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SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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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 19, 1998
GREEN TREE FINANCIAL CORPORATION
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(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
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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.
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Not applicable.
ITEM 2. Acquisition or Disposition of Assets.
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Not applicable
ITEM 3. Bankruptcy or Receivership.
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Not applicable
ITEM 4. Changes in Registrant's Certifying Accounting.
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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
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99 Term Sheet distributed in connection with
$500,000,000 (Approximate) Certificates for
Home Equity Loans, Series 1998-C, issued by
Green Tree Financial Corporation, as Seller
and Servicer.
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
Date: May 19, 1998 GREEN TREE FINANCIAL CORPORATION
By: /s/ Scott T. Young
_____________________________
Scott T. Young
Senior Vice President and Controller
3
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INDEX TO EXHIBITS
Exhibit
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Number Page
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99 Term Sheet distributed in connection with 5
$500,000,000 (Approximate) Certificates for
Home Equity Loans, Series 1998-C, issued by
Green Tree Financial Corporation, as Seller
and Servicer.
4
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TERM SHEET DATED MAY 19, 1998
GREEN TREE FINANCIAL CORPORATION
CERTIFICATES FOR HOME EQUITY LOANS, SERIES 1998-C
$500,000,000 (APPROXIMATE)
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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 be 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
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TERM SHEET DATED MAY 19, 1998
GREEN TREE FINANCIAL CORPORATION
CERTIFICATES FOR HOME EQUITY LOANS, SERIES 1998-C
$500,000,000 (APPROXIMATE)
Subject to Revision
SELLER/SERVICER: Green Tree Financial Corporation ("Green Tree")
TRUSTEE: U.S. Bank Trust National Association
UNDERWRITERS: Lehman Brothers (Lead), Merrill Lynch (Co), and First
Union (Co)
Ratings WAL at Exp Final
Amount (S&P/Fitch) 100% Prepayment Model(1) Maturity
------ ----------- ------------------------ --------
To Call:
A-1A ARM $14,000,000 AAA / AAA 2.03 10/00
A-1B ARM $106,000,000 AAA / AAA 2.59 04/05
A-1 $105,000,000 AAA / AAA 0.85 11/99
A-2 $79,700,000 AAA / AAA 2.00 01/01
A-3 $41,900,000 AAA / AAA 3.03 12/01
A-4 31,000,000 AAA / AAA 4.08 03/03
A-5 19,900,000 AAA / AAA 5.45 09/04
A-6 20,000,000 AAA / AAA 4.70 07/04
A-7 IO (2) AAAr / AAA 2.96 05/01
M-1 32,500,000 AA / AA 7.42 12/05
M-2 18,750,000 A / A+ 7.55 12/05
B-1 20,000,000 BBB / BBB 4.38 09/04
B-2 11,250,000 BBB- / BBB 7.44 12/05
To Maturity
M-1 32,500,000 AA / AA 7.95 11/07
M-2 18,750,000 A / A+ 11.81 06/28
B-1 20,000,000 BBB / BBB 4.38 09/04
B-2 11,250,000 BBB- / BBB 11.36 06/28
TOTAL BALANCE $500,000,000
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(1)The Certificates will be priced, with respect to the Fixed Rate Loans, using
125% of the Base Prepayment Assumption. The Base Prepayment Assumption
assumes a conditional prepayment rate of 4% per annum of the then outstanding
principal balance of the Fixed Rate Loans in the first month of the life of
the Fixed Rate Loans and an additional 1.45% (precisely, 16/11%) per annum in
each month thereafter until the twelfth month. Beginning in the twelfth month
and in each month thereafter, the conditional prepayment rate is 20%. The
Certificates will be priced, with respect to the Adjustable Rate Loans, using
a constant prepayment rate of 30% CPR.
(2)Interest will be based on a notional principal amount which will equal
$25,000,000 (or the Class A Principal Balance for such Payment Date, if less)
for the first 36 Payment Dates, and will thereafter, equal zero. The Class
A-7 IO Certificates are interest-only Certificates and are not entitled to
receive distributions of principal.
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
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CUT-OFF DATE: April 30, 1998 (or the date of origination, if later)
for loans other than Subsequent Loans. For each
Subsequent Loan, the date of purchase by the Trust.
EXPECTED PRICING: Week of May 18, 1998
EXPECTED SETTLEMENT: May 28, 1998
LEGAL FINAL: November 2029
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, 1998.
ERISA: Only the Class A Certificates are ERISA eligible.
TAX STATUS: The Trust will elect to be treated as a separate "real
estate mortgage investment conduit" (a "REMIC") for
federal income tax purposes.
OPTIONAL REDEMPTION: 10% cleanup call.
ADDITIONAL COLLATERAL: The data set forth below with respect to the Pool is
based solely on the loans identified for inclusion in
the Pool as of the related Cut-off Date ("Original
Loans"). Certain additional loans will be identified for
inclusion in the Pool prior to the Closing Date
("Additional Loans"). During a limited period following
the Closing Date, the Trust will purchase subsequent
loans ("Subsequent Loans"). It is expected that the
Additional Loans and Subsequent Loans will have
characteristics which are substantially similar to the
related group of original loans.
