<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): December 5, 1996
GREEN TREE FINANCIAL CORPORATION
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in its charter)
Delaware 01-08916 41-1807858
- ---------------------------- ------------------------ -------------------
(State or other Jurisdiction (Commission File Number) (I.R.S. Employer
of incorporation) Identification No.)
1100 Landmark Towers, 345 St. Peter Street, Saint Paul, Minnesota 55102-1639
- -------------------------------------------------------------------------------
(Address of principal executive offices)
Registrant's telephone number, including area code: (612) 293-3400
--------------
Not Applicable
- -------------------------------------------------------------------------------
(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 Accounting.
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
2
<PAGE>
(c) Exhibits.
The following is filed herewith. The exhibit numbers correspond
with Item 601(b) of Regulation S-K.
Exhibit No. Description
----------- -----------
99 External Computational and Descriptive
Information distributed in connection with
$800,000,000 Manufactured Housing Contract
Senior/Subordinate Pass-Through
Certificates, Series 1996-10.
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.
Date: December 9, 1996 GREEN TREE FINANCIAL CORPORATION
By: /s/ Phyllis A. Knight
_____________________________
Phyllis A. Knight
Vice President and Treasurer
3
<PAGE>
INDEX TO EXHIBITS
Exhibit
Number Page
------ ----
99 External Computational and Descriptive 5
Information distributed in connection
with $800,000,000 Manufactured Housing
Contract Senior/Subordinate Pass-Through
Certificates, Series 1996-10.
4
<PAGE>
<TABLE>
<CAPTION>
Exhibit 99
TERM SHEET DATED DECEMBER 5, 1996
GREEN TREE FINANCIAL CORPORATION
MANUFACTURED HOUSING CONTRACT SENIOR/SUBORDINATE
PASS-THROUGH CERTIFICATES, SERIES 1996-10
$800,000,000 (APPROXIMATE)
Subject to Revision
SELLER/SERVICER: Green Tree Financial Corporation ("Green Tree").
TRUSTEE: Firstar Trust Company, Milwaukee, Wisconsin.
UNDERWRITERS: Merrill Lynch & Co. (Lead), Lehman Brothers, Salomon
Brothers Inc
Ratings WAL Exp Final
Amount (S&P/Fitch) @ 150% MHP Maturity
------ ----------- ----------- ----------
<S> <C> <C> <C> <C>
To Call:
A-1 $ 53,500,000 AAA/AAA 0.51 12
A-2 $100,000,000 AAA/AAA 1.65 28
A-3 $ 95,000,000 AAA/AAA 3.01 45
A-4 $138,500,000 AAA/AAA 5.16 83
A-5 $ 88,500,000 AAA/AAA 8.24 117
A-6 $200,500,000 AAA/AAA 14.54 215
M-1 $ 64,000,000 AA-/AA- 10.55 215
B-1 $ 32,000,000 BBB+/BBB+ 6.82 123
B-2 $ 28,000,000 A-/A 15.36 215
To Maturity
A-6 $200,500,000 AAA/AAA 15.43 309
M-1 $ 64,000,000 AA-/AA- 10.99 309
B-2 $ 28,000,000 A-/A 20.93 363
</TABLE>
CUT-OFF DATE: December 1, 1996 (or the date of origination, if later)
EXP. PRICING: December 6, 1996
EXP. SETTLEMENT: December 31, 1996
INTEREST/PRINCIPAL: The 15th day of each month (or if such 15th day is not a
business day, the next succeeding business day), commencing
on January 15,1997.
ERISA: Class A Certificates are ERISA eligible, subject to the
conditions set forth in the Prospectus Supplement. The
Class M-1, B-1 and B-2 Certificates will not be sold to
benefit plans unless such plans deliver a legal opinion to
the Trustee, stating that assets of the Trust are not
deemed "plan assets".
SMMEA: Class A and M-1 Certificates are SMMEA eligible. Class B-1
and B-2 Certificates are not SMMEA eligible.
TAX STATUS: The Trust will elect to be treated as a REMIC for federal
income tax purposes.
OPTIONAL REDEMPTION: Less than 10% of the original pool balance outstanding.
