<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
-----------------------------------
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported): August 12, 1998
GREEN TREE FINANCIAL CORPORATION
--------------------------------
(Exact name of registrant as specified in its charter)
333-46457
Delaware 333-49951 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
99.1 External Computational and Descriptive
Information dated August 12, 1998 distributed in
connection with $1,400,000,000 (approximate)
Certificates for Home Improvement and Home
Equity Loans, Series 1998-D, issued by Green
Tree Financial Corporation, as Seller and
Servicer.
99.2 Terms Sheet dated August 13, 1998 distributed in
connection with $1,346,450,000 (approximate)
Certificates for Home Improvement and Home
Equity Loans, Series 1998-D, issued by Green
Tree Financial Corporation, as Seller and
Servicer.
99.3 Derived Information dated August 13, 1998
99.4 Amended Term Sheet
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
Senior Vice President and Controller
3
<PAGE>
INDEX TO EXHIBITS
Exhibit Number Page
- -------------- ----
99.1 External Computational and Descriptive
Information distributed in connection with
$1,400,000,000 (approximate) Certificates for
Home Improvement and Home Equity Loans, Series
1998-D, issued by Green Tree Financial
Corporation, as Seller and Servicer.
99.2 Terms Sheet dated August 12, 1998 distributed in
connection with $1,346,450,000 (approximate)
Certificates for Home Improvement and Home
Equity Loans, Series 1998-D, issued by Green
Tree Financial Corporation, as Seller and
Servicer.
99.3 Derived information dated August 13, 1998
99.4 Amended Term Sheet
4
<PAGE>
Exhibit 99.1
COMPUTATIONAL MATERIALS DATED AUGUST 12, 1998
GREEN TREE FINANCIAL CORPORATION
CERTIFICATES FOR HOME IMPROVEMENT AND HOME EQUITY LOANS, SERIES 1998-D
$1,400,000,000 (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 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
<PAGE>
COMPUTATIONAL MATERIALS DATED AUGUST 12, 1998
GREEN TREE FINANCIAL CORPORATION
CERTIFICATES FOR HOME IMPROVEMENT AND HOME EQUITY LOANS, SERIES 1998-D
$1,400,000,000 (APPROXIMATE)
Subject to Revision
SELLER/SERVICER: Green Tree Financial Corporation ("Green Tree")
TRUSTEE: U.S. Bank Trust National Association
UNDERWRITERS: Lehman Brothers (Lead), Credit Suisse First Boston(Co), First
Union (Co), NationsBanc Montgomery Securities (Co) and Merrill
Lynch (Co)
Ratings WAL at Exp Final
Amount (S&P/Fitch) 100% Prepayment Model(1) Maturity
------ ----------- ------------------------ --------
To Call:
HI: A-1 $83,000,000 AAA / AAA 0.75 1/00
HI: A-2 $67,000,000 AAA / AAA 2.00 4/01
HI: A-3 $25,000,000 AAA / AAA 3.00 1/02
HI: A-4 $33,500,000 AAA / AAA 4.00 5/03
HI: A-5 $30,750,000 AAA / AAA 5.61 4/05
HI: M-1 $24,750,000 AA / AA 7.45 4/06
HI: M-2 $12,900,000 A / A 7.65 4/06
HI: B-1 $9,150,000 BBB / BBB 3.81 5/03
HI: B-2 $13,950,000 BBB- / BBB 6.67 4/06
To Maturity
HI: M-1 $24,750,000 AA / AA 8.07 8/08
HI: M-2 $12,900,000 A / A 12.87 9/23
HI: B-2 $13,950,000 BBB- / BBB 7.88 9/23
HI BALANCE $300,000,000
------------
Ratings WAL at Exp Final
Amount (S&P/Fitch) 100% Prepayment Model(1) Maturity
------ ----------- ------------------------ --------
To Call:
HE: A-1A ARM $30,000,000 AAA / AAA 2.03 1/01
HE: A-1B ARM $245,000,000 AAA / AAA 2.61 9/05
HE: A-1 $270,000,000 AAA / AAA 1.00 5/00
HE: A-2 $117,000,000 AAA / AAA 2.13 3/01
HE: A-3 $107,000,000 AAA / AAA 3.08 5/02
HE: A-4 $28,000,000 AAA / AAA 4.00 12/02
HE A-5 $36,250,000 AAA / AAA 5.18 01/05
HE A-6 $82,500,000 AAA / AAA 4.76 12/04
HE A-7 IO (2) AAA / AAA 1.99 8/00
HE: M-1 $51,150,000 AA / AA 7.53 4/06
HE: M-2 $52,800,000 A / A+ 7.65 4/06
HE: B-1 $40,700,000 BBB / BBB+ 4.04 12/03
HE: B-2 $39,600,000 BBB- / BBB 7.03 04/06
To Maturity
HE: M-1 $51,150,000 AA / AA 7.84 6/07
HE: M-2 $52,800,000 A / A+ 11.22 3/26
HE: B-1 $40,700,000 BBB / BBB+ 4.04 12/03
HE: B-2 $39,600,000 BBB- / BBB 9.63 9/28
HE BALANCE $1,100,000,000
--------------
- ---------------
(1) The Sub Pool HE Certificates will be priced, with respect to the Fixed Rate
Home Equity Contracts, 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 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 the twelfth
month and in each month thereafter, the conditional prepayment rate is 20%.
The Sub Pool HE Certificates will be priced, with respect to the Adjustable
Rate Home Equity Contracts, using a constant prepayment rate of 30% CPR.
The Sub Pool HI Certificates will be priced using 100% of a prepayment rate
assuming a conditional prepayment rate of 12% per annum of the then
outstanding principal balance of the Home Improvement Contracts in the
first month of the life of the Home Improvement Contracts and an additional
0.91% (precisely, 10/11%) 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 22%.
(2) Interest will be based on a notional principal amount which will equal
$110,000,000 (or the Class HE: A Principal Balance for such Payment Date,
if less) for the first 24 Payment Dates, and will thereafter, equal zero.
The Class HE:A-7 IO Certificates are interest-only Certificates and are not
entitled to receive distributions of capital.
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>
THE INITIAL HOME IMPROVEMENT CONTRACT SUB-POOL
Number of Contracts in Sub-pool: 10,550
Wgt. Avg. Contract Rate: 11.669%
Range of Rates: 6.99% - 17.50%
Wgt. Avg. Orig. Maturity: 219
Wgt. Avg. Rem. Maturity: 217
Avg. Rem. Princ. Balance: $ 19,626
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL HOME IMPROVEMENT CONTRACTS
<TABLE>
<CAPTION>
% of HI Contract % of HI Contract
Sub-Pool by Number Aggregate Principal Sub-Pool by
Number of of Balance Outstanding
State Contracts Contracts Outstanding Principal Balance
- ------------ --------- ------------------ ------------------- -----------------
<S> <C> <C> <C> <C>
CA 1,241 11.76% $ 35,945,110.82 17.36%
NY 851 8.07% 17,424,988.64 8.42%
NJ 649 6.15% 13,059,814.14 6.31%
TX 523 4.96% 12,651,649.36 6.11%
Other States* 7,286 69.06% 127,969,058.36 61.81%
------ ----------------- ------------------- -----------------
Total(1) 10,550 100.00% $ 207,050,621.32 100.00%
====== ================= =================== =================
</TABLE>
* No one State in this category constitutes more than 5% of the Sub-Pool HI
Outstanding Principal Balance.
(1) Percentages do not add to 100% due to rounding.
YEARS OF ORIGINATION OF INITIAL HOME IMPROVEMENT CONTRACTS
% of HI Contract Sub-Pool
Number of Aggregate Principal by Outstanding Principal
Year of Origination Contracts Balance Outstanding Balance
- ------------------- --------- ------------------- -------------------------
1995 1 14,564.50 0.01%
1996 3 188,956.94 0.09%
1997 277 5,434,912.09 2.62%
1998 10,269 201,412,187.79 97.27%
------ -------------- ------
Total(1) 10,550 $207,050,621.32 100.00%
====== =============== =======
(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.
3
<PAGE>
DISTRIBUTION OF ORIGINAL INITIAL HOME IMPROVEMENT CONTRACT AMOUNTS
% of HI Contract
Original HI Contract Number of Aggregate Principal Sub-Pool by Outstanding
Amount (in Dollars) Contracts Balance Outstanding Principal Balance
- ------------------- --------- ------------------- -----------------
0 - 10,000.00 2,319 $16,028,525.91 7.74%
10,000.01 - 20,000.00 4,069 59,587,624.01 28.78%
20,000.01 - 30,000.00 2,411 58,032,827.88 28.03%
30,000.01 - 40,000.00 937 31,529,293.05 15.23%
40,000.01 - 50,000.00 489 21,134,374.56 10.21%
50,000.01 - 60,000.00 200 10,373,647.38 5.01%
60,000.01 - 70,000.00 43 2,731,754.07 1.32%
70,000.01 - 80,000.00 35 2,593,291.91 1.25%
80,000.01 - 90,000.00 15 1,267,370.86 0.61%
90,000.01 - 100,000.00 6 569,030.81 0.27%
100,000.01 - 110,000.00 5 529,160.88 0.26%
110,000.01 - 120,000.00 10 1,147,657.83 0.55%
120,000.01 - 130,000.00 6 767,461.37 0.37%
130,000.01 - 140,000.00 2 266,444.75 0.13%
140,000.01 - 150,000.00 1 145,790.00 0.07%
150,000.01 - 160,000.00 1 154,422.00 0.07%
160,000.01 - 200,000.00 1 191,944.05 0.09%
------ ---------------- -------
Total(1) 10,550 $207,050,621.32 100.00%
====== ================ =======
(1) Percentages do not add to 100% due to rounding.
INITIAL HOME IMPROVEMENT CONTRACT RATES
% of HI Contract
Range of HI Contracts by Number of Aggregate Principal Sub-Pool by Outstanding
Contract Rates Contracts Balance Outstanding Principal Balance
- -------------- --------- ------------------- -----------------
6.001% - 7.000% 1 29,710.20 0.01%
7.001% - 8.000% 13 462,121.87 0.22%
8.001% - 9.000% 473 9,389,055.05 4.53%
9.001% - 10.000% 1,565 36,442,427.38 17.60%
10.001% - 11.000% 2,295 50,827,910.89 24.55%
11.001% - 12.000% 1,466 31,363,844.11 15.15%
12.001% - 13.000% 1,739 32,028,836.32 15.47%
13.001% - 14.000% 1,691 24,771,593.06 11.96%
14.001% - 15.000% 1,049 16,382,402.44 7.91%
15.001% - 16.000% 210 4,243,782.03 2.05%
16.001% - 17.000% 42 960,871.71 0.46%
Greater than 17.000% 6 148,066.26 0.07%
--------- -------------- -------
Total(1) 10,550 207,050,621.32 100.00%
======== ====== ============== =======
(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.
4
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL HOME IMPROVEMENT CONTRACTS
% of HI Contract Sub-Pool
Number of Aggregate Principal by Outstanding Principal
Months Remaining Contracts Balance Outstanding Balance
- ---------------- --------- ------------------- -------
Less than 30 26 $ 127,324.88 0.06%
31 - 60 790 6,728,591.85 3.25%
61 - 90 396 3,716,249.07 1.79%
91 - 120 2,560 34,634,446.34 16.73%
121 - 150 151 2,075,293.58 1.00%
151 - 180 2,596 50,401,775.65 24.34%
181 - 210 5 112,685.75 0.05%
211 - 240 1,219 27,835,246.73 13.44%
241 - 270 4 78,753.61 0.04%
271 - 300 2,802 81,314,981.07 39.27%
301 - 360 1 25,272.79 0.01%
------- ----------------- ---------
Total(1) 10,550 207,050,621.32 100.00%
====== ============== =======
(1) Percentages do not add to 100% due to rounding.
LIEN POSITION OF INITIAL HOME IMPROVEMENT CONTRACTS
% of HI Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Lien Position Contracts Balance Outstanding Principal Balance
- ------------- --------- ------------------- -----------------
First 849 $ 20,210,443.60 9.76%
Second 7,865 151,934,987.96 73.38%
Third 1,823 34,677,743.39 16.75%
Fourth 13 227,446.37 0.11%
------- ------------------- --------
Total(1) 10,550 $207,050,621.32 100.00%
====== =============== =======
(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.
5
<PAGE>
THE INITIAL HOME EQUITY CONTRACT SUB-POOL
INITIAL FIXED RATE HOME EQUITY CONTRACTS
Number of Contracts in Sub-pool: 6,679
Wgt. Avg. Contract Rate: 11.384%
Range of Rates: 7.00% - 18.74%
Wgt. Avg. Orig. Maturity: 248
Wgt. Avg. Rem. Maturity: 247
Avg. Rem. Princ. Balance: $58,604.97
Wgt. Avg. CLTV: 88.16%
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL FIXED RATE HOME EQUITY CONTRACTS
% of HE Contract
% of HE Contract Sub-Pool by
Number of Sub-Pool by Number Aggregate Principal Outstanding
State Contracts of Contracts Balance Outstanding Principal Balance
- ----- --------- ------------ ------------------- -----------------
MI 435 6.51% 27,123,777.94 6.93%
CA 273 4.09% 24,053,135.17 6.15%
OH 462 6.92% 23,110,566.84 5.90%
IL 347 5.20% 20,737,309.70 5.30%
PA 365 5.46% 20,291,024.14 5.18%
Other* 4,797 71.82% 276,106,785.32 70.51%
----- ------ -------------- ------
Total(1) 6,679 100.00% 391,422,599.11 100.00%
===== ======= ============== =======
- ---------------
* No one State in this category constitutes more than 5% of the Initial Fixed
Rate Home Equity Contracts 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.
6
<PAGE>
YEARS OF ORIGINATION OF INITIAL FIXED RATE HOME EQUITY CONTRACTS
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Year of Origination Contracts Balance Outstanding Principal Balance
- ------------------- --------- ------------------- -----------------
1996 3 202,992.20 0.05%
1997 108 6,346,196.11 1.62%
1998 6,568 384,873,410.80 98.33%
----- -------------- -------
Total (1)
6,679 391,422,599.11 100.00%
===== ============== =======
(1) Percentages do not add to 100% due to rounding.
INITIAL FIXED RATE HOME EQUITY CONTRACT RATES
% of HE Contract
Range of HE Contracts Number of Aggregate Principal Sub-Pool by Outstanding
by Contract Rates Contracts Balance Outstanding Principal Balance
- ----------------- --------- ------------------- -----------------
6.001% - 7.000% 1 75,500.00 0.02%
7.001% - 8.000% 14 1,693,245.15 0.43%
8.001% - 9.000% 120 13,581,111.33 3.47%
9.001% - 10.000% 659 65,132,035.77 16.64%
10.001% - 11.000% 1,425 119,126,727.41 30.43%
11.001% - 12.000% 1,163 69,848,745.32 17.84%
12.001% - 13.000% 1,452 61,048,564.48 15.60%
13.001% - 14.000% 1,137 39,185,145.79 10.01%
14.001% - 15.000% 463 14,326,493.68 3.66%
15.001% - 16.000% 135 4,361,832.09 1.11%
16.001% - 17.000% 80 2,413,572.52 0.62%
17.001% - 18.000% 26 526,489.92 0.13%
18.001% - 19.000% 4 103,135.65 0.03%
----- ---------------- -------
Total (1) 6,679 391,422,599.11 100.00%
===== ============== =======
(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.
7
<PAGE>
DISTRIBUTION OF ORIGINAL INITIAL FIXED RATE HOME EQUITY CONTRACT AMOUNTS
% of HE Contract
Original HE Contract Number of Aggregate Principal Sub-Pool by Outstanding
Amount (in Dollars) Contracts Balance Outstanding Principal Balance
- ------------------- --------- ------------------- -----------------
0 - 10,000.00 113 1,089,247.24 0.28%
10,000.01 - 20,000.00 1,011 15,809,596.09 4.04%
20,000.01 - 30,000.00 953 24,035,135.43 6.14%
30,000.01 - 40,000.00 770 27,207,725.69 6.95%
40,000.01 - 50,000.00 717 32,565,380.12 8.32%
50,000.01 - 60,000.00 646 35,560,722.45 9.08%
60,000.01 - 70,000.00 531 34,554,314.90 8.83%
70,000.01 - 80,000.00 431 32,219,257.24 8.23%
80,000.01 - 90,000.00 331 28,029,571.45 7.16%
90,000.01 - 100,000.00 218 20,799,044.77 5.31%
100,000.01 - 110,000.00 190 20,028,491.79 5.12%
110,000.01 - 120,000.00 165 18,938,806.60 4.84%
120,000.01 - 130,000.00 129 16,137,834.98 4.12%
130,000.01 - 140,000.00 96 12,880,843.10 3.29%
140,000.01 - 150,000.00 74 10,771,288.08 2.75%
150,000.01 - 160,000.00 58 9,010,569.05 2.30%
160,000.01 - 170,000.00 48 7,905,801.29 2.02%
170,000.01 - 180,000.00 38 6,644,424.13 1.70%
180,000.01 - 190,000.00 27 4,972,927.57 1.27%
190,000.01 - 200,000.00 23 4,491,770.72 1.15%
200,000.01 - 210,000.00 25 5,136,172.90 1.31%
210,000.01 - 220,000.00 14 3,008,535.66 0.77%
220,000.01 - 230,000.00 15 3,391,417.46 0.87%
230,000.01 - 240,000.00 8 1,870,175.84 0.48%
240,000.01 - 250,000.00 7 1,720,326.29 0.44%
250,000.01 - 260,000.00 8 2,035,561.92 0.52%
260,000.01 - 270,000.00 5 1,317,502.97 0.34%
270,000.01 - 280,000.00 6 1,640,571.68 0.42%
280,000.01 - 290,000.00 1 284,050.00 0.07%
290,000.01 - 300,000.00 3 883,400.00 0.23%
300,000.01 - 310,000.00 2 609,833.60 0.16%
310,000.01 - 320,000.00 1 315,000.00 0.08%
320,000.01 - 330,000.00 2 656,727.03 0.17%
330,000.01 - 340,000.00 1 335,350.00 0.09%
340,000.01 - 360,000.00 5 1,743,289.13 0.45%
360,000.01 - 370,000.00 2 725,574.88 0.19%
380,000.01 - 400,000.00 2 754,403.81 0.19%
400,000.01 - 440,000.00 1 408,317.35 0.10%
440,000.01 - 490,000.00 1 445,500.00 0.11%
490,000.01 - 500,000.00 1 488,135.90 0.12%
----- -------------- --------------
Total(1) 6,679 391,422,599.11 100.00%
===== ============== ==============
(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.