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
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HOME EQUITY CERTIFICATE STRUCTURE
CREDIT ENHANCEMENT: Class A: 16.50% subordination (Class M-1, M-2, B-1 and
B-2) & Residual (Class C)
Class M-1: 10.00% subordination (Class M-2, B-1, and
B-2) & Residual (Class C)
Class M-2: 6.25% subordination (Class B-1 and B-2) &
Residual (Class C)
Class B-1: 2.25% subordination (Class B-2) & Residual
(Class C)
Class B-2: Limited Guaranty & Residual (Class C)
DISTRIBUTIONS: The Pool includes adjustable-rate closed-end home equity
loans subject to interest rate adjustments after an
initial period of up to 36 months (the "Adjustable Rate
Loans"; all Loans other than the Adjustable Rate Loans
are referred to herein as the "Fixed Rate Loans").
The Amount Available will generally consist of payments
made on or in respect of the Loans, 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 Loans, and to the Class C
Certificateholder.
The Amount Available will generally be distributed first
to the distributions to the Class A Certificateholders,
then to the Class M-1 Certificateholders, then to the
Class M-2 Certificateholders, then to the Class B-1
Certificateholders, and then to the Class B-2
Certificateholders.
Class A Certificates are senior to Class M and Class B
Certificates. Class M Certificates are senior to the
Class B Certificates.
PRE-FUNDING FEATURE: On the Closing Date, a portion of the proceeds from the
sale of the Certificates (the "Pre-Funded Amount") will
be deposited with the Trustee in a segregated account
(the "Pre-Funding Account") and used by the Trust to
purchase Subsequent Loans during the Pre-Funding Period.
The Pre-Funded Amount will be reduced during the
Pre-Funding Period by the amounts thereof used to fund
such purchases. Any amounts remaining in the Pre-Funding
Account following the Pre-Funding Period which had been
allocated to the purchase of Subsequent Adjustable Rate
Loans will be paid to the Class A-1B ARM
Certificateholders and any amounts remaining which had
been allocated to the purchase of Subsequent Fixed-Rate
Loans will be paid to the Class A-1 Certificateholders.
LOSSES ON LIQUIDATED
LOANS: If Net Liquidation Proceeds from Liquidated Loans in the
respective collection period are less than the Scheduled
Principal Balance of such Liquidated Loans 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 and then the Class M-1
Certificateholders.
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
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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 (in
the case of Class A Certificates other than the Class
A-7 IO Certificates) or based on the "Notional Principal
Amount" (in the case of the Class A-7 IO Certificates).
Interest will be calculated on the Class A-7 IO
Certificates on the basis of a "Notional Principal
Amount" equal to the lesser of (a) the principal balance
of the Class A Certificates and (b) $25,000,000
(reference to the Notional Principal Amount is solely
for convenience in certain calculations and does not
represent the right to receive any distribution
allocable to principal). The Class A-7 IO Certificates
are entitled to receive interest payments only through
the Payment Date in May 2001. Interest will initially
accrue from the Settlement Date and thereafter will
accrue from the most recent Payment Date on which
interest has been paid, in each case, to but excluding
the following Payment Date.
The Class A-1B ARM Certificates will bear interest at a
variable Pass-Through Rate calculated on an actual/360
basis. The Pass Through Rate for the Class A-1B ARM
Certificates will be floating and will equal the lesser
of :
i. one-month LIBOR plus the Pass-Through Margin;
ii. the Available Funds Pass-Through Rate; or
iii. [14.00%].
The Pass-Through Margin will equal [___%] per annum
through the Payment Date on which the principal balance
of the Loans is 10% or more of the Principal Balance of
the Loans 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 Loans is less than 10% of
the Principal Balance of the Loans 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 Loans. The
Expense Adjusted Mortgage Rate on any Adjustable Rate
Loan is equal to the then applicable Loan Interest Rate
thereon, minus the Expense Fee Rate, which is 0.75% per
annum and equal to the sum of the servicing fee and the
trustee fee.
Each other Class of Class A Certificates and the Class
A-1A ARM Certificates will bear interest at a fixed
Pass-Through Rate calculated on a 30/360 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.
5
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CLASS A PRINCIPAL: After payment of all interest distributable to the Class
A Certificateholders, holders of the Class A-1A ARM
Certificates and the Class A-1B ARM Certificates will be
entitled to receive, as payments of principal, an amount
equal to the Class A-1A ARM Percentage and the Class
A-1B ARM Percentage, respectively, of the Class A-1 ARM
Formula Principal Distribution Amount. The Senior
Percentage of the Formula Principal Distribution Amount
will be distributed, to the extent of the Amount
Available after payment of interest on each Class of
Class A Certificates (other than the Class A-7 IO
Certificates) as follows: (i) that portion, if any, of
the Senior Percentage of the Formula Principal
Distribution Amount equal to the Class A-6 Lockout Pro
Rata Distribution Amount will be distributed to the
Class A-6 Certificateholders; and (ii) the remainder of
the Senior Percentage of the Formula Principal
Distribution Amount will be distributed in the following
order: 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,
and 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,
and then to the Class A-6 Certificateholders until the
Class A-6 Principal Balance has been reduced to zero.
