<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): June 18, 1997
GREEN TREE FINANCIAL CORPORATION
--------------------------------
(Exact name of registrant as specified in its charter)
Delaware 333-20335 41-1807858
- ------------------------------------------------------------------------------
(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
----------------------------------------------------------------------------
(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 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.
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 Certificates for
Home Improvement and Home Equity Loans, Series
1997-C, 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.
GREEN TREE FINANCIAL CORPORATION
By: /s/ Scott T. Young
----------------------------
Scott T. Young
Vice President and Controller
3
<PAGE>
INDEX TO EXHIBITS
<TABLE>
<CAPTION>
Exhibit Number Page
- -------------- ----
<S> <C> <C>
99 External Computational and Descriptive Information 5
distributed in connection with Certificates for Home
Improvement and Home Equity Loans, Series 1997-C,
issued by Green Tree Financial Corporation, as Seller
and Servicer.
</TABLE>
<PAGE>
TERM SHEET DATED June 18, 1997
Green Tree Financial Corporation
Certificates for Home Improvement and Home Equity Loans, Series 1997-C
$302,233,540 (Approximate)
Subject to Revision
SELLER/SERVICER: Green Tree Financial Corporation ("Green Tree").
TRUSTEE: First Trust National Association
UNDERWRITERS: Salomon Brothers Inc (Lead), Lehman Brothers Inc. (Co),
Merrill Lynch & Co. (Co)
<TABLE>
<CAPTION>
Ratings WAL Exp Final
Amount (S&P/Fitch) at 15% CPR Maturity
- ------------------- ---------------- ----------------- ----------------- ---------------
<S> <C> <C> <C> <C>
To Call:
HI: A-I $46,500,000 AAA/AAA 1.01 26
HI: A-2 $28,300,000 AAA/AAA 3.02 49
HI: A-3 $34,705,000 AAA/AAA 6.00 103
HI: M-1 $10,950,000 AA/AA 9.47 117
HI: M-2 $6,844,000 A/A 9.72 117
HI: B-1 $6,502,000 BBB/BBB 5.59 101
HI: B-2 $3,080,524 A-/A 9.50 117
To Maturity:
HI: M-1 $10,950,000 AA/AA 10.25 150
HI: M-2 $6,844,000 A/A 15.79 299
HI: B-2 $3,080,524 A-/A 12.15 299
- ------------------- ---------------- ----------------- ----------------- ---------------
<CAPTION>
Ratings WAL Exp Final
Amount (S&P/Fitch) at 100% Base* Maturity
- ------------------- ---------------- ----------------- ----------------- ---------------
<S> <C> <C> <C> <C>
To Call:
HE: A-I ARM $20,894,000 AAA/AAA 3.23 111
HE: A-1 $16,000,000 AAA/AAA 0.45 10
HE: A-2 $60,600,000 AAA/AAA 2.00 43
HE: A-3 $24,708,000 AAA/AAA 5.13 108
HE: A-4 $20,000,000 AAA/AAA 6.35 106
HE: M-1 $9,095,000 AA/AA+ 9.67 117
HE: M-2 $5,787,000 A/A+ 9.72 117
HE: B-1 $5,787,000 BBB/BBB+ 5.14 96
HE: B-2 $2,481,015 A-/A 9.40 117
To Maturity:
HE: M-1 $9,095,000 AA/AA+ 10.65 150
HE: M-2 $5,787,000 A/A+ 14.86 342
HE: B-2 $2,481,015 A-/A 12.31 359
- ------------------- ---------------- ----------------- ----------------- ---------------
</TABLE>
* 100% Base (100% Prepayment Assumption) assumes (a) for the fixed rate
collateral a constant prepayment rate of 4% per annum of the then outstanding
principal balance of the Fixed Rate Contracts (defined herein) in the first
month of the of the life of the Fixed Rate Contracts and an additional 1.45%
(precisely, 16/11%) per annum in each month thereafter until the twelfth
month. Beginning in twelfth month and in each month thereafter, the constant
prepayment rate is 20% and (b) for the Adjustable Rate Contracts (defined
herein), a constant prepayment rate of 5.6% per annum of the then outstanding
principal balance of the Adjustable Rate Contracts in the first month of the
life of the Adjustable Rate Contracts and an additional 2.04% (precisely,
22.4/11%) per annum in each month thereafter until the twelfth month.
Beginning in the twelfth month and in each month thereafter, the constant
prepayment rate is 28%.
1
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your
Salomon Brothers Financial Advisor immediately.
<PAGE>
CUT-OFF DATE:
June 1, 1997 (or the date of origination, if later)
EXP. PRICING:
June 19 - 20, 1997
EXP. SETTLEMENT:
June 26 - 27, 1997
LEGAL FINAL:
Sub-Pool HI Certificates - [June 15, 2027]
Sub-Pool HE Certificates - [August 15, 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 July 15, 1997.
CROSS-COLLATERALIZATION
On each Payment Date the Amount Available for each Sub-Pool remaining after
making distributions to the related Certificates will generally be available to
make distributions to the Certificates related to the other Sub-Pool.
ERISA:
Class HI:A and Class HE:A Certificates are ERISA eligible. The Class HI: M-1,
HE:M-1, HI:M-2, HE:M-2, HI:B-1, HE:B-1, HI:B-2 and HE: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".
TAX STATUS:
The Trust will elect to be treated as a REMIC for federal income tax purposes.
2
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your
Salomon Brothers Financial Advisor immediately.
<PAGE>
HOME IMPROVEMENT CERTIFICATE STRUCTURE
CREDIT ENHANCEMENT:
Class HI:A: 20.00% subordination (Class HI:M-1, HI:M-2, HI:B-1, and
HI:B-2) & Residual (Class C)
Class HI:M-1: 12.00% subordination (Class HI:M-2, HI:B-1 and HI:B-2) &
Residual (Class C)
Class HI:M-2: 7.00% subordination (HI:B-1 and HI:B-2) & Residual (Class C)
Class HI:B-1: 2.25% subordination (Class HI:B-2) & Residual (Class C)
Class HI:B-2: Limited Guaranty & Residual (Class C)
DISTRIBUTIONS:
The "Sub-Pool HI Amount Available" will generally consist of payments made on or
in respect of the Home Improvement Contracts comprising Sub-Pool HI, and will
include amounts otherwise payable to the Servicer (as long as Green Tree is the
Servicer) as the Monthly Servicing Fee with respect to the Home Improvement
Contracts, and to the Class C Certificateholder.
The Sub-Pool HI Amount Available will generally be applied first to
distributions to the Class HI:A Certificateholders, then to the Class HI:M
Certificateholders and then to the Class HI:B Certificateholders.
The Class HI:A Certificates are senior to both the Class HI:M and the Class HI:B
Certificates. The Class HI:M Certificates are senior to the Class HI:B
Certificates.
CLASS HI:A INTEREST:
Interest on each Class of Class HI:A Certificates will be paid concurrently at
the related Pass-Through Rate on the related and then outstanding Class
Principal Balance. Interest will initially accrue from the Settlement Date and
thereafter will accrue from the most recent Payment Date on which interest has
been paid, in each case to 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
related Pass-Through Rate, to the extent legally permissible.
3
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your
Salomon Brothers Financial Advisor immediately.
<PAGE>
CLASS HI:A PRINCIPAL:
After payment of all interest distributable to the Class HI:A
Certificateholders, the Sub-Pool HI Senior Percentage of the Sub-Pool HI Formula
Principal Distribution Amount will be distributed first to the Class HI:A-1
Certificateholders, until the Class HI:A-1 Principal Balance has been reduced to
zero, then to the Class HI:A-2 Certificateholders, until the Class HI:A-2
Principal Balance has been reduced to zero and then to the Class HI:A-3
Certificateholders, until the Class HI:A-3 Principal Balance has been reduced to
zero.
The "Sub-Pool HI Formula Principal Distribution Amount" for each Payment Date
will generally be equal to the sum of the following: (i) all scheduled payments
of principal due on each outstanding Home Improvement Contract during the
preceding month; (ii) all partial principal prepayments and principal
prepayments in full received on each Home Improvement Contract during the
preceding month; (iii) the scheduled principal balance of each Home Improvement
Contract that became liquidated during the preceding month; and (iv) the
scheduled principal balance of each Home Improvement Contract purchased by Green
Tree during the preceding month pursuant to the Pooling and Servicing Agreement.