8
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL FIXED RATE HOME EQUITY CONTRACTS
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
Less than 31 53 1,067,655.97 0.27%
31 - 60 49 1,506,088.76 0.38%
61 - 90 411 11,710,705.41 2.99%
91 - 120 31 1,278,713.89 0.33%
121 - 150 2,396 119,695,297.49 30.58%
151 - 180 26 912,206.63 0.23%
181 - 210 2,034 119,793,281.65 30.60%
211 - 240 3 248,350.00 0.06%
241 - 270 960 65,963,312.09 16.85%
271 - 300 2 191,350.67 0.05%
331 - 360 714 69,055,636.55 17.64%
----- -------------- -------------
Total(1) 6,679 391,422,599.11 100.00%
===== ============== =============
(1) Percentages do not add to 100% due to rounding.
LIEN POSITION OF INITIAL FIXED RATE HOME EQUITY CONTRACTS
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Lien Contracts Balance Outstanding Principal Balance
- ---- --------- ------------------- -----------------
First 4,096 317,420,268.71 81.09%
Second 2,560 73,630,412.43 18.81%
Third 23 371,917.97 0.10%
----- -------------- --------------
Total(1) 6,679 391,422,599.11 100.00%
===== ============== ==============
(1) Percentages do not add to 100% due to rounding.
COMBINED LOAN-TO-VALUE RATIO OF INITIAL FIXED RATE HOME EQUITY CONTRACTS
% of HE Contract
Combined Loan-to-Value Number of Aggregate Principal Sub-Pool by Outstanding
Ratio Contracts Balance Outstanding Principal Balance
- ---------------------- --------- ------------------- -----------------
0.01% - 10.00% 2 32,816.00 0.01%
10.01% - 20.00% 15 330,696.60 0.08%
20.01% - 30.00% 42 1,326,892.83 0.34%
30.01% - 40.00% 50 1,547,273.47 0.40%
40.01% - 50.00% 77 2,891,909.34 0.74%
50.01% - 60.00% 123 5,366,628.33 1.37%
60.01% - 70.00% 274 13,251,632.12 3.39%
70.01% - 80.00% 857 43,710,619.46 11.17%
80.01% - 90.00% 2,286 136,504,047.32 34.87%
90.01% - 100.00% 2,896 184,732,943.59 47.20%
100.01% - 110.00% 55 1,657,187.51 0.42%
110.01% - 120.00% 2 69,952.54 0.02%
----- -------------- --------------
Total(1) 6,679 391,422,599.11 100.00%
===== ============== ==============
(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.
9
<PAGE>
THE INITIAL HOME EQUITY CONTRACT SUB-POOL
INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
Number of Contracts in Sub-pool: 1,115
Wgt. Avg. Contract Rate: 9.126%
Range of Rates: 6.50% - 18.99%
Wgt. Avg. Orig. Maturity: 360
Wgt. Avg. Rem. Maturity: 359
Avg. Rem. Princ. Balance: $115,631
Wgt. Avg. CLTV: 85.82%
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of HE Contract
% of HE Contract Sub-Pool by
Number of Sub-Pool by Number Aggregate Principal Outstanding
State Contracts of Contracts Balance Outstanding Principal Balance
- ----- --------- ------------ ------------------- -----------------
CA 110 9.87% 19,971,169.68 15.49%
WA 113 10.13% 15,391,841.33 11.94%
OH 130 11.66% 11,064,752.70 8.58%
MD 46 4.13% 7,342,514.65 5.70%
MI 92 8.25% 7,021,600.76 5.45%
Other* 624 55.96% 68,136,957.18 52.85%
----- -------------- -------------- ------------
Total(1) 1,115 100.00% 128,928,836.30 100.00%
===== ============== ============== ============
- ---------------
* No one State in this category constitutes more than 5% of the Initial
Adjustable Rate Home Equity Contracts Outstanding Principal Balance.
(1) Percentages do not add to 100% due to rounding.
YEARS OF ORIGINATION OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Year of Origination Contracts Balance Outstanding Principal Balance
- ------------------- --------- ------------------- -----------------
1997 86 9,266,995.40 7.19%
1998 1,029 119,661,840.90 92.81%
----- -------------- ------
Total: 1,115 128,928,836.30 100.00%
====== ===== ============== =======
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.
10
<PAGE>
DISTRIBUTION OF ORIGINAL INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACT AMOUNTS
% of HE Contract
Original HE Contract Number of Aggregate Principal Sub-Pool by Outstanding
Amount (in Dollars) Contracts Balance Outstanding Principal Balance
- ------------------- --------- ------------------- -----------------
20,000.01 - 30,000.00 6 $ 160,113.82 0.12%
30,000.01 - 40,000.00 22 788,717.01 0.61%
40,000.01 - 50,000.00 48 2,202,075.36 1.71%
50,000.01 - 60,000.00 84 4,628,920.81 3.59%
60,000.01 - 70,000.00 88 5,743,751.90 4.45%
70,000.01 - 80,000.00 123 9,142,405.85 7.09%
80,000.01 - 90,000.00 75 6,363,809.93 4.94%
90,000.01 - 100,000.00 106 10,103,643.69 7.84%
100,000.01 - 110,000.00 76 7,995,751.52 6.20%
110,000.01 - 120,000.00 83 9,586,940.46 7.44%
120,000.01 - 130,000.00 67 8,377,165.82 6.50%
130,000.01 - 140,000.00 51 6,902,187.34 5.35%
140,000.01 - 150,000.00 52 7,554,107.24 5.86%
150,000.01 - 160,000.00 42 6,475,764.55 5.02%
160,000.01 - 170,000.00 20 3,293,942.62 2.55%
170,000.01 - 180,000.00 24 4,192,661.38 3.25%
180,000.01 - 190,000.00 23 4,253,808.12 3.30%
190,000.01 - 200,000.00 15 2,933,267.42 2.28%
200,000.01 - 210,000.00 11 2,265,857.31 1.76%
210,000.01 - 220,000.00 13 2,786,107.04 2.16%
220,000.01 - 230,000.00 14 3,150,810.83 2.44%
230,000.01 - 240,000.00 13 3,057,393.20 2.37%
240,000.01 - 250,000.00 8 1,972,810.64 1.53%
250,000.01 - 260,000.00 12 3,046,639.78 2.36%
260,000.01 - 270,000.00 6 1,596,980.75 1.24%
270,000.01 - 280,000.00 7 1,920,474.99 1.49%
280,000.01 - 290,000.00 4 1,140,779.87 0.88%
290,000.01 - 300,000.00 2 581,183.26 0.45%
300,000.01 - 310,000.00 5 1,523,820.15 1.18%
310,000.01 - 320,000.00 3 951,419.61 0.74%
320,000.01 - 330,000.00 3 979,993.22 0.76%
330,000.01 - 340,000.00 2 670,742.22 0.52%
340,000.01 - 350,000.00 2 690,035.85 0.54%
350,000.01 - 360,000.00 1 351,602.74 0.27%
360,000.01 - 370,000.00 1 368,100.00 0.29%
370,000.01 - 420,000.00 2 752,050.00 0.58%
420,000.01 - 430,000.00 1 423,000.00 0.33%
----- --------------- ---------------
Total(1) 1,115 $128,928,836.30 100.00%
===== =============== ===============
(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.
11
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
- -------------------------- ---------- ------------------- -----------------------
<S> <C> <C> <C>
151 - 180 2 249,547.55 0.19%
211 - 240 1 65,668.34 0.05%
331 - 360 1,112 128,613,620.41 99.76%
----- -------------- -----
Total 1,115 128,928,836.30 100.00%
===== ============== ======
</TABLE>
INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACT RATES
% of HE Contract
Range of HE Contracts Number of Aggregate Principal Sub-Pool by Outstanding
by Contract Rates Contracts Balance Outstanding Principal Balance
- ----------------- --------- ------------------- -----------------
6.001% - 7.000% 10 2,096,310.70 1.63%
7.001% - 8.000% 194 28,024,576.67 21.74%
8.001% - 9.000% 354 42,547,332.71 33.00%
9.001% - 10.000% 299 34,072,154.75 26.43%
10.001% - 11.000% 159 14,655,115.35 11.37%
11.001% - 12.000% 47 3,971,961.18 3.08%
12.001% - 13.000% 22 1,860,370.45 1.44%
13.001% - 14.000% 20 1,111,106.36 0.86%
14.001% - 15.000% 4 326,897.10 0.25%
15.001% - 16.000% 3 157,674.15 0.12%
16.001% - 17.000% 2 72,340.57 0.06%
18.001% - 19.000% 1 32,996.31 0.03%
----- -------------- --------------
Total(1) 1,115 128,928,836.30 100.00%
===== ============== ==============
(1) Percentages do not add to 100% due to rounding.
COMBINED LOAN-TO-VALUE RATIO OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of HE Contract
Combined Loan-to-Value Number of Aggregate Principal Sub-Pool by Outstanding
Ratio Contracts Balance Outstanding Principal Balance
- ----- --------- ------------------- -----------------
20.01% - 30.00% 1 49,971.23 0.04%
30.01% - 40.00% 2 113,711.80 0.09%
40.01% - 50.00% 7 497,493.10 0.39%
50.01% - 60.00% 9 756,421.15 0.59%
60.01% - 70.00% 34 3,433,889.39 2.66%
70.01% - 80.00% 305 32,166,904.06 24.95%
80.01% - 90.00% 596 73,439,351.55 56.96%
90.01% - 100.00% 157 18,108,134.94 14.05%
100.01% - 110.00% 2 120,565.51 0.09%
110.01% - 120.00% 2 242,393.57 0.19%
----- -------------- --------------
Total(1) 1,115 128,928,836.30 100.00%
===== ============== ==============
(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.
12
<PAGE>
MONTH OF NEXT RATE ADJUSTMENT OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of Adjustable Rate
Month of Next Rate Number of Aggregate Principal Contracts by Outstanding
Adjustment Contracts Balance Outstanding Principal Balance
- ---------- --------- ------------------- -----------------
1998-07 2 198,645.19 0.15%
1998-08 6 472,411.11 0.37%
1998-09 4 308,798.88 0.24%
1998-10 2 130,144.10 0.10%
1998-11 6 729,828.81 0.57%
1998-12 1 123,500.00 0.10%
1999-03 6 865,939.12 0.67%
1999-05 3 417,653.79 0.32%
1999-06 36 3,346,743.05 2.60%
1999-07 15 1,686,908.55 1.31%
1999-08 4 643,237.11 0.50%
1999-10 5 719,870.03 0.56%
1999-11 10 1,154,662.34 0.90%
1999-12 11 1,170,811.46 0.91%
2000-01 11 1,017,062.45 0.79%
2000-02 30 3,374,109.71 2.62%
2000-03 153 18,883,369.77 14.65%
2000-04 337 37,030,563.08 28.72%
2000-05 325 39,293,814.34 30.48%
2000-06 129 15,284,249.17 11.85%
2000-07 5 872,850.00 0.68%
2001-01 1 34,354.44 0.03%
2001-03 6 509,725.53 0.40%
2001-04 5 520,984.27 0.40%
2001-05 2 138,600.00 0.11%
----- -------------- --------------
Total(1) 1,115 128,928,836.30 100.00%
===== ============== ==============
(1) Percentages do not add to 100% due to rounding
LIEN POSITION OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of HE Contract Sub-Pool
Number of Aggregate Principal by Outstanding Principal
Lien Contracts Balance Outstanding Balance
---- --------- ------------------- -------
First 1,115 128,928,836.30 100.00%
Total 1,115 128,928,836.30 100.00%
===== ============== =======
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.
13
<PAGE>
DISTRIBUTION OF GROSS MARGIN OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of Adjustable Rate
Number of Aggregate Principal Contracts by Outstanding
Gross Margin (%) Contracts Balance Outstanding Principal Balance
- ---------------- --------- ------------------- -----------------
2.001% - 4.000% 8 743,642.90 0.58%
4.001% - 6.000% 336 38,752,236.77 30.06%
6.001% - 8.000% 725 85,877,682.03 66.61%
8.001% - 10.000% 41 3,318,635.47 2.57%
10.001% - 12.000% 4 203,642.82 0.16%
12.001% - 14.000% 1 32,996.31 0.03%
------ -------------- -------------
Total (1) 1,115 128,928,836.30 100.00%
===== ============== =======
(1) Percentages do not add to 100% due to rounding
MAXIMUM LOAN RATE OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of Adjustable Rate
Number of Aggregate Principal Contracts by Outstanding
Maximum Loan Rate Contracts Balance Outstanding Principal Balance
- ----------------- --------- ------------------- -----------------
10.001% - 12.000% 4 714,229.28 0.55%
12.001% - 14.000% 138 19,629,881.54 15.23%
14.001% - 16.000% 620 75,420,119.37 58.50%
16.001% - 18.000% 286 27,669,414.81 21.46%
18.001% - 20.000% 56 4,876,496.44 3.78%
20.001% - 22.000% 8 513,357.98 0.40%
Greater than - 22.000% 3 105,336.88 0.08%
----- -------------- --------------
Total (1) 1,115 128,928,836.30 100.00%
===== ============== ==============
(1) Percentages do not add to 100% due to rounding
MINIMUM LOAN RATE OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of Adjustable Rate
Number of Aggregate Principal Contracts by Outstanding
Minimum Loan Rate Contracts Balance Outstanding Principal Balance
- ----------------- --------- ------------------- -----------------
2.001% - 4.000% 1 157,500.00 0.12%
4.001% - 6.000% 1 150,000.00 0.12%
6.001% - 8.000% 206 30,218,179.12 23.44%
8.001% - 10.000% 653 76,472,050.58 59.31%
10.001% - 12.000% 202 18,369,721.66 14.25%
12.001% - 14.000% 42 2,971,476.81 2.30%
14.001% - 16.000% 7 484,571.25 0.38%
16.001% - 18.000% 2 72,340.57 0.06%
20.001% - 20.000% 1 32,996.31 0.03%
----- -------------- ----------
Total (1) 1,115 128,928,836.30 100.00%
===== ============== ==========
(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.
14
<PAGE>
CPR PREPAYMENT SENSITIVITIES
FOR HOME IMPROVEMENT CONTRACT CERTIFICATES
<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 - 1 1.23 01/01 0.92 05/00 0.75 01/00 0.63 10/99 0.55 08/99
A - 2 3.45 04/03 2.54 01/02 2.00 04/01 1.65 11/00 1.40 06/00
A - 3 5.27 08/04 3.88 01/03 3.00 01/02 2.44 05/01 2.05 11/00
A - 4 6.99 10/06 5.18 09/04 4.00 05/03 3.15 05/02 2.60 08/01
A - 5 9.49 10/09 7.21 02/07 5.61 04/05 4.44 12/03 3.56 12/02
M - 1 12.90 06/12 9.60 08/08 7.45 04/06 5.92 09/04 4.84 08/03
M - 2 13.82 06/12 9.99 08/08 7.65 04/06 6.07 09/04 4.99 08/03
B - 1 6.06 03/06 4.45 04/04 3.81 05/03 3.66 01/03 3.55 10/02
B - 2 11.18 06/12 8.31 08/08 6.67 04/06 5.64 09/04 4.85 08/03
To Maturity
M - 1 13.22 09/14 10.19 03/11 8.07 08/08 6.49 10/06 5.27 04/05
M - 2 19.39 09/23 15.79 09/23 12.87 09/23 10.56 09/23 8.75 09/23
B - 2 12.24 09/23 9.49 09/23 7.88 09/23 6.99 09/23 6.33 09/23
</TABLE>
CPR PREPAYMENT SENSITIVITIES
FOR HOME EQUITY CONTRACT CERTIFICATES
<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 2.20 05/01 2.08 02/01 2.03 01/01 2.01 12/00 2.01 12/00
A - 1B ARM 5.62 12/11 3.67 02/08 2.61 09/05 1.95 02/04 1.49 12/02
A - 1 1.64 10/01 1.22 11/00 1.00 05/00 0.86 02/00 0.77 11/99
A - 2 3.94 07/03 2.75 12/01 2.13 03/01 1.76 09/00 1.51 05/00
A - 3 6.92 10/07 4.25 03/04 3.08 05/02 2.45 07/01 2.05 01/01
A - 4 9.66 11/08 6.35 11/05 4.00 12/02 3.00 10/01 2.48 03/01
A - 5 11.03 07/10 7.86 03/07 5.18 01/05 3.45 05/02 2.74 07/01
A - 6 6.08 05/10 5.39 01/07 4.76 12/04 3.96 07/03 3.17 07/02
A - 7 IO 1.99 08/00 1.99 08/00 1.99 08/00 1.99 08/00 1.99 08/00
M - 1 13.76 06/12 9.90 08/08 7.53 04/06 5.90 09/04 4.73 08/03
M - 2 13.82 06/12 9.99 08/08 7.65 04/06 6.07 09/04 4.99 08/03
B - 1 6.81 10/07 4.73 01/05 4.04 12/03 3.82 06/03 3.69 04/03
B - 2 12.43 06/12 8.89 08/08 7.03 04/06 5.86 09/04 4.97 08/03
To Maturity
M - 1 14.34 08/13 10.42 04/10 7.84 06/07 6.07 06/05 4.80 01/04
M - 2 17.74 03/26 14.23 03/26 11.22 03/26 8.91 03/26 7.17 02/26
B - 1 6.81 10/07 4.73 01/05 4.04 12/03 3.82 06/03 3.69 04/03
B - 2 16.58 09/28 12.04 09/28 9.63 09/28 8.18 09/28 7.12 09/28
</TABLE>
- ---------------
* The Sub Pool HE Certificates will be priced, with respect to the Fixed Rate
Home Equity Contracts, 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 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 the twelfth
month and in each month thereafter, the conditional prepayment rate is 20%.
