<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
______________________
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported): May 22, 1997
GREEN TREE FINANCIAL CORPORATION
--------------------------------
(Exact name of registrant as specified in its charter)
Delaware 0-11652 41-1807858
- --------------------------------------------------------------------------------
(State or other jurisdiction (Commission (IRS employer
of incorporation) file number) identification No.)
1100 Landmark Towers, 345 St. Peter Street, Saint Paul, Minnesota 55102-1639
-----------------------------------------------------------------------------
(Address of principal executive offices)
Registrant's telephone number, including area code: (612) 293-3400
---------------------------
Not Applicable
- --------------------------------------------------------------------------------
(Former name or former address, if changed since last report)
<PAGE>
Item 1. Changes in Control of Registrant.
--------------------------------
Not applicable.
Item 2. Acquisition or Disposition of Assets.
------------------------------------
Not applicable.
Item 3. Bankruptcy or Receivership.
-------------------------
Not applicable.
Item 4. Changes in Registrant's Certifying Accountant.
----------------------------------------------
Not applicable.
Item 5. Other Events.
------------
Not applicable.
Item 6. Resignations of Registrant's Directors.
--------------------------------------
Not applicable.
Item 7. Financial Statements and Exhibits.
---------------------------------
(a) Financial statements of businesses acquired.
Not applicable.
(b) Pro forma financial information.
Not applicable.
2
<PAGE>
(c) Exhibits.
The following is filed herewith. The exhibit numbers correspond
with Item 601(b) of Regulation S-K.
Exhibit No. Description
----------- -----------
99 External Computational and Descriptive Information
distributed in connection with Certificates for
Home Equity Loans, Series 1997-B, 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
Exhibit Number Page
- -------------- ----
99 External Computational and Descriptive Information 5
distributed in connection with Certificates for
Home Equity Loans, Series 1997-B, issued by Green
Tree Financial Corporation, as Seller and Servicer.
4
<PAGE>
REVISED TERM SHEET DATED MAY 21, 1997
Green Tree Financial Corporation
Certificates for Home Equity Loans, Series 1997-B
$327,051,721 (Approximate)
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in light of the same
warnings, lack of assurances, and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
descriptions of the securities or underlying assets, the information contained
in the Offering Document).
1
<PAGE>
TERM SHEET DATED MAY 21, 1997
Green Tree Financial Corporation
Certificates for Home Equity Loans, Series 1997-B
$327,051,721 (Approximate)
Subject to Revision
<TABLE>
<CAPTION>
SELLER/SERVICER: Green Tree Financial Corporation ("Green Tree").
TRUSTEE: First Trust National Association
UNDERWRITERS: Lehman Brothers (Lead), Merrill Lynch (Co), Salomon Brothers (Co)
Ratings WAL Exp Final
Amount (S&P/Fitch) at 100% Base* Maturity
----------- ----------- ------------- ---------
<S> <C> <C> <C> <C>
To Call:
A-1 ARM $36,462,000 AAA / AAA 3.17 9/15/06
A-1 $27,998,000 AAA / AAA 0.45 3/15/98
A-2 $36,641,000 AAA / AAA 1.08 10/15/98
A-3 $62,724,000 AAA / AAA 2.05 3/15/00
A-4 $20,556,000 AAA / AAA 3.05 10/15/00
A-5 $56,200,000 AAA / AAA 5.03 7/15/06
A-6 $40,682,000 AAA / AAA 6.37 5/15/06
M-1 $17,988,000 AA / AA+ 9.38 10/15/06
M-2 $11,447,000 A / A+ 9.38 10/15/06
B-1 $11,447,000 BBB / BBB+ 5.14 5/15/05
B-2 $4,906,721 A- / A 9.15 10/15/06
To Maturity
M-1 $17,988,000 AA / AA+ 10.72 12/15/09
M-2 $11,447,000 A / A+ 14.81 4/15/27
B-2 $4,906,721 A- / A 12.12 4/15/27
</TABLE>
CUT-OFF DATE: April 30, 1997 (or the date of origination, if later)
EXP. PRICING: May 23, 1997
EXP. SETTLEMENT: May 29, 1997
LEGAL FINAL: June 2028
__________________________
* 100% Base (100% Prepayment Assumption) assumes (a) for the fixed rate
collateral, a constant prepayment rate of 4% per annum of the then outstanding
principal balance of the Fixed Rate Contracts (defined herein) in the first
month of the life of the Fixed Rate Contracts and an additional 1.45%
(precisely, 16/11%) per annum in each month thereafter until the twelfth
month. Beginning in twelfth month and in each month thereafter, the constant
prepayment rate is 20% and (b) for the Adjustable Rate Contracts (defined
herein), a constant prepayment rate of 5.6% per annum of the then outstanding
principal balance of the Adjustable Rate Contracts in the first month of the
life of the Adjustable Rate Contracts and an additional 2.04% (precisely,
22.4/11%) per annum in each month thereafter until the twelfth month.