The "Sub-Pool HI Senior Percentage" will equal 100% if any of the following
exist:
i) the Payment Date is prior to July 2000 (month 36);
ii) the Class HI:B Principal Balance represents less than 14% of the Scheduled
Principal Balance of Sub-Pool HI; and
iii) any Class HI:B Principal Distribution Test (see below) is not satisfied.
Otherwise, the Sub-Pool HI Senior Percentage will equal a fraction, the
numerator of which is the sum of the Class HI:A Principal Balance and the Class
HI:M Principal Balance for a given Payment Date, and the denominator of which is
the Scheduled Principal Balance of Sub-Pool HI for the immediately preceding
Payment Date.
CLASS HI:M-1 INTEREST:
After payment of the Class HI:A Distribution Amount, interest will be paid to
the Class HI:M-1 Certificateholders in an amount equal to the product of (a) the
Class HI:M-1 Pass-Through Rate and (b) the then outstanding Class HI:M-1
Principal Balance (less the Class HI:M-1 Liquidation Loss Principal Amount, if
any). Interest will initially accrue from the Settlement Date and will
thereafter accrue from the most recent Payment Date on which interest has been
paid, in each case to but excluding the following Payment Date. Interest will be
computed on 30/360 basis.
Interest shortfalls will be carried forward, and will bear interest at the
related Pass-Through Rate, to the extent legally permissible.
4
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your
Salomon Brothers Financial Advisor immediately.
<PAGE>
CLASS HI:M-1 PRINCIPAL:
The Class HI:M-1 Certificateholders will not receive principal until the Class
HI:A Principal Balance has been reduced to zero. At that time the Class HI:M-1
Certificateholders will be entitled to receive the Sub-Pool HI Senior Percentage
of the Sub-Pool HI Formula Principal Distribution Amount, until the Class HI:M-1
Principal Balance has been reduced to zero.
CLASS HI:M-2 INTEREST:
After payment of the Class HI:A and the Class HI:M-1 Distribution Amounts,
interest will be paid to the Class HI:M-2 Certificateholders in an amount equal
to the product of (a) the Class HI:M-2 Pass-Through Rate and (b) the then
outstanding Class HI:M-2 Principal Balance (less the Class HI:M-2 Liquidation
Loss Principal Amount, if any). Interest will initially accrue from the
Settlement Date and will thereafter accrue from the most recent Payment Date on
which interest has been paid, in each case to 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
related Pass-Through Rate, to the extent legally permissible.
CLASS HI:M-2 PRINCIPAL
The Class HI:M-2 Certificateholders will not receive principal until the Class
HI:A and the Class HI:M-1 Principal Balances have been reduced to zero. At that
time the Class HI:M-2 Certificateholders will be entitled to receive the Sub-
Pool HI Senior Percentage of the Sub-Pool HI Formula Principal Distribution
Amount, until the Class HI:M-2 Principal Balance has been reduced to zero.
CLASS HI:B-1 INTEREST:
After payment of the Class HI:A, the Class HI:M-1 and the Class HI:M-2
Distribution Amounts, interest will be paid to the Class HI:B-1
Certificateholders in an amount equal to the product of (a) the Class HI:B-1
Pass-Through Rate and (b) the then outstanding Class HI:B-1 Principal Balance
(less the Class HI:B-1 Liquidation Loss Principal Amount, if any). Interest will
initially accrue from the Settlement Date and will thereafter accrue from the
most recent Payment Date on which interest has been paid, in each case to 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
related Pass-Through Rate, to the extent legally permissible.
5
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your
Salomon Brothers Financial Advisor immediately.
<PAGE>
CLASS HI:B-1 PRINCIPAL:
The Class HI:B-1 Certificateholders will not receive principal payments until
the (i) Class HI:B Cross-over Date and (ii) such time as either (a) each Class
HI:B Principal Distribution Test is satisfied or (b) the Class HI:A Principal
Balance and the Class HI:M Principal Balance have been reduced to zero. At that
time, to the extent of the amount available after payment of the Class HI:A,
and Class HI:M Distribution Amounts and Class HI:B-1 interest, the Class HI:B-1
Certificateholders will receive the Class HI:B Percentage of the Sub-Pool HI
Formula Principal Distribution Amount until the Class HI:B-1 Principal Balance
has been reduced to zero.
The Class HI:B Percentage will equal 100% minus the Sub-Pool HI Senior
Percentage. The Class HI:B Percentage after the Class HI:A and the Class HI:M
Principal Balances have been reduced to zero will be equal to 100%.
CLASS HI:B-2 INTEREST:
After payment of the Class HI:A, Class HI:M-1, Class HI:M-2 and Class HI:B-1
Distribution Amounts, interest will be paid to the Class HI:B-2
Certificateholders in an amount equal to the product of (a) the Class HI:B-2
Pass-Through Rate and (b) the then outstanding Class HI:B-2 Principal Balance
(less the Class HI:B-2 Liquidation Loss Principal Amount, if any). The Limited
Guaranty will be available to pay interest to the Class HI:B-2
Certificateholders if the Sub-Pool HI Class HI:B2 Remaining Amount Available is
not sufficient. Interest will initially accrue from the Settlement Date and
will thereafter accrue from the most recent Payment Date on which interest has
been paid, in each case to 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
related Pass-Through Rate, to the extent legally permissible.
CLASS HI:B-2 PRINCIPAL:
The Class HI:B-2 Certificateholders will not generally receive principal
payments until the Class HI:B-1 Principal Balance has been reduced to zero. At
that time, if each Class HI:B Principal Distribution Test is satisfied (unless
the Class HI:A and Class HI:M Principal Balances have been reduced to zero), to
the extent of the amount available after payment the Class HI:A, the Class HI:M
and the Class HI:B-1 Distribution Amounts and any amounts actually paid under
the Class HI:B-2 Limited Guaranty, the Class HI:B-2 Certificateholders will
receive the Class HI:B Percentage of the Sub-Pool HI Formula Principal
Distribution Amount until the Class HI:B-2 Principal Balance has been reduced
to zero.
In addition, on each Payment Date, the Class HI:B-2 Certificateholders are
entitled to receive, pursuant to the Class HI:B-2 Limited Guaranty, the Class
HI:B-2 Liquidation Loss Principal Amount until the Class HI:B-2 Principal
Balance has been reduced to zero.
6
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your Salomon
Brothers Financial Advisor immediately.
<PAGE>
LOSSES ON LIQUIDATED HI CONTRACTS:
If Net Liquidation Proceeds from Liquidated Contracts in Sub-Pool HI in a
collection period are less than the Scheduled Principal Balance of such
Liquidated Contracts plus accrued and unpaid interest thereon, the deficiency
will be absorbed by the Class C Certificateholder, then the Guaranty Fee
otherwise payable to the Company, then the Monthly Servicing Fee otherwise
payable to the Servicer (as long as Green Tree is the Servicer), then the Class
HI:B-2 Certificateholders, then the Class HI:B-1 Certificateholders, then the
Class HI:M-2 Certificateholders, and then the Class HI:M-1 Certificateholders
and then the Class HI:A Certificateholders. Such a deficiency as allocated to
any particular class of Certificates is referred to herein as a "Liquidation
Loss Amount" with respect to such class of Certificates.
CLASS HI:B-2 LIMITED GUARANTY:
The Class HI:B-2 Limited Guaranty will be available to pay the Class HI:B-2
Liquidation Loss Principal Amount and the Class HI:B-2 Distribution Amount. The
Class HI:B-2 Limited Guaranty will be an unsecured general obligation of the
Company.
CLASS HI:B PRINCIPAL DISTRIBUTION TESTS:
(i) the average of the Sub-Pool HI Sixty-Day Delinquency Ratio as of the given
Payment Date and the prior two Payment Dates must not exceed 2.5%;
(ii) the average of the Sub-Pool HI Thirty-Day Delinquency Ratio as of the
given Payment Date and the prior two Payment Dates must not exceed 5%;
(iii) the Sub-Pool HI Cumulative Realized Losses with respect to Sub-Pool HI as
of a given Payment Date must not exceed a certain specified percentage of
the Cut-off Date Pool Principal Balance of Sub-Pool HI, depending on the
year in which such Payment Date occurs;
(iv) the Sub-Pool HI Current Realized Loss Ratio as of the given Payment Date
must not exceed 2.5%; and
(v) the Class HI:B Principal Balance divided by the Pool Scheduled Principal
Balance of Sub-Pool HI as of the immediately preceding Payment Date must
be equal to or greater than 14%.