The Sub Pool HE Certificates will be priced, with respect to the Adjustable
Rate Home Equity Contracts, using a constant prepayment rate of 30% CPR.
The Sub Pool HI Certificates will be priced using 100% of a prepayment rate
assuming a conditional prepayment rate of 12% per annum of the then
outstanding principal balance of the Home Improvement Contracts in the
first month of the life of the Home Improvement Contracts and an additional
0.91% (precisely, 10/11%) 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 22%.
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>
Exhibit 99.2
TERM SHEET DATED AUGUST 13, 1998
GREEN TREE FINANCIAL CORPORATION
CERTIFICATES FOR HOME IMPROVEMENT AND HOME EQUITY LOANS, SERIES 1998-D
$1,346,450,000 (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 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
<PAGE>
TERM SHEET DATED AUGUST 13, 1998
GREEN TREE FINANCIAL CORPORATION
CERTIFICATES FOR HOME IMPROVEMENT AND HOME EQUITY LOANS, SERIES 1998-D
$1,346,450,000 (APPROXIMATE)
Subject to Revision
SELLER/SERVICER: Green Tree Financial Corporation ("Green Tree")
TRUSTEE: U.S. Bank Trust National Association
UNDERWRITERS: Lehman Brothers (Lead), Credit Suisse First Boston(Co), First
Union (Co), NationsBanc Montgomery Securities (Co) and Merrill
Lynch (Co)
OFFERED CERTIFICATES:
Ratings WAL at Exp Final
Amount (S&P/Fitch) 100% Prepayment Model(1) Maturity
------ ----------- ------------------------ --------
To Call:
HI: A-1 $83,000,000 AAA / AAA 0.75 1/00
HI: A-2 $67,000,000 AAA / AAA 2.00 4/01
HI: A-3 $25,000,000 AAA / AAA 3.00 1/02
HI: A-4 $33,500,000 AAA / AAA 4.00 5/03
HI: A-5 $30,750,000 AAA / AAA 5.61 4/05
HI: M-1 $24,750,000 AA / AA 7.45 4/06
HI: M-2 $12,900,000 A / A 7.65 4/06
HI: B-1 $9,150,000 BBB / BBB 3.81 5/03
To Maturity
HI: M-1 $24,750,000 AA / AA 8.07 8/08
HI: M-2 $12,900,000 A / A 12.87 9/23
HI BALANCE $286,050,000
Ratings WAL at Exp Final
Amount (S&P/Fitch) 100% Prepayment Model(1) Maturity
------ ----------- ------------------------ --------
To Call:
HE: A-1A ARM $30,000,000 AAA / AAA 2.03 1/01
HE: A-1B ARM $245,000,000 AAA / AAA 2.61 9/05
HE: A-1 $270,000,000 AAA / AAA 1.00 5/00
HE: A-2 $117,000,000 AAA / AAA 2.13 3/01
HE: A-3 $107,000,000 AAA / AAA 3.08 5/02
HE: A-4 $28,000,000 AAA / AAA 4.00 12/02
HE A-5 $36,250,000 AAA / AAA 5.18 01/05
HE A-6 $82,500,000 AAA / AAA 4.76 12/04
HE A-7 IO (2) AAA / AAA 1.99 8/00
HE: M-1 $51,150,000 AA / AA 7.53 4/06
HE: M-2 $52,800,000 A / A+ 7.65 4/06
HE: B-1 $40,700,000 BBB / BBB+ 4.04 12/03
To Maturity
HE: M-1 $51,150,000 AA / AA 7.84 6/07
HE: M-2 $52,800,000 A / A+ 11.22 3/26
HE: B-1 $40,700,000 BBB / BBB+ 4.04 12/03
HE BALANCE $1,060,400,000
OTHER CERTIFICATES: The Class HI: B-2 Certificates of $13,950,000 and Class HE:
B2 Certificates of $39,600,000 are not offered hereby. They
will be retained by the Seller or an affiliate thereof.
- ---------------
(1) The Sub Pool HE Certificates will be priced, with respect to the Fixed Rate
Home Equity Contracts, 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 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 the twelfth
month and in each month thereafter, the conditional prepayment rate is 20%.
The Sub Pool HE Certificates will be priced, with respect to the Adjustable
Rate Home Equity Contracts, using a constant prepayment rate of 30% CPR.
The Sub Pool HI Certificates will be priced using 100% of a prepayment rate
assuming a conditional prepayment rate of 12% per annum of the then
outstanding principal balance of the Home Improvement Contracts in the
first month of the life of the Home Improvement Contracts and an additional
0.91% (precisely, 10/11%) 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 22%.
(2) Interest will be based on a notional principal amount which will equal
$110,000,000 (or the Class HE: A Principal Balance for such Payment Date,
if less) for the first 24 Payment Dates, and will thereafter equal zero.
The Class HE: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
<PAGE>
CUT-OFF DATE: Sub-Pool HI: July 31, 1998 (or the date of
origination, if later)
Sub-Pool HE: June 30, 1998 (or the date of
origination, if later), in each case for contracts
other than Subsequent Contracts. For each Subsequent
Contract, the date of purchase by the Trust.
EXP. PRICING: Week of August 10, 1998
EXP. SETTLEMENT: August 20, 1998
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 September 15, 1998.
CROSS COLLATERALIZATION: On each Payment Date the Amount Available for each
Sub-Pool remaining after making distributions in
respect of the related Certificates will generally be
available to make distributions in respect to the
Certificates related to the other Sub-Pool.
ERISA: Only the Class HI:A and Class HE:A Certificates are
ERISA eligible.
TAX STATUS: The Trust will consist of two segregated asset pools
with respect to which elections will be made to treat
each 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 each Sub-Pool
is based solely on the contracts identified for
inclusion in each Sub-Pool as of the related Cut-off
Date ("Original Home Improvement Contracts" and
"Original Home Equity Contracts"). Certain additional
contracts will be identified for inclusion in each
Sub-Pool prior to the Closing Date ("Additional Home
Improvement Contracts" and "Additional Home Equity
Contracts"). During a limited period following the
Closing Date, the Trust Fund will purchase subsequent
contracts ("Subsequent Home Improvement Contracts" and
"Subsequent Home Equity Contracts" and, collectively,
"Subsequent Contracts"). It is expected that the
Additional and Subsequent Contracts will have
characteristics which are substantially similar to the
related group of original contracts.
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>
HOME IMPROVEMENT CERTIFICATE STRUCTURE
CREDIT ENHANCEMENT: Class HI:A: 20.25% subordination (Class HI:M-1,
HI:M-2, HI:B-1 and HI:B-2) & Residual
(Class HI: C)
Class HI:M-1: 12.00% subordination (Class HI:M-2,
HI:B-1 and HI:B-2) & Residual (Class
HI: C)
Class HI:M-2: 7.70% subordination (Class HI:B-1 and
HI:B-2) & Residual (Class HI: C)
Class HI:B-1: 4.65% subordination (Class HI:B-2) &
Residual (Class HI: C)
Class HI:B-2: Limited Guaranty & Residual (Class HI:
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, to Green Tree as the Sub-Pool HI Guaranty
Fee, and to the Class HI: C Certificateholder.
Class HI:A Certificates are senior to Class HI: M and
Class HI: B Certificates. Class HI:M Certificates are
senior to the Class HI: B Certificates.
LOSSES ON LIQUIDATED
HI 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 HI: C
Certificateholder, then the Sub-Pool HI 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.
PRE-FUNDING FEATURE: On the Closing Date, a portion of the proceeds from
the sale of the Sub-Pool HI Certificates (the
"Sub-Pool HI Pre-Funded Amount") will be deposited
with the Trustee in a segregated account (the
"Sub-Pool HI Pre-Funding Account") and used by the
Trust to purchase Subsequent Home Improvement
Contracts during a period (not longer than 90 days)
following the Closing Date (the "Pre-Funding Period").
The Sub-Pool HI 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 Sub-Pool HI Pre-Funding Account following the
Pre-Funding Period will be distributed to the Class
HI:A-1 Certificateholders.
INTEREST
(Class HI: A, M-1, M-2,
B-1): Interest will be distributable first to each Class of
Class HI: A Certificates concurrently, then to the
Class HI: M-1 Certificates, then to the Class HI: M-2
Certificates and then to the Class HI: B-1
Certificates. Interest on the outstanding Class HI: A
Principal Balance, Class HI: M-1 Adjusted Principal
Balance, Class HI: M-2 Adjusted Principal Balance and
Class HI: B-1 Adjusted Principal Balance, as
applicable, 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 all Sub-Pool HI Certificates will
accrue on a 30/360 basis.
Interest shortfalls will be carried forward, and will
bear interest at the applicable Pass-Through Rate, to
the extent legally permissible.
The Class HI: M-1 Adjusted Principal Balance is the
Class HI: M-1 Principal Balance less any Class HI: M-1
Liquidation Loss Principal Amount. The Class HI: M-1
Principal Balance is the Original Class HI: M-1
Principal Balance less all amounts previously
distributed on account of principal of the Class HI:
M-1 Certificates.
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>
INTEREST (continued): The Class HI: M-2 Adjusted Principal Balance is the
Class HI: M-2 Principal Balance less any Class HI: M-2
Liquidation Loss Principal Amount. The Class HI: M-2
Principal Balance is the Original Class HI: M-2
Principal Balance less all amounts previously
distributed on account of principal of the Class HI:
M-2 Certificates.
The Class HI: B-1 Adjusted Principal Balance is the
Class HI: B-1 Principal Balance less any Class HI: B-1
Liquidation Loss Principal Amount. The Class HI: B-1
Principal Balance is the Original Class HI: B-1
Principal Balance less all amounts previously
distributed on account of principal of the Class HI:
B-1 Certificates.
PRINCIPAL
(Class HI: A, M-1, M-2,
B-1): After the payment of all interest distributable to
Class HI: A, Class HI: M-1, Class HI: M-2 and Class
HI: B-1 Certificateholders, principal will be
distributed in the following manner.
CLASS HI:A PRINCIPAL: 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, then to
the Class HI: A-3 Certificateholders until the Class
HI: A-3 Principal Balance has been reduced to zero,
then to the Class HI: A-4 Certificateholders until the
Class HI: A-4 Principal Balance has been reduced to
zero, and then to the Class HI: A-5 Certificateholders
until the Class HI: A-5 Principal Balance has been
reduced to zero. The "Sub-Pool HI Senior Percentage"
will equal 100% if either of the following exist: i)
the Payment Date is prior to September 2001 (month
37); or ii) any Class HI:B Principal Distribution Test
(see below) is not satisfied.
Otherwise, the Sub-Pool HI Senior Percentage will
equal a fraction, the numerator of which is the sum of
the Class HI: A Principal Balance and the Class HI: M
Principal Balance for a given Payment Date, and the
denominator of which is the Scheduled Principal
Balance of Sub-Pool HI for the immediately preceding
Payment Date.
The "Sub-Pool HI Formula Principal Distribution
Amount" will generally be equal to (A) the sum of (i)
all scheduled payments of principal due on each
outstanding Home Improvement Contract during the
related Due Period, (ii) the Scheduled Balance of each
Home Improvement Contract 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 Home Improvement Contracts, (iv)
the scheduled principal balance of each Home
Improvement Contract that became a liquidated contract
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
HI: B-2 Principal Balance has been reduced to zero, or
(b) such amount was not covered by a Class HI: B-2
Guaranty Payment and corresponding reduction in the
Class HI: B-2 Principal Balance.
CLASS HI:M-1 PRINCIPAL: Class HI: M-1 Certificateholders will not receive
principal payments until the Class HI: A Principal
Balance has been reduced to zero. At that time the
Class HI: M-1 Certificateholders will be entitled to
receive the Sub-Pool HI Senior Percentage of the
Sub-Pool HI Formula Principal Distribution Amount,
until the Class HI: M-1 Principal Balance has been
reduced to zero.
CLASS HI:M-2 PRINCIPAL: Class HI: M-2 Certificateholders will not receive
principal payments 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.
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 HI:B-1 PRINCIPAL: The Class HI:B-1 Certificateholders will not receive
principal payments until (i) the Class HI:B Cross-over
Date and (ii) such time as either (a) each Class HI:B
Principal Distribution Test is satisfied or (b) the
Class HI:A Principal Balance and the Class HI:M
Principal Balance have each been reduced to zero. At
that time, to the extent of the amount available after
payment of all interest distributable to Class HI: A,
Class HI: M-1, Class HI: M-2 and Class HI: B-1
Certificateholders, and all principal distributable to
Class HI: A, Class HI: M-1, and Class HI: M-2
Certificateholders, 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 be equal to 100% minus
the Sub-Pool HI Senior Percentage. The Class HI:B
Percentage after the Class HI:A and Class HI:M
Principal Balances have been reduced to zero will be
equal to 100%.
CLASS HI:B PRINCIPAL (i) the average of the Sub-Pool HI Sixty-Day
DISTRIBUTION TESTS: Delinquency Ratio as of the given Payment Date and
the prior two Payment Dates must not exceed 2.5%;
(ii) the average of the Sub-Pool HI Thirty-Day
Delinquency Ratio as of the given Payment Date
and the prior two Payment Dates must not exceed
5%;
(iii) the Sub-Pool HI Cumulative Realized Losses as of
the given Payment Date must not exceed 10%;
(iv) the Sub-Pool HI Current Realized Loss Ratio as of
the given Payment Date must not exceed 2.5%; and
(v) the Class HI:B Principal Balance divided by the
Pool Scheduled Principal Balance of Sub-Pool HI as
of the immediately preceding Payment Date must be
equal to or greater than 15.4%.
ACCELERATED PRINCPAL
PAYMENT On any Payment Date prior to the Payment Date in
September 2001, if the One-Hundred Twenty Day
Delinquency Ratio as of such Payment Date exceeds 3%,
all remaining available cashflow on that Payment Date
will be used to pay the Classes sequentially: 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, then to the Class HI: A-3 Certificateholders
until the Class HI: A-3 Principal Balance has been
reduced to zero, then to the Class HI: A-4
Certificateholders until the Class HI: A-4 Principal
Balance has been reduced to zero, then to the Class
HI: A-5 Certificateholders until the Class HI: A-5
Principal Balance has been reduced to zero, then to
the Class HI: M-1 Certificateholders until the Class
HI: M-1 Principal Balance has been reduced to zero,
then to the Class HI: M-2 Certificateholders until the
Class HI: M-2 Principal Balance has been reduced to
zero, then to the Class HI: B-1 Certificateholders
until the Class HI: B-1 Principal Balance has been
reduced to zero, and then to the Class HI: B-2
Certificateholders until the Class HI: B-2 Principal
Balance has been reduced to zero.
LIQUIDATION LOSS
INTEREST: Liquidation Loss Interest will be distributable first
to the Class HI: M-1 Certificates, then to the Class
HI: M-2 Certificates and then to the Class HI: B-1
Certificates. Interest on the outstanding Class HI:
M-1 Liquidation Loss Principal Amount, Class HI: M-2
Liquidation Loss Principal Amount and Class HI: B-1
Liquidation Loss Principal Amount, as applicable, will
accrue from the Payment Date on which a Liquidation
Loss Principal Amount was incurred for that Class to
but excluding the following 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
<PAGE>
CLASS HI:B-2 INTEREST: After payment of Class HI: A, Class HI: M-1, Class HI:
M-2 and Class HI: B-1 interest and principal, interest
will be paid to the Class HI: B-2 Certificateholders
in an amount equal to the product of (a) the Class HI:
B-2 Pass-Through Rate and (b) the then outstanding
Class HI: B-2 Principal Balance (less the Class HI:
B-2 Liquidation Loss Principal Amount, if any). The
Class HI: B-2 Limited Guaranty will be available to
pay interest to the Class HI: B-2 Certificateholders
if the Class HI: 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 HI: B-2
Pass-Through Rate, to the extent legally permissible.
CLASS HI: B-2 PRINCIPAL: Except as described below, the Class HI: B-2
Certificateholders will not receive principal payments
until the Class HI: B-1 Principal Balance has been
reduced to zero. At that time, if each Class HI: B
Principal Distribution Test is satisfied (unless the
Class HI:A and Class HI:M Principal Balances have been
reduced to zero), to the extent of the amount
available after payment of interest and principal on
the Class HI: A, the Class HI: M and the Class HI: B-1
Certificates 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 Class HI:B-2
Certificateholders will also be entitled to receive,
pursuant to the Class HI:B-2 Limited Guaranty, the
Class HI:B-2 Liquidation Loss Principal Amount until
the Class HI:B-2 Principal Balance has been reduced to
zero.
CLASS HI: B-2 LIMITED
GUARANTY: The Class HI: B-2 Limited Guaranty will be available
to pay the Class HI: B-2 Liquidation Loss Principal
Amount and the Class HI: B-2 Distribution Amount. The
Class HI: B-2 Limited Guaranty will be an unsecured
general obligation of the Company.
