<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): August 25, 1997
GREEN TREE FINANCIAL CORPORATION
--------------------------------
(Exact name of registrant as specified in its charter)
Delaware 333-20335 41-1807858
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(State or other jurisdiction (Commission (IRS employer
of incorporation) file number) identification No.)
1100 Landmark Towers, 345 St. Peter Street, Saint Paul, Minnesota 55102-1639
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(Address of principal executive offices)
Registrant's telephone number, including area code: (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.
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Not applicable.
Item 4. Changes in Registrant's Certifying Accountant.
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Not applicable.
Item 5. Other Events.
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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-D, 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
- --------------
<S> <C>
99 External Computational and Descriptive Information
distributed in connection with Certificates for Home
Improvement and Home Equity Loans, Series 1997-D,
issued by Green Tree Financial Corporation, as Seller
and Servicer.
</TABLE>
<PAGE>
TERM SHEET DATED AUGUST 25, 1997
Green Tree Financial Corporation
Certificates for Home Improvement and Home Equity Loans, Series 1997-D
$750,000,000 (Approximate)
Subject to Revision
SELLER/SERVICER: Green Tree Financial Corporation ("Green Tree").
TRUSTEE: First Trust National Association.
UNDERWRITERS: Merrill Lynch & Co. (Lead), Lehman Brothers (Co),
Salomon Brothers Inc (Co).
<TABLE>
<CAPTION>
Ratings WAL Exp Final
Amount (S&P/Fitch) at 15% CPR* Maturity
------ ----------- ----------- --------
<S> <C> <C> <C> <C>
To Call:
HI: A-1 $49,500,000 AAA/AAA 1.00 25
HI: A-2 $33,000,000 AAA/AAA 3.00 49
HI: A-3 $37,500,000 AAA/AAA 6.02 100
HI: M-1 $12,000,000 AA/AA 8.33 100
HI: M-2 $7,500,000 A/A 8.33 100
HI: B-1 $7,125,000 BBB/BBB 5.60 100
HI: B-2 $3,375,000 A-/A 8.33 100
To Maturity
HI: A-3 $37,500,000 AAA/AAA 6.02 102
HI: M-1 $12,000,000 AA/AA 10.17 149
HI: M-2 $7,500,000 A/A 15.69 299
HI: B-2 $3,375,000 A-/A 12.08 299
HI BALANCE $150,000,000
============
<CAPTION>
Ratings WAL Exp Final
Amount (S&P/Fitch**) at 125% Base* Maturity
------ ------------- ------------- --------
<S> <C> <C> <C> <C>
To Call:
HE: A-1 ARM $60,000,000 AAA/AAA 3.02 90
HE: A-1 $70,000,000 AAA/AAA 0.50 10
HE: A-2 $42,000,000 AAA/AAA 1.00 14
HE: A-3 $162,000,000 AAA/AAA 1.88 33
HE: A-4 $41,000,000 AAA/AAA 3.00 40
HE: A-5 $69,000,000 AAA/AAA 4.00 58
HE: A-6 $41,000,000 AAA/AAA 5.73 86
HE: A-7 $29,500,000 AAA/AAA 5.73 85
HE: A-8 IO n/a AAA/AAA n/a n/a
HE: M-1 $34,500,000 AA/AA[+] 8.16 100
HE: M-2 $24,000,000 A/A[+] 8.33 100
HE: B-1 $18,900,000 BBB/BBB[+] 4.60 83
HE: B-2 $8,100,000 A-/A 8.14 100
To Maturity
HE: M-1 $34,500,000 AA/AA[+] 8.58 120
HE: M-2 $24,000,000 A/A[+] 12.35 359
HE: B-2 $8,100,000 A-/A 12.06 361
HE BALANCE $600,000,000
============
</TABLE>
[LOGO OF MERRILL LYNCH APPEARS HERE] 1
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
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* The Fixed Rate Home Equity Home Equity Contracts will be priced using 125%
Base (125% Prepayment Assumption). 100% Base (100% Prepayment Assumption)
assumes a conditional prepayment rate of 4% per annum of the then
outstanding principal balance of the Fixed Rate Home Equity Contracts in
the first month of the life of the Fixed Rate Home Equity 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 conditional prepayment rate is 20%. The Adjustable Rate
Contracts will be priced using a constant prepayment rate of 25%. The Home
Improvement Contracts will be priced using a constant prepayment rate of
15% CPR.
** "+" rating subject to Fitch confirmation.
CUT-OFF DATE: July 31, 1997 (or the date of origination, if later)
EXP. PRICING: August 26, 1997
EXP. SETTLEMENT: September 16, 1997
LEGAL FINAL: Sub-Pool HI: October 2023
Sub-Pool HE: September 2028
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 October 15, 1997.
CROSS-
COLLATERALIZATION: On each Payment Date the Amount Available with respect to
any Sub-Pool which is remaining after making
distributions in respect of the Certificates then
entitled to receive distributions therefrom will
generally be available to make distributions in respect
of the Certificates then entitled to receive
distributions from the other Sub-Pool.
ERISA: Class HI:A and Class HE:A Certificates are ERISA
eligible. No other Certificates will 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: Certain assets of the Trust will elect to be treated as a
REMIC for federal income tax purposes.
OPTIONAL REPURCHASE: 10% cleanup call.
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) and Residual
(Class C)
Class HI:M-1: 12.00% subordination (Class HI:M-2, HI:B-
1 and HI:B-2) and Residual (Class C)
Class HI:M-2: 7.00% subordination (HI:B-1 and HI:B-2)
and Residual (Class C)
Class HI:B-1: 2.25% subordination (Class HI:B-2) and
Residual (Class C)
Class HI:B-2: Limited Guaranty and Residual (Class C)
LOSSES ON LIQUIDATED
SUB-POOL HI CONTRACTS:
If Net Liquidation Proceeds from Liquidated Contracts in
Sub-Pool HI in a collection
[LOGO OF MERRILL LYNCH APPEARS HERE] 2
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
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, 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 Principal Amount."
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 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 30/360 basis.
In the event that, on a particular Payment Date, the
Class HI:A Remaining Amount Available, plus other funds
in the Certificate Account available therefor, are not
sufficient to make a full distribution of interest to
the holders of outstanding Class HI:A Certificates, the
amount of interest to be distributed in respect of the
Class HI:A Certificates will be allocated among the
Class HI:A Certificates pro rata in accordance with
their respective entitlements to interest, and the
amount of the deficiency will be carried forward as an
amount that the Class HI:A Certificateholders are
entitled to receive on the next Payment Date. Any
amounts so carried forward will bear interest at the
applicable Class HI:A Pass-Through Rate, to the extent
legally permissible.
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: (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
[LOGO OF MERRILL LYNCH APPEARS HERE] 3
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
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 October 2000
(month 36);
ii. the Class HI:B Principal Balance
represents less than 14% of the Scheduled
Principal Balance of Sub-Pool HI; or
iii. each 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. In the event that, on a
particular Payment Date, the Class HI:M-1 Remaining
Amount Available, plus other funds in the Certificate
Account available therefor, are not sufficient to make a
full distribution of the Class HI:M-1 Interest Payment
Amount, the amount of interest to be distributed in
respect of the Class HI:M-1 Certificates will be
allocated among the Class HI:M-1 Certificates pro rata
in accordance with their respective entitlements to
interest, and the amount of the deficiency will be
carried forward as an amount that the Class HI:M-1
Certificateholders are entitled to receive on the next
Payment Date. Any amount so carried forward will, to the
extent legally permissible, bear interest at the Class
HI:M-1 Pass-Through Rate.
