<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): March 19, 1997
GREEN TREE FINANCIAL CORPORATION
- - --------------------------------------------------------------------------------
(Exact name of registrant as specified in its charter)
Delaware 01-08916 41-1807858
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(State or other Jurisdiction (Commission File Number) (I.R.S. Employer
of incorporation) Identification No.)
1100 Landmark Towers, 345 St. Peter Street, Saint Paul, Minnesota 55102-1639
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(Address of principal executive offices)
Registrant's telephone number, including area code: (612) 293-3400
--------------
Not Applicable
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(Former name or former address, if changed since last report)
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ITEM 1. Changes in Control of Registrant.
- - ------- --------------------------------
Not applicable.
ITEM 2. Acquisition or Disposition of Assets.
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Not applicable
ITEM 3. Bankruptcy or Receivership.
- - ------- --------------------------
Not applicable
ITEM 4. Changes in Registrant's Certifying Accounting.
- - ------- ---------------------------------------------
Not applicable
ITEM 5. Other Events.
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Not applicable.
ITEM 6. Resignations of Registrant's Directors.
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Not applicable
ITEM 7. Financial Statements and Exhibits.
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(a) Financial statements of businesses acquired.
Not applicable
(b) Pro forma financial information.
Not applicable
2
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(c) Exhibits.
The following is filed herewith. The exhibit numbers correspond
with Item 601(b) of Regulation S-K.
Exhibit No. Description
----------- -----------
99.1 External Computational and Descriptive
Information distributed in connection with
$519,394,238 Certificates for Home
Improvement and Home Equity Loans, Series
1997-A.
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
Date: March 21, 1997 GREEN TREE FINANCIAL CORPORATION
By: /s/ Scott T. Young
------------------------------
Scott T. Young
Vice President and Controller
3
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INDEX TO EXHIBITS
Exhibit
-------
Number Page
------ ----
99.1 External Computational and Descriptive 5
Information distributed in connection
with $519,394,238 Certificates for Home
Improvement and Home Equity Loans,
Series 1997-A.
4
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TERM SHEET DATED MARCH 19, 1997
Green Tree Financial Corporation
Certificates for Home Improvement and Home Equity Loans, Series 1997-A
$519,394,238 (Approximate)
Subject to Revision
SELLER/SERVICER: Green Tree Financial Corporation ("Green Tree").
TRUSTEE: First Trust National Association
UNDERWRITERS: Merrill Lynch (Lead), Bear Stearns (Co), Salomon Brothers (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 $29,200,000 AAA/AAA 1.01 26
HI: A-2 $18,000,000 AAA/AAA 3.01 49
HI: A-3 $21,018,000 AAA/AAA 5.91 100
HI: M-1 $ 6,821,000 AA/AA 9.14 113
HI: M-2 $ 4,264,000 A/A 9.38 113
HI: B-1 $ 4,051,000 BBB/BBB 5.51 98
HI: B-2 $ 1,919,230 A-/A 9.19 113
To Maturity
HI: M-1 $ 6,821,000 AA/AA 9.90 146
HI: M-2 $ 4,264,000 A/A 15.36 299
HI: B-2 $ 1,919,230 A-/A 11.83 299
</TABLE>
<TABLE>
<CAPTION>
Ratings WAL Exp Final
Amount (S&P/Fitch) at 100% Base* Maturity
----------- ---------- ------------- ---------
<S> <C> <C> <C> <C>
To Call:
HE: A-1 ARM $69,822,000 AAA/AAA 3.18 112
HE: A-1 $41,500,000 AAA/AAA 0.50 11
HE: A-2 $29,000,000 AAA/AAA 1.04 15
HE: A-3 $94,500,000 AAA/AAA 2.00 35
HE: A-4 $25,000,000 AAA/AAA 3.16 42
HE: A-5 $62,522,000 AAA/AAA 5.01 106
HE: A-6 $51,000,000 AAA/AAA 6.31 104
HE: M-1 $23,877,000 AA/AA+ 9.38 113
HE: M-2 $15,194,000 A/A+ 9.38 113
HE: B-1 $15,194,000 BBB/BBB+ 5.05 95
HE: B-2 $ 6,512,008 A-/A 9.13 113
To Maturity
HE: M-1 $23,877,000 AA/AA+ 10.60 149
HE: M-2 $15,194,000 A/A+ 14.48 358
HE: B-2 $ 6,512,008 A-/A 13.01 358
</TABLE>
- - ----------------------
* 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%. For ARM Home
Equity Contracts, 100% Base assumes 25% CPR.
1
<PAGE>
CUT-OFF DATE: February 28, 1997 (or the date of origination, if later)
EXP. PRICING: March 20, 1997
EXP. SETTLEMENT: March 27, 1997
LEGAL FINAL: Home Improvement (secured) - August 2023
Home Equity - March 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 April 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.
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 (Class 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 plus 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 the distributions to the Class HI:A
Certificateholders, then to the Class HI:M
Certificateholders, and then to the Class HI:B
Certificateholders.
Class HI:A Certificates are senior to the Class HI:M and
Class HI:B Certificates. Class HI:M Certificates are senior
to Class HI:B Certificates.
CLASS HI:A INTEREST Interest will be paid concurrently on each Class of Class
HI:A Certificates at the related Pass-Through Rate on the
then outstanding related Class Principal Balance. Interest
will accrue from the Settlement Date, or from the most
recent Payment Date on which interest has been paid to but
excluding the following Payment Date. Interest will be
computed on 30/360 basis.
Interest shortfalls will be carried forward, and will bear
interest at the applicable Class HI:A Pass-Through Rate, to
the extent legally permissible.
2
<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; (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 April 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 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. Interest will
accrue from the Settlement Date, or from the most recent
Payment Date on which interest has been paid, to but
excluding the following Payment Date. Interest will be
computed on 30/360 basis.
Interest shortfalls will be carried forward, and will
bear interest at the Class HI:M-1 Pass-Through Rate, to
the extent legally permissible.
CLASS HI:M-1 PRINCIPAL Class HI:M-1 Certificateholders will not receive
principal until the Class HI:A Principal Balance has been
reduced to zero. At that time 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.
3
<PAGE>
CLASS HI:M-2 INTEREST After payment of the 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.