Beginning in twelfth month and in each month thereafter, the constant
prepayment rate is 28%.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
2
<PAGE>
INTEREST/PRINCIPAL: The 15th day of each month (or if such 15th day is
not a business day, the next succeeding business
day) commencing on June 15, 1997.
ERISA: Class A Certificates are ERISA eligible. The M-1,
M-2, B-1, and B-2 Certificates will not be sold to
benefit plans unless such plans deliver a legal
opinion to the Trustee stating that assets of the
Trust are not deemed "plan assets".
TAX STATUS: The Trust will elect to be treated as a REMIC for
federal income tax purposes.
CREDIT ENHANCEMENT: Class A: 14.00% subordination (Class M-1, M-2,
B-1 and B-2) & Residual (Class C)
Class M-1: 8.50% subordination (Class M-2, B-1,
and B-2) & Residual (Class C)
Class M-2: 5.00% subordination (Class B-1 and
B-2) & Residual (Class C)
Class B-1: 1.50% subordination (Class B-2) &
Residual (Class C)
Class B-2: Limited Guaranty plus Residual (Class
C)
DISTRIBUTIONS: The Amount Available will generally consist of
payments made on or in respect of the Home Equity
Contracts 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 Amount Available will generally be applied
first to the distributions to the Class A
Certificateholders, then to the Class M
Certificateholders, and then to the Class B
Certificateholders.
Class A Certificates are senior to Class M and
Class B Certificates. Class M Certificates are
senior to the Class B Certificates.
CLASS A INTEREST: Interest will be paid concurrently on each Class
of Class 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. Each
Class of Class A Certificates will bear interest
at a fixed Pass-Through Rate calculated on a
30/360 basis with the exception of the Class A-1
ARM Certificates which will bear interest at a
variable Pass-Through Rate calculated on an
actual/360 basis.
Interest shortfalls will be carried forward, and
will bear interest at the applicable Class A
Pass-Through Rate, to the extent legally
permissible.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
3
<PAGE>
CLASS A PRINCIPAL: After payment of all interest distributable to the
Class A Certificateholders, the ARM Formula
Principal Distribution Amount will be distributed
to the Class A-1 ARM Certificateholders and the
Senior Percentage of the Formula Principal
Distribution Amount less the A-6 Lockout
Distribution Amount as defined below will be
distributed first to the Class A-1
Certificateholders, until the Class A-1 Principal
Balance has been reduced to zero, then to the
Class A-2 Certificateholders until the Class A-2
Principal Balance has been reduced to zero, and
then to the Class A-3 Certificateholders until the
Class A-3 Principal Balance has been reduced to
zero, then to the Class A-4 Certificateholders
until the Class A-4 Principal Balance has been
reduced to zero, and then to the Class A-5
Certificateholders until the Class A-5 Principal
Balance has been reduced to zero.
The Class A-6 Certificateholders are entitled to
receive payments of the Class A-6 Lockout
Distribution Amount specified below, provided,
that if on any Payment Date the Class A-5
Certificate Principal Balance is zero, the
Certificateholders of the Class A-6 Certificates
will be entitled to receive the entire Formula
Principal Distribution Amount less the amount, if
any, distributed in payment of principal on the
Class A-5 Certificates on such Payment Date.
The "Class A-6 Lockout Distribution Amount" for
any Payment Date will be the product of (i) the
applicable Class A-6 Lockout Percentage for such
Payment Date and (ii) the Class A-6 Lockout Pro
Rata Distribution Amount for such Payment Date.
The "Class A-6 Lockout Percentage" for each
Payment Date shall be as follows:
Payment Dates Lockout Percentage
June 1997 - May 2000 0%
June 2000 - May 2002 20%
June 2002 - May 2003 80%
June 2003 - May 2004 100%
June 2004 and thereafter 300%
The "Class A-6 Lockout Pro Rata Distribution
Amount" for any Payment Date will be an amount
equal to the lesser of (1) the product of (x) a
fraction, the numerator of which is the
Certificate Principal Balance of the Class A-6
Certificates immediately prior to such Payment
Date and the denominator of which is the aggregate
Certificate Balance of the Class A-1, Class A-2,
Class A-3, Class A-4, Class A-5, Class A-6, (y)
the Senior Percentage of the Formula Principal
Distribution Amount and (z) the Class A-6 Lockout
Percentage and (2) the Class A-6 Principal Balance
immediately preceding such Payment Date.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
4
<PAGE>
Payment Dates The Senior Percentage will equal 100% if any of
the following exist:
i) it is prior to June 2000;
ii) the Class B Principal Balance represents less
than 10.00% of the Scheduled Principal
Balance; and
iii) each Class 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 A Principal Balance (excluding the Class A-1
ARM Principal Balance) and the Class M Principal
Balance for a given Payment Date, and the
denominator of which is the Scheduled Principal
Balance for the immediately preceding Payment Date.