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 CERTIFICATE STRUCTURE
CREDIT ENHANCEMENT: Class HE:A: 16.75% subordination (Class HE:M-1,
HE:M-2, HE:B-1 and HE:B-2) & Residual
(Class HE: C)
Class HE:M-1: 12.10% subordination (Class HE:M-2,
HE:B-1 and HE:B-2) & Residual (Class HE:
C)
Class HE:M-2: 7.30% subordination (Class HE:B-1 and
HE:B-2) & Residual (Class HE: C)
Class HE:B-1: 3.60% subordination (Class HE:B-2) &
Residual (Class HE: C)
Class HE:B-2: Limited Guaranty & Residual (Class HE:
C)
DISTRIBUTIONS: Sub-Pool HE 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 Home Equity Contracts"; all Home
Equity Contracts other than the Adjustable Rate Home
Equity Contracts are referred to herein as the "Fixed
Rate Home Equity Contracts").
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 Sub-Pool HE
Monthly Servicing Fee with respect to the Home Equity
Contracts, to Green Tree as the Sub-Pool HE Guaranty
Fee and to the Class HE: C Certificateholder.
Class HE:A Certificates are senior to the
Class HE:M and Class HE:B Certificates.
Class HE:M Certificates are senior to the
Class HE:B Certificates.
PRE-FUNDING FEATURE: On the Closing Date, a portion of the proceeds from
the sale of the Sub-Pool HE Certificates (the
"Sub-Pool HE Pre-Funded Amount") will be deposited
with the Trustee in a segregated account (the
"Sub-Pool HE Pre-Funding Account") and used by the
Trust to purchase Subsequent Home Equity Contracts
during the Pre-Funding Period. The Sub-Pool HE
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 Sub-Pool
HE Pre-Funding Account following the Pre-Funding
Period will be (i) paid in respect of the Class HE:
A-1 Certificates in the case of amounts which had been
allocated to fund the purchase of Subsequent Home
Equity Contracts which are Fixed Rate Home Equity
Contracts, and (ii) paid in respect of the Class HE:
A-1B ARM Certificates in the case of amounts which had
been allocated to fund the purchase of Subsequent Home
Equity Contracts which are Adjustable Rate Home Equity
Contracts.
LOSSES ON LIQUIDATED
HE CONTRACTS: If Net Liquidation Proceeds from Liquidated Contracts
in the respective collection period are less than the
Scheduled Principal Balance of such Liquidated
Contracts plus accrued and unpaid interest thereon,
the deficiency will be absorbed by the Class HE: C
Certificateholder, then the Sub-Pool HE Guaranty Fee
otherwise payable to the Company, then the Sub-Pool HE
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.
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>
INTEREST
(Class HE: A, M-1, M-2,
B-1): Interest will be distributable first to each Class of
Class HE: A Certificates concurrently, then to the
Class HE: M-1 Certificates, then to the Class HE: M-2
Certificates and then to the Class HE: B-1
Certificates. 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 (in the case of Class HE:A
Certificates other than the Class HE:A-7 IO
Certificates) or based on the Notional Principal
Amount (in the case of the Class HE:A-7 IO
Certificates). Interest will be calculated on the
Class HE:A-7 IO Certificates on the basis of a
"Notional Principal Amount" equal to the lesser of (a)
the principal balance of the Class HE:A Certificates
and (b) $110,000,000 (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 HE:A-7 IO Certificates are entitled to receive
interest payments only through the Payment Date in
August 2000. 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 HE: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
HE: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 Home Equity Contracts and Home
Improvement Contracts is 10% or more of the Principal
Balance of the Home Equity Contracts and Home
Improvement Contracts as of the Cut-off Date, and [2 x
the Pass-Through Margin] per annum on each Payment
Date on which the principal balance of the Home Equity
Contracts and Home Improvement Contracts is less than
10% of the Principal Balance of the Home Equity
Contracts and Home Improvement Contracts as of the
Cut-off Date. The Available Funds Pass-Through Rate
for any Payment Date will be a rate per annum equal to
the weighted average of the Expense Adjusted Mortgage
Rates on the then outstanding Adjustable Rate
Contracts. The Expense Adjusted Mortgage Rate on any
Adjustable Rate Contract is equal to the then
applicable Loan Interest Rate thereon, minus the
Expense Fee Rate, which is 0.50% per annum and equal
to the sum of the servicing fee and the trustee fee.
Interest on the outstanding Class HE: A Principal
Balance, Class HE: M-1 Adjusted Principal Balance,
Class HE: M-2 Adjusted Principal Balance and Class HE:
B-1 Adjusted Principal Balance, as applicable, 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
the Class HE: A-1B ARM Certificates will accrue on an
actual/360 basis. Interest on all other Class HE
Certificates will accrue on a 30/360 basis. Interest
shortfalls will be carried forward, and will bear
interest at the applicable Pass-Through Rate, to the
extent legally permissible.
The Class HE: M-1 Adjusted Principal Balance is the
Class HE: M-1 Principal Balance less any Class HE: M-1
Liquidation Loss Principal Amount. The Class HE: M-1
Principal Balance is the Original Class HE: M-1
Principal Balance less all amounts previously
distributed on account of principal of the Class HE:
M-1 Certificates.
The Class HE: M-2 Adjusted Principal Balance is the
Class HE: M-2 Principal Balance less any Class HE: M-2
Liquidation Loss Principal Amount. The Class HE: M-2
Principal Balance is the Original Class HE: M-2
Principal Balance less all amounts previously
distributed on account of principal of the Class HE:
M-2 Certificates.
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>
INTEREST (continued): The Class HE: B-1 Adjusted Principal Balance is the
Class HE: B-1 Principal Balance less any Class HE: B-1
Liquidation Loss Principal Amount. The Class HE: B-1
Principal Balance is the Original Class HE: B-1
Principal Balance less all amounts previously
distributed on account of principal of the Class HE:
B-1 Certificates.
PRINCIPAL
(Class HE: A, M-1, M-2,
B-1): After the payment of all interest distributable to
Class HE: A, Class HE: M-1, Class HE: M-2 and Class
HE: B-1 Certificateholders, principal will be
distributed in the following manner.
CLASS HE: A PRINCIPAL: After payment of all interest distributable to the
Class HE: A, Class HE: M-1, Class HE: M-2, and Class
HE: B-1 Certificateholders, holders of the Class HE:
A-1A ARM Certificates and the Class HE: A-1B ARM
Certificates will be entitled to receive, as payments
of principal, an amount equal to the Class HE: A-1A
ARM Percentage and the Class HE: A-1B ARM Percentage,
respectively, of the Class HE: 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 HE: A
Certificates (other than the Class HE: A-7 IO
Certificates) as follows: (i) that portion, if any, of
the Sub-Pool HE Senior Percentage of the Sub-Pool HE
Formula Principal Distribution Amount equal to the
Class HE: A-6 Lockout Pro Rata Distribution Amount
will be distributed to the Class HE: A-6
Certificateholders; and (ii) the remainder of the
Sub-Pool HE Senior Percentage of the Sub-Pool HE
Formula Principal Distribution Amount will be
distributed in the following order: first to the Class
HE: A-1 Certificateholders until the Class HE: A-1
Principal Balance has been reduced to zero, then to
the Class HE: A-2 Certificateholders until the Class
HE: A-2 Principal Balance has been reduced to zero,
then to the Class HE: A-3 Certificateholders until the
Class HE: A-3 Principal Balance has been reduced to
zero, then to the Class HE: A-4 Certificateholders
until the Class HE: A-4 Principal Balance has been
reduced to zero, then to the Class HE: A-5
Certificateholders until the Class HE: A-5 Principal
Balance has been reduced to zero, and then to the
Class HE: A-6 Certificateholders until the Class HE:
A-6 Principal Balance has been reduced to zero.
The "Sub-Pool HE Formula Principal Distribution
Amount" will generally be equal to (A) the sum of (i)
all scheduled payments of principal due on each
outstanding Home Equity Contract during the related
Due Period, (ii) the Scheduled Balance of each Home
Equity Contract 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 Home Equity Contracts, (iv) the scheduled
principal balance of each Home Equity Contract that
became a liquidated contract 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 HE: B-2 Principal Balance has
been reduced to zero, or (b) such amount was not
covered by a Class HE: B-2 Guaranty Payment and
corresponding reduction in the Class HE: B-2 Principal
Balance, minus (B) the Class HE: A-1 ARM Formula
Principal Distribution Amount.
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>
The "Class HE: A-1 ARM Formula Principal Distribution
Amount" on or before the Payment Date on which the
Class HE: A-1A ARM and Class HE: A-1B ARM Certificates
have been paid in full will generally be equal to the
lesser of (A) the sum of (i) the Class HE: A-1A ARM
Principal Balance and (ii) the Class HE: A-1B ARM
Principal Balance or (B) the sum of the following: (i)
all scheduled payments of principal due on each
outstanding Adjustable Rate Contract during the
related Due Period; (ii) all partial principal
prepayments and principal prepayments in full received
on each Adjustable Rate Contract during the related
Due Period; (iii) the scheduled principal balance of
each Adjustable Rate Contract that became a liquidated
contract during the related Due Period; (iv) the
scheduled principal balance of each Adjustable Rate
Contract 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 HE: A-1,
A-2, A-3, A-4, A-5, and A-6 Certificates have been
paid in full, (a) the Sub-Pool HE Senior Percentage
times (x) the sum of the amounts described in clauses
(i) through (v) of the definition of the Sub-Pool HE
Formula Principal Distribution Amount less (y) the sum
of the amounts described in clauses (i) through (iv)
of the definition of the Class HE: A-1 ARM Formula
Principal Distribution Amount less (b) 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.
The Class HE: A-1A ARM Percentage for any Payment Date
will be (i) 0% prior to the Payment Date in May 2000
(unless the Class HE: A-1B ARM Principal Balance has
been reduced to zero), (ii) 90% on the Payment Date in
May 2000 and each Payment Date thereafter (unless the
Class HE: A-1B ARM Principal Balance has been reduced
to zero), and (iii) on and after any Payment Date on
which the Class HE: A-1B ARM Principal Balance has
been reduced to zero (until the Class HE: A-1A ARM
Principal Balance has been reduced to zero), 100%. The
Class HE: A-1B ARM Percentage for any Payment Date
will equal 100% minus the Class HE: A-1A ARM
Percentage.
The "Class HE: 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 HE: A-6 Lockout
Percentage, and (2) the product of (A) a fraction, the
numerator of which is the Class HE: A-6 Principal
Balance immediately preceding such Payment Date and
the denominator of which is the Class HE: A Principal
Balance less the sum of the Class HE: A-1A ARM
Principal Balance and the Class HE: 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 HE: A-6 Principal Balance immediately
preceding such Payment Date.
The "Class HE: A-6 Lockout Percentage" for each
Payment Date shall be as follows:
Payment Dates Lockout Percentage
September 1998 - August 2000 0%
September 2000 - August 2002 20%
September 2002 - August 2003 80%
September 2003 - August 2004 100%
September 2004 and thereafter 300%
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>
The Sub-Pool HE Senior Percentage will equal 100% if
either of the following exist: i) the Payment Date is
prior to September 2001 (month 37); or ii) any Class
HE: B Principal Distribution Test (see below) is not
satisfied.
On each Payment Date on which the Class HE: 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 HE: A Principal Balance (excluding the Class HE:
A-1A ARM Principal Balance and the Class HE: A-1B ARM
Principal Balance) and the Class HE: M Principal
Balance for such Payment Date, and the denominator of
which is the Pool Scheduled Principal Balance of Home
Equity Contracts other than the Adjustable Rate
Contracts for the immediately preceding Payment Date.
The Class HE: A-7 IO Certificates are interest-only
Certificates and are not entitled to receive
distributions of principal.
CLASS HE: M-1 PRINCIPAL: Class HE: M-1 Certificateholders will not receive
principal until the Class HE: A Principal Balance has
been reduced to zero. At that time the Class HE: M-1
Certificateholders will be entitled to receive the
Sub-Pool HE Senior Percentage of the Sub-Pool HE
Formula Principal Distribution Amount, until the Class
HE: M-1 Principal Balance has been reduced to zero.
CLASS HE: M-2 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 Class HE: M-2 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 PRINCIPAL: The Class HE:B-1 Certificateholders will not receive
principal payments until (i) the Class HE:B Cross-over
Date and (ii) such time as either (a) each Class HE:B
Principal Distribution Test is satisfied or (b) the
Class HE:A Principal Balance and the Class HE:M
Principal Balance have each been reduced to zero. At
that time, to the extent of the amount available after
payment of all interest distributable to the Class HE:
A, Class HE: M-1, Class HE: M-2 and Class HE: B-1
Certificateholders and all principal distributable to
the Class HE: A, Class HE: M-1 and Class HE: M-2
Certificateholders, Class HE:B-1 Certificateholders
will receive the Class HE: B Percentage of the
Sub-Pool HE Formula Principal Distribution Amount
until the Class HE: B-1 Principal Balance has been
reduced to zero.
The Class HE: B Percentage will be equal to 100% minus
the Sub-Pool HE Senior Percentage. The Class HE: B
Percentage after the Class HE: A and Class HE: M
Principal Balances have been reduced to zero will be
equal to 100%.
CLASS HE: B PRINCIPAL (i) the Sub-Pool HE Average Sixty-Day Delinquency
DISTRIBUTION TESTS: Ratio with respect to Sub-Pool HE as of the given
Payment Date and the prior two Payment Dates must
not exceed 6%;
(ii) the Sub-Pool HE Average Thirty-Day Delinquency
Ratio with respect to Sub-Pool HE as of the given
Payment Date and the prior two Payment Dates must
not exceed 12%;
(iii) the Sub-Pool HE Cumulative Realized Losses with
respect to Sub-Pool HE as of the given Payment
Date must not exceed 7.5%;
(iv) the Sub-Pool HE Current Realized Loss Ratio with
respect to Sub-Pool HE as of the given Payment
Date must not exceed 2.0%; and
(v) the Class HE:B Principal Balance divided by the
Pool Scheduled Principal Balance of Sub-Pool HE as
of the immediately preceding Payment Date must be
equal to or greater than 14.6%.
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>
LIQUIDATION LOSS
INTEREST: Liquidation Loss Interest will be distributable first
to the Class HE: M-1 Certificates, then to the Class
HE: M-2 Certificates and then to the Class HE: B-1
Certificates. Interest on the outstanding Class HE:
M-1 Liquidation Loss Principal Amount, Class HE: M-2
Liquidation Loss Principal Amount and Class HE: B-1
Liquidation Loss Principal Amount, as applicable, will
accrue from the Payment Date on which a Liquidation
Loss Amoutn was realized to but excluding the
following Payment Date.
CLASS HE:B-2 INTEREST: After payment of all interest and principal due on the
Class HE:A, Class HE:M-1, Class HE:M-2 and Class
HE:B-1 Certificates, interest will be paid to the
Class HE:B-2 Certificateholders in an amount equal to
the product of (a) the Class HE:B-2 Pass-Through Rate
and (b) the then outstanding Class HE:B-2 Principal
Balance (less the Class HE:B-2 Liquidation Loss
Principal Amount, if any). The Class HE:B-2 Limited
Guaranty will be available to pay interest to the
Class HE:B-2 Certificateholders if the Class HE:B-2
Remaining Amount Available is not sufficient. Interest
will initially accrue from the Settlement Date and
thereafter will accrue from the most recent Payment
Date on which interest has been paid 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 HE:B-2 Pass-Through Rate, to the
extent legally permissible.
CLASS HE:B-2 PRINCIPAL: Except as described below, 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 will also be entitled to receive,
pursuant to the Class HE:B-2 Limited Guaranty, the
Class HE:B-2 Liquidation Loss Principal Amount until
the Class HE:B-2 Principal Balance has been reduced to
zero.
CLASS HE:B-2 LIMITED
GUARANTY: The Class HE:B-2 Limited Guaranty will be available to
pay the Class HE: B-2 Liquidation Loss Principal
Amount and the Class HE:B-2 Distribution Amount. The
Class HE:B-2 Limited Guaranty will be an unsecured
general obligation of the Company.
CLASS HE: A-1B INTEREST
CARRYOVER If on any Distribution Date, the Class HE: A-1B ARM
Pass-Through Rate is based on the Available Funds
Pass-Through Rate, holders of such Certificates will
be entitled to receive the Available Funds Cap
Carryover Amount to the extent funds are available.
The "Available Funds Cap Carryover Amount" is the
excess of (i) the amount of interest the Class HE:
A-1B ARM Certificateholders would be entitled to
receive on such Distribution Date had interest been
calculated based on one-month LIBOR plus the
Pass-Through Margin (but in no event exceeding 14%)
over (ii) the amount of interest such Class will
receive on such Distribution Date at the Available
Funds Pass-Through Rate, together with the unpaid
portion of any such excess from prior Distribution
Dates (and interest accrued thereon at the then
applicable Class HE: A-1B ARM Pass-Through Rate,
without giving effect to the Available Funds
Pass-Through Rate, but in no event exceeding 14%). The
ratings assigned to the Offered Certificates do not
address the likelihood of the payment of any Interest
Carryover Amount.
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>
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 information concerning the Initial Home Improvement Contracts
presented below is based on a pool originated through July 8, 1998. Green Tree
intends to acquire and sell Additional Home Improvement Contracts to the Trust
on the Closing Date and Subsequent Home Improvement Contracts to the Trust
thereafter. Although the characteristics of the final pool of Home Improvement
Contracts will differ from the characteristics of the Initial Home Improvement
Contracts shown below, Green Tree does not expect that the characteristics of
the Additional and Subsequent Home Improvement Contracts sold to the Trust will
vary materially from those of the Initial Home Improvement Contracts herein.