Interest will accrue from the Settlement Date, or from
the most recent Payment Date on which interest has been
paid, to but excluding the following Payment Date.
Interest will be computed on 30/360 basis.
Interest shortfalls will be carried forward, and will
bear interest at the Class HI:M-2 Pass-Through Rate, to
the extent legally permissible.
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 the 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.
Interest will accrue from the Settlement Date, or from
the most recent Payment Date on which interest has been
paid, to but excluding the following Payment Date.
Interest will be computed on 30/360 basis.
Interest shortfalls will be carried forward, and will
bear interest at the Class HI:B-1 Pass-Through Rate, to
the extent legally permissible.
CLASS HI:B-1 PRINCIPAL The Class HI:B-1 Certificateholders will not receive
principal payments until the Class HI:B Cross-over Date.
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. The Limited Guaranty will be available
to pay interest to the Class HI:B-2 Certificateholders if
the Sub-Pool HI Amount Available is not sufficient.
Interest will accrue from the Settlement Date, or from
the most recent Payment Date on which interest has been
paid, to but excluding the following Payment Date.
Interest will be computed on 30/360 basis.
Interest shortfalls will be carried forward, and will
bear interest at the Class HI:B-2 Pass-Through Rate, to
the extent legally permissible.
4
<PAGE>
CLASS HI:B-2 PRINCIPAL 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 the Class HI:B-2
Principal Balance has been reduced to zero.
On each Payment Date, the amount which the Class HI:B-2
Certificateholders are entitled to receive pursuant to
the Class HI:B-2 Limited Guaranty, is the Class HI:B-2
Liquidation Loss Principal Amount until the Class HI:B-2
Principal Balance has been reduced to zero.
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.
CLASS HI:B-2 LIMITED
GUARANTY To the extent that the Sub-Pool HI Amount Available is
not sufficient, the 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 Sub-Pool HI Average Sixty-Day Delinquency Ratio
with respect to Sub-Pool HI as of given Payment
Date must not exceed 2.5%;
(ii) the Sub-Pool HI Average Thirty-Day Delinquency
Ratio with respect to Sub-Pool HI as of given
Payment Date must not exceed 5%;
(iii) the Sub-Pool HI Cumulative Realized Losses with
respect to Sub-Pool HI as of 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 with
respect to Sub-Pool HI as of 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 or greater than 14%.
5
<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 plus 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 Home Equity Contracts
include Adjustable Rate Mortgage Contracts.
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, A-2, A-3, A-4, A-5 and A-6
Certificateholders to receive distributions on each
Payment Date. Class HE:A Certificates are senior to Class
HE:M and Class HE:B Certificates. Class HE:M Certificates
are senior to Class HE:B Certificates.
CLASS HE:A INTEREST Interest will be paid concurrently on each Class of Class
HE:A Certificates at the related Pass-Through Rate on the
then outstanding related Class Principal Balance. The
Pass-Through Rate for each Class of Class HE:A
Certificates, other than the Class HE:A-1 ARM
Certificates, is a fixed rate. The Pass-Through Rate for
the Class HE:A-1 ARM Certificates shall be a floating
rate equal to the lesser of 1 month LIBOR plus the Pass-
Through Margin or the Available Funds Pass-Through Rate,
but in no case more than 14.00%. The Pass-Through Margin
will equal 0.___% 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
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. The Expense Fee Rate is [Servicing Fee + Trustee
Fee]. Interest will accrue from the Settlement Date, or
from the most recent Payment Date on which interest has
been paid to but excluding the following Payment Date.
Interest on each Class of Class HE:A Certificates other
than the Class HE:A-1 ARM Certificates will be calculated
on a 30/360 basis. Interest on the Class HE:A-1 ARM
Certificates will be 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.
6
<PAGE>
CLASS HE:A PRINCIPAL After payment of all interest distributable to the Class
HE:A Certificateholders, to the extent of funds
available, Class HE:A-1 ARM Certificateholders are
entitled to receive an amount equal to the Class HE:A-1
ARM Formula Principal Distribution Amount (as defined
below) for such Payment Date, and the Class HE:A-1
Certificateholders are entitled to receive an amount
equal to the Sub-Pool HE Senior Percentage of the Sub-
Pool HE Formula Principal Distribution Amount less the
Class HE:A-6 Lockout Distribution Amount for such Payment
Date. After the Principal Balance of the Class HE:A-1
Certificates has been reduced to zero, the Sub-Pool HE
Senior Percentage of the Sub-Pool HE Formula Principal
Distribution Amount less the Class HE:A-6 Lockout
Distribution Amount as defined below will be distributed
first 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,
and then to the Class HE:A-5 Certificateholders until the
Class HE:A-5 Principal Balance has been reduced to zero.
The Class HE:A-6 Certificateholders are entitled to
receive payment of the Class HE:A-6 Lockout Distribution
Amount specified below, provided, that if on any Payment
Date the Class HE:A-5 Certificate Principal Balance is
zero, the Class HE:A-6 Certificateholders will be
entitled to receive the 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-5 Certificates on such Payment Date.
The "Class HE:A-1 ARM Formula Principal Distribution
Amount" on or before the Payment Date on which the Class
HE:A-1 ARM Certificates have been paid in full will
generally be equal to the lesser of (A) the Class HE:A-1
ARM Principal Balance or (B) the sum of the following:
(i) all scheduled payments of principal due on each
outstanding Adjustable Rate Mortgage Contract during the
preceding month; (ii) all partial principal prepayments
and principal prepayments in full received on each
Adjustable Rate Mortgage Contract during the preceding
month; (iii) the scheduled principal balance of each
Adjustable Rate Mortgage Contract that became liquidated
during the preceding month; (iv) the scheduled principal
balance of each Adjustable Rate Mortgage Contract
purchased by Green Tree during the preceding month
pursuant to the Pooling and Servicing Agreement; and (v)
on any Payment Date which is on or after the Payment Date
on which the Class HE:A-1, A-2, A-3, A-4, A-5 and A-6
Certificates have been paid in full, the 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-1, A-2, A-3, A-
4, A-5 and A-6 Certificates on such Payment Date. Except
for those adjustable rate mortgages which provide for a
fixed rate of interest for the first 36 months thereof,
all the adjustable rate mortgages included in the Pool
are Adjustable Rate Mortgage Contracts.
