<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): May 24, 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
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(Address of principal executive offices)
Registrant's telephone number, including area code: (612) 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 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
----------- -----------
99.1 External Computational and Descriptive
Information distributed in connection with
Manufactured Housing Contract Senior/
Subordinated Pass-Through Certificates,
Series 1996-4, issued by Green Tree
Financial Corporation, as Seller and
Servicer.
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: May 24, 1996 GREEN TREE FINANCIAL CORPORATION
By: /s/ Robley D. Evans
_____________________________
Robley D. Evans
Vice President and Controller
3
<PAGE>
INDEX TO EXHIBITS
Exhibit
- -------
Number Page
- ------ ----
99.1 External Computational and Descriptive Information
distributed in connection with Manufactured Housing
Contract Senior/Subordinated Pass-Through Certificates,
Series 1996-4, issued by Green Tree Financial Corporation,
as Seller and Servicer. 5
4
<PAGE>
TERM SHEET DATED MAY 22, 1996
Green Tree Financial Corporation
Manufactured Housing Contract Senior/Subordinate
Pass-Through Certificates, Series 1996-4
$474,684,791 (Approximate)
Subject to Revision
SELLER/SERVICER: Green Tree Financial Corporation ("GTFC").
TRUSTEE: Firstar Trust Company, Milwaukee, Wisconsin.
UNDERWRITERS: Merrill Lynch (Lead), Lehman Brothers (Co.),
Salomon Brothers (Co.).
Ratings WAL Exp Final
Amount (Moody's/S&P/Fitch)@ 110% MHP Maturity
To Call:
A-1 $46,000,000 Aaa/AAA/AAA 0.82 19
A-2 $40,000,000 Aaa/AAA/AAA 2.08 32
A-3 $33,000,000 Aaa/AAA/AAA 3.11 44
A-4 $85,000,000 Aaa/AAA/AAA 5.07 83
A-5 $28,000,000 Aaa/AAA/AAA 7.59 100
A-6 $66,000,000 Aaa/AAA/AAA 10.31 151
A-7 $103,110,000 Aaa/AAA/AAA 16.85 233
M-1 $37,975,000 Aa3/AA-/AA- 11.94 233
B-1 $18,985,000 Baa1/BBB+/BBB+ 8.01 142
B-2 $16,614,791 Baa1/A-/A 16.92 233
To Maturity
A-7 $103,110,000 Aaa/AAA/AAA 17.85 322
M-1 $37,975,000 Aa3/AA-/AA- 12.37 322
B-2 $16,614,791 Baa1/A-/A 22.03 363
CUT-OFF DATE: May 1, 1996 (or the date of origination, if later)
EXP. PRICING: May 23, 1996
EXP. SETTLEMENT: May 30, 1996
LEGAL FINAL: June 2027
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 June 17, 1996.
ERISA: Class A Certificates are ERISA eligible. 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.
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<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 payments on the Contracts due and received during
the period from and including the 11th day of the prior
month to and including the 10th day of the month in which
the Remittance Date occurs and prepayments and other
unscheduled collections received on the Contracts during
such Due Period. The Amount Available will be applied first
to the distribution of interest on the Certificates, and
then to the distribution of principal on the 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 Interest 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 Interest
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.
Class A Percentage will be distributed sequentially to the
Class A-1, A-2, A-3, A-4, A-5, A-6 and A-7
Certificateholders.
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.
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<PAGE>
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 June 2000; (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 June 2000; (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) 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 $9,493,696.
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<PAGE>
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) 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 Liquidations 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.
OPTIONAL REDEMPTION: Less than 10% of the original pool balance outstanding.
[LOGO] Merrill Lynch 4
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<PAGE>
THE CONTRACT POOL
Number of MHCs in pool: 14,657
Wgt. Avg. Contract Rate: 10.05%
Range of Rates: 5.74% - 16.50%
Wgt. Avg. Orig. Maturity: 280 mos.