7
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your Salomon
Brothers Financial Advisor immediately.
<PAGE>
HOME EQUITY CERTIFICATE STRUCTURE
CREDIT ENHANCEMENT:
Class HE:A: 14.00% subordination (Class HE:M-1, HE:M-2, HE:B-1, and HE:B-2) &
Residual (Class C)
Class HE:M-1: 8.50% subordination (Class HE:M-2, HE:B-1 and HE:B-2) & Residual
(Class C)
Class HE:M-2 5.00% subordination (Class HE:B-1 and HE:B-2) & Residual
(Class C)
Class HE:B-1 1.50% subordination (Class HE:B-2, & Residual (Class C)
Class HE:B-2: Limited Guaranty & Residual (Class C)
DISTRIBUTIONS:
The Sub-Pool HE Amount Available will generally consist of payments made on or
in respect of the Home Equity Contracts comprising Sub-Pool HE, and will include
amounts otherwise payable to the Servicer (as long as Green Tree is the
Servicer) as the Monthly Servicing Fee with respect to the Home Equity
Contracts, and to the Class C Certificateholder.
The Sub-Pool HE Amount Available will generally be applied first to the
distributions to the Class HE:A Certificateholders, then to the Class HE:M
Certificateholders, and then to the Class HE:B Certificateholders.
The rights of the floating rate Class HE:A-1 ARM Certificateholders are pari
passu with the rights of the fixed rate Class HE:A-1, Class HE:A-2, and Class
HE:A-3 Certificateholders to receive distributions on each Payment Date. The
Class HE:A Certificates are senior to the Class HE:M and the Class HE:B
Certificates. The Class HE:M Certificates are senior to the Class HE:B
Certificates.
8
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your Salomon
Brothers Financial Advisor immediately.
<PAGE>
CLASS HE:A INTEREST:
Interest on each Class of Class HE:A Certificates will be paid concurrently at
the related Pass-Through Rate based on the related and then outstanding Class
Principal Balance. Interest will initially accrue from the Settlement Date, and
will thereafter accrue in each case from the most recent Payment Date on which
interest has been paid to but excluding the following Payment Date. The Pass-
Through Rate for the Class HE:A-1 ARM Certificates shall be floating and equal
to the lesser of:
i) one-month LIBOR plus the Pass-Through Margin;
ii) the Available Funds Pass-Through Rate; and
iii) 14.00%.
The Pass-Through Margin will equal ____% per annum through the Payment Date on
which the principal balance of the Home Equity and Home Improvements Contracts
is 10% or more of the Principal Balance of the Home Equity and Home Improvement
Contracts as of the Cut-off Date, and [2 x initial pricing margin] per annum on
each Payment Date on which the principal balance of the Home Equity and Home
Improvement Contracts is less than 10% of the Principal Balance of the Home
Equity and Home Improvement Contracts as of the Cut-off Date. 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 Mortgage Contracts. The Expense Adjusted Mortgage
Rate on any Adjustable Rate Mortgage contract is equal to the then applicable
Mortgage Rate thereon, minus the Expense Fee Rate, which is ___% per annum and
equal to the sum of the servicing fee and the trustee fee.
Each Class of the Class HE:A Certificates will bear interest at a fixed Pass-
Through Rate calculated on a 30/360 basis with the exception of the Class HE:A -
1 ARM Certificates which will bear interest at a variable Pass-Through Rate
calculated on an actual/360 basis.
Interest shortfalls will be carried forward, and will bear interest at the
applicable Class HE:A Pass-Through Rate, to the extent legally permissible.
CLASS HE:A PRINCIPAL:
After payment of all interest distributable to the Class HE:A
Certificateholders, the Class HE:A-1 ARM Formula Principal Distribution Amount
will be distributed to the Class HE:A-1 ARM Certificateholders and the Sub-Pool
HE Senior Percentage of the Sub-Pool HE Formula Principal Distribution Amount
(less the Class HE:A-4 Lockout Distribution Amount as defined below) will be
distributed first to the Class HE:A-1 Certificateholders, until the Class HE:A-1
Principal Balance has been reduced to zero, then to the Class HE:A-2
Certificateholders until the Class HE:A-2 Principal Balance has been reduced to
zero, and then to the Class HE:A-3 Certificateholders until the Class HE:A-3
Principal Balance has been reduced to zero.
9
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your Salomon
Brothers Financial Advisor immediately.
<PAGE>
The Class HE:A-4 Certificateholders are entitled to receive payments of the
Class HE:A-4 Lockout Distribution Amount specified below, provided, that if on
any Payment Date the Class HE:A-3 Certificate Principal Balance is zero, the
Certificateholders of the Class HE:A-4 Certificates will be entitled to receive
the entire Sub-Pool HE Senior Percentage of the Sub-Pool HE Formula Principal
Distribution Amount less the amount, if any, distributed in payment of principal
on the Class HE:A-3 Certificates on such Payment Date, until such time as the
class HE:A-4 Principal Balance has been reduced to zero.
The "Class HE:A-4 Lockout Distribution Amount" for any Payment Date will be the
product of (i) the applicable Class HE:A-4 Lockout Percentage for such Payment
Date and (ii) the Class HE:A-4 Lockout Pro Rata Distribution Amount for such
Payment Date. The Class HE:A-4 Lockout Percentage for any Payment Date shall be
as follows:
<TABLE>
<CAPTION>
Payment Dates: Lockout Percentage:
-------------- -------------------
<S> <C>
July 1997-June 2000 0%
July 2000-June 2002 20%
July 2002-June 2003 80%
July 2003-June 2004 100%
July 2004 and thereafter 300%
</TABLE>
The "Class HE:A-4 Lockout Pro Rata Distribution Amount" for any Payment Date
will be an amount equal to the product of (x) a fraction, the numerator of which
is the Certificate Principal Balance of the Class HE:A-4 Certificates
immediately prior to such Payment Date and the denominator of which is the sum
of the Class HE:A-1, Class HE:A-2, Class HE:A-3 and Class HE:A-4 Principal
Balances and (y) the Sub-Pool HE Senior Percentage of the Sub-Pool HE Formula
Principal Distribution Amount.
The Sub-Pool HE Senior Percentage for a Payment Date will equal 100% if any of
the following exist:
i) it is prior to July 2000 (Month 36);
ii) the Class HE:B Principal Balance represents less than 10.00% of the
Scheduled Principal Balance of Sub-Pool HE; and
iii) each Class HE:B Principal Distribution Test (See below) is not satisfied.
10
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your Salomon
Brothers Financial Advisor immediately.
<PAGE>
Otherwise, the Sub-Pool HE Senior Percentage will equal a fraction, the
numerator of which is the sum of the Class HE:A Principal Balance (excluding
the Class HE:A-1 ARM Principal Balance) and the Class HE:M Principal Balance
for a given Payment Date, and the denominator of which is the Scheduled
Principal Balance Sub-Pool HE for the immediately preceding Payment Date.
CLASS HE:M-1 INTEREST:
After payment of Class HE:A Distribution Amount, interest will be paid to the
Class HE:M-1 Certificateholders in an amount equal to the product of (a) the
Class HE:M-1 Pass-Through Rate and (b) the then outstanding Class HE:M-1
Principal Balance (less the Class HE:M-1 Liquidation Loss Principal Amount, if
any). Interest will initially accrue from the Settlement Date, and will
thereafter accrue from the most recent Payment Date on which interest has been
paid, in each case to 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 HE:M-1 Pass Through Rate, to the extent legally permissible.
CLASS HE:M-1 PRINCIPAL:
Class HE:M-1 Certificateholders will not receive principal until the Class HE:A
Principal Balance has been reduced to zero. At that time, the Class HE:M-1
Certificateholders will be entitled to receive the Senior Percentage of the
Formula Principal Distribution Amount, until the Class HE:M-1 Principal Balance
has been reduced to zero.