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 Class HI:A and 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 30/360 basis. In the event
that, on a particular Payment Date, the Class HI:M-2
Remaining Amount
[LOGO OF MERRILL LYNCH APPEARS HERE] 4
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
Available, plus other funds in the Certificate Account
available therefor, are not sufficient to make a full
distribution of the Class HI:M-2 Interest Payment
Amount, the amount of interest to be distributed in
respect of the Class HI:M-2 Certificates will be
allocated among the Class HI:M-2 Certificates pro rata
in accordance with their respective entitlements to
interest, and the amount of the deficiency will be
carried forward as an amount that the Class HI:M-2
Certificateholders are entitled to receive on the next
Payment Date. Any amount so carried forward will, to the
extent legally permissible, bear interest at the Class
HI:M-2 Pass-Through Rate.
CLASS HI:M-2 PRINCIPAL:
Class HI:M-2 Certificateholders will not receive
principal until the Class HI:A and 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 Class HI:A, Class HI:M-1 and 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
30/360 basis. In the event that, on a particular Payment
Date, the Class HI:B-1 Remaining Amount Available, plus
other funds in the Certificate Account available
therefor, are not sufficient to make a full distribution
of the Class HI:B-1 Interest Payment Amount, the amount
of interest to be distributed in respect of the Class
HI:B-1 Certificates will be allocated among the Class
HI:B-1 Certificates pro rata in accordance with their
respective entitlements to interest, and the amount of
the deficiency will be carried forward as an amount that
the Class HI:B-1 Certificateholders are entitled to
receive on the next Payment Date. Any amount so carried
forward will, to the extent legally permissible, bear
interest at the Class HI:B-1 Pass-Through Rate.
CLASS HI:B-1 PRINCIPAL:
The Class HI:B-1 Certificateholders will not receive
principal payments until (i) the 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 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%.
[LOGO OF MERRILL LYNCH APPEARS HERE] 5
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
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 as of
the given Payment Date must not exceed a certain
specified percentage of the Cut-off Date Pool
Principal Balance of Sub-Pool HI;
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%.
CLASS HI:B-2 INTEREST:
After payment of 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 Class HI:B-2 Limited
Guaranty will be available to pay interest to the Class
HI:B-2 Certificateholders if the Sub-Pool HI Class HI:B-
2 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 30/360 basis. In the event that, on a
particular Payment Date, the Class HI:B-2 Remaining
Amount Available in the Certificate Account plus any
amounts paid under the Class HI:B-2 Limited Guaranty are
not sufficient to make a full distribution to the Class
HI:B-2 Interest Payment Amount, the amount of interest
to be distributed in respect of the Class HI:B-2
Certificates will be allocated among the Class HI:B-2
Certificates pro rata accordance with their respective
entitlements to interest, and the amount of the
deficiency will be carried forward as an amount that the
Class HI:B-2 Certificateholders are entitled to receive
on the next Payment Date. Any amount so carried forward
will, to the extent legally permissible, bear interest
at the Class HI:B-2 Pass-Through Rate.
CLASS HI:B-2 PRINCIPAL:
Except as set forth below, the Class HI:B-2
Certificateholders will not 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 of 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 Class HI:B-2
Principal Balance has been reduced to zero.
On each Payment Date, the Class HI:B-2
Certificateholders are also 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.
[LOGO OF MERRILL LYNCH APPEARS HERE] 6
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
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.
HOME EQUITY CERTIFICATE STRUCTURE
CREDIT ENHANCEMENT:
Class HE:A: 14.25% subordination (Class HE:M-1,
M-2, B-1 and B-2) & Residual
(Class C)
Class HE:M-1: 8.50% subordination (Class HE:M-2,
B-1, and B-2) & Residual (Class C)
Class HE:M-2: 4.50% subordination (Class HE:B-1 and
B-2) & Residual (Class C)
Class HE:B-1: 1.35% subordination (Class HE:B-2) &
Residual (Class C)
Class HE:B-2: Limited Guaranty plus Residual
(Class C)
LOSSES ON LIQUIDATED
CONTRACTS:
If Net Liquidation Proceeds from Liquidated Contracts in
Sub-Pool HE 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 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 Certificate
holders.
PRE-FUNDING
ACCOUNT:
The Sub-Pool HE Pre-Funded Amount will be reduced during
the Funding Period (not longer than 90 days) by the
amounts thereof used to purchase related Subsequent Home
Equity Contracts. Any amount remaining at the end of the
Funding Period in the Sub-Pool HE Pre-Funding Account
will be distributed to each Class of Class HE: A
Certificates on a pro rata basis.
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
Certificate holders.
[LOGO OF MERRILL LYNCH APPEARS HERE] 7
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
Class HE:A Certificates are senior to both the Class
HE:M and the Class HE:B Certificates. The Class HE:M
Certificates are senior to the Class HE:B
Certificates.
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 then
outstanding Class Principal Balance (in the case of
Class HE:A Certificates other than the Class HE:A-8
IO Certificates) or based on the "Notional Principal
Amount" (in the case of the Class HE:A-8 IO
Certificates). Interest will be calculated on the
Class HE:A-8 IO Certificates on the basis of a
"Notional Principal Amount' equal to the aggregate
outstanding Certificate Principal Balance of the
Class HE:A-7 Certificates (reference to the Notional
Principal Amount is solely for convenience in
certain calculations and does not represent the
right to receive any distribution allocable to
principal). The Class HE:A-8 IO Certificates are
entitled to receive interest payments only through
the Payment Date in September 2000. 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.
The Pass Through Rate for the Class HE:A-1 ARM
Certificates will be floating and will equal the
lesser of :
i. one-month LIBOR plus the Pass-Through Margin;
ii. the Available Funds Pass-Through Rate; or
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 Improvement
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 Contracts. The
Expense Adjusted Mortgage Rate on any Adjustable
Rate Contract is equal to the then applicable Loan
Interest Rate thereon, minus the Expense Fee Rate,
which is [.75]% per annum and equal to the sum of
the servicing fee and the trustee fee.
Each other 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
instead bear interest at a variable Pass-Through
Rate calculated on an actual/360 basis.
In the event that, on a particular Payment Date, the
Class HE:A Remaining Amount Available, plus other
funds in the Certificate Account available therefor,
are not sufficient to make a full distribution of
interest to the holders of the outstanding Class
HE:A Certificates, the amount of interest to be
distributed in respect of the Class HE:A
Certificates will be allocated among the Class HE:A
Certificates pro rata in accordance with their
respective entitlements to interest, and the amount
of the deficiency will be carried forward as an
amount that the Class HE:A Certificateholders are
entitled to receive on the next Payment Date. Any
amounts so
[LOGO OF MERRILL LYNCH APPEARS HERE] 8
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call you Merrill Lynch
account executive for another copy.