THE INITIAL HOME IMPROVEMENT CONTRACT SUB-POOL
Number of Contracts in Sub-pool: 10,550
Wgt. Avg. Contract Rate: 11.669%
Range of Rates: 6.99% - 17.50%
Wgt. Avg. Orig. Maturity: 219
Wgt. Avg. Rem. Maturity: 217
Avg. Rem. Princ. Balance: $ 19,626
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL HOME IMPROVEMENT CONTRACTS
<TABLE>
<CAPTION>
% of HI Contract % of HI Contract
Sub-Pool by Number Aggregate Principal Sub-Pool by
Number of of Balance Outstanding
State Contracts Contracts Outstanding Principal Balance
- ---------------------- -------------------- -------------------- ---------------------- ----------------------
<S> <C> <C> <C> <C>
CA 1,241 11.76% $ 35,945,110.82 17.36%
NY 851 8.07% 17,424,988.64 8.42%
NJ 649 6.15% 13,059,814.14 6.31%
TX 523 4.96% 12,651,649.36 6.11%
Other States* 7,286 69.06% 127,969,058.36 61.81%
------ ------ --------------- ------
Total(1) 10,550 100.00% $ 207,050,621.32 100.00%
====== ====== ================ ======
</TABLE>
* No one State in this category constitutes more than 5% of the Sub-Pool HI
Outstanding Principal Balance.
(1) Percentages do not add to 100% due to rounding.
YEARS OF ORIGINATION OF INITIAL HOME IMPROVEMENT CONTRACTS
<TABLE>
<CAPTION>
% of HI Contract Sub-Pool
Number of Aggregate Principal by Outstanding Principal
Year of Origination Contracts Balance Outstanding Balance
- ----------------------- --------------- --------------------------- -----------------------------
<S> <C> <C> <C>
1995 1 14,564.50 0.01%
1996 3 188,956.94 0.09%
1997 277 5,434,912.09 2.62%
1998 10,269 201,412,187.79 97.27%
------ -------------- ------
Total(1) 10,550 $207,050,621.32 100.00%
====== =============== ======
</TABLE>
(1) Percentages do not add to 100% due to rounding.
14
<PAGE>
DISTRIBUTION OF ORIGINAL INITIAL HOME IMPROVEMENT CONTRACT AMOUNTS
<TABLE>
<CAPTION>
% of HI Contract
Original HI Contract Number of Aggregate Principal Sub-Pool by Outstanding
Amount (in Dollars) Contracts Balance Outstanding Principal Balance
- -------------------------------------- ------------- ------------------- -----------------------
<S> <C> <C> <C>
0 - 10,000.00 2,319 $16,028,525.91 7.74%
10,000.01 - 20,000.00 4,069 59,587,624.01 28.78%
20,000.01 - 30,000.00 2,411 58,032,827.88 28.03%
30,000.01 - 40,000.00 937 31,529,293.05 15.23%
40,000.01 - 50,000.00 489 21,134,374.56 10.21%
50,000.01 - 60,000.00 200 10,373,647.38 5.01%
60,000.01 - 70,000.00 43 2,731,754.07 1.32%
70,000.01 - 80,000.00 35 2,593,291.91 1.25%
80,000.01 - 90,000.00 15 1,267,370.86 0.61%
90,000.01 - 100,000.00 6 569,030.81 0.27%
100,000.01 - 110,000.00 5 529,160.88 0.26%
110,000.01 - 120,000.00 10 1,147,657.83 0.55%
120,000.01 - 130,000.00 6 767,461.37 0.37%
130,000.01 - 140,000.00 2 266,444.75 0.13%
140,000.01 - 150,000.00 1 145,790.00 0.07%
150,000.01 - 160,000.00 1 154,422.00 0.07%
160,000.01 - 200,000.00 1 191,944.05 0.09%
------ ---------------- -----
Total(1) 10,550 $207,050,621.32 100.00%
====== ================ ======
</TABLE>
(1) Percentages do not add to 100% due to rounding.
INITIAL HOME IMPROVEMENT CONTRACT RATES
<TABLE>
<CAPTION>
% of HI Contract
Range of HI Contracts by Number of Aggregate Principal Sub-Pool by Outstanding
Contract Rates Contracts Balance Outstanding Principal Balance
- ----------------------------- ----------- -------------------- -----------------------
<S> <C> <C> <C>
6.001% - 7.000% 1 29,710.20 0.01%
7.001% - 8.000% 13 462,121.87 0.22%
8.001% - 9.000% 473 9,389,055.05 4.53%
9.001% - 10.000% 1,565 36,442,427.38 17.60%
10.001% - 11.000% 2,295 50,827,910.89 24.55%
11.001% - 12.000% 1,466 31,363,844.11 15.15%
12.001% - 13.000% 1,739 32,028,836.32 15.47%
13.001% - 14.000% 1,691 24,771,593.06 11.96%
14.001% - 15.000% 1,049 16,382,402.44 7.91%
15.001% - 16.000% 210 4,243,782.03 2.05%
16.001% - 17.000% 42 960,871.71 0.46%
Greater than 17.000% 6 148,066.26 0.07%
------ --------------- ------
Total(1) 10,550 207,050,621.32 100.00%
======== ====== ============== ======
</TABLE>
(1) Percentages do not add to 100% due to rounding.
15
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL HOME IMPROVEMENT CONTRACTS
<TABLE>
<CAPTION>
% of HI Contract Sub-Pool
Number of Aggregate Principal by Outstanding Principal
Months Remaining Contracts Balance Outstanding Balance
- ------------------------------- ---------- ------------------- ------------------------
<S> <C> <C> <C>
Less than 30 26 $ 127,324.88 0.06%
31 - 60 790 6,728,591.85 3.25%
61 - 90 396 3,716,249.07 1.79%
91 - 120 2,560 34,634,446.34 16.73%
121 - 150 151 2,075,293.58 1.00%
151 - 180 2,596 50,401,775.65 24.34%
181 - 210 5 112,685.75 0.05%
211 - 240 1,219 27,835,246.73 13.44%
241 - 270 4 78,753.61 0.04%
271 - 300 2,802 81,314,981.07 39.27%
301 - 360 1 25,272.79 0.01%
------ -------------- ------
Total(1) 10,550 207,050,621.32 100.00%
====== ============== ======
</TABLE>
(1) Percentages do not add to 100% due to rounding.
LIEN POSITION OF INITIAL HOME IMPROVEMENT CONTRACTS
<TABLE>
<CAPTION>
% of HI Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Lien Position Contracts Balance Outstanding Principal Balance
- ----------------------------------- -------------- --------------------- --------------------------
<S> <C> <C> <C>
First 849 $ 20,210,443.60 9.76%
Second 7,865 151,934,987.96 73.38%
Third 1,823 34,677,743.39 16.75%
Fourth 13 227,446.37 0.11%
------ ---------------- -----
Total(1) 10,550 $207,050,621.32 100.00%
====== ================ ======
</TABLE>
(1) Percentages do not add to 100% due to rounding.
16
<PAGE>
HOME EQUITY CONTRACTS
The Home Equity Contracts comprising Sub-Pool HE 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
"Adjustable Rate Home Equity Contracts"). All Home Equity Contracts which are
not Adjustable Rate Contracts are referred to herein as "Fixed Rate Home Equity
Contracts." The obligations of the Obligor under each Home Equity Contract are
secured by the related real estate.
The information concerning the Initial Home Equity Contracts presented
below is based on a pool originated through June 30, 1998. Green Tree intends to
acquire and sell Additional Home Equity Contracts to the Trust on the Closing
Date and Subsequent Contracts to the Trust thereafter. Although the
characteristics of the final pool of Home Equity Contracts will differ from the
characteristics of the Initial Home Equity Contracts shown below, Green Tree
does not expect that the characteristics of the Additional and Subsequent Home
Equity Contracts sold to the Trust will vary materially from those of the
Initial Home Equity Contracts herein.
THE INITIAL HOME EQUITY CONTRACT SUB-POOL
INITIAL FIXED RATE HOME EQUITY CONTRACTS
Number of Contracts in Sub-pool: 6,679
Wgt. Avg. Contract Rate: 11.384%
Range of Rates: 7.00% - 18.74%
Wgt. Avg. Orig. Maturity: 248
Wgt. Avg. Rem. Maturity: 247
Avg. Rem. Princ. Balance: $58,604.97
Wgt. Avg. CLTV: 88.16%
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL FIXED RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
% of HE Contract Sub-Pool by
Number of Sub-Pool by Number Aggregate Principal Outstanding
State Contracts of Contracts Balance Outstanding Principal Balance
- ---------------------- ---------- ------------------ -------------------- ------------------
<S> <C> <C> <C> <C>
MI 435 6.51% 27,123,777.94 6.93%
CA 273 4.09% 24,053,135.17 6.15%
OH 462 6.92% 23,110,566.84 5.90%
IL 347 5.20% 20,737,309.70 5.30%
PA 365 5.46% 20,291,024.14 5.18%
Other* 4,797 71.82% 276,106,785.32 70.51%
----- ------ -------------- ------
Total(1) 6,679 100.00% 391,422,599.11 100.00%
===== ======= ============== =======
</TABLE>
- ---------------
* No one State in this category constitutes more than 5% of the Initial Fixed
Rate Home Equity Contracts Outstanding Principal Balance.
(1) Percentages do not add to 100% due to rounding.
17
<PAGE>
YEARS OF ORIGINATION OF INITIAL FIXED RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Year of Origination Contracts Balance Outstanding Principal Balance
- ----------------------------- ---------- ------------------- -----------------------
<S> <C> <C> <C>
1996 3 202,992.20 0.05%
1997 108 6,346,196.11 1.62%
1998 6,568 384,873,410.80 98.33%
----- -------------- ------
Total (1) 6,679 391,422,599.11 100.00%
===== ============== ======
</TABLE>
(1) Percentages do not add to 100% due to rounding.
INITIAL FIXED RATE HOME EQUITY CONTRACT RATES
<TABLE>
<CAPTION>
% of HE Contract
Range of HE Contracts by Number of Aggregate Principal Sub-Pool by Outstanding
Contract Rates Contracts Balance Outstanding Principal Balance
- ----------------------------- --------- --------------------- -----------------------
<S> <C> <C> <C>
6.001% - 7.000% 1 75,500.00 0.02%
7.001% - 8.000% 14 1,693,245.15 0.43%
8.001% - 9.000% 120 13,581,111.33 3.47%
9.001% - 10.000% 659 65,132,035.77 16.64%
10.001% - 11.000% 1,425 119,126,727.41 30.43%
11.001% - 12.000% 1,163 69,848,745.32 17.84%
12.001% - 13.000% 1,452 61,048,564.48 15.60%
13.001% - 14.000% 1,137 39,185,145.79 10.01%
14.001% - 15.000% 463 14,326,493.68 3.66%
15.001% - 16.000% 135 4,361,832.09 1.11%
16.001% - 17.000% 80 2,413,572.52 0.62%
17.001% - 18.000% 26 526,489.92 0.13%
18.001% - 19.000% 4 103,135.65 0.03%
----- -------------- ------
Total (1) 6,679 391,422,599.11 100.00%
===== ============== =======
</TABLE>
(1) Percentages do not add to 100% due to rounding.
18
<PAGE>
DISTRIBUTION OF ORIGINAL INITIAL FIXED RATE HOME EQUITY CONTRACT AMOUNTS
<TABLE>
<CAPTION>
% of HE Contract
Original HE Contract Number of Aggregate Principal Sub-Pool by Outstanding
Amount (in Dollars) Contracts Balance Outstanding Principal Balance
- ------------------------------ --------- ----------------------- -----------------------
<S> <C> <C> <C>
0 - 10,000.00 113 1,089,247.24 0.28%
10,000.01 - 20,000.00 1,011 15,809,596.09 4.04%
20,000.01 - 30,000.00 953 24,035,135.43 6.14%
30,000.01 - 40,000.00 770 27,207,725.69 6.95%
40,000.01 - 50,000.00 717 32,565,380.12 8.32%
50,000.01 - 60,000.00 646 35,560,722.45 9.08%
60,000.01 - 70,000.00 531 34,554,314.90 8.83%
70,000.01 - 80,000.00 431 32,219,257.24 8.23%
80,000.01 - 90,000.00 331 28,029,571.45 7.16%
90,000.01 - 100,000.00 218 20,799,044.77 5.31%
100,000.01 - 110,000.00 190 20,028,491.79 5.12%
110,000.01 - 120,000.00 165 18,938,806.60 4.84%
120,000.01 - 130,000.00 129 16,137,834.98 4.12%
130,000.01 - 140,000.00 96 12,880,843.10 3.29%
140,000.01 - 150,000.00 74 10,771,288.08 2.75%
150,000.01 - 160,000.00 58 9,010,569.05 2.30%
160,000.01 - 170,000.00 48 7,905,801.29 2.02%
170,000.01 - 180,000.00 38 6,644,424.13 1.70%
180,000.01 - 190,000.00 27 4,972,927.57 1.27%
190,000.01 - 200,000.00 23 4,491,770.72 1.15%
200,000.01 - 210,000.00 25 5,136,172.90 1.31%
210,000.01 - 220,000.00 14 3,008,535.66 0.77%
220,000.01 - 230,000.00 15 3,391,417.46 0.87%
230,000.01 - 240,000.00 8 1,870,175.84 0.48%
240,000.01 - 250,000.00 7 1,720,326.29 0.44%
250,000.01 - 260,000.00 8 2,035,561.92 0.52%
260,000.01 - 270,000.00 5 1,317,502.97 0.34%
270,000.01 - 280,000.00 6 1,640,571.68 0.42%
280,000.01 - 290,000.00 1 284,050.00 0.07%
290,000.01 - 300,000.00 3 883,400.00 0.23%
300,000.01 - 310,000.00 2 609,833.60 0.16%
310,000.01 - 320,000.00 1 315,000.00 0.08%
320,000.01 - 330,000.00 2 656,727.03 0.17%
330,000.01 - 340,000.00 1 335,350.00 0.09%
340,000.01 - 360,000.00 5 1,743,289.13 0.45%
360,000.01 - 370,000.00 2 725,574.88 0.19%
380,000.01 - 400,000.00 2 754,403.81 0.19%
400,000.01 - 440,000.00 1 408,317.35 0.10%
440,000.01 - 490,000.00 1 445,500.00 0.11%
490,000.01 - 500,000.00 1 488,135.90 0.12%
----- -------------- ------
Total(1) 6,679 391,422,599.11 100.00%
===== ============== ======
</TABLE>
(1) Percentages do not add to 100% due to rounding.
19
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL FIXED RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
- ---------------------------- ---------- ------------------- -----------------------
<S> <C> <C> <C>
Less than 31 53 1,067,655.97 0.27%
31 - 60 49 1,506,088.76 0.38%
61 - 90 411 11,710,705.41 2.99%
91 - 120 31 1,278,713.89 0.33%
121 - 150 2,396 119,695,297.49 30.58%
151 - 180 26 912,206.63 0.23%
181 - 210 2,034 119,793,281.65 30.60%
211 - 240 3 248,350.00 0.06%
241 - 270 960 65,963,312.09 16.85%
271 - 300 2 191,350.67 0.05%
331 - 360 714 69,055,636.55 17.64%
---------- ----- -------------- ------
Total(1) 6,679 391,422,599.11 100.00%
===== ============== =======
</TABLE>
(1) Percentages do not add to 100% due to rounding.
LIEN POSITION OF INITIAL FIXED RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Lien Contracts Balance Outstanding Principal Balance
- ----------------------------- --------- ------------------- -----------------------
<S> <C> <C> <C>
First 4,096 317,420,268.71 81.09%
Second 2,560 73,630,412.43 18.81%
Third 23 371,917.97 0.10%
------ -------------- -----
Total(1) 6,679 391,422,599.11 100.00%
====== ============== ======
</TABLE>
(1) Percentages do not add to 100% due to rounding.
COMBINED LOAN-TO-VALUE RATIO OF INITIAL FIXED RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Combined Loan-to-Value Ratio Contracts Balance Outstanding Principal Balance
- ------------------------------ ---------- ------------------- -----------------------
<S> <C> <C> <C>
0.01% - 10.00% 2 32,816.00 0.01%
10.01% - 20.00% 15 330,696.60 0.08%
20.01% - 30.00% 42 1,326,892.83 0.34%
30.01% - 40.00% 50 1,547,273.47 0.40%
40.01% - 50.00% 77 2,891,909.34 0.74%
50.01% - 60.00% 123 5,366,628.33 1.37%
60.01% - 70.00% 274 13,251,632.12 3.39%
70.01% - 80.00% 857 43,710,619.46 11.17%
80.01% - 90.00% 2,286 136,504,047.32 34.87%
90.01% - 100.00% 2,896 184,732,943.59 47.20%
100.01% - 110.00% 55 1,657,187.51 0.42%
110.01% - 120.00% 2 69,952.54 0.02%
----- -------------- ----
Total(1) 6,679 391,422,599.11 100.00%
===== ============== ======
</TABLE>
(1) Percentages do not add to 100% due to rounding.
20
<PAGE>
THE INITIAL HOME EQUITY CONTRACT SUB-POOL
INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
Number of Contracts in Sub-pool: 1,115
Wgt. Avg. Contract Rate: 9.126%
Range of Rates: 6.50% - 18.99%
Wgt. Avg. Orig. Maturity: 360
Wgt. Avg. Rem. Maturity: 359
Avg. Rem. Princ. Balance: $115,631
Wgt. Avg. CLTV: 85.82%
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
% of HE Contract Sub-Pool by
Number of Sub-Pool by Number Aggregate Principal Outstanding
State Contracts of Contracts Balance Outstanding Principal Balance
- ------------------ --------- ------------------ ------------------- -----------------
<S> <C> <C> <C> <C>
CA 110 9.87% 19,971,169.68 15.49%
WA 113 10.13% 15,391,841.33 11.94%
OH 130 11.66% 11,064,752.70 8.58%
MD 46 4.13% 7,342,514.65 5.70%
MI 92 8.25% 7,021,600.76 5.45%
Other* 624 55.96% 68,136,957.18 52.85%
----- ------ ------------- ------
Total(1) 1,115 100.00% 128,928,836.30 100.00%
===== ====== ============== ======
</TABLE>
- ---------------
* No one State in this category constitutes more than 5% of the Initial
Adjustable Rate Home Equity Contracts Outstanding Principal Balance.
