 3 201,186.57 0.35
12.000 - 12.249 3 294,342.41 0.52
13.000 - 13.249 1 22,670.46 0.04
13.250 - 13.499 3 153,928.42 0.27
--- ------------- ------
409 57,143,419.53 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding
[MERRILL LYNCH LOGO] 40
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CPR PREPAYMENT SENSITIVITIES
FOR POOL CERTIFICATES
<TABLE>
<CAPTION>
60% of 80% of 100% of 120% of 140% of
Prepayment Prepayment Prepayment Prepayment Prepayment
Model* Model* Model* Model* Model*
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
To Call
A - 1A ARM 3.98 11/08 2.96 07/06 2.29 03/05 1.82 01/04 1.49 02/03
A - 1B ARM 3.98 11/08 2.96 07/06 2.29 03/05 1.82 01/04 1.49 02/03
A - 1 1.04 07/01 0.86 03/01 0.75 12/00 0.67 11/00 0.61 09/00
A - 2 3.11 08/04 2.43 06/03 2.00 08/02 1.72 03/02 1.51 11/01
A - 3 5.79 08/06 4.47 01/05 3.42 10/03 2.75 11/02 2.37 05/02
A - 3A 5.17 11/09 3.95 07/06 3.19 03/05 2.63 03/04 2.21 07/03
A - 4 1.63 05/01 1.63 05/01 1.63 05/01 1.63 05/01 1.63 05/01
M - 1 8.96 09/08 6.79 07/06 5.46 03/05 4.46 03/04 3.79 07/03
M - 2 8.96 09/08 6.79 07/06 5.46 03/05 4.46 03/04 3.79 07/03
B - 1 5.35 07/06 4.13 01/05 3.77 07/04 3.77 03/04 3.63 07/03
B - 2 8.57 09/08 6.52 07/06 5.42 03/05 4.46 03/04 3.79 07/03
To Maturity
A - 3A 5.35 11/09 4.10 07/07 3.27 10/05 2.66 07/04 2.21 08/03
M - 1 11.46 03/13 8.80 02/10 6.96 12/07 5.56 05/06 4.53 02/05
M - 2 13.53 10/14 10.90 05/12 9.04 05/10 7.60 10/08 6.48 08/07
B - 1 5.35 07/06 4.13 01/05 3.77 07/04 3.92 12/04 3.95 06/04
B - 2 10.37 09/12 8.06 01/10 7.01 05/08 6.20 04/07 5.51 06/06
</TABLE>
- ---------------
(1) The Certificates (other than the Class A-1A ARM and the Class A-1B ARM
Certificates) will be priced, with respect to the Group I Fixed Rate Home
Equity Loans, using 125% of the Base Prepayment Assumption, and with
respect to the Group II Fixed Rate Home Equity Loans, using 100% of the
Base Prepayment Assumption. The Base Prepayment Assumption assumes a
conditional prepayment rate of 4% per annum of the then outstanding
principal balance of the Fixed Rate Home Equity Loans in the first month of
the life of the Fixed Rate Home Equity Loans and an additional 1.45%
(precisely, 16/11%) per annum in each month thereafter until the twelfth
month. Beginning in the twelfth month and in each month thereafter, the
conditional prepayment rate is 20%. The Class A-1A ARM and Class A-1B ARM
Certificates will be priced, with respect to the Adjustable Rate Home
Equity Loans, using a constant prepayment rate of 30% CPR.
[MERRILL LYNCH LOGO] 41
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
EXHIBIT 99.2
(Corrected Page)
TERM SHEET DATED September 22, 1999
Conseco Finance Securitizations Corp.
Certificates for Home Equity Loans, Series 1999-F
$750,000,000 (Approximate)
Subject to Revision
SELLER: Conseco Finance Securitizations Corp.
SERVICER: Green Tree Financial Corporation ("Green Tree")
TRUSTEE: U.S. Bank Trust National Association
LEAD UNDERWRITERS: Chase Securities (Co-Lead), Merrill Lynch (Co-Lead)
CO-UNDERWRITERS: Credit Suisse First Boston (Co), First Union Capital
Markets (Co), Lehman Brothers (Co)
OFFERED CERTIFICATES:
<TABLE>
<CAPTION>
Ratings WAL at Exp Final
Amount (S&P/Fitch) Prepayment Model(1) Maturity
------ ----------- ------------------- --------
<S> <C> <C> <C> <C>
To Call*:
A-1A ARM $175,000,000 AAA / AAA 2.29 03/05
(Conforming Balance (Conforming Balance
Loans) Loans)
A-1B ARM 75,000,000 AAA / AAA 2.29 03/05
A-1 88,000,000 AAA / AAA 0.75 12/00
A-2 124,500,000 AAA / AAA 2.00 08/02
A-3 39,368,000 AAA / AAA 3.42 10/03
A-3A 95,881,580 AAA / AAA 3.19 03/05
A-4 IO (2) 75,000,000 AAA / AAA 1.63 05/01
M-1 42,375,000 AA / AA 5.46 03/05
M-2 43,875,000 A / A 5.46 03/05
B-1 26,250,000 BBB / BBB 3.77 07/04
B-2 28,500,420 BBB-/BBB+ 5.42 03/05
To Maturity
A-3A 95,881,580 AAA / AAA 3.27 10/05
M-1 42,375,000 AA / AA 6.96 12/07
M-2 43,875,000 A / A 9.04 05/10
B-2 28,500,420 BBB-/BBB+ 7.01 05/08
</TABLE>
OTHER CERTIFICATES: The Class B-2 Certificates are not offered hereby.
They will be retained by the Seller or an affiliate
thereof.
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(1) The Certificates (other than the Class A-1A ARM Certificates, the Class
A-1B ARM Certificates and the Class A-3A Certificates) will be priced, with
respect to the Group I Fixed Rate Home Equity Loans, using 125% of the Base
Prepayment Assumption. The Class A-3A Certificates will be priced, with
respect to the Group II Fixed Rate Home Equity Loans, using 100% of the
Base Prepayment Assumption. The Base Prepayment Assumption assumes a
conditional prepayment rate of 4% per annum of the then outstanding
principal balance of the Fixed Rate Home Equity Loans in the first month of
the life of the Fixed Rate Home Equity Loans and an additional 1.45%
(precisely, 16/11%) per annum in each month thereafter until the twelfth
month. Beginning in the twelfth month and in each month thereafter, the
assumed conditional prepayment rate is 20%. The Class A-1A ARM Certificates
and Class A-1B ARM Certificates will be priced, with respect to the
Adjustable Rate Home Equity Loans, using a constant prepayment rate of 30%
CPR.
(2) Interest will be based on a notional principal amount which will equal
$75,000,000 (or the Class A Principal Balance for such Payment Date, if
less) for the first 20 Payment Dates, and will thereafter equal zero. The
Class A-4 IO Certificates are interest-only Certificates and are not
entitled to receive distributions of principal.
* Call at 20%, as further described herein.
[MERRILL LYNCH LOGO] 3
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