CLASS M-1 INTEREST: After payment of Class A Distribution Amount,
interest will be paid to the Class M-1
Certificateholders in an amount equal to the
product of (a) the Class M-1 Pass-Through Rate and
(b) the then outstanding Class M-1 Principal
Balance less the Class 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 M-1 Pass-Through
Rate, to the extent legally permissible.
CLASS M-1 PRINCIPAL: Class M-1 Certificateholders will not receive
principal until the Class A Principal Balance has
been reduced to zero. At that time, the Class M-1
Certificateholders will be entitled to receive the
Senior Percentage of the Formula Principal
Distribution Amount, until the Class M-1 Principal
Balance has been reduced to zero.
CLASS M-2 INTEREST: After payment of Class A and Class M-1
Distribution Amounts, interest will be paid to the
Class M-2 Certificateholders in an amount equal to
the product of (a) the Class M-2 Pass-Through Rate
and (b) the then outstanding Class M-2 Principal
Balance less the Class 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 M-2 Pass-Through
Rate, to the extent legally permissible.
CLASS M-2 PRINCIPAL: Class M-2 Certificateholders will not receive
principal until the Class A and Class M-1
Principal Balances have been reduced to zero. At
that time the Class M-2 Certificateholders will be
entitled to receive the Senior Percentage of the
Formula Principal Distribution Amount, until the
Class M-2 Principal Balance has been reduced to
zero.
CLASS B-1 INTEREST: After payment of Class A, Class M-1 and Class M-2
Distribution Amounts, interest will be paid to the
Class B-1 Certificateholders in an amount equal to
the product of (a) the Class B-1 Pass-Through Rate
and (b) the then outstanding Class B-1 Principal
Balance less the Class 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 B-1 Pass-Through
Rate, to the extent legally permissible.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
5
<PAGE>
CLASS B-1 PRINCIPAL: The Class B-1 Certificateholders will not receive
principal payments until the Class B Cross-over
Date. At that time, to the extent of the amount
available after payment of the Class A and Class M
Distribution Amounts and Class B-1 interest, Class
B-1 Certificateholders will receive the Class B
Percentage of the Formula Principal Distribution
Amount until the Class B-1 Principal Balance has
been reduced to zero.
The Class B Percentage will be equal to 100% minus
the Senior Percentage. The Class B Percentage
after the Class A and Class M Principal Balances
have been reduced to zero will be equal to 100%.
CLASS B-2 INTEREST: After payment of Class A, Class M-1, Class M-2 and
Class B-1 Distribution Amounts, interest will be
paid to the Class B-2 Certificateholders in an
amount equal to the product of (a) the Class B-2
Pass-Through Rate and (b) the then outstanding
Class B-2 Principal Balance less the Class B-2
Liquidation Loss Principal Amount. The Limited
Guaranty will be available to pay interest to the
Class B-2 Certificateholders if the 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 B-2 Pass-Through
Rate, to the extent legally permissible.
CLASS B-2 PRINCIPAL: The Class B-2 Certificateholders will not receive
principal payments until the Class B-1 Principal
Balance has been reduced to zero. At that time,
if each Class B Principal Distribution Test is
satisfied (unless the Class A and Class M
Principal Balances have been reduced to zero), to
the extent of the amount available after payment
of the Class A, the Class M and the Class B-1
Distribution Amounts and any amounts actually paid
under the Class B-2 Limited Guaranty, the Class
B-2 Certificateholders will receive the Class B
Percentage of the Formula Principal Distribution
Amount until Class B-2 Principal Balance has been
reduced to zero.
On each Payment Date, the Class B-2
Certificateholders will be entitled to receive
pursuant to the Class B-2 Limited Guaranty, the
Class B-2 Liquidation Loss Principal Amount until
the Class B-2 Principal Balance has been reduced
to zero.
LOSSES ON LIQUIDATED
HE CONTRACTS: If Net Liquidation Proceeds from Liquidated
Contracts in the respective collection period are
less than the Scheduled Principal Balance of such
Liquidated Contract 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 B-2 Certificateholders,
then the Class B-1 Certificateholders, then the
Class M-2 Certificateholders, then the Class M-1
Certificateholders and then the Class A
Certificateholders.