The "Formula Principal Distribution Amount" will
generally be equal to (A) the sum of (i) all scheduled
payments of principal due on each outstanding Loan
during the related Due Period, (ii) the Scheduled
Balance of each Loan which, during the related Due
Period, was repurchased by the Company, (iii) all
partial principal prepayments applied and all principal
prepayments in full received during such Due Period in
respect of Loans, (iv) the scheduled principal balance
of each Loan that became a liquidated loan during such
related Due Period and (v) any amount described in
clauses (i) through (iv) above that was not previously
distributed because of an insufficient amount of funds
available if (a) the Payment Date occurs on or after the
Payment Date on which the Class B-2 Principal Balance
has been reduced to zero, or (b) such amount was not
covered by a Class B-2 Guaranty Payment and
corresponding reduction in the Class B-2 Principal
Balance, minus (B) the Class A-1 ARM Formula Principal
Distribution Amount.
The "Class A-1 ARM Formula Principal Distribution
Amount" on or before the Payment Date on which the Class
A-1A ARM and Class A-1B ARM Certificates have been paid
in full will generally be equal to the lesser of (A) the
sum of (i) the Class A-1A ARM Principal Balance and (ii)
the Class A-1B ARM Principal Balance or (B) the sum of
the following: (i) all scheduled payments of principal
due on each outstanding Adjustable Rate Loan during the
related Due Period; (ii) all partial principal
prepayments and principal prepayments in full received
on each Adjustable Rate Loan during the related Due
Period; (iii) the scheduled principal balance of each
Adjustable Rate Loan that became a liquidated loan
during the related Due Period; (iv) the scheduled
principal balance of each Adjustable Rate Loan
repurchased by the Company during the related Due
Period; and (v) on any Payment Date which is on or after
the Payment Date on which the Class A-1, A-2, A-3, A-4,
A-5, and A-6 Certificates have been paid in full, (a)
the Senior Percentage times (x) the sum of the amounts
described in clauses (i) through (v) of the definition
of the Formula Principal Distribution Amount less (y)
the sum of the amounts described in clauses (i) through
(iv) of the definition of the the Class ARM Formula
Principal Distribution Amount less (b) the amount, if
any, distributed in payment of principal on the Class
A-1, A-2, A-3, A-4, A-5, and A-6 Certificates on 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.
6
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CLASS A PRINCIPAL
(continued): The Class A-1A ARM Percentage for any Payment Date will
be (i) 0% prior to the Payment Date in February 2000
(unless the Class A-1B ARM Principal Balance has been
reduced to zero), (ii) 90% on the Payment Date in
February 2000 and each Payment Date thereafter (unless
the Class A-1B ARM Principal Balance has been reduced to
zero), and (iii) on and after any Payment Date on which
the Class A-1B ARM Principal Balance has been reduced to
zero (until the Class A-1A ARM Principal Balance has
been reduced to zero), 100%. The Class A-1B ARM
Percentage for any Payment Date will equal 100% minus
the Class A-1A ARM Percentage.
The "Class A-6 Lockout Pro Rata Distribution Amount," as
to any Payment Date, is an amount equal to the lesser
of:
(a) the product of (1) the Class A-6 Lockout Percentage,
and (2) the product of (A) a fraction, the numerator of
which is the Class A-6 Principal Balance immediately
preceding such Payment Date and the denominator of which
is the Class A Principal Balance less the sum of the
Class A-1A ARM Principal Balance and the Class A-1B ARM
Principal Balance immediately preceding such Payment
Date, and (B) the Senior Percentage of the Formula
Principal Distribution Amount for such Payment Date, and
(b) the Class A-6 Principal Balance immediately
preceding such Payment Date.
The "Class A-6 Lockout Percentage" for each Payment Date
shall be as follows:
Payment Dates Lockout Percentage
June 1998 - May 2000 0%
June 2000 - May 2002 20%
June 2002 - May 2003 80%
June 2003 - May 2004 100%
June 2004 and thereafter 300%
The Senior Percentage will equal 100% on each Payment
Date on which the Class B Principal Distribution Test
(as described below) is not satisfied. On each Payment
Date on which the Class B Principal Distribution Test
has been satisfied, the Senior Percentage will equal a
fraction, expressed as a percentage, the numerator of
which is the sum of the Class A Principal Balance
(excluding the Class A-1A ARM Principal Balance and the
Class A-1B ARM Principal Balance) and the Class M
Principal Balance for such Payment Date, and the
denominator of which is the Pool Scheduled Balance of
the Fixed Rate Loans for the immediately preceding
Payment Date.
The Class A-7 IO Certificates are interest-only
Certificates and are not entitled to receive
distributions of principal.
CLASS M-1 INTEREST: After payment of the 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, if any). Interest
will initially accrue from the Settlement Date and
thereafter will accrue from the most recent Payment Date
on which interest has been paid to, in each case, but
excluding the following Payment Date. Interest will be
computed on a 30/360 basis. Interest shortfalls will be
carried forward, and will bear interest at the Class M-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.