CLASS HE:M-2 INTEREST:
After payment of Class HE:A and Class HE:M-1 Distribution Amounts, interest
will be paid to the Class HE:M-2 Certificateholders in an amount equal to the
product of (a) the Class HE:M-2 Pass-Through Rate and (b) the then outstanding
Class HE:M-2 Principal Balance (less the Class HE:M-2 Liquidation Loss
Principal Amount, if any). Interest will initially accrue from the Settlement
Date, and will thereafter accrue from the most recent Payment Date on which
interest has been paid, in each case to 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 HE:M-2 Pass Through Rate, to the extent legally permissible.
CLASS HE:M-2 PRINCIPAL:
Class HE:M-2 Certificateholders will not receive principal until the Class HE:A
and Class HE:M-1 Principal Balances have been reduced to zero. At that time the
Class HE:M-2 Certificateholders will be entitled to receive the Senior
Percentage of the Sub-Pool HE:Formula Principal Distribution Amount, until the
Class HE:M-2 Principal Balance has been reduced to zero.
11
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your Salomon
Brothers Financial Advisor immediately.
<PAGE>
CLASS HE:B-1 INTEREST:
After payment of the Class HE:A, Class HE:M-1 and Class HE:M-2 Distribution
Amounts, interest will be paid to the Class HE:B-1 Certificateholders in an
amount equal to the product of (a) the Class HE:B-1 Pass Through Rate and (b)
the then outstanding Class HE:B-1 Principal Balance (less the Class HE:B-1
Liquidation Loss Principal Amount, if any). Interest will initially accrue from
the Settlement Date, and will thereafter accrue from the most recent Payment
Date on which interest has been paid, in each case to 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 HE:B-1 Pass-Through Rate, to the extent legally permissible.
CLASS HE:B-1 PRINCIPAL:
The Class HE:B-1 Certificateholders will not receive principal payments until
the Class HE:B Cross-over Date. At that time, to the extent of the amount
available after payment of the Class HE:A and Class HE:M Distribution Amounts
and Class HE:B-1 interest, Class HE:B-1 Certificateholders will receive the
Class HE:B Percentage of the Formula Principal Distribution Amount until the
Class HE:B-1 Principal Balance has been reduced to zero.
The Class HE:B Percentage will be equal to 100% minus the Senior Percentage.
The Class HE:B Percentage after the Class HE:A and Class HE:M Principal
Balances have been reduced to zero will be equal to 100%.
CLASS HE:B-2 INTEREST:
After payment of the Class HE:A, Class HE:M-1, Class HE:M-2 and Class HE:B-1
Distribution Amounts, interest will be paid to the Class HE:B-2
Certificateholders in an amount equal to the product of (a) the Class HE:B-2
Pass-Through Rate and (b) the then outstanding Class HE:B-2 Principal Balance
less the Class HE:B-2 Liquidation Loss Principal Amount. The Class HE:B-2
Limited Guaranty will be available to pay interest to the Class HE:B-2
Certificateholders if the 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, in each case to but
excluding the following Payment Date. Interest will be computed on 30/360
basis.
Interest shortfalls will be carried forward, and will bear interest at the
Class HE:B-2 Pass-Through Rate, to the extent legally permissible.
12
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your Salomon
Brothers Financial Advisor immediately.
<PAGE>
CLASS HE:B-2 PRINCIPAL:
The Class HE:B-2 Certificateholders will not receive principal payments until
the Class HE:B-1 Principal Balance has been reduced to zero. At that time, if
each Class HE:B Principal Distribution Test is satisfied (unless the Class HE:A
and Class HE:M Principal Balances have been reduced to zero ), to the extent
the amount available after payment of the Class HE:A, the Class HE:M and the
Class HE:B-1 Distribution Amounts and any amounts actually paid under the Class
HE:B-2 Limited Guaranty, the Class HE:B-2 Certificateholders will receive the
Class HE:B Percentage of the Sub-Pool HE:Formula Principal Distribution Amount
until the Class HE:B-2 Principal Balance has been reduced to zero.
On each Payment Date, the Class HE:B-2 Certificateholders will be entitled to
receive pursuant to the Class HE:B-2 Limited Guaranty, the Class HE:B-2
Liquidation Loss Principal Amount until the Class HE:B-2 Principal Balance has
been reduced to zero.
LOSSES ON LIQUIDATED HE CONTRACTS:
If Net Liquidation Proceeds from Liquidated Contracts in the respective
collection period are less than the Scheduled Principal Balance of such
Liquidated Contracts plus accrued and unpaid interest thereon, the deficiency
will be absorbed by the Class HE:C Certificateholder, then the Guaranty Fee
otherwise payable to the Company, then the Monthly Servicing Fee otherwise
payable to the Servicer (as long as Green Tree is the Servicer), then the Class
HE:B-2 Certificateholders, then the Class HE:B-1 Certificateholders, then the
Class HE:M-2 Certificateholders, then the Class HE:M-1 Certificateholders and
then the Class HE:A Certificateholders.
CLASS HE:B-2 LIMITED GUARANTY:
The Class HE:B-2 Limited Guaranty will be available to pay the Class HE:B-2
Liquidation Loss Principal Amount and the Class HE:B-2 Distribution Amount. The
Class HE:B-2 Limited Guaranty will be an unsecured general obligation of the
Company.
13
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your Salomon
Brothers Financial Advisor immediately.
<PAGE>
CLASS HE:B PRINCIPAL DISTRIBUTION TESTS:
i) the average of the Sixty-Day Delinquency Ratio as of the Payment Date and
the prior two Payment Dates must not exceed 6%;
ii) the average of the Thirty-Day Delinquency Ratio as of the 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 of as of the immediately preceding Payment Date must be equal to
or greater than 10%.
14
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your Salomon
Brothers Financial Advisor immediately.
<PAGE>
Home Improvement Contracts
The Home Improvement Contracts comprising Sub-Pool HI consist of conventional
and FHA-insured home improvement contracts and promissory notes. The obligations
of the Obligor under each Home Improvement Contract are secured by the related
real estate.
<TABLE>
<S> <C>
The Home Improvement Contract Sub-Pool
Number of Contracts in Sub-Pool 7,523
Wgt. Avg. Contract Rate: 10.784%
Range of Rates: 6.99% - 16.99%
Wgt. Avg. Orig. Maturity: 214 mos.
Wgt. Avg. Rem. Maturity: 214 mos.
Avg. Rem Princ. Balance: $18,195.07
</TABLE>
Geographic Distribution of Mortgaged Properties
Home Improvement Contracts
<TABLE>
<CAPTION>
% of HI Contract
Sub-Pool by % of HI Contract Sub-
Number of Number of Aggregate Principal Pool by Outstanding
State Contracts Contracts Balance Outstanding Principal Balance
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CA 1,240 16.48% $33,611,988.35 24.56%
AZ 529 7.03% $10,597,561.13 7.74%
NY 544 7.23% $9,858,999.32 7.20%
NJ 504 6.70% $8,811,547.51 6.44%
FL 473 6.29% $8,662,418.68 6.33%
Other States* 4,233 56.27% $65,339,009.25 47.73%
--------- ---------------- ------------------- ---------------------
Total 7,523 100.00% $136,881,524.24 100.00%
</TABLE>
* No one State in this category constitutes more than 5% of the Sub-Pool HI
Outstanding Principal Balance.
Years of Origination
Home Improvement Contracts
<TABLE>
<CAPTION>
Number of Aggregate Principal % of HI Contract Sub-Pool by
Year of Origination Contracts Balance Outstanding Outstanding Principal Balance
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1990 1 $6,050.00 0.00%
1993 1 $26,113.00 0.02%
1995 1 $8,759.00 0.01%
1996 307 $7,489,026.34 5.47%
1997 7,213 $129,351,575.90 94.50%
--------------- ----------------- -----------------------------
Total 7,523 $136,881,524.24 100.00%
</TABLE>
15
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your Salomon
Brothers Financial Advisor immediately.