(1) Percentages do not add to 100% due to rounding.
YEARS OF ORIGINATION OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Year of Origination Contracts Balance Outstanding Principal Balance
- ------------------------- --------- ------------------- -----------------------
<S> <C> <C> <C>
1997 86 9,266,995.40 7.19%
1998 1,029 119,661,840.90 92.81%
----- -------------- ------
Total: 1,115 128,928,836.30 100.00%
====== ===== ============== ======
</TABLE>
21
<PAGE>
DISTRIBUTION OF ORIGINAL INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACT AMOUNTS
<TABLE>
<CAPTION>
% of HE Contract
Original HE Contract Number of Aggregate Principal Sub-Pool by Outstanding
Amount (in Dollars) Contracts Balance Outstanding Principal Balance
- ------------------------------ --------- ------------------- ------------------------
<S> <C> <C> <C>
20,000.01 - 30,000.00 6 $ 160,113.82 0.12%
30,000.01 - 40,000.00 22 788,717.01 0.61%
40,000.01 - 50,000.00 48 2,202,075.36 1.71%
50,000.01 - 60,000.00 84 4,628,920.81 3.59%
60,000.01 - 70,000.00 88 5,743,751.90 4.45%
70,000.01 - 80,000.00 123 9,142,405.85 7.09%
80,000.01 - 90,000.00 75 6,363,809.93 4.94%
90,000.01 - 100,000.00 106 10,103,643.69 7.84%
100,000.01 - 110,000.00 76 7,995,751.52 6.20%
110,000.01 - 120,000.00 83 9,586,940.46 7.44%
120,000.01 - 130,000.00 67 8,377,165.82 6.50%
130,000.01 - 140,000.00 51 6,902,187.34 5.35%
140,000.01 - 150,000.00 52 7,554,107.24 5.86%
150,000.01 - 160,000.00 42 6,475,764.55 5.02%
160,000.01 - 170,000.00 20 3,293,942.62 2.55%
170,000.01 - 180,000.00 24 4,192,661.38 3.25%
180,000.01 - 190,000.00 23 4,253,808.12 3.30%
190,000.01 - 200,000.00 15 2,933,267.42 2.28%
200,000.01 - 210,000.00 11 2,265,857.31 1.76%
210,000.01 - 220,000.00 13 2,786,107.04 2.16%
220,000.01 - 230,000.00 14 3,150,810.83 2.44%
230,000.01 - 240,000.00 13 3,057,393.20 2.37%
240,000.01 - 250,000.00 8 1,972,810.64 1.53%
250,000.01 - 260,000.00 12 3,046,639.78 2.36%
260,000.01 - 270,000.00 6 1,596,980.75 1.24%
270,000.01 - 280,000.00 7 1,920,474.99 1.49%
280,000.01 - 290,000.00 4 1,140,779.87 0.88%
290,000.01 - 300,000.00 2 581,183.26 0.45%
300,000.01 - 310,000.00 5 1,523,820.15 1.18%
310,000.01 - 320,000.00 3 951,419.61 0.74%
320,000.01 - 330,000.00 3 979,993.22 0.76%
330,000.01 - 340,000.00 2 670,742.22 0.52%
340,000.01 - 350,000.00 2 690,035.85 0.54%
350,000.01 - 360,000.00 1 351,602.74 0.27%
360,000.01 - 370,000.00 1 368,100.00 0.29%
370,000.01 - 420,000.00 2 752,050.00 0.58%
420,000.01 - 430,000.00 1 423,000.00 0.33%
------ --------------- ------
Total(1) 1,115 $128,928,836.30 100.00%
====== =============== ======
</TABLE>
(1) Percentages do not add to 100% due to rounding.
22
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
- -------------------------- --------- ------------------- -----------------------
<S> <C> <C> <C>
151 - 180 2 249,547.55 0.19%
211 - 240 1 65,668.34 0.05%
331 - 360 1,112 128,613,620.41 99.76%
----- -------------- ------
Total 1,115 128,928,836.30 100.00%
===== ============== =======
</TABLE>
INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACT RATES
<TABLE>
<CAPTION>
% of HE Contract
Range of HE Contracts by Number of Aggregate Principal Sub-Pool by Outstanding
Contract Rates Contracts Balance Outstanding Principal Balance
- ------------------------------ --------- ------------------- ------------------------
<S> <C> <C> <C>
6.001% - 7.000% 10 2,096,310.70 1.63%
7.001% - 8.000% 194 28,024,576.67 21.74%
8.001% - 9.000% 354 42,547,332.71 33.00%
9.001% - 10.000% 299 34,072,154.75 26.43%
10.001% - 11.000% 159 14,655,115.35 11.37%
11.001% - 12.000% 47 3,971,961.18 3.08%
12.001% - 13.000% 22 1,860,370.45 1.44%
13.001% - 14.000% 20 1,111,106.36 0.86%
14.001% - 15.000% 4 326,897.10 0.25%
15.001% - 16.000% 3 157,674.15 0.12%
16.001% - 17.000% 2 72,340.57 0.06%
18.001% - 19.000% 1 32,996.31 0.03%
----- -------------- ------
Total(1) 1,115 128,928,836.30 100.00%
===== ============== =======
</TABLE>
(1) Percentages do not add to 100% due to rounding.
COMBINED LOAN-TO-VALUE RATIO OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Combined Loan-to-Value Ratio Contracts Balance Outstanding Principal Balance
- ------------------------------- ---------- ------------------- --------------------------
<S> <C> <C> <C>
20.01% - 30.00% 1 49,971.23 0.04%
30.01% - 40.00% 2 113,711.80 0.09%
40.01% - 50.00% 7 497,493.10 0.39%
50.01% - 60.00% 9 756,421.15 0.59%
60.01% - 70.00% 34 3,433,889.39 2.66%
70.01% - 80.00% 305 32,166,904.06 24.95%
80.01% - 90.00% 596 73,439,351.55 56.96%
90.01% - 100.00% 157 18,108,134.94 14.05%
100.01% - 110.00% 2 120,565.51 0.09%
110.01% - 120.00% 2 242,393.57 0.19%
----- -------------- ------
Total(1) 1,115 128,928,836.30 100.00%
===== ============== ======
</TABLE>
(1) Percentages do not add to 100% due to rounding.
23
<PAGE>
MONTH OF NEXT RATE ADJUSTMENT OF INITIAL ADJUSTABLE RATE HOME EQUITY 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>
1998-07 2 198,645.19 0.15%
1998-08 6 472,411.11 0.37%
1998-09 4 308,798.88 0.24%
1998-10 2 130,144.10 0.10%
1998-11 6 729,828.81 0.57%
1998-12 1 123,500.00 0.10%
1999-03 6 865,939.12 0.67%
1999-05 3 417,653.79 0.32%
1999-06 36 3,346,743.05 2.60%
1999-07 15 1,686,908.55 1.31%
1999-08 4 643,237.11 0.50%
1999-10 5 719,870.03 0.56%
1999-11 10 1,154,662.34 0.90%
1999-12 11 1,170,811.46 0.91%
2000-01 11 1,017,062.45 0.79%
2000-02 30 3,374,109.71 2.62%
2000-03 153 18,883,369.77 14.65%
2000-04 337 37,030,563.08 28.72%
2000-05 325 39,293,814.34 30.48%
2000-06 129 15,284,249.17 11.85%
2000-07 5 872,850.00 0.68%
2001-01 1 34,354.44 0.03%
2001-03 6 509,725.53 0.40%
2001-04 5 520,984.27 0.40%
2001-05 2 138,600.00 0.11%
----- -------------- ------
Total(1) 1,115 128,928,836.30 100.00%
===== ============== =======
</TABLE>
(1) Percentages do not add to 100% due to rounding
LIEN POSITION OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract Sub-Pool
Number of Aggregate Principal by Outstanding Principal
Lien Contracts Balance Outstanding Balance
- ------------------------------------ ---------- ------------------- -------------------------
<S> <C> <C> <C>
First 1,115 128,928,836.30 100.00%
Total 1,115 128,928,836.30 100.00%
===== ============== ======
</TABLE>
24
<PAGE>
DISTRIBUTION OF GROSS MARGIN OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Contracts by Outstanding
Gross Margin (%) Contracts Balance Outstanding Principal Balance
- --------------------------- --------- ------------------- ------------------------
<S> <C> <C> <C>
2.001% - 4.000% 8 743,642.90 0.58%
4.001% - 6.000% 336 38,752,236.77 30.06%
6.001% - 8.000% 725 85,877,682.03 66.61%
8.001% - 10.000% 41 3,318,635.47 2.57%
10.001% - 12.000% 4 203,642.82 0.16%
12.001% - 14.000% 1 32,996.31 0.03%
----- -------------- ------
Total (1) 1,115 128,928,836.30 100.00%
===== ============== ======
</TABLE>
(1) Percentages do not add to 100% due to rounding
MAXIMUM LOAN RATE OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Contracts by Outstanding
Maximum Loan Rate Contracts Balance Outstanding Principal Balance
- --------------------------- --------- ------------------- ------------------------
<S> <C> <C> <C>
10.001% - 12.000% 4 714,229.28 0.55%
12.001% - 14.000% 138 19,629,881.54 15.23%
14.001% - 16.000% 620 75,420,119.37 58.50%
16.001% - 18.000% 286 27,669,414.81 21.46%
18.001% - 20.000% 56 4,876,496.44 3.78%
20.001% - 22.000% 8 513,357.98 0.40%
Greater than - 22.000% 3 105,336.88 0.08%
----- -------------- ------
Total (1) 1,115 128,928,836.30 100.00%
===== ============== ======
</TABLE>
(1) Percentages do not add to 100% due to rounding
MINIMUM LOAN RATE OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Contracts by Outstanding
Minimum Loan Rate Contracts Balance Outstanding Principal Balance
- -------------------------- --------- ------------------- ------------------------
<S> <C> <C> <C>
2.001% - 4.000% 1 157,500.00 0.12%
4.001% - 6.000% 1 150,000.00 0.12%
6.001% - 8.000% 206 30,218,179.12 23.44%
8.001% - 10.000% 653 76,472,050.58 59.31%
10.001% - 12.000% 202 18,369,721.66 14.25%
12.001% - 14.000% 42 2,971,476.81 2.30%
14.001% - 16.000% 7 484,571.25 0.38%
16.001% - 18.000% 2 72,340.57 0.06%
20.001% - 20.000% 1 32,996.31 0.03%
----- -------------- ------
Total (1) 1,115 128,928,836.30 100.00%
===== ============== ======
</TABLE>
(1) Percentages do not add to 100% due to rounding
25
<PAGE>
CPR PREPAYMENT SENSITIVITIES
FOR SUB-POOL HI CERTIFICATES
<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
HI: A - 1 1.23 01/01 0.92 05/00 0.75 01/00 0.63 10/99 0.55 08/99
HI: A - 2 3.45 04/03 2.54 01/02 2.00 04/01 1.65 11/00 1.40 06/00
HI: A - 3 5.27 08/04 3.88 01/03 3.00 01/02 2.44 05/01 2.05 11/00
HI: A - 4 6.99 10/06 5.18 09/04 4.00 05/03 3.15 05/02 2.60 08/01
HI: A - 5 9.49 10/09 7.21 02/07 5.61 04/05 4.44 12/03 3.56 12/02
HI: M - 1 12.90 06/12 9.60 08/08 7.45 04/06 5.92 09/04 4.84 08/03
HI: M - 2 13.82 06/12 9.99 08/08 7.65 04/06 6.07 09/04 4.99 08/03
HI: B - 1 6.06 03/06 4.45 04/04 3.81 05/03 3.66 01/03 3.55 10/02
To Maturity
HI: M - 1 13.22 09/14 10.19 03/11 8.07 08/08 6.49 10/06 5.27 04/05
HI: M - 2 19.39 09/23 15.79 09/23 12.87 09/23 10.56 09/23 8.75 09/23
</TABLE>
CPR PREPAYMENT SENSITIVITIES
FOR SUB-POOL HE CERTIFICATES
<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
HE: A - 1A ARM 2.20 05/01 2.08 02/01 2.03 01/01 2.01 12/00 2.01 12/00
HE: A - 1B ARM 5.62 12/11 3.67 02/08 2.61 09/05 1.95 02/04 1.49 12/02
HE: A - 1 1.64 10/01 1.22 11/00 1.00 05/00 0.86 02/00 0.77 11/99
HE: A - 2 3.94 07/03 2.75 12/01 2.13 03/01 1.76 09/00 1.51 05/00
HE: A - 3 6.92 10/07 4.25 03/04 3.08 05/02 2.45 07/01 2.05 01/01
HE: A - 4 9.66 11/08 6.35 11/05 4.00 12/02 3.00 10/01 2.48 03/01
HE: A - 5 11.03 07/10 7.86 03/07 5.18 01/05 3.45 05/02 2.74 07/01
HE: A - 6 6.08 05/10 5.39 01/07 4.76 12/04 3.96 07/03 3.17 07/02
HE: A - 7 IO 1.99 08/00 1.99 08/00 1.99 08/00 1.99 08/00 1.99 08/00
HE: M - 1 13.76 06/12 9.90 08/08 7.53 04/06 5.90 09/04 4.73 08/03
HE: M - 2 13.82 06/12 9.99 08/08 7.65 04/06 6.07 09/04 4.99 08/03
HE: B - 1 6.81 10/07 4.73 01/05 4.04 12/03 3.82 06/03 3.69 04/03
To Maturity
HE: M - 1 14.34 08/13 10.42 04/10 7.84 06/07 6.07 06/05 4.80 01/04
HE: M - 2 17.74 03/26 14.23 03/26 11.22 03/26 8.91 03/26 7.17 02/26
HE: B - 1 6.81 10/07 4.73 01/05 4.04 12/03 3.82 06/03 3.69 04/03
</TABLE>
- ---------------
* The Sub Pool HE Certificates will be priced, with respect to the Fixed Rate
Home Equity Contracts, 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 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 the twelfth month and in
each month thereafter, the conditional prepayment rate is 20%. The Sub Pool
HE Certificates will be priced, with respect to the Adjustable Rate Home
Equity Contracts, using a constant prepayment rate of 30% CPR. The Sub Pool
HI Certificates will be priced using 100% of a prepayment rate assuming a
conditional prepayment rate of 12% per annum of the then outstanding
principal balance of the Home Improvement Contracts in the first month of the
life of the Home Improvement Contracts and an additional 0.91% (precisely,
10/11%) 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 22%.
26
<PAGE>
Exhibit 99.3
LEHMAN BROTHERS
DERIVED INFORMATION
-------------------
AUGUST 13, 1998
$286,050,000 CERTIFICATES (APPROXIMATE)
GREEN TREE HI 1998-D
HOME IMPROVEMENT LOAN BACKED SECURITIES
- --------------------------------------------------------------------------------
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 THE 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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, 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 DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE>
LEHMAN BROTHERS
SENSITIVITY ANALYSIS (INCL. SENIOR ENHANCEMENT AND LOSS TRIGGERS)
- -----------------------------------------------------------------
PROJECTED PERFORMANCE
---------------------
UNDER VARYING DEFAULT ASSUMPTIONS
TO MATURITY:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Class M-1 (% CDR) 6.00% 7.00% 7.60% 8.00%
- ----------------
Avg. Life (yrs.) 5.96 6.76 7.43 7.35
Window (begin-end) (mths) 62-84 67-102 71-136 75-128
Expected Final Maturity 8/15/05 2/15/07 12/15/09 04/15/09
Yield @ 99.95125% 6.661 6.661 6.176 4.681
Collateral Loss Amount ($) 55,602,083 63,320,158 67,774,931 70,674,728
Collateral Loss Amount (%) 18.534% 21.107% 22.592% 23.558%
Aggregate Class M-1 Loss Amount ($) 0 -- 2,419,841 8,097,750
Aggregate Class M-1 Loss Amount (%) 0 0 9.88 32.72
Class M-2 (% CDR) 5.00% 6.00% 6.75% 7.00%
- ----------------
Avg. Life (yrs.) 6.95 7.74 9.46 8.93
Window (begin-end) (mths) 77-91 84-105 95-165 102-153
Expected Final Maturity 3/15/06 5/15/07 5/15/12 5/15/11
Yield @ 99.99004% 7.113 7.113 6.737 5.006
Collateral Loss Amount ($) 47,494,195 55,602,083 61,425,706 63,320,158
Collateral Loss Amount (%) 15.831% 18.534% 20.475% 21.107%
Aggregate Class M-2 Loss Amount ($) -- -- 1,378,098 5,841,874
Aggregate Class M-2 Loss Amount (%) 0 0 10.68 45.29
Class B-1 (% CDR) 5.00% 6.00% 6.35% 7.00%
- ----------------
Avg. Life (yrs.) 8.23 9.82 11.66
Window (begin-end) (mths) 37-57 91-108 105-138 117-213
Expected Final Maturity 815/07 2/15/10 5/15/16
Yield @ 99.96366% 7.721 7.721 7.042 0.688
Collateral Loss Amount ($) 47,494,195 55,602,083 58,346,354 63,320,158
Collateral Loss Amount (%) 15.831% 18.534% 19.449% 21.107%
Aggregate Class B-1-Loss Amount ($) -- -- 2,035,386 9,150,000
Aggregate Class B-1 Loss Amount (%) 0 0 22.25 100.00
- -----------------------------------------------------------------------------------------
</TABLE>
ASSUMPTIONS
- -----------
(1) PREPAYMENTS ARE 12% CPR IN MONTH ONE INCREASING BY 0.91% CPR EACH MONTH TO
22% CPR BY MONTH 12, REMAINING AT 22% CPR SUBSEQUENT TO MONTH 12.