7
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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 the Class A and Class M-1 Distribution
Amount, 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, if any). Interest
will initially accrue from the Settlement Date and
thereafter will accrue from the most recent Payment Date
on which interest has been paid to, in each case, but
excluding the following Payment Date. Interest will be
computed on a 30/360 basis. Interest shortfalls will be
carried forward, and will bear interest at the Class 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 Class M-2 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 the 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, if any). Interest
will initially accrue from the Settlement Date and
thereafter will accrue from the most recent Payment Date
on which interest has been paid to, in each case, but
excluding the following Payment Date. Interest will be
computed on a 30/360 basis. Interest shortfalls will be
carried forward, and will bear interest at the Class B-1
Pass-Through Rate, to the extent legally permissible.
CLASS B-1 PRINCIPAL: On each Payment Date on which the Class B Distribution
Test is satisfied, the Class B Percentage of the Formula
Principal Distribution Amount will be paid to the Class
B-1 Certificateholders to the extent of the Class B-1
Remaining Amount Available after payment of interest on
the Class B-1 Certificates, 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 PRINCIPAL The Class B Principal Distribution Test will be deemed
DISTRIBUTION TESTS: to be satisfied on a Payment Date if either (a) the
Class A Principal Balance and the Class M Principal
Balance have each been reduced to zero or (b) each of
the following conditions is met (i) the average
sixty-day delinquency ratio as of the Payment Date and
the prior two Payment Dates must not exceed 6%; (ii) the
average thirty-day delinquency ratio as of the Payment
Date and the prior two Payment Dates must not exceed
12%; (iii) the cumulative realized losses as of the
Payment Date must not exceed 7.5%; (iv) the current
realized losses as of the Payment Date must not exceed
2.0%; (v) the Payment Date is on or after June 2001; and
(vi) the Class B Principal Balance divided by the Pool
Scheduled Balance as of the immediately preceding
Payment Date must be equal to or greater than 12.5%.
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
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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, if
any). The Class B-2 Limited Guaranty will be available
to pay interest to the Class B-2 Certificateholders if
the Class B-2 Remaining Amount Available is not
sufficient. Interest will initially accrue from the
Settlement Date and thereafter will accrue from the most
recent Payment Date on which interest has been paid to,
in each case, but excluding the following Payment Date.
Interest will be computed on a 30/360 basis. Interest
shortfalls will be carried forward, and will bear
interest at the Class B-2 Pass-Through Rate, to the
extent legally permissible.
CLASS B-2 PRINCIPAL: Except as described below, 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 the 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 the Class B-2
Principal Balance has been reduced to zero.
On each Payment Date, the Class B-2 Certificateholders
will also 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.
CLASS B-2 LIMITED
GUARANTY: The Class B-2 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.
9
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HOME EQUITY LOANS
The Loans consist of both fixed rate and adjustable rate closed-end
home equity loans. The adjustable rate closed-end loans are subject to interest
rate adjustments after an initial period of up to 36 months (the "Adjustable
Rate Loans"). All Loans which are not Adjustable Rate Loans are referred herein
as "Fixed Rate Loans." The obligations of the Obligor under each Home Equity
Loan are secured by the related real estate.
The information concerning the Initial Loans presented below is based
on a pool originated through April 30, 1998. Green Tree intends to acquire and
sell Additional Loans to the Trust by the Closing Date and Subsequent Loans to
the Trust thereafter. Although the characteristics of the final pool of Loans
will differ from the characteristics of the Initial Loans shown below, Green
Tree does not expect that the characteristics of the Additional and Subsequent
Loans sold to the Trust will vary materially from those of the Initial Loans
herein.
INITIAL FIXED RATE LOANS
Number of Loans in Pool: 5,581
Wgt. Avg. Loan Rate: 11.565%
Range of Rates: 7.450% - 18.939%
Wgt. Avg. Orig. Maturity: 242
Wgt. Avg. Rem. Maturity: 241
Avg. Rem. Princ. Balance: $ 54,996.63
Wgt. Avg. CLTV: 87.61%
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL FIXED RATE LOANS
<TABLE>
<CAPTION>
% of Pool by
Number of % of Pool by Number Aggregate Principal Outstanding
State Loans of Loans Balance Outstanding Principal Balance
- ----------------- --------- ------------------- ------------------- -----------------
<S> <C> <C> <C> <C>
OH 377 6.76% $20,637,620.56 6.72%
PA 357 6.40% 19,576,926.94 6.38%
IL 324 5.81% 18,894,058.71 6.16%
NC 336 6.02% 17,707,987.56 5.77%
MI 307 5.50% 17,378,181.65 5.66%
CA 252 4.52% 16,757,404.32 5.46%
Other* 3,628 65.01% 195,984,034.38 63.85%
----- ------ -------------- ------
Total(1) 5,581 100.00% $306,936,214.12 100.00%
===== ======= =============== =======
</TABLE>
- ---------------
* No one State in this category constitutes more than 5% of the Initial Fixed
Rate Loans Outstanding Principal Balance.
(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.