CLASS B-2 LIMITED GUARANTY: To the extent that the Amount Available is not
sufficient, the Limited Guaranty will be available
to pay the Class B-2 Liquidation Loss principal
Amount and the Class B-2 Distribution Amount. The
Class B-2 Limited Guaranty will be an unsecured
general obligation of the Company.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
6
<PAGE>
CLASS B PRINCIPAL (i) the average of the Sixty-Day Delinquency
DISTRIBUTION TESTS: Ratio as of the Payment Date and the prior
two Payment Dates must not exceed 6%;
(ii) the average of the Thirty-Day Delinquency
Ratio as of the Payment Date and the prior
two Payment Dates must not exceed 12%;
(iii) the Cumulative Realized Losses as of given
Payment Date must not exceed 7.5%;
(iv) the Current Realized Loss Ratio as of given
Payment Date must not exceed 2.0%; and
(v) the Class B Principal Balance divided by the
Pool Scheduled Principal Balance of as of
the immediately preceding Payment Date must
be equal to or greater than 10.00%.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
7
<PAGE>
HOME EQUITY CONTRACTS
The Home Equity Contracts consist of both fixed rate and adjustable rate
closed-end home equity contracts. The adjustable rate closed-end home equity
contracts are subject to interest rate adjustments after an initial six month,
twenty-four month or thirty-six month period. The loans subject to adjustment
after an initial six months and twenty-four months are referred to herein as
"Adjustable Rate Contracts". All Home Equity Contracts which are not Adjustable
Rate Contracts are referred herein as "Fixed Rate Contracts". The obligations
of the Obligor under each Home Equity Contract are secured by the related real
estate.
FIXED RATE CONTRACTS
<TABLE>
<S> <C>
Number of Fixed Rate Contracts 5,575
Wgt. Avg. Contract Rate: 12.15%
Range of Rates: 6.00% - 18.00%
Wgt. Avg. Orig. Maturity: 221
Wgt. Avg. Rem. Maturity: 220
Avg. Rem. Princ. Balance: $52,123.59
Weighted Average 2nd Mortgage Ratio 32.8%
Wgt. Avg. LTV 70.0%
Wgt. Avg. CLTV: 85.5%
</TABLE>
GEOGRAPHIC DISTRIBUTION OF MORTGAGE PROPERTIES -
FIXED RATE CONTRACTS
<TABLE>
<CAPTION>
% of Fixed Rate Contracts
% of Fixed Rate by
Number of Contracts by Aggregate Principal Outstanding
State Contracts Number of Contracts Balance Outstanding Principal Balance
- ----- --------- ------------------- ------------------- -------------------------
<S> <C> <C> <C> <C>
NC 469 8.41% $ 25,093,207.52 8.64%
GA 437 7.84% $ 23,575,144.10 8.11%
OH 399 7.16% $ 22,168,583.98 7.63%
FL 332 5.96% $ 17,032,998.73 5.86%
MI 271 4.86% $ 16,911,353.01 5.82%
PA 304 5.45% $ 16,810,039.77 5.78%
IL 309 5.54% $ 16,805,694.19 5.78%
VA 292 5.24% $ 16,500,992.88 5.68%
MD 297 5.33% $ 16,383,889.15 5.64%
AL 336 6.03% $ 15,890,204.80 5.47%
Other States 2,129 38.19% $103,416,890.08 35.59%
Total (1) 5,575 100.00% $290,588,998.21 100.00%
- ---------------
</TABLE>
* No one State in this category constitutes more than 5% of the Outstanding
Principal Balance of the Fixed Rate Contracts.
YEAR OF ORIGINATION OF FIXED RATE CONTRACTS
<TABLE>
<CAPTION>
% of Fixed Rate
Number of Aggregate Principal Contracts by Outstanding
Year of Origination Contracts Balance Outstanding Principal Balance
- ------------------- --------- ------------------- ------------------------
<S> <C> <C> <C>
1994 2 $142,992.51 0.05%
1995 7 $296,071.71 0.10%
1996 185 $9,459,952.74 3.26%
1997 5,381 $280,689,981.25 96.59%
Total 5,575 $290,588,998.21 100.00%
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
8
<PAGE>
DISTRIBUTION OF ORIGINAL FIXED RATE CONTRACT AMOUNTS
<TABLE>
<CAPTION>
% of Fixed Rate Contracts
Original Fixed Rate Contract Number of Aggregate Principal by Outstanding Principal
Amount (in Dollars) Contracts Balance Outstanding Balance
- ---------------------------- --------- ------------------- ------------------------
<S> <C> <C> <C>
Between $1-$25,000 1,460 $ 25,777,686.43 8.87%
Between $25,001-$50,000 1,886 $ 69,517,812.44 23.92%
Between $50,001-$75,000 1,122 $ 69,175,221.45 23.81%
Between $75,001-$100,000 553 $ 47,688,579.18 16.41%
Between $100,001-$125,000 267 $ 29,552,853.82 10.17%
Between $125,001-$150,000 136 $ 18,491,046.81 6.36%
Between $150,001-$175,000 63 $ 10,057,850.89 3.46%
Between $175,001-$200,000 35 $ 6,483,838.74 2.23%