(2) THE CUMULATIVE LOSS TRIGGER AMOUNT IS10.0% OF THE CUT-OFF DATE POOL
BALANCE.
(3) THE SENIOR ENHANCEMENT PERCENTAGE IS 20.25%.
(4) DEFAULTS ARE IMMEDIATE (I.E. NO LAGS) AND NO RECOVERIES ON DEFAULTED
AMOUNTS ARE RECEIVED.
- --------------------------------------------------------------------------------
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 THE 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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, 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 DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE>
LEHMAN BROTHERS
LEHMAN BROTHERS
DERIVED INFORMATION
-------------------
AUGUST 13, 1998
$1,060,400,000 CERTIFICATES (APPROXIMATE)
GREEN TREE HE 1998-D
HOME EQUITY LOAN BACKED SECURITIES
- --------------------------------------------------------------------------------
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 THE 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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, 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 DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE>
LEHMAN BROTHERS
SENSITIVITY ANALYSIS (INCL. SENIOR ENHANCEMENT AND LOSS TRIGGERS)
- -----------------------------------------------------------------
PROJECTED PERFORMANCE
UNDER VARYING DEFAULT ASSUMPTIONS
TO MATURITY:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Class M-1 (% CDR) 5.00% 6.00% 6.60% 7.00%
- ----------------
Avg. Life (yrs.) 6.14 7.02 7.99 8.21
Window (begin-end) (mths) 68-81 (14) 75-97 (23) 81-132 (52) 88-126 (39)
Expected Final Maturity 5/15/05 9/15/06 8/15/09 2/15/09
Yield @ 99.95125% 6.722 6.722 6.302 3.997
Collateral Loss Amount ($) 165,127,496 193,505,173 209,895,638 220,569,167
Collateral Loss Amount (%) 15.012% 17.591% 19.081% 20.052%
Aggregate Class M-1 Loss Amount ($) - - 4,833,334 24,484,603
Aggregate Class M-1 Loss Amount (%) 0 0 9.45 47.87
Class M-2 (% CDR) 4.00% 5.00% 5.70% 6.00%
- ----------------
Avg. Life (yrs.) 7.02 7.62 9.06 8.45
Window (begin-end) (mths) 76-94 (19) 81-105 (25) 91-157 (67) 97-146 (50)
Expected Final Maturity 6/15/06 5/15/07 9/15/11 10/15/10
Yield @ 99.99004% 7.113 7.113 6.579 4.698
Collateral Loss Amount ($) 135,344,037 165,127,496 185,133,845 193,505,173
Collateral Loss Amount (%) 12.304% 15.012% 16.830% 17.591%
Aggregate Class M-2 Loss Amount ($) - - 7,049,109 25,150,295
Aggregate Class M-2 Loss Amount (%) 0 0 13.35 47.63
Class B-1 (% CDR) 4.00% 5.00% 5.15% 6.00%
- ----------------
Avg. Life (yrs.) 8.79 10.57 11.22
Window (begin-end) (mths) 94-121 (28) 105-168 (64) 110-209 (100)
Expected Final Maturity 9/15/08 8/15/12 1/15/16
Yield @ 99.96366% 7.732 7.732 7.195 0.351
Collateral Loss Amount ($) 135,344,037 165,127,496 169,471,426 193,505,173
Collateral Loss Amount (%) 12.304% 15.012% 15.406% 17.591%
Aggregate Class B-1 Loss Amount ($) - - 6,829,527 40,700,000
Aggregate Class B-1 Loss Amount (%) 0 0 16.78 100.00
- -------------------------------------------------------------------------------------------
</TABLE>
ASSUMPTIONS
- -----------
(5) PREPAYMENTS ON FIXED HE CONTRACTS ARE 5% CPR IN MONTH ONE INCREASING BY
1.82 CPR EACH MONTH TO 25% CPR BY MONTH 12, REMAINING AT 25% CPR SUBSEQUENT
TO MONTH 12.
(6) PREPAYMENTS ON ARM CONTRACTS ARE CONSTANT AT 30% CPR.
(7) THE CUMULATIVE LOSS TRIGGER AMOUNT IS7.5% OF THE CUT-OFF DATE POOL BALANCE.
(8) THE SENIOR ENHANCEMENT PERCENTAGE IS 16.75%.
- --------------------------------------------------------------------------------
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 THE 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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, 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 DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE>
Exhibit 99.4
TERM SHEET DATED AUGUST 13, 1998
GREEN TREE FINANCIAL CORPORATION
CERTIFICATES FOR HOME IMPROVEMENT AND HOME EQUITY LOANS, SERIES 1998-D
$1,346,450,000 (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 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
<PAGE>
TERM SHEET DATED AUGUST 13, 1998
GREEN TREE FINANCIAL CORPORATION
CERTIFICATES FOR HOME IMPROVEMENT AND HOME EQUITY LOANS, SERIES 1998-D
$1,346,450,000 (APPROXIMATE)
Subject to Revision
SELLER/SERVICER: Green Tree Financial Corporation ("Green Tree")
TRUSTEE: U.S. Bank Trust National Association
UNDERWRITERS: Lehman Brothers (Lead), Credit Suisse First Boston(Co), First
Union (Co), NationsBanc Montgomery Securities (Co) and Merrill
Lynch (Co)
OFFERED CERTIFICATES:
<TABLE>
<CAPTION>
Ratings WAL at Exp Final
Amount (S&P/Fitch) 100% Prepayment Model(1) Maturity
------ ----------- ------------------------ --------
<S> <C> <C> <C> <C>
To Call:
HI: A-1 $83,000,000 AAA / AAA 0.75 1/00
HI: A-2 $67,000,000 AAA / AAA 2.00 4/01
HI: A-3 $25,000,000 AAA / AAA 3.00 1/02
HI: A-4 $33,500,000 AAA / AAA 4.00 5/03
HI: A-5 $30,750,000 AAA / AAA 5.61 4/05
HI: M-1 $24,750,000 AA / AA 7.45 4/06
HI: M-2 $12,900,000 A / A 7.65 4/06
HI: B-1 $9,150,000 BBB / BBB 3.81 5/03
To Maturity
HI: M-1 $24,750,000 AA / AA 8.07 8/08
HI: M-2 $12,900,000 A / A 12.87 9/23
HI BALANCE $286,050,000
------------
Ratings WAL at Exp Final
Amount (S&P/Fitch) 100% Prepayment Model(1) Maturity
------ ----------- ------------------------ --------
To Call:
HE: A-1A ARM $30,000,000 AAA / AAA 2.03 1/01
HE: A-1B ARM $245,000,000 AAA / AAA 2.61 9/05
HE: A-1 $270,000,000 AAA / AAA 1.00 5/00
HE: A-2 $117,000,000 AAA / AAA 2.13 3/01
HE: A-3 $107,000,000 AAA / AAA 3.08 5/02
HE: A-4 $28,000,000 AAA / AAA 4.00 12/02
HE A-5 $36,250,000 AAA / AAA 5.18 01/05
HE A-6 $82,500,000 AAA / AAA 4.76 12/04
HE A-7 IO (2) AAA / AAA 1.99 8/00
HE: M-1 $51,150,000 AA / AA 7.53 4/06
HE: M-2 $52,800,000 A / A+ 7.65 4/06
HE: B-1 $40,700,000 BBB / BBB+ 4.04 12/03
To Maturity
HE: M-1 $51,150,000 AA / AA 7.84 6/07
HE: M-2 $52,800,000 A / A+ 11.22 3/26
HE: B-1 $40,700,000 BBB / BBB+ 4.04 12/03
HE BALANCE $1,060,400,000
--------------
</TABLE>
OTHER CERTIFICATES: The Class HI: B-2 Certificates of $13,950,000 and Class
HE: B2 Certificates of $39,600,000 are not offered hereby.
They will be retained by the Seller or an affiliate
thereof.
- ------------------------------------
(1) The Sub Pool HE Certificates will be priced, with respect to the Fixed Rate
Home Equity Contracts, 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 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 the twelfth
month and in each month thereafter, the conditional prepayment rate is 20%.
The Sub Pool HE Certificates will be priced, with respect to the Adjustable
Rate Home Equity Contracts, using a constant prepayment rate of 30% CPR.
The Sub Pool HI Certificates will be priced using 100% of a prepayment rate
assuming a conditional prepayment rate of 12% per annum of the then
outstanding principal balance of the Home Improvement Contracts in the
first month of the life of the Home Improvement Contracts and an additional
0.91% (precisely, 10/11%) 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 22%.
(2) Interest will be based on a notional principal amount which will equal
$110,000,000 (or the Class HE: A Principal Balance for such Payment Date,
if less) for the first 24 Payment Dates, and will thereafter equal zero.
The Class HE: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
<PAGE>
CUT-OFF DATE: Sub-Pool HI: July 31, 1998 (or the date of origination,
if later)
Sub-Pool HE: June 30, 1998 (or the date of origination,
if later), in each case for contracts other than
Subsequent Contracts. For each Subsequent Contract, the
date of purchase by the Trust.
EXP. PRICING: Week of August 10, 1998
EXP. SETTLEMENT: August 20, 1998
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 September 15, 1998.
CROSS
COLLATERALIZATION: On each Payment Date the Amount Available for each
Sub-Pool remaining after making distributions in respect
of the related Certificates will generally be available
to make distributions in respect to the Certificates
related to the other Sub-Pool.
ERISA: Only the Class HI:A and Class HE:A Certificates are
ERISA eligible.
TAX STATUS: The Trust will consist of two segregated asset pools
with respect to which elections will be made to treat
each 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 each Sub-Pool
is based solely on the contracts identified for
inclusion in each Sub-Pool as of the related Cut-off
Date ("Original Home Improvement Contracts" and
"Original Home Equity Contracts"). Certain additional
contracts will be identified for inclusion in each
Sub-Pool prior to the Closing Date ("Additional Home
Improvement Contracts" and "Additional Home Equity
Contracts"). During a limited period following the
Closing Date, the Trust Fund will purchase subsequent
contracts ("Subsequent Home Improvement Contracts" and
"Subsequent Home Equity Contracts" and, collectively,
"Subsequent Contracts"). It is expected that the
Additional and Subsequent Contracts will have
characteristics which are substantially similar to the
related group of original contracts.
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>
HOME IMPROVEMENT CERTIFICATE STRUCTURE
CREDIT ENHANCEMENT: Class HI:A: 20.25% subordination (Class HI:M-1, HI:M-2,
HI:B-1 and HI:B-2) & Residual (Class HI: C)
Class HI:M-1: 12.00% subordination (Class HI:M-2, HI:B-1
and HI:B-2) & Residual (Class HI: C)
Class HI:M-2: 7.70% subordination (Class HI:B-1 and
HI:B-2) & Residual (Class HI: C)
Class HI:B-1: 4.65% subordination (Class HI:B-2) &
Residual (Class HI: C)
Class HI:B-2: Limited Guaranty & Residual (Class HI: 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, to Green Tree as the Sub-Pool HI Guaranty
Fee, and to the Class HI: C Certificateholder.
Class HI:A Certificates are senior to Class HI: M and
Class HI: B Certificates. Class HI:M Certificates are
senior to the Class HI: B Certificates.
LOSSES ON LIQUIDATED
HI 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 HI: C Certificateholder,
then the Sub-Pool HI 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.
PRE-FUNDING FEATURE: On the Closing Date, a portion of the proceeds from the
sale of the Sub-Pool HI Certificates (the "Sub-Pool HI
Pre-Funded Amount") will be deposited with the Trustee
in a segregated account (the "Sub-Pool HI Pre-Funding
Account") and used by the Trust to purchase Subsequent
Home Improvement Contracts during a period (not longer
than 90 days) following the Closing Date (the
"Pre-Funding Period"). The Sub-Pool HI 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 Sub-Pool HI Pre-Funding Account
following the Pre-Funding Period will be distributed to
the Class HI:A-1 Certificateholders.
INTEREST
(Class HI: A, M-1, M-2,
B-1): Interest will be distributable first to each Class of
Class HI: A Certificates concurrently, then to the Class
HI: M-1 Certificates, then to the Class HI: M-2
Certificates and then to the Class HI: B-1 Certificates.
Interest on the outstanding Class HI: A Principal
Balance, Class HI: M-1 Adjusted Principal Balance, Class
HI: M-2 Adjusted Principal Balance and Class HI: B-1
Adjusted Principal Balance, as applicable, 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 all
Sub-Pool HI Certificates will accrue on a 30/360 basis.
Interest shortfalls will be carried forward, and will
bear interest at the applicable Pass-Through Rate, to
the extent legally permissible. The Class HI: M-1
Adjusted Principal Balance is the Class HI: M-1
Principal Balance less any Class HI: M-1 Liquidation
Loss Principal Amount. The Class HI: M-1 Principal
Balance is the Original Class HI: M-1 Principal Balance
less all amounts previously distributed on account of
principal of the Class HI: M-1 Certificates.
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>
INTEREST (continued): The Class HI: M-2 Adjusted Principal Balance is the
Class HI: M-2 Principal Balance less any Class HI: M-2
Liquidation Loss Principal Amount. The Class HI: M-2
Principal Balance is the Original Class HI: M-2
Principal Balance less all amounts previously
distributed on account of principal of the Class HI: M-2
Certificates. The Class HI: B-1 Adjusted Principal
Balance is the Class HI: B-1 Principal Balance less any
Class HI: B-1 Liquidation Loss Principal Amount. The
Class HI: B-1 Principal Balance is the Original Class
HI: B-1 Principal Balance less all amounts previously
distributed on account of principal of the Class HI: B-1
Certificates.
PRINCIPAL
(Class HI: A, M-1, M-2,
B-1): After the payment of all interest distributable to Class
HI: A, Class HI: M-1, Class HI: M-2 and Class HI: B-1
Certificateholders, principal will be distributed in the
following manner.
CLASS HI:A PRINCIPAL: 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, then to the Class HI:
A-3 Certificateholders until the Class HI: A-3 Principal
Balance has been reduced to zero, then to the Class HI:
A-4 Certificateholders until the Class HI: A-4 Principal
Balance has been reduced to zero, and then to the Class
HI: A-5 Certificateholders until the Class HI: A-5
Principal Balance has been reduced to zero.
The "Sub-Pool HI Senior Percentage" will equal 100% if
either of the following exist: i) the Payment Date is
prior to September 2001 (month 37); or ii) any Class
HI:B Principal Distribution Test (see below) is not
satisfied.
Otherwise, the Sub-Pool HI Senior Percentage will equal
a fraction, the numerator of which is the sum of the
Class HI: A Principal Balance and the Class HI: M
Principal Balance for a given Payment Date, and the
denominator of which is the Scheduled Principal Balance
of Sub-Pool HI for the immediately preceding Payment
Date.
The "Sub-Pool HI Formula Principal Distribution Amount"
will generally be equal to (A) the sum of (i) all
scheduled payments of principal due on each outstanding
Home Improvement Contract during the related Due Period,
(ii) the Scheduled Balance of each Home Improvement
Contract 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 Home
Improvement Contracts, (iv) the scheduled principal
balance of each Home Improvement Contract that became a
liquidated contract 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 HI: B-2 Principal Balance has been
reduced to zero, or (b) such amount was not covered by a
Class HI: B-2 Guaranty Payment and corresponding
reduction in the Class HI: B-2 Principal Balance.
CLASS HI:M-1 PRINCIPAL: Class HI: M-1 Certificateholders will not receive
principal payments until the Class HI: A Principal
Balance has been reduced to zero. At that time the Class
HI: M-1 Certificateholders will be entitled to receive
the Sub-Pool HI Senior Percentage of the Sub-Pool HI
Formula Principal Distribution Amount, until the Class
HI: M-1 Principal Balance has been reduced to zero.
CLASS HI:M-2 PRINCIPAL: Class HI: M-2 Certificateholders will not receive
principal payments 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.
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 HI:B-1 PRINCIPAL: The Class HI:B-1 Certificateholders will not receive
principal payments until (i) the Class HI:B Cross-over
Date and (ii) such time as either (a) each Class HI:B
Principal Distribution Test is satisfied or (b) the
Class HI:A Principal Balance and the Class HI:M
Principal Balance have each been reduced to zero. At
that time, to the extent of the amount available after
payment of all interest distributable to Class HI: A,
Class HI: M-1, Class HI: M-2 and Class HI: B-1
Certificateholders, and all principal distributable to
Class HI: A, Class HI: M-1, and Class HI: M-2
Certificateholders, 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 be equal to 100% minus
the Sub-Pool HI Senior Percentage. The Class HI:B
Percentage after the Class HI:A and Class HI:M Principal
Balances have been reduced to zero will be equal to
100%.
CLASS HI:B PRINCIPAL
DISTRIBUTION
TESTS: (i) the average of the Sub-Pool HI Sixty-Day Delinquency
Ratio as of the given Payment Date and the prior two
Payment Dates must not exceed 2.5%;
(ii) the average of the Sub-Pool HI Thirty-Day
Delinquency Ratio as of the given Payment Date and
the prior two Payment Dates must not exceed 5%;
(iii)the Sub-Pool HI Cumulative Realized Losses as of
the given Payment Date must not exceed 10%;
(iv) the Sub-Pool HI Current Realized Loss Ratio as of
the given Payment Date must not exceed 2.5%; and
(v) the Class HI:B Principal Balance divided by the Pool
Scheduled Principal Balance of Sub-Pool HI as of the
immediately preceding Payment Date must be equal to
or greater than 15.4%.