<PAGE>
Original Amounts
Home Improvement Contracts
<TABLE>
<CAPTION>
% of HI Contract Sub-
Original Amounts Number of Aggregate Principal Pool by Outstanding
(in Dollars) Contracts Balance Outstanding Principal Balance
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Between $0 - $9,999 1,618 $11,636,709.82 8.50%
Between $10,000 - $19,999 3,298 $48,434,135.87 35.38%
Between $20,000 - $29,999 1,693 $40,607,890.22 29.67%
Between $30,000 - $39,999 577 $19,426,789.21 14.19%
Between $40,000 - $49,999 209 $9,014,271.85 6.59%
Between $50,000 - $59,999 94 $4,882,022.81 3.57%
Between $60,000 - $69,999 13 $816,178.69 0.60%
Between $70,000 - $79,999 8 $602,542.20 0.44%
Between $80,000 - $89,999 5 $415,919.19 0.30%
Between $90,000 - $99,999 1 $96,690.26 0.07%
Between $100,000 - $109,999 4 $426,608.91 0.31%
Between $110,000 - $119,999 1 $118,528.69 0.09%
$200,000 + 2 $403,236.52 0.29%
------------ ---------------------- ---------------
Total 7,523 $136,881,524.24 100.00%
</TABLE>
Contract Rates
Home Improvement Contracts
<TABLE>
<CAPTION>
% of HI Contract Sub-
Number of Aggregate Principal Pool by Outstanding
Contract Rates Contracts Balance Outstanding Principal Balance
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
From 0.000% - 9.000% 137 $3,929,888.22 2.87%
From 9.001% - 10.000% 2,654 $60,608,832.78 44.28%
From 10.001% - 11.000% 1,751 $34,225,363.51 25.00%
From 11.001% - 12.000% 1,388 $22,464,495.24 16.41%
From 12.001% - 13.000% 1,111 $11,002,136.06 8.04%
From 13.001% - 14.000% 285 $2,669,366.82 1.95%
From 14.001% - 15.000% 119 $1,299,702.49 0.95%
From 15.001% - 16.000% 65 $571,431.95 0.42%
From 16.001% - 17.000% 13 $110,307.17 0.08%
------------ ---------------------- -------------------------
Total 7,523 $136,881,524.24 100.00%
</TABLE>
16
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your Salomon
Brothers Financial Advisor immediately.
<PAGE>
Remaining Months to Maturity
Home Improvement Contracts
<TABLE>
<CAPTION>
% of HI Contract Sub-
Number Aggregate Principal Pool by Outstanding
Months Remaining of Contracts Balance Outstanding Principal Balance
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
0-30 14 $111,660.97 0.08%
31-60 492 $4,303,906.05 3.14%
61-90 273 $2,563,592.65 1.87%
91-120 1,912 $24,657,266.08 18.01%
121-150 71 $976,457.67 0.71%
151-180 2,013 $35,991,797.28 26.30%
181-210 10 $150,172.21 0.11%
211-240 884 $18,629,077.03 13.61%
241-270 1 $13,893.22 0.01%
271-300 1,852 $49,469,523.08 36.15%
301 + 1 $14,178.00 0.01%
---------------- ------------------- -----------------
Total 7,523 $136,881,524.24 100.00%
================ =================== =================
- -----------------------------------------------------------------------------------
</TABLE>
Lien Position
Home Improvement Contracts
<TABLE>
<CAPTION>
% of HI Contract % of HI Contract
Sub-Pool by Aggregate Sub-Pool by
Number Number Principal Balance Outstanding
Lien Position of Contracts of Contracts Outstanding Principal Balance
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
First 452 6.01% $6,975,204.75 5.10%
Second 5,736 76.25% $106,937,234.78 78.12%
Third 1,328 17.65% $22,887,234.16 16.72%
Fourth 7 0.09% $81,850.55 0.06%
---------------- ------------------- ----------------------- --------------
Total 7,523 100.00% $136,881,524.24 100.00%
================ =================== ======================= ==============
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
17
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your
Salomon Brothers Financial Advisor immediately.
<PAGE>
Home Equity Contracts
The Home Equity Contracts consist of both fixed rate and adjustable rate closed-
end home equity contracts. The adjustable rate closed-end home equity contracts
are subject to interest rate adjustments after an initial six month or twenty-
four month period. The loans subject to adjustment after an initial six months
and twenty-four months are referred to herein as "Adjustable Rate Contracts".
All Home Equity Contracts which are not Adjustable Rate Contracts are referred
herein as "Fixed Rate Contracts" - The obligators of the Obligor under each Home
Equity Contract are secured by the related real estate.
<TABLE>
<CAPTION>
The Home Equity Contract Sub-Pool
Fixed Rate Loans
<S> <C>
Number of Contracts in Sub-Pool 2,738
Wgt. Avg. Contract Rate: 12.03%
Range of Rates: 7.70% - 19.60%
Wgt. Avg. Orig. Maturity: 236
Wgt. Avg. Rem. Maturity: 232
Avg. Rem Princ. Balance: $52,760.34
Wgt. Avg. LTV 70.3%
Wgt. Avg. CLTV: 85.9%
</TABLE>
Geographic Distribution Of Mortgage Properties
Fixed Rate Home Equity Contracts
<TABLE>
<CAPTION>
% of HE Contract % of HE Contract
Sub-Pool by Aggregate Sub-Pool by
Number Number Principal Balance Outstanding
State of Contacts of Contracts Outstanding Principal Balance
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
OH 286 10.45% $12,700,773.01 8.79%
GA 146 5.33% $8,877,925.08 6.15%
AL 172 6.28% $8,603,513.61 5.96%
NC 148 5.41% $8,516,922.30 5.90%
FL 156 5.70% $8,529,902.31 5.90%
PA 138 5.04% $8,478,040.16 5.87%
NY 119 4.35% $7,562,116.53 5.23%
MI 126 4.60% $7,437,320.15 5.15%
VA 129 4.71% $7,284,570.19 5.04%
Other States * 1,318 48.13% $66,466,722.51 46.01%
----------------- ----------------- ----------------- -----------------
Total 2,738 100.00 $144,457,805.85 100.00%
================= ================= ================= =================
</TABLE>
- --------------------------------------------------------------------------------
* No one State in this category constitutes more than 5% of the Sub-Pool HE
Outstanding Principal Balance.
- --------------------------------------------------------------------------------
Years Of Origination
Fixed Rate Home Equity Contracts
<TABLE>
<CAPTION>
% of HI Contract Sub-
Number Aggregate Principal Pool of Outstanding
Year of Origination of Contracts Balance Outstanding Principal Balance
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
1987 1 $62,037.76 0.04%
1989 23 $2,667,726.26 1.85%
1990 27 $3,034,335.87 2.10%
1991 1 $68,880.87 0.05%
1992 1 $219,238.25 0.15%
1993 1 $23,850.00 0.02%
1995 1 $133,238.65 0.09%
1996 36 $1,453,130.91 1.01%
1997 2,647 $136,795,367.28 94.69%
----------------- ----------------- -----------------
Total 2,738 $144,457,805.85 100.00%
================= ================= =================
- -------------------------------------------------------------------------------------
</TABLE>
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your Salomon
Brothers Financial Advisor immediately.