Range of Orig. Maturity: 24-360 mos.
Wgt. Avg. Rem. Maturity: 280 mos.
Range of Rem. Maturity: 24-360 mos.
Avg. Rem Princ. Balance: $32,386.22
Wgt. Avg. LTV 88.31%
New/Used: 81%/19%
Single/Double 39%/61%
Park/Private 32%/68%
GEOGRAPHIC DISTRIBUTION OF CONTRACT OBLIGORS
% of Contract
Number % of Contract Aggregate Principal Pool by
of Contracts Pool by Number Balance Outstanding
as of of Contracts as Outstanding as of Principal Balance
State Cut-off Date of Cut-off Date Cut-off Date as of Cut-off Date
- ----- ------------ --------------- ------------------- ------------------
NC 1,514 10.34% $51,923,170.38 10.95%
TX 1,184 8.09% 38,739,785.77 8.17%
SC 798 5.44% 28,647,996.55 6.05%
FL 771 5.26% 27,867,775.98 5.88%
MI 706 4.82% 25,646,769.67 5.40%
AL 831 5.68% 24,657,121.80 5.19%
GA 760 5.19% 24,580,241.41 5.18%
Other States 8,093 55.18% 252,621,929.90 53.18%
----- ------ -------------- ------
Total 14,657 100.00% $474,684,791.46 100.00%
====== ====== ============== ======
YEARS OF ORIGINATION OF CONTRACTS
Number of Aggregate Principal % of Contract Pool by
Contracts Balance Outstanding Outstanding Principal
as of as of Balance as of
Year of Origination(1) Cut-off Date Cut-off Date Cut-off Date
- ---------------------- ------------ ------------------- ----------------------
1983 1 $6,899.45 0.00%
1984 0 0.00 0.00%
1985 5 58,086.88 0.01%
1986 5 54,291.33 0.01%
1987 7 139,486.38 0.03%
1988 5 109,089.75 0.02%
1989 17 331,995.68 0.07%
1990 25 487,886.51 0.10%
1991 20 383,859.06 0.08%
1992 14 301,509.59 0.06%
1993 4 58,967.51 0.01%
1994 99 4,963,119.81 1.05%
1995 121 5,595,899.45 1.18%
1996 14,334 462,193,700.06 97.38%
------ --------------- ------
Total 14,657 $474,684,791.46 100.00%
====== =============== ======
(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.
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<PAGE>
DISTRIBUTION OF ORIGINAL CONTRACT AMOUNTS
<TABLE>
<CAPTION>
% of Contract Pool by
Aggregate Principal Outstanding Principal
Original Contract Number of Contracts Balance Outstanding Balance as of
Amount (in Dollars)(1) as of Cut-off Date as of Cut-off Date Cut-off Date
- --------------------- ------------------- --------------------- ----------------------
<S> <C> <C> <C>
Less than $10,000 776 $5,997,098.31 1.26%
$10,000 - $19,999 2,983 45,641,470.52 9.62%
$20,000 - $29,999 4,043 101,286,290.75 21.34%
$30,000 - $39,999 2,841 97,623,233.68 20.57%
$40,000 - $49,999 1,749 78,015,745.25 16.44%
$50,000 - $59,999 1,098 59,821,450.08 12.60%
$60,000 - $69,999 602 38,726,594.64 8.16%
$70,000 - $79,999 263 19,610,709.39 4.13%
$80,000 - $89,999 157 13,276,848.87 2.80%
$90,000 - $99,999 103 9,785,036.62 2.06%
$100,000 - $109,999 18 1,873,841.05 0.39%
$110,000 - $119,999 11 1,284,378.81 0.27%
$120,000 - $129,999 5 625,702.02 0.13%
$130,000 - $139,999 5 673,850.15 0.14%
$140,000 - $149,999 2 281,177.32 0.06%
$150,000 - $159,999 0 0.00 0.00%
$160,000 - $169,999 1 161,364.00 0.03%
------ -------------- ------
Total 14,657 $474,684,791.46 100.00%
====== ============== ======
</TABLE>
DISTRIBUTION OF ORIGINAL LOAN-TO-VALUE RATIOS