<PAGE>
carried forward 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-7 Lockout
Distribution Amount (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, then to
the Class HE:A-3 Certificateholders until the Class
HE:A-3 Principal Balance has been reduced to zero,
then to the Class HE:A-4 Certificateholders until
the Class HE:A-4 Principal Balance has been reduced
to zero, then to the Class HE:A-5 Certificateholders
until the Class HE:A-5 Principal Balance has been
reduced to zero and then to the Class HE:A-6
Certificateholders until the Class HE:A-6 Principal
Balance has been reduced to zero.
The "Sub-Pool HE Formula Principal Distribution
Amount" for each Payment Date will generally be
equal to the sum of: (i) all scheduled payments of
principal due on each outstanding Home Equity
Contract during the preceding month; (ii) all
partial principal prepayments and principal
prepayments in full received on each Home Equity
Contract during the preceding month; (iii) the
scheduled principal balance of each Home Equity
Contract that became liquidated during the preceding
month; and (iv) the scheduled principal balance of
each Home Equity Contract purchased by Green Tree
during the preceding month pursuant to the Pooling
and Servicing Agreement.
The Class HE:A-7 Certificateholders are generally
entitled to receive the Class HE:A-7 Lockout
Distribution Amount, however, if on any Payment Date
the Class HE:A-6 Certificate Principal Balance is
zero, the Class HE:A-7 Certificateholders will
instead 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-6 Certificates on such Payment Date, in
each case until the Class HE:A-7 Principal Balance
has been reduced to zero.
The "Class HE:A-7 Lockout Distribution Amount" for
any Payment Date will equal the product of (i) the
applicable Class HE:A-7 Lockout Percentage for such
Payment Date and (ii) the Class HE:A-7 Lockout Pro
Rata Distribution Amount for such Payment Date.
The "Class HE:A-7 Lockout Percentage" for each
Payment Date will be as follows:
<TABLE>
<CAPTION>
Payment Dates Lockout Percentage
------------- ------------------
<S> <C>
October 1997 - September 2000 0%
October 2000 - September 2002 20%
October 2002 - September 2003 80%
October 2003 - September 2004 100%
October 2004 and thereafter 300%
</TABLE>
The "Class HE:A-7 Lockout Pro Rata Distribution
Amount" for any Payment Date will equal the product
of (x) a fraction, the numerator of which is the
Certificate
[LOGO OF MERRILL LYNCH APPEARS HERE] 9
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call you Merrill Lynch
account executive for another copy.
<PAGE>
Principal Balance of the Class HE:A-7 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, Class HE:A-4, Class
HE:A-5, Class HE:A-6 and Class HE:A-7 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 will equal 100% if
any of the following exist:
i. it is prior to October 2000 (Month 36);
ii. the Class HE:B Principal Balance represents
less than 9.00% of the Scheduled Principal
Balance of Sub-Pool HE; or
iii. each Class HE:B Principal Distribution Test
(See below) is not satisfied.
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 of Sub-Pool HE for the immediately preceding
Payment Date. The Class HE:A-8 IO Certificates are
interest-only Certificates and are not entitled to
receive distributions of principal.
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
30/360 basis. In the event that, on a particular
Payment Date, the Class HE:M-1 Remaining Amount
Available, plus other funds in the Certificate
Account available therefor, are not sufficient to
make a full distribution of the Class HE:M-1
Interest Payment Amount, the amount of interest to
be distributed in respect of the Class HE:M-1
Certificates will be allocated among the Class
HE:M-1 Certificates pro rata in accordance with
their respective entitlements to interest, and the
amount of the deficiency will be carried forward as
an amount that the Class HE:M-1 Certificateholders
are entitled to receive on the next Payment Date.
Any amount so carried forward will, to the extent
legally permissible, bear interest at the Class
HE:M-1 Pass-Through Rate.
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
Sub-Pool HE Senior Percentage of the Sub-Pool HE
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 30/360 basis. In the event that, on a
particular Payment Date, the Class HE:M-2 Remaining
Amount
[LOGO OF MERRILL LYNCH APPEARS HERE] 10
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call you Merrill Lynch
account executive for another copy.
<PAGE>
Available, plus other funds in the Certificate
Account available therefor, are not sufficient to
make a full distribution of the Class HE:M-2
Interest Payment Amount, the amount of interest to
be distributed in respect of the Class HE:M-2
Certificates will be allocated among the Class
HE:M-2 Certificates pro rata in accordance with
their respective entitlements to interest, and the
amount of the deficiency will be carried forward as
an amount that the Class HE:M-2 Certificateholders
are entitled to receive on the next Payment Date.
Any amount so carried forward will, to the extent
legally permissible, bear interest at the Class
HE:M-2 Pass-Through Rate.
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 Sub-Pool HE Senior
Percentage of the Sub-Pool HE Formula Principal
Distribution Amount, until the Class HE:M-2
Principal Balance has been reduced to zero.
CLASS HE:B-1 INTEREST:
After payment of 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 30/360 basis. In the
event that, on a particular Payment Date, the Class
HE:B-1 Remaining Amount Available, plus other funds
in the Certificate Account available therefor, are
not sufficient to make a full distribution of the
Class HE:B-1 Interest Payment Amount, the amount of
interest to be distributed in respect of the Class
HE:B-1 Certificates will be allocated among the
Class HE:B-1 Certificates pro rata in accordance
with their respective entitlements to interest, and
the amount of the deficiency will be carried forward
as an amount that the Class HE:B-1
Certificateholders are entitled to receive on the
next Payment Date. Any amount so carried forward
will, to the extent legally permissible, bear
interest at the Class HE:B- 1 Pass-Through Rate.
CLASS HE:B-1 PRINCIPAL:
The Class HE:B-1 Certificateholders will not receive
principal payments until (i) the Class HE:B
Cross-over Date and (ii) such time as either (a)
each Class HE:B Principal Distribution Test is
satisfied or (b) the Class HE:A Principal Balance
and the Class HE:M Principal Balance have been
reduced to zero. 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 Sub-Pool HE
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 Sub-Pool HE 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 100.00%
[LOGO OF MERRILL LYNCH APPEARS HERE] 11
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call you Merrill Lynch
account executive for another copy.
<PAGE>
CLASS HE:B PRINCIPAL
DISTRIBUTION TESTS:
i. the average of the Sub-Pool HE Sixty-Day
Delinquency Ratio as of the given Payment
Date and the prior two Payment Dates must not
exceed 6%;
ii. the average of the Sub-Pool HE Thirty-Day
Delinquency Ratio as of the given Payment
Date and the prior two Payment Dates must not
exceed 12%;
iii. the Sub-Pool HE Cumulative Realized Losses as
of the given Payment Date must not exceed
7.5%;
iv. the Sub-Pool HE Current Realized Loss Ratio
as of the given Payment Date must not exceed
2.0%; and
v. the Class HE:B Principal Balance divided by
the Pool Scheduled Principal Balance of
Sub-Pool HE of as of the immediately
preceding Payment Date must be equal to or
greater than 9.00%
CLASS HE:B-2 INTEREST:
After payment of 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, if any). The Class HE:B-2 Limited Guaranty
will be available to pay interest to the Class
HE:B-2 Certificateholders if the Sub-Pool HE Class
HE:B-2 Remaining Amount Available is not sufficient.