<PAGE>
Original Amounts
Fixed Rate Home Equity Contracts
<TABLE>
<CAPTION>
% of HE Contract Sub-
Original Amounts Number Aggregate Principal Pool by Outstanding
(in Dollars) of Contracts Balance Outstanding Principal Balance
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Between $0 - $25,000 784 $14,156,307.59 9.80%
Between $25,001 - $50,000 821 $29,915,560.48 20.71%
Between $50,001 - $75,000 559 $34,684,391.60 24.02%
Between $75,001 - $100,000 265 $23,019,076.19 15.93%
Between $100,001 - $125,000 148 $16,454,304.48 11.39%
Between $125,001 - $150,000 87 $11,690,616.11 8.09%
Between $150,001 - $175,000 36 $5,812,603.84 4.02%
Between $175,001 - $200,000 14 $2,605,934.02 1.80%
Between $200,001 - $225,000 7 $1,486,860.78 1.03%
Between $225,001 - $250,000 9 $2,109,136.46 1.46%
Between $250,001 - $275,000 4 $1,037,964.30 0.72%
Between $300,001 - $325,000 1 $318,200.00 0.22%
Between $350,001 - $375,000 1 $360,000.00 0.25%
Between $375,001 - $400,000 1 $391,850.00 0.27%
Between $400,001 - $425,000 1 $415,000.00 0.29%
----------------- ----------------- -----------------
Total 2,738 $144,457,805.85 100.00%
================= ================= =================
- -------------------------------------------------------------------------------------------------
</TABLE>
Contract Rates
Fixed Rate Home Equity Contracts
<TABLE>
<CAPTION>
% of HE Contract Sub-
Number Aggregate Principal Pool by Outstanding
Contract Rates of Contracts Balance Outstanding Principal Balance
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
From 0.000 - 8.500 3 $388,458.25 0.27%
From 8.501 - 9.000 9 $732,644.73 0.51%
From 9.001 - 9.500 28 $2,997,173.80 2.07%
From 9.501 - 10.000 69 $6,767,977.48 4.69%
From 10.001 - 10.500 130 $10,850,398.00 7.51%
From 10.501 - 11.000 278 $23,545,609.42 16.30%
From 11.001 - 11.500 195 $13,304,082.67 9.21%
From 11.501 - 12.000 337 $19,664,966.71 13.61%
From 12.001 - 12.500 320 $14,977,178.66 10.37%
From 12.501 - 13.000 371 $17,102,838.39 11.84%
From 13.001 - 13.500 289 $11,116,797.99 7.70%
From 13.501 - 14.000 298 $9,981,923.89 6.91%
From 14.001 - 14.500 178 $6,299,128.48 4.36%
From 14.501 - 15.000 102 $2,909,361.29 2.01%
From 15.001 + 131 $3,819,266.08 2.64%
----------------- ----------------- -----------------
Total 2,738 144,457,805.85 100.00%
================= ================= =================
- -------------------------------------------------------------------------------------------------
</TABLE>
19
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your
Salomon Brothers Financial Advisor immediately.
<PAGE>
Remaining Months To Maturity
Fixed Rate Home Equity Contracts
<TABLE>
<CAPTION>
% of HE Contract Sub-
Number Aggregate Principal Pool by Outstanding
Months Remaining of Contracts Balance Outstanding Principal Balance
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
35 - 48 1 $12,000.00 0.01%
49 - 60 25 $416,429.55 0.29%
61 - 72 5 $139,370.65 0.10%
73 - 84 32 $1,166,350.20 0.81%
85 - 96 11 $235,004.79 0.16%
97 - 108 4 $318,315.83 0.22%
109 - 120 218 $5,689,435.91 3.94%
121 - 132 4 $128,760.00 0.09%
133 - 144 10 $478,170.00 0.33%
145 - 156 2 $103,850.00 0.07%
157 - 168 1 $41,550.28 0.03%
169 - 180 1,237 $58,528,001.61 40.51%
181 - 192 1 $31,237.77 0.02%
193 - 216 4 $149,450.00 0.10%
217 - 240 717 $37,394,499.26 25.89%
241 - 300 216 $17,938,901.20 12.42%
301 - 348 2 $114,500.00 0.08%
349 - 360 248 $21,571,978.80 14.93%
---------------------- ---------------------- ----------------------
Total 2,738 $144,457,805.85 100.00%
====================== ====================== ======================
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
Lien Position
Fixed Rate Home Equity Contracts
<TABLE>
<CAPTION>
% of HE Contract % of HE Contract
Sub-Pool by Aggregate Sub-Pool by
Number Number Principal Balance Outstanding
Lien Position of Contracts of Contracts Outstanding Principal Balance
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
First 1,475 53.87% $107,156,714.53 74.18%
Second 1,262 46.09% $37,262,531.32 25.79%
Fourth 1 0.04% $38,560.00 0.03%
---------------- ---------------- ---------------- ----------------
Total 2,738 100.00% $144,457,805.85 100.00%
================ ================ ================ ================
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
20
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your Salomon
Brothers Financial Advisor immediately.
<PAGE>
Combined Loan-To-Value Ratio
Fixed Rate Home Equity Contracts
<TABLE>
<CAPTION>
% of HE Contract Sub-
Combined Number Aggregate Principal Pool by Outstanding
Loan-to-Value Ratio of Contracts Balance Outstanding Principal Balance
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
From 0.00%-60.99% 170 $5,782,957.89 4.00%
From 61.00%-65.99% 51 $2,147,237.31 1.49%
From 66.00%-70.99% 98 $5,237,685.46 3.63%
From 71.00%-75.99% 146 $7,422,422.53 5.14%
From 76.00%-80.99% 249 $16,568,437.45 11.47%
From 81.00%-85.99% 305 $15,201,480.12 10.52%
From 86.00%-90.99% 768 $42,730,829.28 29.58%
From 91.00%-95.99% 807 $44,023,789.52 30.47%
96.00% + 144 $5,342,966.29 3.70%
----------------- ----------------- -----------------
Total 2,738 $144,457,805.85 100.00%
================= ================= =================
- --------------------------------------------------------------------------------------------
</TABLE>
Loan-To-Value Ratio
Fixed Rate Home Equity Contracts
<TABLE>
<CAPTION>
% of HE Contract Sub-
Number Aggregate Principal Pool by Outstanding
Loan-to-Value Ratio of Contracts Balance Outstanding Principal Balance
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
From 0.00%-10.00% 75 $1,208,824.19 0.84%
From 10.01%-20.00% 525 $11,750,821.84 8.13%
From 20.01%-30.00% 411 $12,562,209.44 8.70%
From 30.01%-40.00% 182 $7,425,589.03 5.14%
From 40.01%-50.00% 91 $3,989,741.45 2.76%
From 50.01%-60.00% 68 $3,059,542.29 2.12%
From 60.01%-70.00% 127 $6,575,011.82 4.55%
From 70.01%-80.00% 316 $22,165,536.37 15.34%
From 80.01%-90.00% 578 $43,940,999.18 30.42%
90.00% + 365 $31,779,530.24 22.00%
----------------- ----------------- -----------------
Total 2,738 $144,457,805.85 100.00%
================= ================= =================
- --------------------------------------------------------------------------------------------
</TABLE>
21
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your
Salomon Brothers Financial Advisor immediately.
<PAGE>
The Home Equity Contract Sub-Pool
ARM Loans
<TABLE>
<S> <C>
Number of ARM Contracts in pool: 201
Wgt. Avg. Contract Rate: 9.48%
Range of Rates: 7.10%-13.95%
Wgt. Avg. Orig. Maturity: 339
Wgt. Avg. Rem. Maturity: 339
Avg. Rem Princ. Balance: 103,951.29
Wgt. Avg. CLTV: 81.50%
-------------------------------------------------
</TABLE>
Geographic Distribution Of Mortgage Properties
ARM Home Equity Contracts
<TABLE>
<CAPTION>
% of HE Contract % of HE Contract
Sub-Pool by Aggregate Sub-Pool by
Number Number Principal Balance Outstanding
State of Contracts of Contracts Outstanding Principal Balance
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
OH 24 11.94% $2,162,830.60 10.35%
CA 12 5.97% $1,974,260.51 9.45%
TX 17 8.46% $1,842,322.83 8.82%
IL 14 6.97% $1,687,369.70 8.08%
WA 12 5.97% $1,279,942.95 6.13%
MD 5 2.49% $1,212,200.00 5.80%
Other States * 117 58.20% $10,735,283.25 51.37%
----------- ----------- ---------------- -----------
Total 201 100.00% $20,894,209.84 100.00%
=========== =========== ================ ===========
</TABLE>
- --------------------------------------------------------------------------------
* No one State in this category constitutes more than 5% of the Sub-Pool HE
Outstanding Principal Balance.