[LOGO OF MERRILL LYNCH] 1
- --------------------------------------------------------------------------------
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>
STRUCTURE
CREDIT ENHANCEMENT: Class A: 15.5% subordination (Class M-1, B-1, and B-2) &
Residual (Class C)
Class M-1: 7.5% subordination (Class B-1 and B-2) &
Residual (Class C)
Class B-1: 3.5% subordination (Class B-2) & Residual
(Class C)
Class B-2: Limited Guarantee plus Residual (Class C)
DISTRIBUTIONS: The Amount Available on each Remittance Date generally
includes the sum of (a) payments on the Contracts due and
received during the preceding month, (b) prepayments and
other unscheduled collections received during the preceding
month and (c) all collections of principal on the Contracts
received during the current month up to and including the
third business day prior to such Remittance Date (but in no
event later than the 10th day of the month in which the
Remittance Date occurs), minus (d) with respect to all
Remittance Dates other than January 15, 1997, all
collections of principal on the Contracts received during
the preceding month up to but excluding the third business
day prior to the preceding Remittance Date (but in no event
later than the 10th day of the prior month). The Amount
Available will generally be applied first to the
distribution of interest on Class A, M-1 and B-1
Certificates, then to the distribution of principal on
Class A, M-1 and B-1 Certificates, and finally to the
distribution of interest and principal on Class B-2
Certificates.
INTEREST
(Class A, M-1, B-1): Interest will be distributable first to each Class of Class
A Certificates concurrently, then to the Class M-1
Certificates and then to the Class B-1 Certificates.
Interest on the outstanding Class A Principal Balance,
Class M-1 Adjusted Principal Balance and Class B-1 Adjusted
Principal Balance, as applicable, will accrue from the
Settlement Date, or from the most recent Remittance Date on
which interest has been paid to but excluding the following
Remittance Date.
Interest shortfall will be carried forward, and will bear
interest at the applicable Remittance Rate, to the extent
legally permissible.
After payment of all principal distributable on the Class
M-1 Certificates (see below), any accrued and unpaid Class
M-1 Liquidation Loss Amount will be distributed to the
extent available. After payment of all principal
distributable on the Class B-1 Certificates (see below),
any accrued and unpaid Class B-1 Liquidation Loss Amount
will be distributed to the extent available.
The Class M-1 Adjusted Principal Balance is the Class M-1
Principal Balance less any Class M-1 Liquidation Loss
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 B-1 Adjusted Principal Balance is the Class B-1
Principal Balance less any Class B-1 Liquidation Loss
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, B-1): After the payment of all interest distributable to Class A,
Class M-1 and Class B-1 Certificateholders, principal will
be distributed in the following manner.
The Class A Percentage will be distributed sequentially to
the Class A-1, A-2, A-3, A-4, A-5 and A-6
Certificateholders.
[LOGO OF MERRILL LYNCH] 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>
The Class A Percentage for any Remittance Date will equal a
fraction, expressed as a percentage, the numerator of which
is the Class A Principal Balance as of such Remittance
Date, and the denominator of which is the sum of: (i) the
Class A Principal Balance and (ii) if the Class M-1
Distribution Test is satisfied on such Remittance Date, the
Class M-1 Principal Balance, otherwise zero, and (iii) if
the Class B Distribution Test is satisfied on such
Remittance Date, the Class B Principal Balance, otherwise
zero, all as of such Remittance Date.
The Class M-1 Certificateholders will be entitled to
receive principal on each Remittance Date on which (i) the
Class A Principal Balance has been reduced to zero or (ii)
the Class M-1 Distribution Test is satisfied.
The Class M-1 Percentage for any Remittance Date will equal
(a) zero, if the Class A Principal Balance has not yet been
reduced to zero and the Class M-1 Distribution Test is not
satisfied or (b) a fraction, expressed as a percentage, the
numerator of which is the Class M-1 Principal Balance as of
such Remittance Date, and the denominator of which is the
sum of: (i) the Class A Principal Balance, if any, and (ii)
the Class M-1 Principal Balance and (iii) if the Class B
Distribution Test is satisfied on such Remittance Date, the
Class B Principal Balance, otherwise zero, all as of such
Remittance Date.