Interest will initially accrue from the Settlement
Date, and thereafter will accrue from the most
recent Payment Date on which interest has been paid,
in each case to but excluding the following Payment
Date. Interest will be computed on 30/360 basis. In
the event that, on a particular Payment Date, the
Class HE:B-2 Remaining Amount Available in the
Certificate Account plus any amounts paid under the
Class HE:B-2 Limited Guaranty are not sufficient to
make a full distribution the Class HE:B-2 Interest
Payment Amount, the amount of interest to be
distributed in respect of the Class HE:B-2
Certificates will be allocated among the Class
HE:B-2 Certificates pro rata in accordance with
their respective entitlements to interest, and the
amount of the deficiency will be carried forward as
an amount that the Class HE:B-2 Certificateholders
are entitled to receive on the next Payment Date.
Any amount so carried forward will, to the extent
legally permissible, bear interest at the Class
HE:B-2 Pass-Through Rate.
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 of 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 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.
CLASS HE:B-2 LIMITED
GUARANTY:
To 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.
[LOGO OF MERRILL LYNCH APPEARS HERE] 12
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call you Merrill Lynch
account executive for another copy.
<PAGE>
HOME IMPROVEMENT CONTRACTS
Sub-Pool HI will consist of conventional and FHA-insured home improvement
contracts and promissory notes. Certain Additional Home Improvement Contracts
will be identified for inclusion in Sub-Pool HI prior to the Closing Date and
such Additional Home Improvement Contracts, together with the Original Home
Improvement Contracts, will comprise Sub-Pool HI. The data set forth below is
based solely upon the Original Home Improvement Contracts. It is expected that
the Additional Home Improvement Contracts will have similar characteristics.
Obligations of the Obligor under each Home Improvement Contract are secured by
the related real estate.
THE HOME IMPROVEMENT CONTRACT SUB-POOL
<TABLE>
<S> <C>
Number of Contracts in Sub-Pool: 5,691
Wgt. Avg. Contract Rate: 10.719%
Range of Rates: 7.50% - 17.25%
Wgt. Avg. Orig. Maturity: 211.30 mos.
Wgt. Avg. Rem. Maturity: 210.70 mos.
Avg. Rem Princ. Balance: $17,378
</TABLE>
GEOGRAPHIC DISTRIBUTION OF MORTGAGE PROPERTIES
HOME IMPROVEMENT CONTRACTS
<TABLE>
<CAPTION>
% of HI Contract % of HI Contract Sub-Pool
Number Sub-Pool by Number Aggregate Principal by Outstanding
State of Contracts of Contracts Balance Outstanding Principal Balance
- ----- ------------ ------------ ------------------- -----------------
<S> <C> <C> <C> <C>
CA 916 16.10% $22,666,796.70 22.92%
AZ 427 7.50% 8,367,434.78 8.46%
NJ 359 6.31% 6,224,116.19 6.29%
NY 371 6.52% 6,120,534.85 6.19%
FL 327 5.75% 5,709,311.49 5.77%
Other States * 3,291 57.82% 49,811,793.04 50.37%
Total 5,691 100% $98,899,987.05 100%
===== ===== ==== ============== ====
</TABLE>
- ---------------------------
* No one State in this category constitutes more than 5% of the Sub-Pool HI
Outstanding Principal Balance.
YEARS OF ORIGINATION OF HOME IMPROVEMENT CONTRACTS
<TABLE>
<CAPTION>
% of HI Contract Sub-Pool
Number of Aggregate Principal by Outstanding
Year of Origination Contracts Balance Outstanding Principal Balance
- ------------------- ---------- ------------------- -----------------
<S> <C> <C> <C>
1987 1 $18,909.00 0.02%
1990 2 29,508.74 0.03%
1992 1 13,498.00 0.01%
1996 10 109,497.81 0.11%
1997 5,677 98,728,573.50 99.83%
Total 5,691 $98,899,987.05 100%
===== ===== ============== ====
</TABLE>
[LOGO OF MERRILL LYNCH APPEARS HERE] 13
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
ORIGINAL HOME IMPROVEMENT CONTRACT AMOUNTS
<TABLE>
<CAPTION>
% of HI Contract Sub-Pool
Original HI Contract Number of Aggregate Principal by Outstanding
Amount (in Dollars) Contracts Balance Outstanding Principal Balance
- ------------------- --------- ------------------- -----------------
<S> <C> <C> <C>
Less than/Equal $9,999 1,184 $8,467,088.55 8.56%
From $10,000 - $19,999 2,697 39,670,380.59 40.11%
From $20,000 - $29,999 1,236 29,398,658.49 29.73%
From $30,000 - $39,999 400 13,326,557.34 13.47%
From $40,000 - $49,999 126 5,417,859.84 5.48%
From $50,000 - $59,999 42 2,174,203.16 2.20%
From $60,000 - $69,999 3 182,237.60 0.18%
From $80,000 - $89,999 2 164,023.64 0.17%
From $90,000 - $99,999 1 98,977.84 0.10%
Total 5,691 $98,899,987.05 100%
===== ===== ============== ====
</TABLE>
HOME IMPROVEMENT CONTRACT RATES
<TABLE>
<CAPTION>
% of HI Contract Sub-Pool
Number of Aggregate Principal by Outstanding
HI Contract Rate Contracts Balance Outstanding Principal Balance
- ---------------- --------- ------------------- -----------------
<S> <C> <C> <C>
From 7.00001% - 8.00000% 8 $223,954.48 0.23%
From 8.00001% - 9.00000% 120 2,743,058.97 2.77%
From 9.00001% - 10.0000% 1693 38,261,559.70 38.69%
From 10.00001% - 11.00000% 1704 31,232,082.23 31.58%
From 11.00001% - 12.00000% 729 11,044,623.97 11.17%
From 12.00001% - 13.00000% 852 10,421,857.88 10.54%
From 13.00001% - 14.00000% 423 3,584,102.67 3.62%
From 14.00001% - 15.00000% 116 1,060,220.08 1.07%
From 15.00001% - 16.00000% 29 212,634.64 0.21%
Greater than 16.00001% 17 115,892.43 0.12%
Total 5,691 $98,899,987.05 100%
===== ===== ============== ====
</TABLE>
[LOGO OF MERRILL LYNCH APPEARS HERE] 14
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
REMAINING MONTHS TO MATURITY OF HOME IMPROVEMENT CONTRACTS
<TABLE>
<CAPTION>
% of HI Contract Sub-Pool
Number of Aggregate Principal by Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
- ---------------- --------- ------------------- -----------------
<S> <C> <C> <C>
Less than/Equal 30 18 $87,996.89 .09%
31-60 394 3,270,927.67 3.31%
61-90 189 1,841,715.95 1.86%
91-120 1,509 19,292,888.17 19.51%
121-150 38 486,687.61 0.49%
151-180 1,495 26,377,609.98 26.67%
181-210 4 50,321.49 0.05%
211-240 666 13,446,602.41 13.60%
271-300 1378 34,045,236.88 34.42%
Total 5,691 $98,899,987.05 100%
===== ===== ============== ====
</TABLE>
LIEN POSITION OF HOME IMPROVEMENT CONTRACTS
<TABLE>
<CAPTION>
% of HI Contract % of HI Contract Sub-Pool
Lien Number Sub-Pool by Number Aggregate Principal by Outstanding
Position of Contracts of Contracts Balance Outstanding Principal Balance
- -------- ------------ ------------ ------------------- -----------------
<S> <C> <C> <C> <C>
First 239 4.20% $3,195,568.69 3.23%
Second 4,339 76.24% 76,243,087.86 77.10%
Third 1101 19.35% 19,269,779.84 19.48%
Fourth 12 0.21% 191,550.66 0.19%
Total 5,691 100% $98,899,987.05 100%
===== ===== ==== ============== ====
</TABLE>
[LOGO OF MERRILL LYNCH APPEARS HERE] 15
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
HOME EQUITY CONTRACTS
Sub-Pool HE will consist of closed-end fixed rate home equity loans and
adjustable rate home equity loans. The data set forth below is based solely upon
the Initial Contracts. It is expected that Subsequent Contracts purchased with
amounts deposited in the Sub-Pool HE Pre-Funding Account will have similar
characteristics. Obligations of the Obligor under each Home Equity Contract are
secured by the related real estate.