- --------------------------------------------------------------------------------
Years Of Origination
ARM Home Equity Contracts
<TABLE>
<CAPTION>
% of HE Contract Sub-
Number Aggregate Principal Pool by Outstanding
Year of Origination of Contracts Balance Outstanding Principal Balance
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1997 201 $20,894,209.84 100.00%
---------- ----------------- --------------
Total 201 $20,894,209.84 100.00%
========== ================= ==============
- -------------------------------------------------------------------------------------------------------------
</TABLE>
Contract Rates
ARM Home Equity Contracts
<TABLE>
<CAPTION>
% of HE Contract Sub-
Number Aggregate Principal Pool by Outstanding
Contract Rates of Contracts Balance Outstanding Principal Balance
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
From 0.00%-8.00% 15 $1,612,089.45 7.72%
From 8.01%-9.00% 66 $8,174,300.30 39.11%
From 9.01%-10.00% 55 $5,585,866.23 26.73%
From 10.01%-11.00% 34 $3,264,938.76 15.63%
From 11.01%-12.00% 21 $1,593,737.12 7.63%
From 12.01%-13.00% 8 $568,077.98 2.72%
From 13.01%-14.00% 2 $95,200.00 0.46%
--------- ----------------- ------------
Total 201 $20,894,209.84 100.00%
========= ================= ============
- -------------------------------------------------------------------------------------------------------------
</TABLE>
22
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your
Salomon Brothers Financial Advisor immediately.
<PAGE>
Original Amounts
ARM Home Equity Contracts
<TABLE>
<CAPTION>
% of HE Contract Sub-
Contract Amounts Number Aggregate Principal Pool by Outstanding
(in Dollars) of Contracts Balance Outstanding Principal Balance
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Between $25,001-$50,000 12 $484,881.37 2.32%
Between $50,001-$75,000 64 $4,096,338.63 19.60%
Between $75,001-$100,000 40 $3,425,742.60 16.40%
Between $100,001-$125,000 39 $4,377,086.29 20.94%
Between $125,001-$150,000 14 $1,896,676.88 9.08%
Between $150,001-$175,000 12 $1,911,706.95 9.15%
Between $175,001-$200,000 10 $1,852,126.49 8.86%
Between $200,001-$225,000 1 $213,750.00 1.02%
Between $225,001-$250,000 1 $245,600.00 1.18%
Between $250,001-$275,000 4 $1,054,610.63 5.05%
Between $275,001-$300,000 2 $557,200.00 2.67%
Between $300,001-$350,000 1 $341,990.00 1.64%
Between $350,001-$450,000 1 $436,500.00 2.09%
---------------- ---------------- --------------
Total 201 $20,894,209.84 100.00%
================ ================ ==============
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
Lien Position
ARM Home Equity Contracts
<TABLE>
<CAPTION>
% of HE Contract
% of HE Contract Sub- Aggregate Sub-Pool by
Number Pool by Number Principal Balance Outstanding
Lien Position of Contracts of Contracts Outstanding Principal Balance
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
First 201 100.00% $20,894,209.84 100.00%
---------------- ---------------- ----------------- --------------
Total 201 100.00% $20,894,209.84 100.00%
================ ================ ================= ==============
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
23
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your Salomon
Brothers Financial Advisor immediately.
<PAGE>
Remaining Months To Maturity
ARM Home Equity Contracts
<TABLE>
<CAPTION>
% of HE Contract Sub-
Number Aggregate Principal Pool by Outstanding
Months Remaining of Contracts Balance Outstanding Principal Balance
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0-180 26 $2,052,992.21 9.83%
181-360 175 $18,841,217.63 90.17%
----------------- ----------------- -----------------
Total 201 $20,894,209.84 100.00%
================= ================= =================
</TABLE>
Combined Loan-To-Value Ratio
ARM Home Equity Contracts
<TABLE>
<CAPTION>
% of HE Contract Sub-
Combined Number Aggregate Principal Pool by Outstanding
Loan-to-Value Ratio of Contracts Balance Outstanding Principal Balance
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
From 0.00% - 60.99% 6 $447,668.29 2.14%
From 61.00% - 65.99% 7 $535,376.00 2.56%
From 66.00% - 70.99% 8 $668,627.67 3.20%
From 71.00% - 75.99% 32 $3,099,606.36 14.83%
From 76.00% - 80.99% 50 $5,357,161.00 25.64%
From 81.00% - 85.99% 39 $4,360,725.27 20.87%
From 86.00% - 90.99% 51 $5,569,188.71 26.66%
From 91.00% - 95.99% 8 $855,856.54 4.10%
----------------- ----------------- -----------------
Total 201 $20,894,209.84 100.00%
================= ================= =================
</TABLE>
Loan-To-Value Ratio
ARM Home Equity Contracts
<TABLE>
<CAPTION>
% of HE Contract Sub-
Number Aggregate Principal Pool by Outstanding
Loan-to-Value Ratio of Contracts Balance Outstanding Principal Balance
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
From 0.00% - 60.99% 6 $447,668.29 2.14%
From 61.00% - 65.99% 7 $535,376.00 2.56%
From 66.00% - 70.99% 8 $668,627.67 3.20%
From 71.00% - 75.99% 32 $3,099,606.36 14.83%
From 76.00% - 80.99% 50 $5,357,161.00 25.64%
From 81.00% - 85.99% 39 $4,360,725.27 20.87%
From 86.00% - 90.99% 51 $5,569,188.71 26.66%
From 91.00% - 95.99% 8 $855,856.54 4.10%
----------------- ----------------- -----------------
Total 201 $20,894,209.84 100.00%
================= ================= =================
</TABLE>
24
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your
Salomon Brothers Financial Advisor immediately.
<PAGE>
Month of Next Rate Adjustment
ARM Home Equity Contracts
<TABLE>
<CAPTION>
% of HE Contract Sub-
Number Aggregate Principal Pool by Outstanding
Months of Contracts Balance Outstanding Principal Balance
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
October 1997 1 $74,635.73 0.36%
November 1997 26 $2,338,768.77 11.19%
December 1997 57 $6,196,979.69 29.66%
January 1998 38 $4,680,609.00 22.40%
February 1998 6 $548,193.00 2.62%
April 1999 3 $192,110.05 0.92%
May 1999 44 $3,927,663.60 18.80%
June 1999 22 $2,255,750.00 10.80%
July 1999 4 $679,500.00 3.25%
--------------------- --------------------- ---------------------
Total 201 $20,894,209.84 100.00%
===================== ===================== =====================
</TABLE>
25
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your
Salomon Brothers Financial Advisor immediately.
<PAGE>
Gross Margin
ARM Home Equity Contracts
<TABLE>
<CAPTION>
% of HE Contract Sub-
Number of Aggregate Principal Pool by Outstanding
Gross Margin Contracts Balance Outstanding Principal Balance
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
From 4.251% - 4.500% 1 $96,000.00 0.46%
From 4.501% - 4.750% 2 $143,300.00 0.69%
From 4.751% - 5.000% 32 $2,934,705.36 14.05%
From 5.001% - 5.250% 17 $1,941,193.73 9.29%
From 5.251% - 5.500% 21 $2,939,331.38 14.06%
From 5.501% - 5.750% 7 $709,771.41 3.40%
From 5.751% - 6.000% 26 $2,365,568.41 11.32%
From 6.001% - 6.250% 7 $761,511.24 3.64%
From 6.251% - 6.500% 18 $2,313,596.67 11.07%
From 6.501% - 6.750% 17 $1,861,260.06 8.91%
From 6.751% - 7.000% 20 $2,112,936.14 10.11%
From 7.001% - 7.250% 5 $384,750.00 1.84%
From 7.251% - 7.500% 10 $1,128,969.00 5.40%
From 7.501% - 7.750% 2 $203,946.44 0.98%
From 7.751% - 8.000% 4 $299,126.00 1.43%
From 8.251% - 8.500% 2 $124,800.00 0.60%
From 8.501% - 8.750% 1 $76,500.00 0.37%
From 8.751% - 9.000% 3 $205,064.00 0.98%
From 9.251% - 9.500% 3 $141,400.00 0.68%
From 9.751% + 3 $150,480.00 0.72%
----------- ------------------- ---------------------
Total 201 $20,894,209.84 100.00%
=========== =================== =====================
</TABLE>
26
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your Salomon
Brothers Financial Advisor immediately.