The Class M-1 Distribution Test will be satisfied if each
of the following tests is satisfied: (i) the Remittance
Date occurs in or after January 2001; (ii) the Average
Sixty-Day Delinquency Ratio Test (as defined in the
Agreement) as of such Remittance Date must not exceed 3.5%;
(iii) the Average Thirty-Day Delinquency Ratio Test (as
defined in the Agreement) as of such Remittance Date must
not exceed 5.5%; (iv) Cumulative Realized Losses (as
defined in the Agreement) as of such Remittance Date must
not exceed a certain specified percentage of the Cut-off
Date Pool Principal Balance, depending on the year in which
such Remittance Date occurs; (v) the Current Realized Loss
Ratio ( as defined in the Agreement) as of such Remittance
Date must not exceed 2.25%; and (vi) the sum of the Class
M-1 Principal Balance and the Class B Principal Balance
divided by the Pool Scheduled Principal Balance as of the
immediately preceding Remittance Date must be equal to or
greater than 23.25%.
The Class B-1 Certificateholders will be entitled to
receive principal on each Remittance Date on which (i) the
Class A Principal Balance and Class M-1 Principal Balance
have been reduced to zero or (ii) the Class B Distribution
Test is satisfied.
The Class B Percentage for any Remittance Date will equal
(a) zero, if the Class A Principal Balance and the Class
M-1 Principal Balance have not yet been reduced to zero and
the Class B Distribution Test is not satisfied or (b) a
fraction, expressed as a percentage, the numerator of which
is the Class B Principal Balance as of such Remittance
Date, and the denominator of which is the sum of: (i) the
Class A Principal Balance, if any, and (ii) the Class M-1
Principal Balance, if any, and (iii) the Class B Principal
Balance, all as of such Remittance Date.
The Class B Distribution Test will be satisfied if each of
the following tests is satisfied: (i) the Remittance Date
occurs in or after January 2001; (ii) the Average Sixty-Day
Delinquency Ratio Test (as defined in the Agreement) as of
such Remittance Date must not exceed 3.5%; (iii) the
Average Thirty-Day Delinquency Ratio Test (as defined in
the Agreement) as of such Remittance
[LOGO OF MERRILL LYNCH] 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>
Date must not exceed 5.5%; (iv) the Cumulative Realized
Losses (as defined in the Agreement) as of such Remittance
Date must not exceed a certain specified percentage of the
Cut-off Date Pool Principal Balance, depending on the year
in which such Remittance Date occurs; (v) the Current
Realized Loss Ratio (as defined in the Agreement) as of
such Remittance Date must not exceed 2.25%; (vi) the Class
B Principal Balance divided by the Pool Scheduled
Principal Balance as of the immediately preceding
Remittance Date must be equal to or greater than 11.25%;
and (vii) the Class B Principal Balance must not be less
than $16,000,000.
INTEREST
(Class B-2): Interest on the outstanding Class B-2 Principal Balance
will accrue from the Settlement Date, or from most recent
Remittance Date on which interest has been paid to but
excluding the following Remittance Date.
To the extent of (i) the Amount Available on a Remittance
Date after payment of all interest and principal then
payable on the Class A, Class M-1 and Class B-1
Certificates, and (ii) the Guarantee Payment, if any, for
such date, interest will be paid to the Class B-2
Certificateholders at the Class B-2 Remittance Rate on the
Class B-2 Principal Balance.
The Class B-2 Principal Balance is the Original Class B-2
Principal Balance less all amounts previously distributed
on account of principal of the Class B-2 Certificates.
Interest shortfall will be carried forward, and will bear
interest at the Class B-2 Remittance Rate to the extent
legally permissible.
PRINCIPAL
(Class B-2): The Class B-2 Certificateholders will be entitled to
receive principal on each Remittance Date on which: (i)
the Class B-1 Principal Balance has been reduced to zero
and (ii) the Class B Distribution Test is satisfied,
provided however that if the Class A, Class M-1 and Class
B-1 Principal Balances have been reduced to zero, the
Class B-2 Certificateholders will nevertheless be entitled
to receive principal.
The Company will be obligated under the Limited Guarantee
to pay the amount, if any, by which the Class B Percentage
of the Formula Principal Distribution Amount for the
Remittance Date exceeds the Class B-2 Remaining Amount
Available after payment of interest on the Class B-2
Certificates. On each Remittance Date, Class B-2
Certificateholders will be entitled to receive, pursuant
to the Limited Guarantee, any Class B-2 Liquidation Loss
Amount for such Remittance Date.