THE HOME EQUITY CONTRACT SUB-POOL
FIXED RATE LOANS
<TABLE>
<CAPTION>
LEVEL PAY BALLOONS
<S> <C> <C> <C>
Number of Contracts in Sub-Pool: 5,334 Number of Contracts in Sub-Pool: 1,257
Wgt. Avg. Contract Rate: 12.13% Wgt. Avg. Contract Rate: 12.09%
Range of Rates: 7.25% - 19.10% Range of Rates: 7.70% - 17.50%
Wgt. Avg. Orig. Maturity: 245.45 mos. Wgt. Avg. Orig. Maturity: 179.16 mos.
Wgt. Avg. Rem. Maturity: 244.67 mos. Wgt. Avg. Rem. Maturity: 178.18 mos.
Avg. Rem Princ. Balance: $46,399 Avg. Rem Princ. Balance: $71,899
Wgt. Avg. CLTV: 86.69% Wgt. Avg. CLTV: 87.16%
</TABLE>
GEOGRAPHIC DISTRIBUTION OF MORTGAGE PROPERTIES
FIXED RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract % of HE Contract Sub-
Number Sub-Pool by Number Aggregate Principal Pool by Outstanding
State of Contracts of Contracts Balance Outstanding Principal Balance
- ----- ------------ ------------ ------------------- -----------------
<S> <C> <C> <C> <C>
OH 525 7.97% $24,382,320.94 7.22%
FL 488 7.40% 24,101,407.42 7.13%
NC 414 6.28% 21,332,349.77 6.31%
GA 404 6.13% 20,953,797.79 6.20%
IL 320 4.86% 19,648,515.97 5.82%
VA 329 4.99% 19,478,546.94 5.77%
PA 311 4.72% 18,171,994.19 5.38%
AL 363 5.51% 17,364,284.09 5.14%
Other * 3,437 52.14% 172,438,391.97 51.03%
Total 6,591 100% $337,871,609.08 100%
======= ===== ==== =============== ====
</TABLE>
- ---------------------------
* No one State in this category constitutes more than 5% of the Sub-Pool HE
Outstanding Principal Balance.
[LOGO OF MERRILL LYNCH APPEARS HERE] 16
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
YEARS OF ORIGINATION OF FIXED RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract Sub-Pool
Number of Aggregate Principal by Outstanding
Year of Origination Contracts Balance Outstanding Principal Balance
- ------------------- ---------- ------------------- -----------------
<S> <C> <C> <C>
1989 2 $266,834.76 0.08%
1990 1 95,950.80 0.03%
1994 2 150,315.56 0.04%
1995 3 364,293.28 0.11%
1996 42 2,272,473.89 0.67%
1997 6,541 334,721,740.79 99.07%
Total 6,591 $337,871,609.08 100%
===== ===== =============== ====
</TABLE>
ORIGINAL FIXED RATE HOME EQUITY CONTRACT AMOUNTS
<TABLE>
<CAPTION>
% of HE Contract Sub-Pool
Original HE Contract Number of Aggregate Principal by Outstanding
Amount (in Dollars) Contracts Balance Outstanding Principal Balance
- ------------------- --------- ------------------- -----------------
<S> <C> <C> <C>
Less than/Equal $29,999 2,422 $47,419,736.10 14.04%
From $30,000 - $39,999 924 31,829,500.59 9.42%
From $40,000 - $49,999 730 32,482,256.63 9.62%
From $50,000 - $59,999 547 29,875,564.12 8.84%
From $60,000 - $69,999 461 29,874,241.15 8.84%
From $70,000 - $79,999 348 25,884,934.35 7.66%
From $80,000 - $89,999 267 22,467,868.49 6.65%
From $90,000 - $99,999 191 17,940,911.32 5.31%
From $100,000 - $109,999 151 15,798,010.26 4.68%
From $110,000 - $119,999 132 15,097,812.89 4.47%
From $120,000 - $129,999 87 10,842,473.64 3.21%
From $130,000 - $139,999 68 9,134,948.97 2.70%
From $140,000 - $149,999 61 8,807,122.83 2.61%
From $150,000 - $159,999 40 6,198,020.06 1.83%
From $160,000 - $169,999 34 5,564,147.92 1.65%
From $170,000 - $179,999 24 4,170,326.31 1.23%
From $180,000 - $189,999 16 2,914,094.87 0.86%
From $190,000 - $199,999 18 3,505,755.19 1.04%
From $200,000 - $249,999 41 8,946,083.74 2.65%
From $250,000 - $299,999 16 4,373,968.89 1.29%
From $300,000 - $349,999 6 1,897,183.23 0.56%
From $350,000 - $399,999 5 1,872,911.24 0.55%
Greater than $399,999 2 973,736.29 0.29%
Total 6,591 $337,871,609.08 100%
===== ===== =============== ====
</TABLE>
[LOGO OF MERRILL LYNCH APPEARS HERE] 17
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
FIXED RATE HOME EQUITY CONTRACT RATES
<TABLE>
<CAPTION>
% of HE Contract Sub-Pool
Number of Aggregate Principal by Outstanding
HE Contract Rate Contracts Balance Outstanding Principal Balance
- ---------------- --------- ------------------- -----------------
<S> <C> <C> <C>
Less than/Equal 9.00% 27 $3,138,806.08 0.93%
From 9.01% - 10.00% 201 17,357,250.32 5.14%
From 10.01% - 11.00% 953 80,754,622.88 23.91%
From 11.01% - 12.00% 1,156 73,790,439.14 21.84%
From 12.01% - 13.00% 1,644 78,465,876.81 23.22%
From 13.01% - 14.00% 1,441 52,132,816.10 15.43%
From 14.01% - 15.00% 620 19,275,462.96 5.70%
From 15.01% - 16.00% 328 8,149,383.48 2.41%
From 16.01% - 17.00% 141 3,113,260.70 0.92%
Greater than 17.00% 80 1,693,690.61 0.50%
Total 6,591 $337,871,609.08 100%
===== ====== =============== ====
</TABLE>
REMAINING MONTHS TO MATURITY OF FIXED RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract Sub-Pool
Number of Aggregate Principal by Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
- ---------------- --------- ------------------- -----------------
<S> <C> <C> <C>
Less than/Equal 180 3,906 $172,462,808.05 51.05%
181 - 195 2 103,050.36 0.03%
196 - 210 1 87,463.72 0.03%
211 - 225 4 177,907.78 0.05%
226 - 240 1,754 89,010,535.46 26.34%
256 - 270 3 346,149.14 0.10%
271 - 285 2 166,951.98 0.05%
286 - 300 397 27,540,962.31 8.15%
331 - 345 2 377,009.02 0.11%
346 - 360 520 47,598,771.26 14.09%
Total 6,591 $337,871,609.08 100%
===== ===== =============== ====
</TABLE>
LIEN POSITION OF FIXED RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract Sub- % of HE Contract Sub-Pool
Lien Number Pool by Number Aggregate Principal by Outstanding
Position of Contracts of Contracts Balance Outstanding Principal Balance
- -------- ------------ ------------ ------------------- -----------------
<S> <C> <C> <C> <C>
First 3,399 51.57% $245,089,364.60 72.54%
Second 3,104 47.09% 91,151,590.86 26.98%
Third 88 1.34% 1,630,653.62 0.48%
Total 6,591 100% $337,871,609.08 100.00%
===== ===== ==== =============== =======
</TABLE>
[LOGO OF MERRILL LYNCH APPEARS HERE] 18
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call you Merrill Lynch
account executive for another copy.