7
<PAGE>
The "Sub-Pool HE 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 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; (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;
minus (v) the Class HE:A-1 ARM Formula Principal
Distribution Amount.
The "Class HE:A-6 Lockout Distribution Amount" for any
Payment Date will be the product of (i) the applicable
Class HE:A-6 Lockout Percentage for such Payment Date and
(ii) the Class HE:A-6 Lockout Pro Rata Distribution
Amount for such Payment Date.
The "Class HE:A-6 Lockout Percentage" for each Payment
Date shall be as follows:
Payment Dates Lockout Percentage
April 1997-March 2000 0%
April 2000-March 2002 20%
April 2002-March 2003 80%
April 2003-March 2004 100%
April 2004 and thereafter 300%
The "Class HE:A-6 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-6
Certificates immediately prior to such Payment Date and
the denominator of which is the aggregate Certificate
Balance of the Class HE:A-1, Class HE:A-2, Class HE:A-3,
Class HE:A-4, Class HE:A-5 and Class HE:A-6 Certificates
immediately preceding such Payment Date, and (y) the Sub-
Pool HE Formula Principal Distribution Amount.
The "Sub-Pool HE Senior Percentage" will equal 100% if
any of the following exist:
i) the Payment Date is prior to April 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) any 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 less the Scheduled
Principal Balance of the Adjustable Rate Mortgage
Contracts for the immediately preceding Payment Date.
8
<PAGE>
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. Interest will accrue from the
Settlement Date, or from the most recent Payment Date on
which interest has been paid, to but excluding the
following Payment Date. Interest will be computed on
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 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. Interest will
accrue from the Settlement Date, or from the most recent
Payment Date on which interest has been paid, to but
excluding the following Payment Date. Interest will be
computed on 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 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. Interest will accrue from the Settlement Date, or
from the most recent Payment Date on which interest has
been paid, to but excluding the following Payment Date.
Interest will be computed on 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.
9
<PAGE>
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 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 equal 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 equal 100%.
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. The Limited Guaranty will be available to pay
interest to the Class HE:B-2 Certificateholders if the
Sub-Pool HE Amount Available is not sufficient. Interest
will accrue from the Settlement Date, or from the most
recent Payment Date on which interest has been paid, to
but excluding the following Payment Date. Interest 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.
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 the Class HE:B-2
Principal Balance has been reduced to zero.
On each Payment Date, the Class HE:B-2 Certificateholders
are 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 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 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 and then the Class HE:M-1
Certificateholders.
10
<PAGE>
CLASS HE:B-2 LIMITED
GUARANTY To the extent that the Sub-Pool HE Amount Available is
not sufficient, the Limited Guaranty will be available
to pay Class HE:B-2 Liquidation Loss Principal Amount
and Class HE:B-2 Distribution Amount. The Class HE:B-2
Limited Guaranty will be an unsecured general obligation
of the Company.
CLASS HE:B PRINCIPAL
DISTRIBUTION TESTS: (i) the Sub-Pool HE Average Sixty-Day Delinquency Ratio
with respect to Sub-Pool HE as of given Payment
Date must not exceed 2.5%;
(ii) the Sub-Pool HE Average Thirty-Day Delinquency
Ratio with respect to Sub-Pool HE as of given
Payment Date must not exceed 5%;
(iii) the Sub-Pool HE Cumulative Realized Losses with
respect to Sub-Pool HE as of given Payment Date
must not exceed a certain specified percentage of
the Cut-off Date Pool Principal Balance of Sub-Pool
HE, depending on the year in which such Payment
Date occurs;
(iv) the Sub-Pool HE Current Realized Loss Ratio with
respect to Sub-Pool HE as of 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
as of the immediately preceding Payment Date must
be equal or greater than 10.00%.
11
<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.
THE HOME IMPROVEMENT CONTRACT SUB-POOL
Number of Contracts in Sub-Pool: 5,064
Wgt. Avg. Contract Rate: 11.32%
Range of Rates: 7.99%-7.75%
Wgt. Avg. Orig. Maturity: 202 mos.
Wgt. Avg. Rem. Maturity: 201 mos.
Avg. Rem Princ. Balance: $16,839.11
GEOGRAPHIC DISTRIBUTION OF MORTGAGED 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 470 9.28% $13,482,623.41 15.81%
NJ 348 6.87% 6,601,745.68 7.74%
NY 308 6.08% 5,840,878.16 6.85%