LOSSES ON LIQUIDATED
CONTRACTS: If Net Liquidation Proceeds from Liquidated Contracts in
the respective collection period are less than the
Scheduled Principal Balance of such Liquidated Contract,
the shortfall amount will be absorbed by the Class C
Certificateholders, then the Guarantee Fee otherwise
payable to the Company, then the Monthly Servicing Fee (as
long as Green Tree is the Servicer), then the Class B-2
Certificateholders, then the Class B-1 Certificateholders,
and then the Class M-1 Certificateholders.
[LOGO]
4
================================================================================
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>
CONTRACTS: The information concerning the Initial Contracts presented
below is based on a pool originated through November 30,
1996. Green Tree intends to acquire and sell additional
Contracts, which are sufficient to support the balance of
Certificates sold, to the Trust by the Closing Date. Although
the characteristics of the final pool of Contracts will
differ from the characteristics of the Initial Contracts
shown below, Green Tree does not expect that the
characteristics of the additional Contracts sold to the Trust
will vary materially from the information concerning the
Initial Contracts herein.
<TABLE>
<CAPTION>
THE INITIAL CONTRACT POOL
<S> <C> <C> <C>
Number of MHCs in pool: 14,498
Wgt. Avg. Contract Rate: 10.05%
Range of Rates: 5.74% - 16.75%
Wgt. Avg. Orig. Maturity: 305 mos.
Range of Orig. Maturity: 21-360 mos.
Wgt. Avg. Rem. Maturity: 305 mos.
Range of Rem. Maturity: 20-360 mos.
Avg. Rem Princ. Balance: $38,129.13
Wgt. Avg. LTV 86.35%
New/Used: 83%/17%
Single/Double 29%/71%
Park/Private 25%/75%
</TABLE>
<TABLE>
<CAPTION>
GEOGRAPHIC DISTRIBUTION OF INITIAL CONTRACT OBLIGORS
% of Contract % of Contract Pool
Number Pool by Number Aggregate Principal by Outstanding
State of Contracts of Contracts Balance Outstanding Principal Balance
- ------ -------------- -------------------- ------------------- ------------------
<S> <C> <C> <C> <C>
NC 1,850 12.77% $ 66,710,448.41 12.07%
MI 1,001 6.91% 51,068,696.99 9.24%
TX 1,090 7.53% 36,181,970.51 6.55%
SC 817 5.64% 29,846,694.92 5.40%
Other States/(1)/ 9,740 67.15% 368,988,312.29 66.74%
------ ------ --------------- ------
Total 14,498 100.00% $552,796,123.12 100.00%
====== ====== =============== ======
</TABLE>
- ----------
(1) Other States category includes those States which consitute less than 5.00%
of the outstanding balance of the Initial Pool of Contracts.
5
[LOGO]
================================================================================
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 CONTRACTS
<TABLE>
<CAPTION>
% of Contract Pool
Number of Aggregate Principal by Outstanding
Year of Origination(1) Contracts Balance Outstanding Principal Balance
- ---------------------- --------- ------------------- ------------------
<S> <C> <C> <C>
1983 1 $ 4,803.36 *
1984 1 13,370.21 *
1985 5 78,871.97 0.01%
1986 8 99,703.32 0.02%
1987 30 481,809.45 0.09%
1988 69 1,203,133.33 0.22%
1989 143 2,845,468.00 0.51%
1990 252 5,358,053.10 0.97%
1991 224 4,898,881.15 0.89%
1992 45 1,123,888.05 0.20%
1993 3 48,422.62 0.01%
1994 52 1,315,316.65 0.24%
1995 71 2,482,659.10 0.45%
1996 13,594 532,841,742.81 96.39%
------ --------------- ------
Total 14,498 $552,796,123.12 100.00%
====== =============== ======
</TABLE>
DISTRIBUTION OF ORIGINAL AMOUNTS OF INITIAL CONTRACTS
<TABLE>
<CAPTION>
% of Contract Pool
Original Contract Number of Aggregate Principal by Outstanding
Amount (in Dollars)(2) Contracts Balance Outstanding Principal Balance
- ---------------------- --------- ------------------- ------------------
<S> <C> <C> <C>
Less than $10,000 754 $ 5,878,549.60 1.06%
$10,000 - $19,999 2,604 39,166,727.02 7.09%
$20,000 - $29,999 3,266 81,130,744.97 14.68%
$30,000 - $39,999 2,491 85,832,015.95 15.52%
$40,000 - $49,999 1,588 71,212,050.91 12.88%
$50,000 - $59,999 1,281 70,114,611.47 12.68%
$60,000 - $69,999 950 61,327,848.40 11.09%
$70,000 - $79,999 611 45,657,533.23 8.26%
$80,000 - $89,999 430 36,356,944.30 6.58%
$90,000 - $99,999 237 22,452,758.36 4.06%
$100,000 - $109,999 128 13,362,878.15 2.42%
$110,000 - $119,999 66 7,572,489.62 1.37%
$120,000 - $129,999 44 5,500,794.51 1.00%
$130,000 - $139,999 18 2,414,758.03 0.44%
$140,000 - $149,999 14 2,038,499.11 0.37%
$150,000 - $159,999 8 1,232,009.06 0.22%
$160,000 - $169,999 2 333,940.36 0.06%
$170,000 - $179,999 0 0.00 0.00%
$180,000 - $189,999 1 181,782.58 0.03%
$190,000 - $199,999 2 392,073.90 0.07%
$200,000 - $249,999 3 637,113.59 0.12%
------ --------------- ------
Total 14,498 $552,796,123.12 100.00%
====== =============== ======
</TABLE>
- -----------------
* Indicates an amount greater than zero but less than 0.005% of the aggregate
principal balance.