10
<PAGE>
YEARS OF ORIGINATION OF INITIAL FIXED RATE LOANS
% of Pool by
Number of Aggregate Principal Outstanding Principal
Year of Origination Loans Balance Outstanding Balance
- ------------------- --------- ------------------- ------------------------
1995 1 $39,093.06 0.01%
1996 6 217,002.33 0.07%
1997 256 12,644,910.16 4.12%
1998 5,318 294,035,208.57 95.80%
----- -------------- ------
Total 5,581 $306,936,214.12 100.00%
===== =============== =======
INITIAL FIXED RATE LOAN RATES
% of Pool by
Range of Loans by Number of Aggregate Principal Outstanding Principal
Loan Rates Loans Balance Outstanding Balance
- ---------------------- --------- ------------------- ---------------------
7.001% - 8.000% 4 $518,427.37 0.17%
8.001% - 9.000% 60 5,602,087.61 1.83%
9.001% - 10.000% 415 39,463,901.86 12.86%
10.001% - 11.000% 1,188 97,494,313.37 31.76%
11.001% - 12.000% 944 55,585,129.34 18.11%
12.001% - 13.000% 1,296 54,033,551.80 17.60%
13.001% - 14.000% 1,087 36,497,920.05 11.89%
14.001% - 15.000% 387 12,185,235.23 3.97%
15.001% - 16.000% 119 3,739,032.51 1.22%
16.001% - 17.000% 53 1,318,181.71 0.43%
Greater than 17.000% 28 498,433.27 0.16%
----- --------------- -------
Total 5,581 $306,936,214.12 100.00%
===== =============== =======
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.
11
<PAGE>
DISTRIBUTION OF ORIGINAL INITIAL FIXED RATE LOAN AMOUNTS
% of Pool by
Original Loan Number of Aggregate Principal Outstanding Principal
Amount (in Dollars) Loans Balance Outstanding Balance
- ----------------------- --------- ------------------- ---------------------
0.00 - 9,999.99 24 $173,027.41 0.06%
10,000.00 - 19,999.99 930 13,642,987.23 4.44%
20,000.00 - 29,999.99 848 20,779,089.78 6.77%
30,000.00 - 39,999.99 654 22,459,423.26 7.32%
40,000.00 - 49,999.99 610 27,175,688.38 8.85%
50,000.00 - 59,999.99 586 31,947,464.29 10.41%
60,000.00 - 69,999.99 445 28,544,957.91 9.30%
70,000.00 - 79,999.99 321 23,855,288.73 7.77%
80,000.00 - 89,999.99 264 22,154,495.01 7.22%
90,000.00 - 99,999.99 205 19,369,099.07 6.31%
100,000.00 - 109,999.99 146 15,240,464.64 4.97%
110,000.00 - 119,999.99 140 15,986,334.52 5.21%
120,000.00 - 129,999.99 102 12,689,057.45 4.13%
130,000.00 - 139,999.99 61 8,209,309.92 2.67%
140,000.00 - 149,999.99 61 8,825,232.21 2.88%
150,000.00 - 159,999.99 42 6,464,756.04 2.11%
160,000.00 - 169,999.99 29 4,725,067.76 1.54%
170,000.00 - 179,999.99 24 4,195,797.48 1.37%
180,000.00 - 189,999.99 14 2,579,528.05 0.84%
190,000.00 - 199,999.99 16 3,127,943.86 1.02%
200,000.00 - 249,999.99 36 8,023,167.39 2.61%
250,000.00 - 299,999.99 13 3,533,754.77 1.15%
300,000.00 - 349,999.99 9 2,884,278.96 0.94%
350,000.00 - 399,999.99 1 350,000.00 0.11%
----- --------------- -------
Total 5,581 $306,936,214.12 100.00%
===== =============== =======
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.