Between $200,001-$225,000 20 $ 4,272,078.02 1.47%
Between $225,001-$250,000 12 $ 2,864,599.80 0.99%
Between $250,001-$275,000 6 $ 1,572,366.66 0.54%
Between $275,001-$300,000 5 $ 1,423,746.96 0.49%
Between $300,001-$325,000 3 $ 929,779.62 0.32%
Between $325,001-$350,000 2 $ 682,719.48 0.23%
Between $350,001-$375,000 1 $ 361,250.00 0.12%
Between $375,001-$400,000 1 $ 382,339.59 0.13%
Between $400,001-$425,000 1 $ 418,500.00 0.14%
Between $425,001-$450,000 1 $ 437,395.35 0.15%
Between $475,001-$500,000 1 $ 499,332.97 0.17%
Total (1) 5,575 $290,588,998.21 100.00%
</TABLE>
- ----------------
(1) Percentages do not add to 100% due to rounding
FIXED RATE CONTRACT RATES
<TABLE>
<CAPTION>
% of Fixed Rate Contracts
Range of Fixed Rate Contracts Number of Aggregate Principal by Outstanding Principal
by Contract Rates Contracts Balance Outstanding Balance
- ----------------------------- --------- ------------------- -------------------------
<S> <C> <C> <C>
From 0%-8.500% 5 $ 346,233.68 0.12%
From 8.501%-9.000% 25 $ 1,954,026.89 0.67%
From 9.001%-9.500% 38 $ 3,214,651.27 1.11%
From 9.501%-10.000% 165 $ 13,879,999.84 4.78%
From 10.001%-10.500% 285 $ 25,318,161.42 8.71%
From 10.501%-11.000% 405 $ 29,941,015.00 10.30%
From 11.001%-11.500% 453 $ 29,885,437.09 10.28%
From 11.501%-12.000% 617 $ 37,745,169.35 12.99%
From 12.001%-12.500% 657 $ 35,033,460.98 12.06%
From 12.501%-13.000% 937 $ 43,430,428.81 14.95%
From 13.001%-13.500% 568 $ 23,597,376.09 8.12%
From 13.501%-14.000% 587 $ 21,661,563.26 7.45%
From 14.001%-14.500% 300 $ 9,287,440.33 3.20%
From 14.501%-15.000% 239 $ 7,129,648.36 2.45%
Over 15.000% 294 $ 8,164,385.84 2.81%
Total 5,575 $290,588,998.21 100.00%
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
9
<PAGE>
REMAINING MONTHS TO MATURITY OF FIXED RATE CONTRACTS
<TABLE>
<CAPTION>
% of Fixed Rate
Number of Aggregate Principal Contracts by Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
- ---------------- --------- ------------------- ------------------------
<S> <C> <C> <C>
25-36 2 $ 31,980.28 0.01%
37-48 1 $ 14,733.40 0.01%
49-60 48 $ 864,000.28 0.30%
61-72 11 $ 263,237.22 0.09%
73-84 35 $ 886,716.54 0.31%
85-96 20 $ 373,585.71 0.13%
97-108 4 $ 125,858.64 0.04%
109-120 436 $ 10,847,947.73 3.73%
121-132 2 $ 31,135.42 0.01%
133-144 26 $ 989,629.92 0.34%
145-156 7 $ 285,909.73 0.10%
157-168 9 $ 329,095.90 0.11%
169-180 2,897 $148,039,532.50 50.94%
181-192 4 $ 181,662.16 0.06%
205-216 5 $ 279,500.00 0.10%
229-240 1,444 $ 77,792,870.58 26.77%
289-300 160 $ 12,629,834.98 4.35%
337-348 3 $ 211,307.87 0.07%
349-360 461 $ 36,410,459.35 12.53%
Total 5,575 $290,588,998.21 100.00%
</TABLE>
LIEN POSITION OF FIXED RATE CONTRACTS
<TABLE>
<CAPTION>
% of Fixed Rate % of Fixed Rate
Number of Contracts by Aggregate Principal Contracts by Outstanding
Contracts Number of Contracts Balance Outstanding Principal Balance
--------- ------------------- ------------------- ------------------------
<S> <C> <C> <C> <C>
First 3,117 55.91% $216,058,570.18 74.35%
Second 2,440 43.77% $ 74,176,319.59 25.53%
Third 18 0.32% $ 354,108.44 0.12%
Total 5,575 100.00% $290,588,998.21 100.00%
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
10
<PAGE>
ADJUSTABLE RATE CONTRACTS
<TABLE>
<S> <C>
Number of Adjustable Rate Contracts: 327
Wgt. Avg. Contract Rate: 9.87%
Range of Rates: 7.69%-14.40%
Wgt. Avg. Orig. Maturity: 356
Wgt. Avg. Rem. Maturity: 354
Avg. Rem. Princ. Balance: $ 111,506.80
Wgt. Avg. LTV 83.3%
Wgt. Avg. CLTV: 83.3%
</TABLE>
GEOGRAPHIC DISTRIBUTION OF MORTGAGE PROPERTIES -
ADJUSTABLE RATE CONTRACTS
<TABLE>
<CAPTION>
% of Adjustable Rate % of Adjustable Rate
Number of Contracts by Number Aggregate Principal Contracts by Outstanding
State Contracts of Contracts Balance Outstanding Principal Balance
- ----- --------- -------------------- ------------------- ------------------------
<S> <C> <C> <C> <C>
TX 33 10.09% $ 4,109,387.92 11.27%
MI 51 15.60% $ 3,539,355.09 9.71%
CA 18 5.50% $ 3,459,805.15 9.49%
GA 23 7.03% $ 2,608,434.76 7.15%
CO 16 4.89% $ 2,366,539.14 6.49%
OH 27 8.26% $ 2,258,007.67 6.19%
Other States 159 48.62% $18,121,193.24 49.70%
Total (1) 327 100.00% $36,462,722.97 100.00%
- ---------------
</TABLE>
* No one State in this category constitutes more than 5% of the Sub-Pool HE
Outstanding Principal Balance.