<PAGE>
Maximum Mortgage Rates
ARM Home Equity Contracts
<TABLE>
<CAPTION>
% of HE Contract Sub-
Number of Aggregate Principal Pool by Outstanding
Mortgage Rates Contracts Balance Outstanding Principal Balance
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
From 14.001% - 14.250% 3 $789,190.00 3.78%
From 14.251% - 14.500% 2 $243,488.82 1.17%
From 14.501% - 14.750% 11 $1,435,294.79 6.87%
From 14.751% - 15.000% 18 $1,858,085.93 8.89%
From 15.001% - 15.250% 16 $1,694,327.60 8.11%
From 15.251% - 15.500% 16 $1,840,415.20 8.81%
From 15.501% - 15.750% 17 $1,941,342.84 9.29%
From 15.751% - 16.000% 25 $2,876,752.77 13.76%
From 16.001% - 16.250% 15 $1,564,555.24 7.49%
From 16.251% - 16.500% 15 $1,548,733.01 7.41%
From 16.501% - 16.750% 7 $609,360.18 2.92%
From 16.751% - 17.000% 17 $1,292,687.36 6.19%
From 17.001% - 17.250% 8 $752,229.23 3.60%
From 17.251% - 17.500% 9 $698,776.16 3.34%
From 17.501% - 17.750% 5 $454,290.09 2.17%
From 17.751% - 18.000% 6 $557,170.64 2.67%
From 18.001% + 11 $737,509.98 3.53%
---------- ------------------- ----------------------
Total 201 $20,894,209.84 100.00%
========== =================== ======================
</TABLE>
27
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your Salomon
Brothers Financial Advisor immediately.
<PAGE>
Minimum Mortgage Rates
ARM Home Equity Contracts
<TABLE>
<CAPTION>
% of HE Contract Sub-
Number of Aggregate Principal Pool by Outstanding
Mortgage Rates Contracts Balance Outstanding Principal Balance
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
From 0.000% - 8.000% 15 $1,612,089.45 7.72%
From 8.001% - 8.250% 13 $1,587,278.67 7.60%
From 8.251% - 8.500% 13 $1,440,683.49 6.90%
From 8.501% - 8.750% 15 $2,051,024.79 9.82%
From 8.751% - 9.000% 25 $3,095,313.35 14.80%
From 9.001% - 9.250% 13 $1,243,353.12 5.95%
From 9.251% - 9.500% 14 $1,565,253.89 7.49%
From 9.501% - 9.750% 13 $1,337,323.84 6.40%
From 9.751% - 10.000% 15 $1,439,935.38 6.89%
From 10.001% - 10.250% 9 $1,010,558.05 4.84%
From 10.251% - 10.500% 8 $847,189.65 4.05%
From 10.501% - 10.750% 7 $625,699.18 2.99%
From 10.751% - 11.000% 11 $857,991.88 4.11%
From 11.001% - 11.250% 5 $379,354.23 1.82%
From 11.251% - 11.500% 8 $602,286.16 2.88%
From 11.501% - 11.750% 3 $249,990.09 1.20%
From 11.751% - 12.000% 4 $285,606.64 1.37%
From 12.001% - 12.250% 6 $456,112.66 2.18%
From 12.251% - 12.500% 2 $111,965.32 0.54%
From 13.251% - 13.500% 1 $65,200.00 0.31%
From 13.751% - 14.000% 1 $30,000.00 0.14%
-------- ------------------- ---------------------
Total 201 $20,894,209.84 100.00%
======== =================== =====================
</TABLE>
28
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your Salomon
Brothers Financial Advisor immediately.
<PAGE>
CPR Prepayment Sensitivities
For Home Improvement Contract Certificates
<TABLE>
<CAPTION>
12% CPR 13.5% CPR 15% CPR 16.5% CPR 18% CPR
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
To Call
A-1 1.227 - 1/15/00 1.110 - 11/15/99 1.013 - 8/15/99 0.929 - 6/15/99 0.857 - 4/15/99
A-2 3.615 - 4/15/02 3.293 - 11/15/01 3.016 - 7/15/01 2.775 - 3/15/01 2.566 - 12/15/00
A-3 7.004 - 7/15/07 6.473 - 9/15/06 6.004 - 1/15/06 5.578 - 7/15/05 5.199 - 1/15/05
M-1 11.260 - 2/15/09 10.325 - 2/15/08 9.474 - 3/15/07 8.781 - 6/15/06 8.229 - 11/15/05
M-2 11.636 - 2/15/09 10.636 - 2/15/08 9.719 - 3/15/07 8.969 - 6/15/06 8.386 - 11/15/05
B-1 6.594 - 4/15/07 6.045 - 6/15/06 5.586 - 11/15/05 5.211 - 5/15/05 4.845 - 11/15/04
B-2 11.337 - 2/15/09 10.369 - 2/15/08 9.503 - 3/15/07 8.806 - 6/15/06 8.245 - 11/15/05
- -------------------------------------------------------------------------------------------------------------------------------
To Maturity
M-1 11.915 - 9/15/11 11.052 - 10/15/10 10.254 - 12/15/09 9.549 - 3/15/09 8.935 - 6/15/08
M-2 17.683 - 5/15/22 16.707 - 5/15/22 15.789 - 5/15/22 14.919 - 5/15/22 14.102 - 5/15/22
B-2 13.940 - 5/15/22 12.998 - 5/15/22 12.154 - 5/15/22 11.425 - 5/15/22 10.737 - 5/15/22
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
CPR Prepayment Sensitivities
For Home Equity Contract Certificates
<TABLE>
<CAPTION>
50% of Base * 75% of Base * 100% of Base * 125% of Base * 150% of Base *
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
To Call
A-1 ARM 6.043 - 4/15/12 4.255 - 6/15/09 3.230 - 9/15/06 2.589 - 12/15/04 2.151 - 7/15/03
A-1 0.718 - 10/15/98 0.550 - 6/15/98 0.451 - 4/15/98 0.382 - 3/15/98 0.332 - 2/15/98
A-2 3.743 - 10/15/05 2.585 - 3/15/02 2.003 - 1/15/01 1.646 - 4/15/00 1.404 - 11/15/99
A-3 11.724 - 4/15/12 7.677 - 1/15/09 5.127 - 6/15/06 3.672 - 4/15/02 2.961 - 4/15/01
A-4 7.566 - 4/15/12 6.878 - 11/15/08 6.349 - 4/15/06 5.575 - 9/15/04 4.615 - 5/15/03
M-1 14.803 - 4/15/12 12.204 - 9/15/09 9.673 - 3/15/07 7.950 - 7/15/05 6.644 - 9/15/04
M-2 14.803 - 4/15/12 12.219 - 9/15/09 9.719 - 3/15/07 8.053 - 7/15/05 6.803 - 4/15/04
B-1 9.156 - 4/15/11 6.634 - 9/15/07 5.144 - 6/15/05 4.577 - 5/15/04 4.294 - 9/15/03
B-2 14.711 - 4/15/12 11.878 - 9/15/09 9.396 - 3/15/07 7.879 - 7/15/05 6.762 - 4/15/04
- -------------------------------------------------------------------------------------------------------------------------------
To Maturity
M-1 15.595 - 8/15/14 13.477 - 4/15/12 10.649 - 12/15/09 8.565 - 8/15/07 7.043 - 11/15/05
M-2 20.115 - 12/15/25 16.884 - 12/15/25 14.860 - 12/15/25 12.629 - 12/15/25 10.648 - 12/15/25
B-2 19.257 - 6/15/27 15.337 - 8/15/27 12.310 - 8/15/27 10.491 - 3/15/27 9.208 - 12/15/25
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* 100% Base (100% Prepayment Assumption) assumes (a) for the fixed rate
collateral, a constant prepayment rate of 4% per annum of the then
outstanding principal balance of the Fixed Rate Contracts (defined herein) in
the first month of the life of the Fixed Rate Contracts and an additional
1.45% (precisely, 16/11%) per annum in each month thereafter until the
twelfth month. Beginning in twelfth month and in each month thereafter, the
constant prepayment rate is 20% and (b) for the Adjustable Rate Contracts
(defined herein), a constant prepayment rate of 5.6% per annum of the then
outstanding principal balance of the Adjustable Rate Contracts in the first
month of the life of the Adjustable Rate Contracts and an additional 2.04%
(precisely, 22.4/11%) per annum in each month thereafter until the twelfth
month. Beginning in the twelfth month and in each month thereafter, the
constant prepayment rate is 28%.
29
This page must be accompanied by the disclaimer on the cover page of these
materials. If you did not receive such a disclaimer please contact your
Salomon Brothers Financial Advisor immediately.