12
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL FIXED RATE LOANS
% of Pool by
Number of Aggregate Principal Outstanding Principal
Months Remaining Loans Balance Outstanding Balance
- ---------------- ----- ------------------- ----------------------
Less than 31 2 $70,717.56 0.02%
31 - 60 52 794,803.95 0.26%
61 - 90 38 1,014,180.21 0.33%
91 - 120 358 10,102,554.88 3.29%
121 - 150 33 980,243.41 0.32%
151 - 180 2,095 100,799,790.25 32.84%
181 - 210 27 755,043.82 0.25%
211 - 240 1,768 99,625,692.18 32.46%
241 - 270 3 150,800.00 0.05%
271 - 300 663 46,024,655.42 14.99%
301 - 330 2 142,999.24 0.05%
331 - 360 540 46,474,733.20 15.14%
--- ------------- ------
Total 5,581 $306,936,214.12 100.00%
===== =============== =======
LIEN POSITION OF INITIAL FIXED RATE LOANS
Number of Aggregate Principal % of Pool by Outstanding
Lien Loans Balance Outstanding Principal Balance
- ----------- ----- ------------------- ------------------------
First 3,228 $240,258,963.86 78.28%
Second 2,333 66,225,503.00 21.58%
Third 20 451,747.26 0.15%
----- --------------- ------
Total(1) 5,581 $306,936,214.12 100.00%
===== =============== =======
COMBINED LOAN-TO-VALUE RATIO OF INITIAL FIXED RATE LOANS
% of Pool by
Number of Aggregate Principal Outstanding
Combined Loan-to-Value Ratio Loans Balance Outstanding Principal Balance
- ---------------------------- ----- ------------------- -----------------
0.01% - 10.00% 4 $49,079.01 0.02%
10.01% - 20.00% 16 335,708.83 0.11%
20.01% - 30.00% 36 998,976.78 0.33%
30.01% - 40.00% 64 2,221,884.77 0.72%
40.01% - 50.00% 68 2,602,841.15 0.85%
50.01% - 60.00% 118 4,846,182.28 1.58%
60.01% - 70.00% 212 9,912,707.26 3.23%
70.01% - 80.00% 715 36,902,115.09 12.02%
80.01% - 90.00% 1,929 110,061,489.17 35.86%
More than 90.00% 2,419 139,005,229.78 45.29%
----- -------------- ------
Total(1) 5,581 $306,936,214.12 100.00%
===== =============== =======
(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>
INITIAL ADJUSTABLE RATE LOANS
Number of Loans in Sub-pool: 785
Wgt. Avg. Loan Rate: 9.107%
Range of Rates: 6.990% - 16.890%
Wgt. Avg. Orig. Maturity: 360
Wgt. Avg. Rem. Maturity: 359
Avg. Rem. Princ. Balance: $ 118,504.78
Wgt. Avg. CLTV: 85.53%
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL ADJUSTABLE RATE LOANS
% of Pool by
Number of % of Pool by Number Aggregate Principal Outstanding
State Loans of Loans Balance Outstanding Principal Balance
- ------ ----- ------------------- ------------------- -----------------
CA 80 10.19% $14,417,129.18 15.50%
WA 69 8.79% 9,960,863.48 10.71%
OH 94 11.97% 9,258,027.90 9.95%
MD 49 6.24% 7,229,643.22 7.77%
OR 36 4.59% 4,674,446.77 5.02%
Other* 457 58.22% 47,486,144.50 51.05%
--- ------ ------------- ------
Total 785 100.00% $93,026,255.05 100.00%
=== ======= ============== =======
- ---------------
* No one State in this category constitutes more than 5% of the Initial
Adjustable Rate Loans Outstanding Principal Balance.
YEARS OF ORIGINATION OF INITIAL ADJUSTABLE RATE LOANS
% of Pool by
Number of Aggregate Principal Outstanding Principal
Year of Origination Loans Balance Outstanding Balance
- ------------------- ----- ------------------- ---------------------
1997 107 $11,173,749.21 12.01%
1998 678 81,852,505.84 87.99%
--- ------------- ------
Total 785 $93,026,255.05 100.00%
=== ============== =======
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.
14
<PAGE>
DISTRIBUTION OF ORIGINAL INITIAL ADJUSTABLE RATE LOAN AMOUNTS
% of Pool by
Original Loan Number of Aggregate Principal Outstanding Principal
Amount (in Dollars) Loans Balance Outstanding Balance
- ------------------------- ----- ------------------- ---------------------
10,000.00 - 19,999.99 1 $19,500.00 0.02%
20,000.00 - 29,999.99 10 251,184.62 0.27%
30,000.00 - 39,999.99 14 480,498.22 0.52%
40,000.00 - 49,999.99 38 1,725,572.39 1.85%
50,000.00 - 59,999.99 62 3,403,092.37 3.66%
60,000.00 - 69,999.99 48 3,090,390.59 3.32%
70,000.00 - 79,999.99 50 3,700,182.75 3.98%
80,000.00 - 89,999.99 69 5,822,450.12 6.26%
90,000.00 - 99,999.99 54 5,111,354.30 5.49%
100,000.00 - 109,999.99 59 6,163,965.35 6.63%
110,000.00 - 119,999.99 62 7,097,316.22 7.63%
120,000.00 - 129,999.99 60 7,449,691.82 8.01%
130,000.00 - 139,999.99 41 5,512,533.31 5.93%
140,000.00 - 149,999.99 24 3,460,464.41 3.72%
150,000.00 - 159,999.99 32 4,962,825.80 5.33%
160,000.00 - 169,999.99 35 5,749,252.17 6.18%
170,000.00 - 179,999.99 20 3,463,263.42 3.72%
180,000.00 - 189,999.99 21 3,862,154.87 4.15%
190,000.00 - 199,999.99 14 2,715,700.91 2.92%
200,000.00 - 209,999.99 8 1,624,593.04 1.75%
210,000.00 - 219,999.99 4 849,531.37 0.91%
220,000.00 - 229,999.99 7 1,573,678.78 1.69%
230,000.00 - 239,999.99 8 1,865,704.08 2.01%
240,000.00 - 249,999.99 8 1,960,594.32 2.11%
250,000.00 - 259,999.99 4 1,021,246.14 1.10%
260,000.00 - 269,999.99 6 1,580,889.81 1.70%
270,000.00 - 279,999.99 5 1,367,399.38 1.47%
280,000.00 - 289,999.99 1 289,492.02 0.31%
290,000.00 - 299,999.99 1 292,105.35 0.31%
300,000.00 - 309,999.99 2 609,547.64 0.66%
310,000.00 - 319,999.99 3 943,104.83 1.01%
320,000.00 - 329,999.99 2 645,661.20 0.69%
340,000.00 - 349,999.99 5 1,723,106.10 1.85%
350,000.00 - 359,999.99 3 1,050,468.09 1.13%
390,000.00 - 399,999.99 2 786,883.39 0.85%
Greater than 399,999.99 2 800,855.87 0.86%
--- -------------- ------
Total 785 $93,026,255.05 100.00%
=== ============== =======
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.