PA 341 6.73% 5,435,015.51 6.37%
FL 251 4.96% 4,602,637.26 5.40%
MI 314 6.20% 4,567,140.17 5.36%
Other States* 3,032 59.88% 44,743,190.13 52.47%
----- ------ -------------- ------
Total 5,064 100.00% $85,273,230.32 100.00%
===== ====== ============== ======
</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>
1995 3 $ 366,970.18 0.43%
1996 2,811 48,286,587.20 56.63%
1997 2,250 36,619,672.94 42.94%
----- -------------- ------
Total 5,064 $85,273,230.32 100.00%
===== ============== ======
</TABLE>
12
<PAGE>
DISTRIBUTION OF 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 $10,000 1,437 $10,170,988.29 11.93%
Between $10,000 - $19,999 2,200 31,737,057.78 37.21%
Between $20,000 - $29,999 918 22,033,125.68 25.83%
Between $30,000 - $39,999 285 9,658,525.73 11.33%
Between $40,000 - $49,999 131 5,704,652.17 6.69%
Between $50,000 - $59,999 55 2,853,885.13 3.35%
Between $60,000 - $69,999 13 834,195.72 0.98%
Between $70,000 - $79,999 16 1,198,451.43 1.41%
Between $80,000 - $89,999 3 253,503.34 0.30%
Between $90,000 - $99,999 0 0.00 0.00%
Between $100,000 - $109,999 3 305,660.36 0.36%
Between $110,000 - $119,999 0 0.00 0.00%
Between $120,000 - $129,999 0 0.00 0.00%
Between $130,000 - $139,999 1 133,964.09 0.16%
Between $140,000 - $149,999 0 0.00 0.00%
Between $150,000 - $159,999 0 0.00 0.00%
Between $160,000 - $169,999 0 0.00 0.00%
Between $170,000 - $179,999 0 0.00 0.00%
Between $180,000 - $189,999 1 183,006.08 0.21%
Between $190,000 - $199,999 0 0.00 0.00%
Between $200,000 - $249,999 1 206,214.52 0.24%
----- -------------- ------
Total 5,064 $85,273,230.32 100.00%
===== ============== ======
</TABLE>
HOME IMPROVEMENT CONTRACT RATES
<TABLE>
<CAPTION>
% of HI Contract Sub-Pool
Range of HI Contracts by Number of Aggregate Principal by Outstanding
Contract Rate Contracts Balance Outstanding Principal Balance
- - ------------------------ --------- ------------------- -------------------------
<S> <C> <C> <C>
From 0.00% - 9.00% 65 $ 1,931,429.20 2.26%
From 9.01% - 10.00% 714 16,934,709.72 19.86%
From 10.01% - 11.00% 1,259 26,222,413.78 30.75%
From 11.01% - 12.00% 1,446 24,834,744.59 29.12%
From 12.01% - 13.00% 1,128 11,170,182.83 13.10%
From 13.01% - 14.00% 279 2,436,654.37 2.86%
From 14.01% - 15.00% 110 1,278,162.28 1.50%
From 15.01% - 16.00% 54 429,917.26 0.50%
From 16.01% - 17.00% 8 30,701.29 0.04%
Over 17.00% 1 4,315.00 0.01%
----- -------------- ------
Total 5,064 $85,273,230.32 100.00%
===== ============== ======
</TABLE>
13
<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 31 15 $ 83,432.54 0.10%
31-60 429 3,312,454.99 3.88%
61-90 242 2,285,192.28 2.68%
91-120 1,545 19,015,417.54 22.30%
121-150 43 565,708.91 0.66%
151-180 1,275 22,608,252.73 26.51%
181-210 6 107,961.59 0.13%
211-240 604 12,636,432.79 14.82%
241-270 1 6,545.61 0.01%
271-300 904 24,651,831.34 28.91%
301-330 0 0.00 0.00%
331-360 0 0.00 0.00%
----- -------------- ------
Total 5,064 $85,273,230.32 100.00%
===== ============== ======
</TABLE>
LIEN POSITION OF HOME IMPROVEMENT CONTRACTS
<TABLE>
<CAPTION>
% of HI Contract % of HI Contract Sub-Pool
Number Sub-Pool by Number Aggregate Principal by Outstanding
of Contracts of Contracts Balance Outstanding Principal Balance
------------ ------------------- ------------------- --------------------------
<S> <C> <C> <C> <C>
First 339 6.69% $ 5,424,072.62 6.36%
Second 3,897 76.96% 67,415,138.65 79.06%
Third 824 16.27% 12,373,700.22 14.51%
Fourth 4 0.08% 60,318.83 0.07%
----- ------ -------------- ------
Total 5,064 100.00% $85,273,230.32 100.00%
===== ====== ============== ======
</TABLE>
14
<PAGE>
HOME EQUITY CONTRACTS
The Home Equity Contracts comprising Sub-Pool HE consist of closed-end
fixed rate home equity loans and adjustable rate mortgage loans. The 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 pool: 5,334 Number of Contracts in pool: 2,024
Wgt. Avg. Contract Rate: 12.15% Wgt. Avg. Contract Rate: 12.29%
Range of Rates: 6.63% - 21.34% Range of Rates: 8.35% - 19.60%
Wgt. Avg. Orig. Maturity: 237 mos. Wgt. Avg. Orig. Maturity: 179 mos.
Wgt. Avg. Rem. Maturity: 235 mos. Wgt. Avg. Rem. Maturity: 178 mos.
Avg. Rem Princ. Balance: $43,610.52 Avg. Rem Princ. Balance: $65,059.44
Wgt. Avg. CLTV: 84.82% Wgt. Avg. CLTV: 83.88%
</TABLE>
GEOGRAPHIC DISTRIBUTION OF MORTGAGE PROPERTIES
FIXED RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract % of HE 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>
NC 639 8.68% $ 33,456,414.59 9.18%
GA 627 8.52% 31,651,310.23 8.69%
FL 636 8.64% 30,036,628.27 8.25%
IL 474 6.44% 22,432,868.50 6.16%
MD 388 5.27% 22,418,195.25 6.15%
OH 422 5.74% 21,664,892.63 5.95%
SC 418 5.68% 19,683,851.14 5.40%
PA 380 5.16% 19,527,755.38 5.36%
MI 347 4.72% 18,586,052.93 5.10%
VA 344 4.68% 18,540,853.30 5.09%
AL 387 5.26% 18,330,305.24 5.03%
Other States* 2,296 31.21% 107,969,675.59 29.64%
----- ------ --------------- ------
Total 7,358 100.00% $364,298,803.05 100.00%
===== ====== =============== ======
</TABLE>
* No one State in this category constitutes more than 5% of the Sub-Pool HE
Outstanding Principal Balance.