(1) Percentages do not add to 100% due to rounding
YEAR OF ORIGINATION OF ADJUSTABLE RATE CONTRACTS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Contracts by Outstanding
Year of Origination Contracts Balance Outstanding Principal Balance
- ------------------- --------- ------------------- ------------------------
<S> <C> <C> <C>
1996 22 $ 3,297,905.13 9.04%
1997 305 $33,164,817.84 90.96%
Total 327 $36,462,722.97 100.00%
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
11
<PAGE>
DISTRIBUTION OF ORIGINAL ADJUSTABLE RATE CONTRACT AMOUNTS
<TABLE>
<CAPTION>
% of Adjustable Rate
Original Adjustable Rate Number of Aggregate Principal Contracts by Outstanding
Contract Contracts Balance Outstanding Principal Balance
- ------------------------- --------- ------------------- -------------------------
Amount (in Dollars)
<S> <C> <C> <C>
Less than $25,001 4 $ 95,934.94 0.26%
Between $25,001-$50,000 40 $ 1,537,968.63 4.22%
Between $50,001-$75,000 72 $ 4,485,946.43 12.30%
Between $75,001-$100,000 47 $ 4,073,051.25 11.17%
Between $100,001-$125,000 61 $ 6,884,379.25 18.88%
Between $125,001-$150,000 29 $ 3,918,889.01 10.75%
Between $150,001-$175,000 29 $ 4,659,419.58 12.78%
Between $175,001-$200,000 15 $ 2,799,867.68 7.68%
Between $200,001-$225,000 9 $ 1,934,636.71 5.31%
Between $225,001-$250,000 4 $ 941,466.77 2.58%
Between $250,001-$275,000 5 $ 1,295,951.55 3.55%
Between $275,001-$300,000 5 $ 1,434,512.76 3.93%
Between $300,001-$325,000 3 $ 951,309.95 2.61%
Between $325,001-$350,000 1 $ 340,000.00 0.93%
Between $350,001-$375,000 2 $ 711,868.62 1.95%
Between $375,001-$400,000 1 $ 397,519.84 1.09%
Total (1) 327 $36,462,722.97 100.00%
- ---------------
</TABLE>
(1) Percentages do not add to 100% due to rounding
ADJUSTABLE RATE CONTRACT CURRENT CONTRACT RATES
<TABLE>
<CAPTION>
Range of Adjustable Rate % of Adjustable Rate
Contracts by Current Number of Aggregate Principal Contracts by Outstanding
Contract Rates Contracts Balance Outstanding Principal Balance
- ------------------------- --------- ------------------- ------------------------
<S> <C> <C> <C>
From 0.00%-8.00% 17 $ 2,545,628.21 6.98%
From 8.01%-9.00% 63 $ 6,667,444.94 18.29%
From 9.01%-10.00% 98 $12,868,040.51 35.29%
From 10.01%-11.00% 90 $ 9,413,233.88 25.82%
From 11.01%-12.00% 46 $ 4,120,738.60 11.30%
From 12.01%-13.00% 6 $ 554,601.89 1.52%
From 13.01%-14.00% 5 $ 220,534.94 0.60%
Over 14.00% 2 $ 72,500.00 0.20%
Total 327 $36,462,722.97 100.00%
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
12
<PAGE>
REMAINING MONTHS TO MATURITY OF ADJUSTABLE RATE CONTRACTS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Contracts by Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
- ----------------------------- ------------------------- -------------------------------- -------------------------------------
<S> <C> <C> <C>
169-180 8 $ 751,083.07 2.06%
181-360 319 $35,711,639.90 97.94%
Total 327 $36,462,722.97 100.00%
</TABLE>
LIEN POSITION OF ADJUSTABLE RATE CONTRACTS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Contracts by Number of Aggregate Principal Contracts by Outstanding
Contracts Contracts Balance Outstanding Principal Balance
--------- -------------------------- -------------------- ------------------------
<S> <C> <C> <C> <C>
First 327 100.00% $36,462,722.97 100.00%
Total 327 100.00% $36,462,722.97 100.00%
</TABLE>
MONTH OF NEXT RATE ADJUSTMENT - ADJUSTABLE RATE CONTRACTS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Contracts by Outstanding
Month of Next Rate Adjustment Contracts Balance Outstanding Principal Balance