15
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL ADJUSTABLE RATE LOANS
% of Pool by
Number of Aggregate Principal Outstanding Principal
Months Remaining Loans Balance Outstanding Balance
- ---------------- ----- ------------------- ---------------------
331 - 360 785 $93,026,255.05 100.00%
--- -------------- -------
Total 785 $93,026,255.05 100.00%
=== ============== =======
INITIAL ADJUSTABLE RATE LOAN RATES
% of Pool by
Range of Loans by Number of Aggregate Principal Outstanding Principal
Loan Rates Loans Balance Outstanding Balance
- ------------------ ----- ------------------- ---------------------
6.001% - 7.000% 8 $1,091,156.59 1.17%
7.001% - 8.000% 160 22,817,879.78 24.53%
8.001% - 9.000% 239 30,479,530.19 32.76%
9.001% - 10.000% 195 23,264,748.41 25.01%
10.001% - 11.000% 97 8,835,778.41 9.50%
11.001% - 12.000% 43 3,507,397.90 3.77%
12.001% - 13.000% 21 1,707,100.23 1.84%
13.001% - 14.000% 16 960,254.51 1.03%
14.001% - 15.000% 4 307,064.69 0.33%
15.001% - 16.000% 1 30,348.27 0.03%
16.001% - 17.000% 1 24,996.07 0.03%
--- -------------- -------
Total 785 $93,026,255.05 100.00%
=== ============== =======
LIEN POSITION OF INITIAL ADJUSTABLE RATE LOANS
% of Pool by
Number of Aggregate Principal Outstanding Principal
Lien Loans Balance Outstanding Balance
- ------------- ----- ------------------- ---------------------
First 785 $93,026,255.05 100.00%
--- -------------- -------
Total 785 $93,026,255.05 100.00%
=== ============== =======
COMBINED LOAN-TO-VALUE RATIO OF INITIAL ADJUSTABLE RATE LOANS
<TABLE>
<CAPTION>
% of Pool by
Number of Aggregate Principal Outstanding Principal
Combined Loan-to-Value Ratio Loans Balance Outstanding Balance
- ---------------------------- ----- ------------------- ---------------------
<S> <C> <C> <C>
30.01% - 40.00% 2 $142,887.26 0.15%
40.01% - 50.00% 9 626,963.05 0.67%
50.01% - 60.00% 4 395,702.67 0.43%
60.01% - 70.00% 30 2,967,327.07 3.19%
70.01% - 80.00% 187 19,354,054.77 20.80%
80.01% - 90.00% 473 60,257,369.97 64.77%
Greater than 90.00% 80 9,281,950.26 9.98%
--- -------------- ------
Total(1) 785 $93,026,255.05 100.00%
=== ============== =======
</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.
16
<PAGE>
MONTH OF NEXT RATE ADJUSTMENT OF INITIAL ADJUSTABLE RATE LOANS
<TABLE>
<CAPTION>
Number of Aggregate Principal % of Pool by Outstanding
Month of Next Rate Adjustment Loans Balance Outstanding Principal Balance
- ----------------------------- ----- ------------------- ------------------------
<S> <C> <C> <C>
1998-05 3 $290,720.97 0.31%
1998-06 5 614,024.58 0.66%
1998-07 1 59,737.76 0.06%
1998-08 7 638,060.18 0.69%
1998-09 8 911,423.32 0.98%
1999-02 3 562,996.76 0.61%
1999-03 2 325,250.00 0.35%
1999-05 3 248,519.54 0.27%
1999-06 11 828,946.90 0.89%
1999-07 6 711,276.18 0.76%
1999-08 1 31,550.34 0.03%
1999-09 3 239,340.67 0.26%
1999-10 11 1,315,277.19 1.41%
1999-11 18 1,851,370.82 1.99%
1999-12 36 4,276,134.34 4.60%
2000-01 118 12,138,879.53 13.05%
2000-02 226 26,807,438.52 28.82%
2000-03 273 35,636,565.94 38.31%
2000-04 34 4,043,638.57 4.35%
2000-05 1 25,000.00 0.03%
2000-12 1 22,979.03 0.02%
2001-01 1 32,864.93 0.04%
2001-02 8 862,618.98 0.93%
2001-03 5 551,640.00 0.59%
--- -------------- ------
Total (1) 785 $93,026,255.05 100.00%
=== ============== =======
</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.