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>
1993 1 $ 20,606.75 0.01%
1994 4 516,070.30 0.14%
1995 7 214,463.21 0.04%
1996 3,599 174,715,588.54 47.97%
1997 3,747 188,832,074.25 51.84%
----- --------------- ------
Total 7,358 $364,298,803.05 100.00%
===== =============== ======
</TABLE>
15
<PAGE>
DISTRIBUTION OF 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 $10,000 108 $ 711,230.39 0.20%
Between $10,000 - $19,999 1,144 16,929,969.47 4.65%
Between $20,000 - $29,999 1,329 32,436,335.04 8.90%
Between $30,000 - $39,999 1,087 37,484,416.21 10.29%
Between $40,000 - $49,999 915 40,762,004.73 11.18%
Between $50,000 - $59,999 731 39,799,673.13 10.93%
Between $60,000 - $69,999 567 36,551,970.53 10.03%
Between $70,000 - $79,999 375 27,954,935.70 7.67%
Between $80,000 - $89,999 283 23,836,870.27 6.54%
Between $90,000 - $99,999 200 18,859,063.24 5.18%
Between $100,000 - $109,999 140 14,690,622.84 4.03%
Between $110,000 - $119,999 97 11,102,010.90 3.05%
Between $120,000 - $129,999 76 9,498,958.06 2.61%
Between $130,000 - $139,999 63 8,421,640.21 2.31%
Between $140,000 - $149,999 46 6,642,605.55 1.82%
Between $150,000 - $159,999 31 4,792,154.69 1.32%
Between $160,000 - $169,999 38 6,212,331.80 1.71%
Between $170,000 - $179,999 32 5,583,457.27 1.53%
Between $180,000 - $189,999 20 3,663,252.70 1.01%
Between $190,000 - $199,999 15 2,924,212.74 0.80%
Between $200,000 - $249,999 34 7,487,250.18 2.06%
Between $250,000 - $299,999 15 3,978,937.88 1.09%
Between $300,000 - $349,999 11 3,494,508.24 0.96%
Between $350,000 - $399,999 0 0.00 0.00%
Between $400,000 - $449,999 0 0.00 0.00%
Between $450,000 - $499,999 0 0.00 0.00%
Between $500,000 - $549,999 0 0.00 0.00%
Between $550,000 - $599,999 1 480,391.28 0.13%
Over $600,000 0 0.00 0.00%
----- --------------- ------
Total 7,358 $364,298,803.05 100.00%
===== =============== ======
</TABLE>
FIXED RATE HOME EQUITY CONTRACT RATES
<TABLE>
<CAPTION>
% of HE Contract Sub-Pool
Range of HE Contracts Number of Aggregate Principal by Outstanding
by Contract Rate Contracts Balance Outstanding Principal Balance
- - --------------------- --------- ------------------- -------------------------
<S> <C> <C> <C>
From 0.00% - 9.00% 45 $ 4,065,145.96 1.12%
From 9.01% - 10.00% 300 24,243,961.58 6.65%
From 10.01% - 11.00% 825 61,733,286.21 16.95%
From 11.01% - 12.00% 1,321 80,369,340.68 22.06%
From 12.01% - 13.00% 2,077 101,020,896.08 27.73%
From 13.01% - 14.00% 1,549 61,546,057.47 16.89%
From 14.01% - 15.00% 576 17,498,607.63 4.80%
From 15.01% - 16.00% 386 8,944,110.77 2.46%
From 16.01% - 17.00% 206 3,854,983,39 1.06%
Over 17.01% 73 1,022,413.28 0.28%
----- --------------- ------
Total 7,358 $364,298,803.05 100.00%
===== =============== ======
</TABLE>
16
<PAGE>
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 15 1 $ 1,628.12 *
15-30 6 294,725.08 0.08%
31-45 9 194,736.97 0.05%
46-60 127 2,208,206.52 0.61%
61-75 18 415,062.71 0.11%
76-90 49 1,230,398.45 0.34%
91-105 36 1,063,666.23 0.29%
106-120 494 12,927,801.90 3.55%
121-135 9 374,608.51 0.10%
136-150 26 1,351,490.77 0.37%
151-165 5 148,420.81 0.04%
166-180 4,150 204,971,513.56 56.27%
181-195 11 528,126.47 0.14%
196-210 7 347,973.16 0.10%
211-225 1 101,300.00 0.03%
226-240 1,700 82,916,597.44 22.77%
241-255 0 0.00 0.00%
256-270 1 9,996.13 *
271-285 0 0.00 0.00%
286-300 115 8,090,844.51 2.22%
301-315 0 0.00 0.00%
316-330 0 0.00 0.00%
331-345 1 89,775.00 0.02%
346-360 592 47,031,930.71 12.91%
Over 360 0 0.00 0.00%
----- --------------- ------
Total 7,358 $364,298,803.05 100.00%
===== =============== ======
</TABLE>
* Indicates an amount greater than zero but less than 0.005% of the aggregate
principal balance.
LIEN POSITION OF FIXED RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract % of HE Contract Sub-Pool
Number Sub-Pool by Number Aggregate Principal by Outstanding
of Contracts of Contracts Balance Outstanding Principal Balance
------------ ------------------ ----------------------- -------------------------
<S> <C> <C> <C> <C>
First 4,313 58.61% $280,679,327.04 77.05%
Second 2,965 40.30% 82,331,013.54 22.60%
Third or Lower 80 1.09% 1,288,462.47 0.35%
----- ------ --------------- ------
Total 7,358 100.00% $364,298,803.05 100.00%
===== ====== =============== ======
</TABLE>
17
<PAGE>
ORIGINAL LOAN-TO-VALUE RATIO OF FIXED RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract Sub-Pool
Number of Aggregate Principal by Outstanding
Loan-to-Value Ratio Contracts Balance Outstanding Principal Balance
- - -------------------------------- ------------------- ------------------- -------------------------
<S> <C> <C> <C>
From 0.00% - 10.00% 254 $ 3,496,364.22 0.96%
From 10.01% - 20.00% 1,310 28,713,925.56 7.88%
From 20.01% - 30.00% 921 27,390,249.18 7.52%
From 30.01% - 40.00% 446 16,207,567.95 4.45%
From 40.01% - 50.00% 195 8,403,885.71 2.31%
From 50.01% - 60.00% 190 8,303,150.72 2.28%
From 60.01% - 70.00% 403 19,547,922.61 5.37%
From 70.01% - 80.00% 1,260 72,492,623.42 19.90%
From 80.01% - 90.00% 1,725 124,273,910.40 34.10%
Over 90.00% 654 55,469,203.28 15.23%
----- --------------- ------
Total 7,358 $364,298,803.05 100.00%
===== =============== ======
</TABLE>
COMBINED LOAN-TO-VALUE RATIO OF FIXED RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract Sub-Pool
Number of Aggregate Principal by Outstanding
Loan-to-Value Ratio(1) Contracts Balance Outstanding Principal Balance
- - -------------------------------- ------------------- ------------------- ------------------------
<S> <C> <C> <C>
Less than 61% 463 $ 15,967,194.19 4.38%
61% - 65% 158 6,517,866.30 1.79%
66% - 70% 299 13,779,018.91 3.78%
71% - 75% 554 27,767,990.97 7.62%
76% - 80% 942 52,354,356.35 14.37%
81% - 85% 955 49,466,501.73 13.58%
86% - 90% 1,917 107,288,788.83 29.46%
91% - 95% 1,509 73,739,155.77 20.24%
Over 95% 561 17,417,930.00 4.78%
----- --------------- ------
Total 7,358 $364,298,803.05 100.00%
----- --------------- ------
</TABLE>
18
<PAGE>
THE HOME EQUITY CONTRACT SUB-POOL
ARM LOANS
Number of Contracts in pool: 582
Wgt. Avg. Contract Rate: 9.45%
Range of Rates: 6.88% - 12.80%
Wgt. Avg. Orig. Maturity: 357 mos.