<PAGE>
COMBINED LOAN-TO-VALUE RATIO OF FIXED RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract Sub-
Combined Number of Aggregate Principal Pool by Outstanding
Loan-to-Value Ratio Contracts Balance Outstanding Principal Balance
- ------------------- --------- ------------------- -----------------
<S> <C> <C> <C>
Less than/Equal 10.00% 11 $250,909.74 0.07%
From 10.01% - 20.00% 41 886,313.01 0.26%
From 20.01% - 30.00% 48 1,197,297.87 0.35%
From 30.01% - 40.00% 61 2,144,459.81 0.63%
From 40.01% - 50.00% 90 3,023,312.67 0.89%
From 50.01% - 60.00% 132 5,890,524.67 1.74%
From 60.01% - 70.00% 350 15,137,680.60 4.48%
From 70.01% - 80.00% 834 44,059,878.15 13.04%
From 80.01% - 90.00% 2,342 127,073,247.82 37.62%
Greater than 90.00% 2,682 138,207,984.74 40.92%
Total 6,591 $337,871,609.08 100%
===== ===== =============== ====
</TABLE>
[LOGO OF MERRILL LYNCH APPEARS HERE] 19
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call you Merrill Lynch
account executive for another copy.
<PAGE>
THE HOME EQUITY CONTRACT POOL
ARM LOANS
<TABLE>
<S> <C>
Number of Contracts in Sub-Pool: 385
Wgt. Avg. Contract Rate: 10.13%
Range of Rates: 7.25% - 14.95%
Wgt. Avg. Orig. Maturity: 359.5 mos.
Wgt. Avg. Rem. Maturity: 358.4 mos.
Avg. Rem Princ. Balance: $116,434
Wgt. Avg. CLTV: 86.82%
</TABLE>
GEOGRAPHIC DISTRIBUTION OF MORTGAGE PROPERTIES
ARM HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract Sub- % of HE Contract Sub-
Number Pool by Number Aggregate Principal Pool by Outstanding
State of Contracts of Contracts Balance Outstanding Principal Balance
- ---- ------------ ------------ ------------------- -----------------
<S> <C> <C> <C> <C>
TX 45 11.69% $4,720,873.39 10.53%
CA 23 5.97% 4,181,957.25 9.33%
GA 26 6.75% 3,028,944.23 6.76%
MI 29 7.53% 2,444,140.42 5.45%
WA 13 3.38% 2,407,430.74 5.37%
Other * 249 64.68% 28,043,818.60 62.56%
Total 385 100% $44,827,164.63 100%
======= === ==== ============== ====
</TABLE>
- ---------------------------
* No one State in this category constitutes more than 5% of the Sub-Pool HE
Outstanding Principal Balance.
YEARS OF ORIGINATION OF ARM HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract Sub-
Number of Aggregate Principal Pool by Outstanding
Year of Origination Contracts Balance Outstanding Principal Balance
- ------------------- --------- ------------------- -----------------
<S> <C> <C> <C>
1996 2 $122,207.87 0.27%
1997 383 44,704,956.76 99.73%
Total 385 $44,827,164.63 100%
===== === ============== ====
</TABLE>
[LOGO OF MERRILL LYNCH APPEARS HERE] 20
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call you Merrill Lynch
account executive for another copy.
<PAGE>
ARM HOME EQUITY CONTRACT RATES
<TABLE>
<CAPTION>
% of HE Contract Sub-
Number of Aggregate Principal Pool by Outstanding
HE Contract Rate Contracts Balance Outstanding Principal Balance
- ---------------- --------- ------------------- -----------------
<S> <C> <C> <C>
Less than/Equal 9.00% 49 $6,260,091.15 13.96%
From 9.01% - 10.00% 119 15,255,856.55 34.03%
From 10.01% - 11.00% 143 16,813,833.13 37.51%
From 11.01% - 12.00% 54 5,227,680.02 11.66%
From 12.01% - 13.00% 16 1,069,918.70 2.39%
From 13.01% - 14.00% 3 170,399.47 0.38%
From 14.01% - 15.00% 1 29,385.61 0.07%
Total 385 $44,827,164.63 100%
===== === ============== ====
</TABLE>
ORIGINAL ARM HOME EQUITY CONTRACT AMOUNTS
<TABLE>
<CAPTION>
% of HE Contract Sub-
Original HE Contract Number of Aggregate Principal Pool by Outstanding
Amount (in Dollars) Contracts Balance Outstanding Principal Balance
- ------------------- --------- ------------------- -----------------
<S> <C> <C> <C>
Less than/Equal $29,999 3 $78,635.61 0.18%
From $30,000 - $39,999 16 549,217.17 1.23%
From $40,000 - $49,999 18 801,533.87 1.79%
From $50,000 - $59,999 29 1,591,800.40 3.55%
From $60,000 - $69,999 33 2,115,603.43 4.72%
From $70,000 - $79,999 27 2,004,381.29 4.47%
From $80,000 - $89,999 24 2,049,381.89 4.57%
From $90,000 - $99,999 36 3,424,352.01 7.64%
From $100,000 - $109,999 33 3,462,522.33 7.72%
From $110,000 - $119,999 27 3,085,052.12 6.88%
From $120,000 - $129,999 16 2,009,669.91 4.48%
From $130,000 - $139,999 24 3,227,031.85 7.20%
From $140,000 - $149,999 14 2,018,815.65 4.50%
From $150,000 - $159,999 10 1,540,109.18 3.44%
From $160,000 - $169,999 10 1,653,672.21 3.69%
From $170,000 - $179,999 10 1,739,768.47 3.88%
From $180,000 - $189,999 4 739,088.81 1.65%
From $190,000 - $199,999 8 1,551,990.43 3.46%
From $200,000 - $249,999 24 5,207,256.27 11.62%
From $250,000 - $299,999 9 2,461,292.57 5.49%
From $300,000 - $349,999 5 1,610,124.23 3.59%
From $350,000 - $399,999 4 1,461,486.89 3.26%
Greater than $399,999 1 444,378.04 0.99%
Total 385 $44,827,164.63 100%
===== === ============== ====
</TABLE>
[LOGO OF MERRILL LYNCH APPEARS HERE] 21
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call you Merrill Lynch
account executive for another copy.