17
<PAGE>
DISTRIBUTION OF GROSS MARGIN OF INITIAL ADJUSTABLE RATE LOANS
Number of Aggregate Principal % of Pool by Outstanding
Gross Margin (%) Loans Balance Outstanding Principal Balance
- ------------------ ----- ------------------- ------------------------
2.001% - 4.000% 2 $292,235.72 0.31%
4.001% - 6.000% 267 31,312,568.67 33.66%
6.001% - 8.000% 486 59,027,564.42 63.45%
8.001% - 10.000% 28 2,315,966.53 2.49%
10.001% - 12.000% 2 77,919.71 0.08%
--- -------------- ------
Total (1) 785 $93,026,255.05 100.00%
=== ============== =======
MAXIMUM LOAN RATE OF INITIAL ADJUSTABLE RATE LOANS
Number of Aggregate Principal % of Pool by Outstanding
Maximum Loan Rate Loans Balance Outstanding Principal Balance
- ---------------------- ----- ------------------- ------------------------
10.001% - 12.000% 2 $325,562.97 0.35%
12.001% - 14.000% 119 16,086,994.17 17.29%
14.001% - 16.000% 426 54,549,124.33 58.64%
16.001% - 18.000% 181 17,992,304.57 19.34%
18.001% - 20.000% 51 3,709,859.98 3.99%
20.001% - 22.000% 5 337,412.96 0.36%
Greater than 22.000% 1 24,996.07 0.03%
- --------- -----
Total 785 $93,026,255.05 100.00%
=== ============== =======
MINIMUM LOAN RATE OF INITIAL ADJUSTABLE RATE LOANS
Number of Aggregate Principal % of Pool by Outstanding
Minimum Loan Rate Loans Balance Outstanding Principal Balance
- ------------------ ----- ------------------- ------------------------
4.001% - 6.000% 2 $175,006.59 0.19%
6.001% - 8.000% 185 25,780,100.84 27.71%
8.001% - 10.000% 422 52,106,058.27 56.01%
10.001% - 12.000% 134 11,995,446.60 12.89%
12.001% - 14.000% 36 2,607,233.72 2.80%
14.001% - 16.000% 5 337,412.96 0.36%
16.001% - 18.000% 1 24,996.07 0.03%
- --------- -----
Total (1) 785 $93,026,255.05 100.00%
=== ============== =======
(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.
18
<PAGE>
CPR PREPAYMENT SENSITIVITIES
<TABLE>
<CAPTION>
50% of 75% of 100% of 125% of 150% of
Prepayment Prepayment Prepayment Prepayment Prepayment
Model* Model* Model* Model* Model*
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
To Call
A - 1A ARM 2.21 03/01 2.08 12/00 2.03 10/00 2.01 10/00 2.01 10/00
A - 1B ARM 5.59 05/11 3.64 08/07 2.59 04/05 1.93 09/03 1.47 08/02
A - 1 1.38 12/00 1.04 03/00 0.85 11/99 0.74 08/99 0.65 06/99
A - 2 3.65 05/03 2.57 10/01 2.00 01/01 1.65 07/00 1.42 03/00
A - 3 6.13 12/05 4.09 04/03 3.03 12/01 2.43 03/01 2.03 09/00
A - 4 8.62 03/08 5.77 04/05 4.08 03/03 3.10 12/01 2.54 03/01
A - 5 10.64 01/10 7.59 09/06 5.45 09/04 3.93 02/03 3.03 10/01
A - 6 6.04 10/09 5.32 07/06 4.70 07/04 4.04 04/03 3.32 03/02
A-7 IO 2.96 05/01 2.96 05/01 2.96 05/01 2.96 05/01 2.96 05/01
M - 1 13.72 04/12 9.77 04/08 7.42 12/05 5.83 05/04 4.70 04/03
M - 2 13.88 04/12 9.88 04/08 7.55 12/05 5.96 05/04 4.88 04/03
B - 1 7.35 03/09 5.18 02/06 4.38 09/04 4.12 05/04 3.92 04/03
B - 2 13.36 04/12 9.52 04/08 7.44 12/05 5.96 05/04 4.88 04/03
To Maturity
M - 1 14.28 12/13 10.54 10/10 7.95 11/07 6.20 10/05 4.93 05/04
M - 2 18.21 06/28 14.78 06/28 11.81 06/28 9.46 06/28 7.68 06/28
B - 1 7.35 03/09 5.18 02/06 4.38 09/04 4.13 08/04 3.99 01/04
B - 2 19.45 06/28 14.26 06/28 11.36 06/28 9.45 06/28 7.99 06/28
</TABLE>
- ---------------
* The Certificates will be priced, with respect to the Fixed Rate Loans, using
125% of the Base Prepayment Assumption. The Base Prepayment Assumption
assumes a conditional prepayment rate of 4% per annum of the then outstanding
principal balance of the Fixed Rate Loans in the first month of the life of
the Fixed Rate Loans and an additional 1.45% (precisely, 16/11%) per annum in
each month thereafter until the twelfth month. Beginning in the twelfth month
and in each month thereafter, the conditional prepayment rate is 20%. The
Certificates will be priced, with respect to the Adjustable Rate Loans, using
a constant prepayment rate of 30% CPR.
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.
19