- ----------------------------- ------------------------- -------------------------------- -------------------------------------
<S> <C> <C> <C>
May 1997 1 115,973.25 0.32%
June 1997 2 470,000.09 1.29%
July 1997 12 1,506,453.18 4.13%
August 1997 38 6,069,301.39 16.65%
September 1997 92 7,986,359.64 21.90%
October 1997 52 4,813,466.78 13.20%
November 1997 31 3,388,330.63 9.29%
December 1997 6 636,404.99 1.75%
January 1999 3 524,693.06 1.44%
February 1999 15 1,849,603.64 5.07%
March 1999 53 6,572,645.29 18.03%
April 1999 22 2,529,491.03 6.94%
Total (1) 327 $36,462,722.97 100.00%
</TABLE>
- ---------------
(1) Percentages do not add to 100% due to rounding
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
13
<PAGE>
DISTRIBUTION OF GROSS MARGIN - ADJUSTABLE RATE CONTRACTS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Contracts by Outstanding
Gross Margin Contracts Balance Outstanding Principal Balance
- ----------------------- ----------------- ------------------------------ ----------------------------
<S> <C> <C> <C>
3.250%-3.500% 1 $ 138,835.27 0.38%
4.251%-4.500% 1 $ 224,846.63 0.62%
4.501%-4.750% 1 $ 166,221.30 0.46%
4.751%-5.000% 53 $ 7,139,642.86 19.58%
5.001%-5.250% 13 $ 1,382,534.73 3.79%
5.251%-5.500% 52 $ 7,111,108.57 19.50%
5.501%-5.750% 15 $ 1,731,288.08 4.75%
5.751%-6.000% 38 $ 4,880,933.61 13.39%
6.001%-6.250% 22 $ 2,064,212.67 5.66%
6.251%-6.500% 19 $ 2,460,966.14 6.75%
6.501%-6.750% 15 $ 1,485,304.33 4.07%
6.751%-7.000% 24 $ 2,456,284.34 6.74%
7.001%-7.250% 14 $ 1,175,073.00 3.22%
7.251%-7.500% 14 $ 1,269,981.72 3.48%
7.501%-7.750% 9 $ 575,988.00 1.58%
7.751%-8.000% 16 $ 1,210,858.72 3.32%
8.251%-8.500% 5 $ 206,570.00 0.57%
8.501%-8.750% 4 $ 231,300.00 0.63%
8.751%-9.000% 5 $ 263,023.00 0.72%
9.001%-9.250% 1 $ 36,400.00 0.10%
9.251%-9.500% 3 $ 149,850.00 0.41%
9.501%-9.750% 1 $ 69,000.00 0.19%
Over 9.750% 1 $ 32,500.00 0.09%
Total 327 $36,462,722.97 100.00%
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call Your Lehman Brothers account
executive for another copy.
14
<PAGE>
MAXIMUM LOAN RATE - ADJUSTABLE RATE CONTRACTS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Contracts by Outstanding
Loan Rate Contracts Balance Outstanding Principal Balance
- --------------------------- ----------------- ------------------------------------ -------------------------------
<S> <C> <C> <C>
Less than 14.001% 3 $ 803,638.78 2.20%
14.001%-14.250% 1 $ 119,000.00 0.33%
14.251%-14.500% 7 $ 959,606.73 2.63%
14.501%-14.750% 9 $ 1,490,133.10 4.09%
14.751%-15.000% 21 $ 2,136,691.60 5.86%
15.001%-15.250% 13 $ 1,813,213.23 4.97%
15.251%-15.500% 26 $ 3,564,132.98 9.77%
15.501%-15.750% 29 $ 3,356,518.43 9.21%
15.751%-16.000% 40 $ 4,191,481.41 11.50%
16.001%-16.250% 19 $ 1,979,727.33 5.43%
16.251%-16.500% 29 $ 3,606,052.39 9.89%
16.501%-16.750% 17 $ 1,800,141.73 4.94%
16.751%-17.000% 44 $ 4,742,431.96 13.01%
17.001%-17.250% 14 $ 1,532,424.53 4.20%
17.251%-17.500% 15 $ 1,104,053.05 3.03%
17.501%-17.750% 14 $ 1,489,318.26 4.08%
17.751%-18.000% 10 $ 679,763.34 1.86%
Over 18.000% 16 $ 1,094,394.12 3.00%
Total 327 $36,462,722.97 100.00%
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
15
<PAGE>
MINIMUM LOAN RATE - ADJUSTABLE RATE CONTRACTS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Contracts by Outstanding
Loan Rate Contracts Balance Outstanding Principal Balance
- ---------------- --------- ------------------- ------------------------
<S> <C> <C> <C>
Less than 8.001% 17 $ 2,545,628.21 6.98%
8.001%-8.250% 5 $ 502,078.00 1.38%