<PAGE>
LIEN POSITION OF ARM HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract Sub-
Lien Number Aggregate Principal Pool by Outstanding
Position of Contracts Balance Outstanding Principal Balance
- -------- ------------ ------------------- -----------------
<S> <C> <C> <C>
First 385 $44,827,164.63 100%
Total 385 $44,827,164.63 100%
===== === ============== ====
</TABLE>
REMAINING MONTHS TO MATURITY OF ARM HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract Sub-
Number of Aggregate Principal Pool by Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
- ---------------- --------- ------------------- -----------------
<S> <C> <C> <C>
Less than/Equal 180 2 $120,260.58 0.27%
181 - 345 0 0 0%
346-360 383 44,706,904.05 99.73%
Total 385 $44,827,164.63 100%
===== === ============== ====
</TABLE>
COMBINED LOAN-TO-VALUE RATIO OF ARM HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract Sub-
Number of Aggregate Principal Pool by Outstanding
Combined Loan-to-Value Ratio Contracts Balance Outstanding Principal Balance
- ---------------------------- --------- ------------------- -----------------
<S> <C> <C> <C>
Less than/Equal 10.00% 1 $49,570.15 0.11%
From 10.01% - 20.00% 0 0 0.00%
From 20.01% - 30.00% 2 194,200.00 0.43%
From 30.01% - 40.00% 2 109,977.63 0.25%
From 40.01% - 50.00% 3 113,983.03 0.25%
From 50.01% - 60.00% 8 548,675.23 1.22%
From 60.01% - 70.00% 20 1,554,557.84 3.47%
From 70.01% - 80.00% 81 8,214,857.46 18.33%
From 80.01% - 90.00% 250 32,020,854.12 71.43%
Greater than 90.00% 18 2,020,489.17 4.51%
Total 385 $44,827,164.63 100%
===== === ============== ====
</TABLE>
[LOGO OF MERRILL LYNCH APPEARS HERE] 22
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
MONTH OF NEXT LIBOR ADJUSTMENT FOR ARM HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract Sub-
Number of Aggregate Principal Pool by Outstanding
Month (for 6 Mo LIBOR) Contracts Balance Outstanding Principal Balance
- ---------------------- --------- ------------------- -----------------
<S> <C> <C> <C>
Aug-97 3 $446,598.22 1.00%
Sep-97 10 1,220,619.08 2.72%
Oct-97 21 2,234,545.72 4.98%
Nov-97 32 3,878,575.72 8.65%
Dec-97 31 3,020,348.15 6.74%
Jan-98 27 2,784,650.00 6.21%
Feb-98 5 750,350.00 1.67%
Jun-98 4 776,195.00 1.73%
Dec-98 1 195,000.00 0.44%
Jan-99 1 129,500.00 0.29%
Feb-99 2 210,231.86 0.47%
Mar-99 18 1,915,204.60 4.27%
Apr-99 59 6,783,441.60 15.13%
May-99 69 8,578,737.10 19.14%
Jun-99 75 9,331,717.68 20.82%
Jul-99 11 1,097,500.00 2.45%
Aug-99 4 376,800.00 0.84%
Sep-99 1 78,112.86 0.17%
Mar-00 1 42,467.05 0.09%
May-00 4 397,234.98 0.89%
Jun-00 4 432,740.00 0.97%
Jul-00 1 102,500.00 0.23%
Oct-03 1 44,095.01 0.10%
TOTAL 385 $44,827,164.63 100%
========= === ============== ====
</TABLE>
[LOGO OF MERRILL LYNCH APPEARS HERE] 23
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
GROSS MARGIN FOR 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>
Less than/Equal 3.749% 0 $0.00 0.00%
3.750% - 3.999% 3 262,340.28 0.59%
4.000% - 4.249% 1 105,750.00 0.24%
4.250% - 4.499% 1 59,600.00 0.13%
4.500% - 4.749% 1 30,983.03 0.07%
4.750% - 4.999% 100 11,680,353.31 26.05%
5.000% - 5.249% 18 2,302,854.46 5.14%
5.250% - 5.499% 50 5,788,533.75 12.91%
5.500% - 5.749% 37 4,682,652.36 10.45%
5.750% - 5.999% 53 6,844,169.26 15.26%
6.000% - 6.249% 26 2,703,422.16 6.03%
6.250% - 6.499% 16 1,780,058.50 3.97%
6.500% - 6.749% 21 2,855,733.76 6.37%
6.750% - 6.999% 15 1,617,091.25 3.61%
7.000% - 7.249% 12 1,270,749.60 2.83%
7.250% - 7.499% 9 867,740.92 1.94%
7.500% - 7.749% 11 1,029,567.40 2.30%
7.750% - 7.999% 6 586,218.70 1.31%
8.000% - 8.249% 0 0 0.00%
8.250% - 8.499% 2 198,274.82 0.44%
8.500% - 8.749% 0 0 0.00%
8.750% - 8.999% 0 0 0.00%
9.000% - 9.249% 0 0 0.00%
9.250% - 9.499% 1 40,000.00 0.09%
9.500% - 9.749% 1 91,685.46 0.20%
Greater than 9.749% 1 29,385.61 0.07%
Total 385 $44,827,164.63 100%
===== === ============== ====
</TABLE>
[LOGO OF MERRILL LYNCH APPEARS HERE] 24
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
MAXIMUM MORTGAGE RATES FOR ARM HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract Sub-
Number of Aggregate Principal Pool by Outstanding
Maximum Rate Contracts Balance Outstanding Principal Balance
- ------------ --------- ------------------- -----------------
<S> <C> <C> <C>
Less than/Equal 13.999% 41 $4,921,955.04 10.99%
14.000% - 14.249% 4 454,196.20 1.01%
14.250% - 14.499% 3 257,612.25 0.57%
14.500% - 14.749% 7 1,116,804.66 2.49%
14.750% - 14.999% 6 609,073.25 1.36%
15.000% - 15.249% 10 1,382,761.06 3.08%
15.250% - 15.499% 17 2,920,019.98 6.51%
15.500% - 15.749% 23 3,556,384.03 7.93%
15.750% - 15.999% 41 4,505,253.52 10.05%
16.000% - 16.249% 24 2,716,635.39 6.06%
16.250% - 16.499% 29 3,713,835.60 8.28%
16.500% - 16.749% 39 4,642,666.74 10.36%
16.750% - 16.999% 54 5,769,339.49 12.88%
17.000% - 17.249% 13 1,790,457.42 3.99%
17.250% - 17.499% 20 2,146,458.08 4.79%
17.500% - 17.749% 12 1,031,189.79 2.30%
17.750% - 17.999% 17 1,550,237.87 3.46%