Wgt. Avg. Rem. Maturity: 355 mos.
Avg. Rem Princ. Balance: $119,969.43
Wgt. Avg. CLTV: 82.22%
GEOGRAPHIC DISTRIBUTION OF MORTGAGE PROPERTIES
ARM HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract % of HE 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 58 9.97% $10,202,904.84 14.61%
GA 33 5.67% 3,949,171.15 5.66%
VA 21 3.61% 3,819,581.56 5.47%
MI 43 7.39% 3,734,546.09 5.35%
AZ 33 5.67% 3,613,377.85 5.18%
Other States* 394 67.69% 44,502,624.22 63.73%
--- ------ -------------- ------
Total 582 100.00% $69,822,205.71 100.00%
=== ====== ============== ======
</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-Pool
Number of Aggregate Principal by Outstanding
Year of Origination Contracts Balance Outstanding Principal Balance
- - -------------------------------- ------------------- ------------------- ------------------
<S> <C> <C> <C>
1996 372 $45,538,664.83 65.22%
1997 210 24,283,540.88 34.78%
--- -------------- ------
Total 582 $69,822,205.71 100.00%
=== ============== ======
</TABLE>
ARM HOME EQUITY CONTRACT RATES
<TABLE>
<CAPTION>
% of HE Contract Sub-Pool
Range of HE Contracts Number of Aggregate Principal by Outstanding
by Contract Rate Contracts Balance Outstanding Principal Balance
- - -------------------------------- --------- ------------------- --------------------------
<S> <C> <C> <C>
From 0.00% - 9.00% 215 $28,802,908.58 41.25%
From 9.01% - 10.00% 163 18,883,906.37 27.05%
From 10.01% - 11.00% 138 15,056,464.97 21.56%
From 11.01% - 12.00% 63 6,906,249.04 9.89%
From 12.01% - 13.00% 3 172,676.75 0.25%
Over 13.00% 0 0.00 0.00%
--- -------------- ------
Total 582 $69,822,205.71 100.00%
=== ============== ======
</TABLE>
19
<PAGE>
DISTRIBUTION OF ORIGINAL ARM 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 $10,000 0 $ 0.00 0.00%
Between $10,000 - $19,999 1 16,655.87 0.02%
Between $20,000 - $29,999 12 293,163.60 0.42%
Between $30,000 - $39,999 17 595,898.33 0.85%
Between $40,000 - $49,999 26 1,163,397.15 1.67%
Between $50,000 - $59,999 39 2,148,103.63 3.08%
Between $60,000 - $69,999 45 2,936,163.00 4.21%
Between $70,000 - $79,999 41 3,069,441.52 4.40%
Between $80,000 - $89,999 44 3,699,025.60 5.30%
Between $90,000 - $99,999 47 4,436,840.52 6.36%
Between $100,000 - $109,999 42 4,402,019.40 6.30%
Between $110,000 - $119,999 38 4,346,357.57 6.22%
Between $120,000 - $129,999 30 3,714,619.36 5.32%
Between $130,000 - $139,999 31 4,169,694.95 5.97%
Between $140,000 - $149,999 18 2,599,006.89 3.72%
Between $150,000 - $159,999 19 2,941,725.70 4.21%
Between $160,000 - $169,999 22 3,592,106.54 5.14%
Between $170,000 - $179,999 18 3,150,246.51 4.51%
Between $180,000 - $189,999 15 2,779,240.78 3.98%
Between $190,000 - $199,999 10 1,932,719.42 2.77%
Between $200,000 - $249,999 31 6,915,625.46 9.91%
Between $250,000 - $299,999 22 5,969,814.33 8.56%
Between $300,000 - $349,999 9 2,830,691.88 4.05%
Between $350,000 - $399,999 1 384,699.66 0.55%
Between $400,000 - $449,999 3 1,252,566.14 1.79%
Between $450,000 - $499,999 1 482,381.90 0.69%
Over $500,000 0 0.00 0.00%
--- -------------- ------
Total 582 $69,822,205.71 100.00%
=== ============== ======
</TABLE>
LIEN POSITION OF ARM HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract % of HE Contract Sub-Pool
Number Sub-Pool by Number Aggregate Principal by Outstanding
of Contracts of Contracts Balance Outstanding Principal Balance
---------------- ------------------- ------------------------- ------------------------
<S> <C> <C> <C> <C>
First 582 100.00% $69,822,205.71 100.00%
Second 0 0.00% 0.00 0.00%
Third or Lower 0 0.00% 0.00 0.00%
--- ------ -------------- ------
Total 582 100.00% $69,822,205.71 100.00%
=== ====== ============== ======
</TABLE>
20
<PAGE>
REMAINING MONTHS TO MATURITY OF ARM 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 105 0 $ 0.00 0.00%
106-120 1 93,100.00 0.13%
121-135 0 0.00 0.00%
136-150 0 0.00 0.00%
151-165 0 0.00 0.00%
166-180 16 914,648.01 1.31%
181-195 0 0.00 0.00%
196-210 0 0.00 0.00%
211-225 0 0.00 0.00%
226-240 0 0.00 0.00%
241-255 0 0.00 0.00%
256-270 0 0.00 0.00%
271-285 0 0.00 0.00%
286-300 0 0.00 0.00%
301-315 0 0.00 0.00%
316-330 0 0.00 0.00%
331-345 0 0.00 0.00%
346-360 565 68,814,457.70 98.56%
Over 360 0 0.00 0.00%
--- -------------- ------
Total 582 $69,822,205.71 100.00%
=== ============== ======
</TABLE>
ORIGINAL LOAN-TO-VALUE RATIO OF ARM RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract Sub-Pool