<TABLE>
<CAPTION>
% of Contract Pool by
Aggregate Principal Outstanding Principal
Number of Contracts Balance Outstanding Balance as of
Loan-to-Value Ratio(2) as of Cut-off Date as of Cut-off Date Cut-off Date
- --------------------- ------------------- --------------------- ----------------------
<S> <C> <C> <C>
Less than 61% 559 $13,868,443.21 2.92%
61 - 65% 183 5,704,121.84 1.20%
66 - 70% 251 8,168,138.97 1.72%
71 - 75% 392 13,607,987.80 2.87%
76 - 80% 891 26,309,952.73 5.54%
81 - 85% 1,595 48,207,637.07 10.16%
86 - 90% 4,160 135,251,698.92 28.49%
91 - 95% 6,626 223,566,810.92 47.10%
------ --------------- ------
Total 14,657 $474,684,791.46 100.00%
====== =============== ======
</TABLE>
(1)The largest original Contract amount is $161,364.00, which
represents 0.03% of the Cut-off Date Pool Principal Balance.
(2)Rounded to the nearest 1%. The method of calculating loan-to-
value ratios is described in the Prospectus.
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<PAGE>
CONTRACT RATES
<TABLE>
<CAPTION>
% of Contract Pool by
Aggregate Principal Outstanding Principal
Range of Contracts by Number of Contracts Balance Outstanding Balance as of
Contract Rate as of Cut-off Date as of Cut-off Date Cut-off Date
- --------------------- ------------------- --------------------- ----------------------
<S> <C> <C> <C>
0.00% - 9.00% 2,113 $114,905,791.04 24.21%
9.01% - 10.00% 2,624 107,372,799.56 22.62%
10.01% - 11.00% 5,414 166,563,597.39 35.08%
11.01% - 12.00% 3,536 71,767,679.27 15.12%
12.01% - 13.00% 686 11,379,032.43 2.40%
13.01% - 14.00% 20 325,027.01 0.07%
14.01% - 15.00% 155 1,422,427.48 0.30%
15.01% - 16.00% 101 882,675.60 0.19%
16.01% - 17.00 8 65,761.68 0.01%
------ --------------- ------
Total 14,657 $474,684,791.46 100.00%
</TABLE>
REMAINING MONTHS TO MATURITY
<TABLE>
<CAPTION>
% of Contract Pool by
Aggregate Principal Outstanding Principal
Months Remaining Number of Contracts Balance Outstanding Balance as of
As of Cut-off Date as of Cut-off Date as of Cut-off Date Cut-off Date
- ------------------ ------------------- --------------------- ----------------------
<S> <C> <C> <C>
Less than 31 2 $8,726.75 0.00%
31 - 60 337 2,793,951.26 0.59%
61 - 90 631 8,376,307.27 1.76%
91 - 120 1,212 18,350,717.85 3.87%
121 - 150 559 9,768,783.47 2.06%
151 - 180 2,848 65,011,289.22 13.70%
181 - 210 19 547,739.64 0.12%
211 - 240 3,265 103,143,533.14 21.73%
241 - 270 0 0.00 0.00%
271 - 300 1,735 64,532,956.89 13.59%
301 - 330 0 0.00 0.00%
331 - 360 4,049 202,150,785.97 42.58%
------ -------------- ------
Total 14,657 $474,684,791.46 100.00%
====== ============== ======
</TABLE>
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<PAGE>
MHP PREPAYMENT SENSITIVITIES
50% MHP 75% MHP 100% MHP 110% MHP
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
To Call
A-1 1.26 / 10/98 1.02 / 4/98 0.87 / 1/98 0.82 / 12/97
A-2 3.24 / 7/00 2.62 / 10/99 2.21 / 3/99 2.08 / 1/99
A-3 4.87 / 1/02 3.94 / 12/00 3.31 / 3/00 3.11 / 1/00
A-4 7.75 / 8/06 6.38 / 1/05 5.39 / 9/03 5.07 / 4/03
A-5 11.17/ 7/08 9.41 / 8/06 8.04 / 3/05 7.59 / 9/04