18.000% - 18.249% 8 644,498.40 1.44%
18.250% - 18.499% 6 429,187.07 0.96%
18.500% - 18.749% 4 249,121.62 0.56%
18.750% - 18.999% 3 219,692.09 0.49%
19.000% - 19.249% 0 0 0.00%
19.250% - 19.499% 1 86,304.46 0.19%
19.500% - 19.749% 1 40,000.00 0.09%
19.750% - 19.999% 0 0 0.00%
Greater than 19.999% 2 73,480.62 0.16%
Total 385 $44,827,164.63 100%
===== === ============== ====
</TABLE>
[LOGO OF MERRILL LYNCH APPEARS HERE] 25
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
MINIMUM MORTGAGE RATES FOR ARM HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract Sub-
Number of Aggregate Principal Pool by Outstanding
Minimum Rate Contracts Balance Outstanding Principal Balance
- ------------ --------- ------------------- -------------------
<S> <C> <C> <C>
Less than/Equal 7.249% 2 $181,650.06 0.41%
7.250% - 7.499% 2 343,533.96 0.77%
7.500% - 7.749% 2 173,328.81 0.39%
7.750% - 7.999% 1 192,800.00 0.43%
8.000% - 8.249% 3 414,196.20 0.92%
8.250% - 8.499% 4 429,974.07 0.96%
8.500% - 8.749% 7 1,106,247.18 2.47%
8.750% - 8.999% 18 1,907,299.62 4.25%
9.000% - 9.249% 23 3,093,610.33 6.90%
9.250% - 9.499% 17 2,869,369.73 6.40%
9.500% - 9.749% 31 4,432,740.32 9.89%
9.750% - 9.999% 56 6,135,935.76 13.68%
10.000% - 10.249% 24 2,927,678.02 6.53%
10.250% - 10.499% 34 4,159,213.97 9.28%
10.500% - 10.749% 37 4,560,950.60 10.17%
10.750% - 10.999% 47 5,061,088.06 11.29%
11.000% - 11.249% 15 1,889,575.34 4.22%
11.250% - 11.499% 14 1,371,546.49 3.06%
11.500% - 11.749% 13 1,079,184.46 2.41%
11.750% - 11.999% 15 1,227,537.87 2.74%
12.000% - 12.249% 5 358,288.07 0.80%
12.250% - 12.499% 5 341,187.07 0.76%
12.500% - 12.749% 3 153,151.47 0.34%
12.750% - 12.999% 2 121,292.09 0.27%
13.000% - 13.249% 1 96,000.00 0.21%
13.250% - 13.499% 1 86,304.46 0.19%
13.500% - 13.749% 2 84,095.01 0.19%
Greater than 13.749% 1 29,385.61 0.07%
Total 385 $44,827,164.63 100%
===== === ============== ====
</TABLE>
[LOGO OF MERRILL LYNCH APPEARS HERE] 26
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
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 1.21 03/00 1.10 12/99 1.00 10/99 0.92 08/99 0.85 06/99
A-2 3.59 07/02 3.28 02/02 3.00 10/01 2.77 06/01 2.56 03/01
A-3 7.01 08/07 6.48 10/06 6.02 01/06 5.54 11/04 5.08 12/03
M-1 11.49 12/09 9.81 08/07 8.33 01/06 7.16 11/04 6.25 12/03
M-2 12.25 12/09 9.91 08/07 8.33 01/06 7.16 11/04 6.25 12/03
B-1 6.52 05/07 6.05 08/06 5.60 01/06 5.19 11/04 4.77 12/03
B-2 11.67 12/09 9.81 08/07 8.33 01/06 7.16 11/04 6.25 12/03
To Maturity
A-3 7.01 08/07 6.48 10/06 6.02 03/06 5.60 09/05 5.22 03/05
M-1 11.82 10/11 10.95 12/10 10.17 02/10 9.49 05/09 8.89 08/08
M-2 17.56 08/22 16.59 08/22 15.69 08/22 14.83 08/22 14.02 08/22
B-2 13.79 08/22 12.91 08/22 12.08 08/22 11.37 08/22 10.69 08/22
</TABLE>
CPR PREPAYMENT SENSITIVITIES
FOR HOME EQUITY CONTRACT CERTIFICATES
<TABLE>
<CAPTION>
ARM 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR
FIXED 75% of Base* 100% of Base* 125% of Base* 150% of Base* 175% of Base*
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
<S> <C> <C> <C> <C> <C>
To Call
A-1 ARM 5.09 08/09 3.83 01/07 3.02 03/05 2.45 12/03 2.04 11/02
A-1 0.69 11/98 0.58 09/98 0.50 07/98 0.45 06/98 0.41 05/98
A-2 1.42 05/99 1.16 01/99 1.00 11/98 0.89 09/98 0.81 08/98
A-3 2.91 01/02 2.28 01/01 1.88 06/00 1.62 01/00 1.42 09/99
A-4 4.87 02/03 3.75 11/01 3.00 01/01 2.52 06/00 2.18 02/00
A-5 6.87 06/06 5.07 12/03 4.00 07/02 3.27 08/01 2.76 12/00
A-6 9.95 01/09 7.57 08/06 5.73 11/04 4.46 01/03 3.69 12/01
A-7 6.82 11/08 6.26 06/06 5.73 10/04 5.12 08/03 4.38 09/02
A-8 IO 3.00 09/00 3.00 09/00 3.00 09/00 3.00 09/00 3.00 09/00
M-1 12.23 12/09 9.84 08/07 8.16 01/06 6.87 11/04 5.85 12/03
M-2 12.25 12/09 9.91 08/07 8.33 01/06 7.16 11/04 6.25 12/03
B-1 6.81 03/08 5.25 11/05 4.60 08/04 4.32 03/04 4.15 12/03
B-2 11.98 12/09 9.62 08/27 8.14 01/06 7.13 11/04 6.25 12/03
To Maturity
M-1 13.39 06/12 10.61 12/09 8.58 09/07 7.09 12/05 5.96 09/04
M-2 16.58 09/27 14.53 09/27 12.35 08/27 10.43 07/27 8.86 05/27
B-2 17.97 10/27 14.35 10/27 12.06 10/27 10.52 10/27 9.24 10/27
</TABLE>
- ----------------------
* The Fixed Rate Home Equity Home Equity Contracts will be priced using 125%
Base (125% Prepayment Assumption). 100% Base (100% Prepayment Assumption)
assumes a conditional prepayment rate of 4% per annum of the then
outstanding principal balance of the Fixed Rate Home Equity Contracts in
the first month of the life of the Fixed Rate Home Equity 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 conditional prepayment rate is 20%. The Adjustable Rate
Contracts will be priced using a constant prepayment rate of 25%. The Home
Improvement Contracts will be priced using a constant prepayment rate of
15% CPR.
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
The attached tables and other statistical analyses (the "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 OF MERRILL LYNCH APPEARS HERE] 28
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