(1) The Contracts shown in the above table with earlier years of origination
primarily represent Contracts originated by the Company and subsequently
refinanced through the Company. The Company retains the first origination
dates on its records with respect to such refinanced Contracts.
(2) The largest original Contract amount is $223,587.06, which represent 0.04%
of the Initial Pool Principal Balance.
[LOGO MERRILL LYNCH] 6
- --------------------------------------------------------------------------------
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 LOAN-TO-VALUE RATIOS
<TABLE>
<CAPTION>
% of Contract Pool
Number of Aggregate Principal by Outstanding
Loan-to-Value Ratio(1) Contracts Balance Outstanding Principal Balance
- ---------------------- --------- ------------------- ------------------
<S> <C> <C> <C>
Lesser Than 61% 674 $ 21,278,786.92 3.85%
61 - 65% 253 10,209,384.75 1.85%
66 - 70% 337 13,558,605.73 2.45%
71 - 75% 471 21,346,441.58 3.86%
76 - 80% 1,196 44,310,964.55 8.02%
81 - 85% 1,740 68,425,784.34 12.38%
86 - 90% 4,636 175,187,857.90 31.69%
91 - 95% 5,191 198,478,297.35 35.90%
Over 95% 0 0.00 0.00%
------ --------------- ------
Total 14,498 $552,796,123.12 100.00%
====== =============== ======
</TABLE>
CONTRACT RATES
<TABLE>
<CAPTION>
% of Contract Pool
Range of Contracts by Number of Aggregate Principal by Outstanding
Contract Rate Contracts Balance Outstanding Principal Balance
- ------------- --------- ------------------- ------------------
<S> <C> <C> <C>
0.00% - 9.00% 2,629 $166,207,337.63 30.06%
9.01% - 10.00% 2,568 118,957,133.34 21.52%
10.01% - 11.00% 3,668 135,301,704.93 24.48%
11.01% - 12.00% 3,249 92,507,445.38 16.73%
12.01% - 13.00% 1,678 30,467,054.79 5.51%
13.01% - 14.00% 458 7,056,030.60 1.28%
14.01% - 15.00% 3 32,112.54 0.01%
15.01% - 16.00% 219 2,051,688.78 0.37%
16.01% - 17.00% 26 215,615.13 0.04%
------ --------------- ------
Total 14,498 $552,796,123.12 100.00%
====== =============== ======
</TABLE>
REMAINING MONTHS TO MATURITY
<TABLE>
<CAPTION>
% of Contract Pool
Number of Aggregate Principal by Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
- ---------------- --------- ------------------- ------------------
<S> <C> <C> <C>
Lesser Than 31 5 $ 33,815.10 0.01%
31 - 60 310 2,601,531.42 0.47%
61 - 90 809 11,260,574.00 2.04%
91 - 120 1,131 17,414,489.78 3.15%
121 - 150 366 6,745,354.65 1.22%
151 - 180 2,308 52,856,866.26 9.56%
181 - 210 30 874,106.61 0.16%
211 - 240 2,242 70,433,548.14 12.74%
241 - 270 2 67,152.73 0.01%
271 - 300 1,238 43,805,346.99 7.92%
301 - 330 0 0.00 0.00%
331 - 360 6,057 346,703,337.41 62.72%
------ --------------- ------
Total 14,498 $552,796,123.12 100.00%
====== =============== ======
</TABLE>
(1) Rounded to the nearest 1%. The method of calculating loan-to-value ratios
is described in the Prospectus.