Number of Aggregate Principal by Outstanding
Loan-to-Value Ratio Contracts Balance Outstanding Principal Balance
- - ------------------------ ------------------- ------------------- ------------------
<S> <C> <C> <C>
From 0.00% - 10.00% 0 $ 0.00 0.00%
From 10.01% - 20.00% 1 16,655.87 0.02%
From 20.01% - 30.00% 4 167,352.29 0.24%
From 30.01% - 40.00% 3 189,785.37 0.27%
From 40.01% - 50.00% 7 450,656.65 0.65%
From 50.01% - 60.00% 23 2,816,011.90 4.03%
From 60.01% - 70.00% 64 7,160,388.28 10.26%
From 70.01% - 80.00% 142 16,964,515.46 24.30%
From 80.01% - 90.00% 305 37,783,818.20 54.11%
Over 90.01% 33 4,273,021.69 6.12%
--- -------------- ------
Total 582 $69,822,205.71 100.00%
=== ============== ======
</TABLE>
21
<PAGE>
COMBINED LOAN-TO-VALUE RATIO OF ARM HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract Sub-Pool
Number of Aggregate Principal by Outstanding
Loan-to-Value Ratio Contracts Balance Outstanding Principal Balance
- - --------------------- ------------------- ------------------- ------------------
<S> <C> <C> <C>
Less than 61% 39 $ 3,692,462.08 5.29%
61% - 65% 21 1,588,454.46 2.27%
66% - 70% 43 5,693,325.90 8.15%
71% - 75% 67 8,056,864.31 11.54%
76% - 80% 75 8,878,601.06 12.72%
81% - 85% 80 9,045,459.95 12.95%
86% - 90% 225 28,785,165.87 41.23%
91% - 95% 11 1,268,386.28 1.82%
Over 95% 21 2,813,485.80 4.03%
--- -------------- ------
Total 582 $69,822,205.71 100.00%
=== ============== ======
</TABLE>
MONTH OF NEXT LIBOR ADJUSTMENT FOR ARM HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract Sub-Pool
Number of Aggregate Principal by Outstanding
Month (for 6 Mo LIBOR) Contracts Balance Outstanding Principal Balance
- - ----------------------- ------------------- ------------------- ------------------
<S> <C> <C> <C>
May 1997 1 $ 80,794.02 0.12%
June 1997 77 9,640,758.03 13.81%
July 1997 119 14,530,649.24 20.81%
August 1997 139 16,461,523.31 23.57%
September 1997 169 20,239,498.58 28.98%
October 1997 52 5,631,708.33 8.07%
November 1997 18 2,448,500.17 3.51%
December 1997 1 143,842.48 0.21%
January 1998 0 0.00 0.00%
February 1998 1 107,687.39 0.15%
February 1999 2 306,072.77 0.44%
March 1999 1 69,671.39 0.10%
April 1999 1 53,500.00 0.08%
May 1999 1 108,000.00 0.15%
--- -------------- ------
Total 582 $69,822,205.71 100.00%
=== ============== ======
</TABLE>
22
<PAGE>
GROSS MARGIN FOR ARM HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract Sub-Pool
Number of Aggregate Principal by Outstanding
Margin (for 6 Mo LIBOR) Contracts Balance Outstanding Principal Balance
- - ------------------------- ------------------- ------------------- ------------------
<S> <C> <C> <C>
Less than 3.750% 1 $ 89,779.58 0.13%
3.750%- 3.999% 0 0.00 0.00%
4.000%- 4.249% 0 0.00 0.00%
4.250%- 4.499% 2 102,500.00 0.15%
4.500%- 4.749% 3 321,409.94 0.46%
4.750%- 4.999% 5 617,781.09 0.88%
5.000%- 5.249% 28 3,243,399.09 4.65%
5.250%- 5.499% 121 15,901,126.35 22.77%
5.500%- 5.749% 80 11,390,596.58 16.31%
5.750%- 5.999% 165 20,279,252.25 29.04%
6.000%- 6.249% 52 7,128,592.61 10.21%
6.250%- 6.499% 40 3,377,775.68 4.84%
6.500%- 6.749% 26 2,312,846.04 3.31%
6.750%- 6.999% 10 710,239.73 1.02%
7.000%- 7.249% 23 2,198,937.53 3.15%
7.250%- 7.499% 6 440,200.48 0.63%
7.500%- 7.749% 1 307,881.50 0.44%
7.750%- 7.999% 12 874,133.79 1.25%
8.000%- 8.249% 3 158,445.15 0.23%
8.250%- 8.499% 2 126,029.47 0.18%
8.500%- 8.749% 1 150,446.33 0.22%
Over 8.749% 1 90,832.52 0.13%
--- -------------- ------
Total 582 $69,822,205.71 100.00%
=== ============== ======
</TABLE>
23
<PAGE>
MAXIMUM MORTGAGE RATES FOR ARM HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract Sub-Pool
Number of Aggregate Principal by Outstanding
Max. Rate (for 6 Mo LIBOR) Contracts Balance Outstanding Principal Balance
- - -------------------------------- ------------------- ------------------- -------------------------
<S> <C> <C> <C>
Less than 13.25% 1 $ 175,872.08 0.25%
13.250%- 13.499% 1 163,546.19 0.23%
13.500%- 13.749% 1 154,659.59 0.22%
13.750%- 13.999% 8 1,042,214.10 1.49%
14.000%- 14.249% 7 1,050,657.52 1.50%
14.250%- 14.499% 19 2,932,936.96 4.20%
14.500%- 14.749% 39 5,130,450.14 7.35%
14.750%- 14.999% 32 3,920,454.55 5.61%
15.000%- 15.249% 29 3,937,865.52 5.64%
15.250%- 15.499% 39 5,551,523.92 7.95%
15.500%- 15.749% 66 8,126,233.42 11.65%
15.750%- 15.999% 65 8,344,771.07 11.96%