A-6 14.39/ 5/13 12.47/ 3/11 10.86/ 7/09 10.31/ 12/08
A-7 21.50/ 7/20 19.46/ 8/18 17.51/ 6/16 16.85/ 10/15
M-1 16.00/ 7/20 14.12/ 8/18 12.52/ 6/16 11.94/ 10/15
B-1 11.57/ 7/12 9.84 / 6/10 8.50 / 11/08 8.01 / 3/08
B-2 21.56/ 7/20 19.59/ 8/18 17.59/ 6/16 16.92/ 10/15
To Maturity
A-7 22.23/ 4/25 20.33/ 8/24 18.53/ 9/23 17.85/ 3/23
M-1 16.31/ 4/25 14.49/ 8/24 12.95/ 9/23 12.37/ 3/23
B-2 24.60/ 8/26 23.54/ 8/26 22.48/ 8/26 22.03/ 8/26
125% MHP 150% MHP 200% MHP
WAL/Maturity WAL/Maturity WAL/Maturity
To Call
A-1 0.75 / 10/97 0.67 / 8/97 0.54 / 6/97
A-2 1.92 / 11/98 1.70 / 7/98 1.39 / 3/98
A-3 2.86 / 9/99 2.52 / 4/99 2.06 / 10/98
A-4 4.65 / 9/02 4.09 / 12/01 3.23 / 8/00
A-5 6.97 / 1/04 6.14 / 2/03 4.69 / 8/01
A-6 9.53 / 1/08 8.45 / 10/06 6.60 / 8/04
A-7 15.90/ 11/14 14.42/ 4/13 11.89/ 8/10
M-1 11.22/ 11/14 10.11/ 4/13 8.93 / 8/10
B-1 7.45 / 6/07 6.63 / 3/06 6.09 / 2/05
B-2 16.04/ 11/14 14.59/ 4/03 12.46/ 8/10
To Maturity
A-7 16.87/ 5/22 15.39/ 11/20 12.77/ 12/17
M-1 11.64/ 5/22 10.53/ 11/20 9.38 / 12/17
B-2 21.42/ 8/26 20.32/ 8/26 18.38/ 8/26
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<PAGE>
The attached tables and other statistical analyses (the "Term Sheet") are
privileged and confidential and are intended for use by the addressee only. This
Term Sheet is 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 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 Term Sheet which may or
may not be stated therein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Term Sheet in any particular
context; or as to whether the Term Sheet and/or the assumptions upon which it is
based reflect present market conditions or future market performance. This Term
Sheet 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 Term Sheet 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 Term Sheet. Furthermore, unless otherwise
provided, the Term Sheet assumes no losses on the underlying assets and no
interest shortfall. The specific characteristics of the securities may differ
from those shown in the Term Sheet due to differences between the actual
underlying assets and the hypothetical assets used in preparing the Term Sheet.
The principal amount and designation of any security described in the Term Sheet
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, solicitations 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 Term Sheet on any matter discussed in this communication. A final
prospectus and prospectus supplement may be obtained by contacting the Merrill
Lynch Trading Desk and (212) 449-3659.
Please be advised that asset-backed securities may not be appropriate for
all investors. Potential investors must be willing to assume, among other
things, market price volatility, prepayments, yield curve and interest rate
risk. Investors should fully consider the risk of an investment in these
securities.
If you have received this communication in error, please notify the
sending party immediately by telephone and return the original to such party by
mail.
[LOGO] Merrill Lynch 9
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