8.251%-8.500% 15 $ 1,639,571.19 4.50%
8.501%-8.750% 16 $ 1,915,358.34 5.25%
8.751%-9.000% 28 $ 2,781,409.46 7.63%
9.001%-9.250% 13 $ 1,995,031.39 5.47%
9.251%-9.500% 27 $ 4,091,316.81 11.22%
9.501%-9.750% 22 $ 2,520,858.11 6.91%
9.751%-10.000% 35 $ 4,089,862.15 11.22%
10.001%-10.250% 16 $ 1,474,031.17 4.04%
10.251%-10.500% 25 $ 2,951,230.79 8.09%
10.501%-10.750% 19 $ 2,121,673.24 5.82%
10.751%-11.000% 34 $ 3,352,246.48 9.19%
11.001%-11.250% 14 $ 1,666,618.91 4.57%
11.251%-11.500% 12 $ 693,268.29 1.90%
11.501%-11.750% 10 $ 1,045,086.75 2.87%
11.751%-12.000% 7 $ 430,018.87 1.18%
12.001%-12.250% 1 $ 81,436.30 0.22%
12.251%-12.500% 2 $ 94,200.00 0.26%
12.501%-12.750% 1 $ 73,911.91 0.20%
12.751%-13.000% 1 $ 104,851.66 0.29%
13.001%-13.250% 1 $ 36,400.00 0.10%
13.251%-13.500% 1 $ 23,934.94 0.07%
13.501%-13.750% 2 $ 98,450.00 0.27%
13.751%-14.000% 1 $ 61,750.00 0.17%
Over 14.000% 2 $ 72,500.00 0.20%
Total 327 $36,462,722.97 100.00%
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
16
<PAGE>
CPR PREPAYMENT SENSITIVITIES
FOR CERTIFICATES FOR HOME EQUITY LOANS
<TABLE>
<CAPTION>
50% of Base* 75% of Base* 100% of Base* 125% of Base* 150% of Base*
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
To Call ---------------- ---------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
A-1 ARM 6.02 - 04/15/12 4.21 - 05/15/09 3.17 - 09/15/06 2.53 - 11/15/04 2.09 - 07/15/03
A-1 0.68 - 07/15/98 0.54 - 04/15/98 0.45 - 03/15/98 0.39 - 01/15/98 0.34 - 01/15/98
A-2 1.78 - 10/15/99 1.32 - 03/15/99 1.08 - 10/15/98 0.93 - 08/15/98 0.82 - 06/15/98
A-3 3.70 - 08/15/02 2.62 - 01/15/01 2.05 - 03/15/00 1.69 - 09/15/99 1.45 - 04/15/99
A-4 5.93 - 03/15/04 4.01 - 11/15/01 3.05 - 10/15/00 2.48 - 02/15/00 2.09 - 09/15/99
A-5 11.30 - 04/15/12 7.42 - 01/15/09 5.03 - 07/15/06 3.62 - 04/15/02 2.94 - 04/15/01
A-6 7.57 - 04/15/12 6.89 - 11/15/08 6.37 - 05/15/06 5.64 - 09/15/04 4.68 - 06/15/03
M-1 14.88 - 04/15/12 11.96 - 05/15/09 9.38 - 10/15/06 7.54 - 12/15/04 6.29 - 09/15/03
M-2 14.88 - 04/15/12 11.96 - 05/15/09 9.38 - 10/15/06 7.54 - 12/15/04 6.29 - 09/15/03
B-1 9.21 - 02/15/11 6.62 - 08/15/07 5.14 - 05/15/05 4.57 - 04/15/04 4.29 - 08/15/03
B-2 14.76 - 04/15/12 11.68 - 05/15/09 9.15 - 10/15/06 7.48 - 12/15/04 6.29 - 09/15/03
To Maturity
M-1 15.28 - 05/15/14 13.51 - 04/15/12 10.72 - 12/15/09 8.64 - 08/15/07 7.12 - 11/15/05
M-2 19.84 - 04/15/27 16.60 - 04/15/27 14.81 - 04/15/27 12.68 - 04/15/27 10.74 - 04/15/27
B-2 18.51 - 04/15/27 15.07 - 04/15/27 12.12 - 04/15/27 10.34 - 04/15/27 9.10 - 04/15/27
</TABLE>
_______________
* 100% Base (100% Prepayment Assumption) assumes (a) for the fixed rate
collateral, a constant prepayment rate of 4% per annum of the then outstanding
principal balance of the Fixed Rate Contracts in the first month of the life
of the Fixed Rate Contracts and an additional 1.45% (precisely, 16/11%) per
annum in each month thereafter until the twelfth month. Beginning in twelfth
month and in each month thereafter, the constant prepayment rate is 20% and
(b) for the Adjustable Rate Contracts, a constant prepayment rate of 5.6% per
annum of the then outstanding principal balance of the Adjustable Rate
Contracts in the first month of the life of the Adjustable Rate Contracts and
an additional 2.04% (precisely, 22.4/11%) per annum in each month thereafter
until the twelfth month. Beginning in twelfth month and in each month
thereafter, the constant prepayment rate is 28%.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call Your Lehman Brothers account
executive for another copy.
17