16.000%- 16.249% 43 4,674,915.05 6.70%
16.250%- 16.499% 64 6,333,981.87 9.07%
16.500%- 16.749% 38 4,023,383.21 5.76%
16.750%- 16.999% 37 4,194,524.36 6.01%
17.000%- 17.249% 28 3,004,375.44 4.30%
17.250%- 17.499% 16 1,997,274.52 2.86%
17.500%- 17.749% 22 2,681,727.96 3.84%
17.750%- 17.999% 17 1,557,996.45 2.23%
18.000%- 18.249% 2 119,857.70 0.17%
18.250%- 18.499% 3 280,385.71 0.40%
18.500%- 18.749% 2 94,765.97 0.14%
18.750%- 18.999% 2 259,115.95 0.37%
Over 18.999% 1 68,716.46 0.10%
--- -------------- ------
Total 582 $69,822,205.71 100.00%
=== ============== ======
</TABLE>
24
<PAGE>
MINIMUM MORTGAGE RATE FOR ARM HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract Sub-Pool
Number of Aggregate Principal by Outstanding
Min Rate (for 6 Mo LIBOR) Contracts Balance Outstanding Principal Balance
- - -------------------------------- ------------------- ------------------- -------------------------
<S> <C> <C> <C>
5.250%- 5.499% 1 $ 74,785.49 0.11%
5.500%- 5.749% 3 270,163.49 0.39%
5.750%- 5.999% 4 445,716.21 0.64%
6.000%- 6.249% 5 344,068.04 0.49%
6.250%- 6.499% 5 312,645.63 0.45%
6.500%- 6.749% 3 254,913.40 0.37%
6.750%- 6.999% 1 112,909.41 0.16%
7.000%- 7.249% 6 1,046,110.01 1.50%
7.250%- 7.499% 11 1,897,573.81 2.72%
7.500%- 7.749% 14 1,911,529.00 2.74%
7.750%- 7.999% 25 2,953,586.03 4.23%
8.000%- 8.249% 19 2,018,724.13 2.89%
8.250%- 8.499% 34 5,386,612.54 7.71%
8.500%- 8.749% 46 6,083,171.97 8.71%
8.750%- 8.999% 42 5,399,594.55 7.73%
9.000%- 9.249% 31 4,300,421.58 6.16%
9.250%- 9.499% 29 2,525,215.44 3.62%
9.500%- 9.749% 57 7,013,529.93 10.04%
9.750%- 9.999% 42 5,553,322.27 7.95%
10.000%- 10.249% 36 3,773,502.42 5.40%
10.250%- 10.499% 50 5,545,977.58 7.94%
10.500%- 10.749% 21 2,140,676.95 3.07%
10.750%- 10.999% 33 3,463,127.43 4.96%
11.000%- 11.249% 17 1,891,687.80 2.71%
11.250%- 11.499% 11 1,275,785.93 1.83%
11.500%- 11.749% 20 2,255,484.60 3.23%
11.750%- 11.999% 13 1,376,876.86 1.97%
12.000%- 12.249% 1 68,716.46 0.10%
12.250%- 12.499% 1 59,276.75 0.08%
12.500%- 12.749% 1 66,500.000 0.10%
--- -------------- ------
Total 582 $69,822,205.71 100.00%
=== ============== ======
</TABLE>
25
<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/ 10/99 1.10/ 07/99 1.01/ 05/99 0.92/ 03/99 0.85/ 01/99
A-2 3.59/ 01/02 3.28/ 08/01 3.01/ 04/01 2.77/ 12/00 2.57/ 09/00
A-3 6.84/ 11/06 6.36/ 01/06 5.91/ 07/05 5.51/ 01/05 5.14/ 08/04
M-1 10.92/ 08/08 9.96/ 07/07 9.14/ 08/06 8.48/ 11/05 7.88/ 03/05
M-2 11.38/ 08/08 10.30/ 07/07 9.38/ 08/06 8.63/ 11/05 7.97/ 03/05
B-1 6.40/ 08/06 5.88/ 11/05 5.51/ 05/05 5.15/ 12/04 4.80/ 06/04
B-2 11.03/ 08/08 10.01/ 07/07 9.19/ 08/06 8.51/ 11/05 7.89/ 03/05
To Maturity
M-1 11.50/ 01/11 10.66/ 03/10 9.90/ 05/09 9.24/ 08/08 8.67/ 11/07
M-2 17.17/ 02/22 16.25/ 02/22 15.36/ 02/22 14.53/ 02/22 13.75/ 02/22
B-2 13.49/ 02/22 12.57/ 02/22 11.83/ 02/22 11.14/ 02/22 10.48/ 02/22
</TABLE>
CPR PREPAYMENT SENSITIVITIES
FOR HOME EQUITY CONTRACT CERTIFICATES
<TABLE>
<CAPTION>
80% of Base* 90% of Base* 100% of Base* 110% of Base* 120% of Base*
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
------------ ------------ ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
To Call
A-1 ARM 4.02/ 07/08 3.56/ 06/07 3.18/ 07/06 2.86/ 09/05 2.59/ 12/04
A-1 0.57/ 03/98 0.53/ 02/98 0.50/ 02/98 0.47/ 01/98 0.44/ 12/97
A-2 1.21/ 09/98 1.12/ 08/98 1.04/ 06/98 0.98/ 05/98 0.92/ 04/98
A-3 2.42/ 10/00 2.19/ 05/00 2.00/ 02/00 1.85/ 11/99 1.71/ 09/99
A-4 3.91/ 08/01 3.50/ 02/01 3.16/ 09/00 2.87/ 05/00 2.65/ 02/00
A-5 6.86/ 12/07 5.84/ 12/06 5.01/ 01/06 4.30/ 04/05 3.79/ 03/02
A-6 6.73/ 10/07 6.52/ 10/06 6.31/ 11/05 6.07/ 03/05 5.71/ 08/04
M-1 11.38/ 08/08 10.30/ 07/07 9.38/ 08/06 8.63/ 11/05 7.95/ 03/05
M-2 11.38/ 08/08 10.30/ 07/07 9.38/ 08/06 8.63/ 11/05 7.97/ 03/05
B-1 6.24/ 11/06 5.59/ 12/05 5.05/ 02/05 4.79/ 08/04 4.64/ 04/04
B-2 11.11/ 08/08 10.04/ 07/07 9.13/ 08/06 8.45/ 11/05 7.85/ 03/05
To Maturity
A-6 6.73/ 10/07 6.52/ 10/06 6.31/ 11/05 6.07/ 03/05 5.71/ 08/04
M-1 12.79/ 12/11 11.63/ 09/10 10.60/ 08/09 9.68/ 08/08 8.88/ 09/07
M-2 15.86/ 01/27 15.24/ 01/27 14.48/ 01/27 13.65/ 01/27 12.80/ 01/27
B-2 15.66/ 01/27 14.22/ 01/27 13.01/ 01/27 12.13/ 01/27 11.41/ 01/27
</TABLE>
- - ---------------------
* 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%. For the ARM
Home Equity Contracts, 100% Base assumes 25% CPR.
26
<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.
27