[LOGO MERRILL LYNCH] 7
- --------------------------------------------------------------------------------
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>
MHP PREPAYMENT SENSITIVITIES
<TABLE>
<CAPTION>
0% MHP 75% MHP 100% MHP 135% MHP
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
To Call
A-1 2.12 / 11/00 0.79 / 06/98 0.66 / 03/98 0.55 / 01/98
A-2 6.53 / 12/05 2.57 / 09/00 2.16 / 01/00 1.77 / 07/99
A-3 10.95 / 11/09 4.79 / 12/02 4.00 / 12/01 3.25 / 01/01
A-4 15.86 / 12/15 8.17 / 09/07 6.88 / 02/06 5.59 / 06/04
A-5 20.91 / 12/19 12.62 / 07/11 10.82 / 09/09 8.91 / 07/07
A-6 26.46 / 04/25 20.21 / 10/20 18.08 / 09/18 15.49 / 11/15
M-1 22.26 / 04/25 15.16 / 10/20 13.30 / 09/18 11.22 / 11/15
B-1 18.45 / 05/20 10.48 / 01/12 8.88 / 02/10 7.28 / 11/07
B-2 26.86 / 04/25 21.04 / 10/20 18.92 / 09/18 16.27 / 11/15
To Maturity
A-6 26.66 / 09/26 20.87 / 10/25 18.89 / 01/25 16.39 / 07/23
M-1 22.36 / 09/26 15.49 / 10/25 13.69 / 01/25 11.66 / 07/23
B-2 27.79 / 03/27 24.24 / 03/27 23.09 / 03/27 21.58 / 03/27
150% MHP 175% MHP 200% MHP 300% MHP
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
To Call
A-1 0.51 / 12/97 0.46 / 11/97 0.42 / 10/97 0.31 / 07/97
A-2 1.65 / 04/99 1.48 / 02/99 1.34 / 11/98 0.99 / 05/98
A-3 3.01 / 09/00 2.69 / 04/00 2.44 / 12/99 1.79 / 03/99
A-4 5.16 / 11/03 4.51 / 12/02 3.99 / 04/02 2.81 / 07/00
A-5 8.24 / 09/06 7.22 / 08/05 6.37 / 08/04 4.11 / 12/01
A-6 14.54 / 11/14 13.05 / 03/13 11.76 / 09/11 8.14 / 09/07
M-1 10.55 / 11/14 9.76 / 03/13 9.14 / 09/11 7.45 / 09/07
B-1 6.82 / 03/07 6.42 / 06/06 6.16 / 11/05 5.49 / 05/04
B-2 15.36 / 11/14 14.01 / 03/13 12.86 / 09/11 9.75 / 09/07
To Maturity
A-6 15.43 / 09/22 13.93 / 03/21 12.60 / 08/19 8.76 / 02/14
M-1 10.99 / 09/22 10.23 / 03/21 9.63 / 08/19 7.95 / 02/14
B-2 20.93 / 03/27 19.97 / 03/27 19.05 / 03/27 15.30 / 03/27
</TABLE>
(1) The following are the assumed characteristics of Subsequent Contracts as
of the Cut-off Date:
<TABLE>
<CAPTION>
Aggregate Principal Wtd Avg Wtd Avg Wtd Avg
Months Remaining Balance Outstanding Original Term Remaining Term Contract Rate
- ----------------- ------------------- ------------- -------------- -------------
<S> <C> <C> <C> <C>
0 to 119 $ 6,961,917.03 79 79 11.85%
120 to 179 11,442,494.09 130 130 12.24%
180 to 239 33,150,248.78 182 182 11.56%
240 to 299 45,411,049.07 241 241 11.09%
300 to 359 26,513,618.49 303 303 10.74%
360 123,724,549.43 360 360 9.83%
--------------- --- --- -----
Total $247,203,876.88 290 290 10.56%
=============== === === =====
</TABLE>
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<PAGE>
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[LOGO OF MERRILL LYNCH] 9