ACCELERATED PRINCPAL
PAYMENT On any Payment Date prior to the Payment Date in
September 2001, if the One-Hundred Twenty Day
Delinquency Ratio as of such Payment Date exceeds 3%,
all remaining available cashflow on that Payment Date
will be used to pay the Classes sequentially: 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, then to the
Class HI: A-3 Certificateholders until the Class HI: A-3
Principal Balance has been reduced to zero, then to the
Class HI: A-4 Certificateholders until the Class HI: A-4
Principal Balance has been reduced to zero, then to the
Class HI: A-5 Certificateholders until the Class HI: A-5
Principal Balance has been reduced to zero, then to the
Class HI: M-1 Certificateholders until the Class HI: M-1
Principal Balance has been reduced to zero, then to the
Class HI: M-2 Certificateholders until the Class HI: M-2
Principal Balance has been reduced to zero, then to the
Class HI: B-1 Certificateholders until the Class HI: B-1
Principal Balance has been reduced to zero, and then to
the Class HI: B-2 Certificateholders until the Class HI:
B-2 Principal Balance has been reduced to zero.
LIQUIDATION LOSS
INTEREST: Liquidation Loss Interest will be distributable first to
the Class HI: M-1 Certificates, then to the Class HI:
M-2 Certificates and then to the Class HI: B-1
Certificates. Interest on the outstanding Class HI: M-1
Liquidation Loss Principal Amount, Class HI: M-2
Liquidation Loss Principal Amount and Class HI: B-1
Liquidation Loss Principal Amount, as applicable, will
accrue from the Payment Date on which a Liquidation Loss
Principal Amount was incurred for that Class to but
excluding the following 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
<PAGE>
CLASS HI:B-2 INTEREST: After payment of Class HI: A, Class HI: M-1, Class HI:
M-2 and Class HI: B-1 interest and principal, interest
will be paid to the Class HI: B-2 Certificateholders in
an amount equal to the product of (a) the Class HI: B-2
Pass-Through Rate and (b) the then outstanding Class HI:
B-2 Principal Balance (less the Class HI: B-2
Liquidation Loss Principal Amount, if any). The Class
HI: B-2 Limited Guaranty will be available to pay
interest to the Class HI: B-2 Certificateholders if the
Class HI: 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 HI: B-2 Pass-Through Rate, to the
extent legally permissible.
CLASS HI: B-2 PRINCIPAL:Except as described below, the Class HI: B-2
Certificateholders will not receive principal payments
until the Class HI: B-1 Principal Balance has been
reduced to zero. At that time, if each Class HI: B
Principal Distribution Test is satisfied (unless the
Class HI:A and Class HI:M Principal Balances have been
reduced to zero), to the extent of the amount available
after payment of interest and principal on the Class HI:
A, the Class HI: M and the Class HI: B-1 Certificates
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 Class HI:B-2
Certificateholders will also be entitled to receive,
pursuant to the Class HI:B-2 Limited Guaranty, the Class
HI:B-2 Liquidation Loss Principal Amount until the Class
HI:B-2 Principal Balance has been reduced to zero.
CLASS HI: B-2 LIMITED
GUARANTY: The Class HI: B-2 Limited Guaranty will be available to
pay the Class HI: B-2 Liquidation Loss Principal Amount
and the Class HI: B-2 Distribution Amount. The Class HI:
B-2 Limited Guaranty will be an unsecured general
obligation of the Company.
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 CERTIFICATE STRUCTURE
CREDIT ENHANCEMENT: Class HE:A: 16.75% subordination (Class HE:M-1, HE:M-2,
HE:B-1 and HE:B-2) & Residual (Class HE: C)
Class HE:M-1: 12.10% subordination (Class HE:M-2, HE:B-1
and HE:B-2) & Residual (Class HE: C)
Class HE:M-2: 7.30% subordination (Class HE:B-1 and
HE:B-2) & Residual (Class HE: C)
Class HE:B-1: 3.60% subordination (Class HE:B-2) &
Residual (Class HE: C)
Class HE:B-2: Limited Guaranty & Residual (Class HE: C)
DISTRIBUTIONS: Sub-Pool HE 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 Home Equity Contracts"; all Home Equity Contracts
other than the Adjustable Rate Home Equity Contracts are
referred to herein as the "Fixed Rate Home Equity
Contracts").
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 Sub-Pool HE Monthly
Servicing Fee with respect to the Home Equity Contracts,
to Green Tree as the Sub-Pool HE Guaranty Fee and to the
Class HE: C Certificateholder.
Class HE:A Certificates are senior to the Class HE:M and
Class HE:B Certificates. Class HE:M Certificates are
senior to the Class HE:B Certificates.
PRE-FUNDING FEATURE: On the Closing Date, a portion of the proceeds from the
sale of the Sub-Pool HE Certificates (the "Sub-Pool HE
Pre-Funded Amount") will be deposited with the Trustee
in a segregated account (the "Sub-Pool HE Pre-Funding
Account") and used by the Trust to purchase Subsequent
Home Equity Contracts during the Pre-Funding Period. The
Sub-Pool HE 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 Sub-Pool HE
Pre-Funding Account following the Pre-Funding Period
will be (i) paid in respect of the Class HE: A-1
Certificates in the case of amounts which had been
allocated to fund the purchase of Subsequent Home Equity
Contracts which are Fixed Rate Home Equity Contracts,
and (ii) paid in respect of the Class HE: A-1B ARM
Certificates in the case of amounts which had been
allocated to fund the purchase of Subsequent Home Equity
Contracts which are Adjustable Rate Home Equity
Contracts.
LOSSES ON LIQUIDATED
HE CONTRACTS: If Net Liquidation Proceeds from Liquidated Contracts in
the respective collection period are less than the
Scheduled Principal Balance of such Liquidated Contracts
plus accrued and unpaid interest thereon, the deficiency
will be absorbed by the Class HE: C Certificateholder,
then the Sub-Pool HE Guaranty Fee otherwise payable to
the Company, then the Sub-Pool HE 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.
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>
INTEREST
(Class HE: A, M-1, M-2,
B-1): Interest will be distributable first to each Class of
Class HE: A Certificates concurrently, then to the Class
HE: M-1 Certificates, then to the Class HE: M-2
Certificates and then to the Class HE: B-1 Certificates.
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
(in the case of Class HE:A Certificates other than the
Class HE:A-7 IO Certificates) or based on the Notional
Principal Amount (in the case of the Class HE:A-7 IO
Certificates). Interest will be calculated on the Class
HE:A-7 IO Certificates on the basis of a "Notional
Principal Amount" equal to the lesser of (a) the
principal balance of the Class HE:A Certificates and (b)
$110,000,000 (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 HE:A-7 IO
Certificates are entitled to receive interest payments
only through the Payment Date in August 2000. 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 HE: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 HE: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 Home Equity Contracts and Home Improvement
Contracts is 10% or more of the Principal Balance of the
Home Equity Contracts and Home Improvement Contracts as
of the Cut-off Date, and [2 x the Pass-Through Margin]
per annum on each Payment Date on which the principal
balance of the Home Equity Contracts and Home
Improvement Contracts is less than 10% of the Principal
Balance of the Home Equity Contracts and Home
Improvement Contracts as of the Cut-off Date. The
Available Funds Pass-Through Rate for any Payment Date
will be a rate per annum equal to the weighted average
of the Expense Adjusted Mortgage Rates on the then
outstanding Adjustable Rate Contracts. The Expense
Adjusted Mortgage Rate on any Adjustable Rate Contract
is equal to the then applicable Loan Interest Rate
thereon, minus the Expense Fee Rate, which is 0.50% per
annum and equal to the sum of the servicing fee and the
trustee fee.
Interest on the outstanding Class HE: A Principal
Balance, Class HE: M-1 Adjusted Principal Balance, Class
HE: M-2 Adjusted Principal Balance and Class HE: B-1
Adjusted Principal Balance, as applicable, 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 the
Class HE: A-1B ARM Certificates will accrue on an
actual/360 basis. Interest on all other Class HE
Certificates will accrue on a 30/360 basis. Interest
shortfalls will be carried forward, and will bear
interest at the applicable Pass-Through Rate, to the
extent legally permissible.
The Class HE: M-1 Adjusted Principal Balance is the
Class HE: M-1 Principal Balance less any Class HE: M-1
Liquidation Loss Principal Amount. The Class HE: M-1
Principal Balance is the Original Class HE: M-1
Principal Balance less all amounts previously
distributed on account of principal of the Class HE: M-1
Certificates.
The Class HE: M-2 Adjusted Principal Balance is the
Class HE: M-2 Principal Balance less any Class HE: M-2
Liquidation Loss Principal Amount. The Class HE: M-2
Principal Balance is the Original Class HE: M-2
Principal Balance less all amounts previously
distributed on account of principal of the Class HE: M-2
Certificates.
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>
INTEREST (continued): The Class HE: B-1 Adjusted Principal Balance is the
Class HE: B-1 Principal Balance less any Class HE: B-1
Liquidation Loss Principal Amount. The Class HE: B-1
Principal Balance is the Original Class HE: B-1
Principal Balance less all amounts previously
distributed on account of principal of the Class HE: B-1
Certificates.
PRINCIPAL
(Class HE: A, M-1, M-2,
B-1): After the payment of all interest distributable to Class
HE: A, Class HE: M-1, Class HE: M-2 and Class HE: B-1
Certificateholders, principal will be distributed in the
following manner.
CLASS HE: A PRINCIPAL: After payment of all interest distributable to the Class
HE: A, Class HE: M-1, Class HE: M-2, and Class HE: B-1
Certificateholders, holders of the Class HE: A-1A ARM
Certificates and the Class HE: A-1B ARM Certificates
will be entitled to receive, as payments of principal,
an amount equal to the Class HE: A-1A ARM Percentage and
the Class HE: A-1B ARM Percentage, respectively, of the
Class HE: 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 HE: A Certificates (other than the
Class HE: A-7 IO Certificates) as follows: (i) that
portion, if any, of the Sub-Pool HE Senior Percentage of
the Sub-Pool HE Formula Principal Distribution Amount
equal to the Class HE: A-6 Lockout Pro Rata Distribution
Amount will be distributed to the Class HE: A-6
Certificateholders; and (ii) the remainder of the
Sub-Pool HE Senior Percentage of the Sub-Pool HE Formula
Principal Distribution Amount will be distributed in the
following order: first to the Class HE: A-1
Certificateholders until the Class HE: A-1 Principal
Balance has been reduced to zero, then to the Class HE:
A-2 Certificateholders until the Class HE: A-2 Principal
Balance has been reduced to zero, then to the Class HE:
A-3 Certificateholders until the Class HE: A-3 Principal
Balance has been reduced to zero, then to the Class HE:
A-4 Certificateholders until the Class HE: A-4 Principal
Balance has been reduced to zero, then to the Class HE:
A-5 Certificateholders until the Class HE: A-5 Principal
Balance has been reduced to zero, and then to the Class
HE: A-6 Certificateholders until the Class HE: A-6
Principal Balance has been reduced to zero.
The "Sub-Pool HE Formula Principal Distribution Amount"
will generally be equal to (A) the sum of (i) all
scheduled payments of principal due on each outstanding
Home Equity Contract during the related Due Period, (ii)
the Scheduled Balance of each Home Equity Contract
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 Home Equity
Contracts, (iv) the scheduled principal balance of each
Home Equity Contract that became a liquidated contract
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 HE: B-2
Principal Balance has been reduced to zero, or (b) such
amount was not covered by a Class HE: B-2 Guaranty
Payment and corresponding reduction in the Class HE: B-2
Principal Balance, minus (B) the Class HE: A-1 ARM
Formula Principal Distribution Amount.
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>
The "Class HE: A-1 ARM Formula Principal Distribution
Amount" on or before the Payment Date on which the Class
HE: A-1A ARM and Class HE: A-1B ARM Certificates have
been paid in full will generally be equal to the lesser
of (A) the sum of (i) the Class HE: A-1A ARM Principal
Balance and (ii) the Class HE: A-1B ARM Principal
Balance or (B) the sum of the following: (i) all
scheduled payments of principal due on each outstanding
Adjustable Rate Contract during the related Due Period;
(ii) all partial principal prepayments and principal
prepayments in full received on each Adjustable Rate
Contract during the related Due Period; (iii) the
scheduled principal balance of each Adjustable Rate
Contract that became a liquidated contract during the
related Due Period; (iv) the scheduled principal balance
of each Adjustable Rate Contract 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 HE: A-1, A-2, A-3, A-4, A-5, and A-6
Certificates have been paid in full, (a) the Sub-Pool HE
Senior Percentage times (x) the sum of the amounts
described in clauses (i) through (v) of the definition
of the Sub-Pool HE Formula Principal Distribution Amount
less (y) the sum of the amounts described in clauses (i)
through (iv) of the definition of the Class HE: A-1 ARM
Formula Principal Distribution Amount less (b) 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.
The Class HE: A-1A ARM Percentage for any Payment Date
will be (i) 0% prior to the Payment Date in May 2000
(unless the Class HE: A-1B ARM Principal Balance has
been reduced to zero), (ii) 90% on the Payment Date in
May 2000 and each Payment Date thereafter (unless the
Class HE: A-1B ARM Principal Balance has been reduced to
zero), and (iii) on and after any Payment Date on which
the Class HE: A-1B ARM Principal Balance has been
reduced to zero (until the Class HE: A-1A ARM Principal
Balance has been reduced to zero), 100%. The Class HE:
A-1B ARM Percentage for any Payment Date will equal 100%
minus the Class HE: A-1A ARM Percentage.
The "Class HE: 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 HE: A-6 Lockout
Percentage, and (2) the product of (A) a fraction, the
numerator of which is the Class HE: A-6 Principal
Balance immediately preceding such Payment Date and the
denominator of which is the Class HE: A Principal
Balance less the sum of the Class HE: A-1A ARM Principal
Balance and the Class HE: 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 HE: A-6 Principal Balance immediately
preceding such Payment Date.
The "Class HE: A-6 Lockout Percentage" for each Payment
Date shall be as follows:
Payment Dates Lockout Percentage
September 1998 - August 2000 0%
September 2000 - August 2002 20%
September 2002 - August 2003 80%
September 2003 - August 2004 100%
September 2004 and thereafter 300%
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>
The Sub-Pool HE Senior Percentage will equal 100% if
either of the following exist:
i) the Payment Date is prior to September 2001 (month
37); or
ii) any Class HE: B Principal Distribution Test (see
below) is not satisfied.
On each Payment Date on which the Class HE: 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 HE: A Principal Balance (excluding the Class HE:
A-1A ARM Principal Balance and the Class HE: A-1B ARM
Principal Balance) and the Class HE: M Principal Balance
for such Payment Date, and the denominator of which is
the Pool Scheduled Principal Balance of Home Equity
Contracts other than the Adjustable Rate Contracts for
the immediately preceding Payment Date.
The Class HE: A-7 IO Certificates are interest-only
Certificates and are not entitled to receive
distributions of principal.
CLASS HE: M-1 PRINCIPAL:Class HE: M-1 Certificateholders will not receive
principal until the Class HE: A Principal Balance has
been reduced to zero. At that time the Class HE: M-1
Certificateholders will be entitled to receive the
Sub-Pool HE Senior Percentage of the Sub-Pool HE Formula
Principal Distribution Amount, until the Class HE: M-1
Principal Balance has been reduced to zero.
CLASS HE: M-2 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 Class HE: M-2 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 PRINCIPAL:The Class HE:B-1 Certificateholders will not receive
principal payments until (i) the Class HE:B Cross-over
Date and (ii) such time as either (a) each Class HE:B
Principal Distribution Test is satisfied or (b) the
Class HE:A Principal Balance and the Class HE:M
Principal Balance have each been reduced to zero. At
that time, to the extent of the amount available after
payment of all interest distributable to the Class HE:
A, Class HE: M-1, Class HE: M-2 and Class HE: B-1
Certificateholders and all principal distributable to
the Class HE: A, Class HE: M-1 and Class HE: M-2
Certificateholders, Class HE:B-1 Certificateholders will
receive the Class HE: B Percentage of the Sub-Pool HE
Formula Principal Distribution Amount until the Class
HE: B-1 Principal Balance has been reduced to zero.
The Class HE: B Percentage will be equal to 100% minus
the Sub-Pool HE Senior Percentage. The Class HE: B
Percentage after the Class HE: A and Class HE: M
Principal Balances have been reduced to zero will be
equal to 100%.
CLASS HE: B PRINCIPAL
DISTRIBUTION TESTS: (i) the Sub-Pool HE Average Sixty-Day Delinquency Ratio
with respect to Sub-Pool HE as of the given Payment
Date and the prior two Payment Dates must not
exceed 10%;
(ii) the Sub-Pool HE Average Thirty-Day Delinquency
Ratio with respect to Sub-Pool HE as of the given
Payment Date and the prior two Payment Dates must
not exceed 12%;
(iii)the Sub-Pool HE Cumulative Realized Losses with
respect to Sub-Pool HE as of the given Payment Date
must not exceed 7.5%;
(iv) the Sub-Pool HE Current Realized Loss Ratio with
respect to Sub-Pool HE as of the given Payment Date
must not exceed 2.0%; and
(v) the Class HE:B Principal Balance divided by the Pool
Scheduled Principal Balance of Sub-Pool HE as of the
immediately preceding Payment Date must be equal to
or greater than 14.6%.
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>
LIQUIDATION LOSS
INTEREST: Liquidation Loss Interest will be distributable first to
the Class HE: M-1 Certificates, then to the Class HE:
M-2 Certificates and then to the Class HE: B-1
Certificates. Interest on the outstanding Class HE: M-1
Liquidation Loss Principal Amount, Class HE: M-2
Liquidation Loss Principal Amount and Class HE: B-1
Liquidation Loss Principal Amount, as applicable, will
accrue from the Payment Date on which a Liquidation Loss
Amoutn was realized to but excluding the following
Payment Date.
CLASS HE:B-2 INTEREST: After payment of all interest and principal due on the
Class HE:A, Class HE:M-1, Class HE:M-2 and Class HE:B-1
Certificates, interest will be paid to the Class HE:B-2
Certificateholders in an amount equal to the product of
(a) the Class HE:B-2 Pass-Through Rate and (b) the then
outstanding Class HE:B-2 Principal Balance (less the
Class HE:B-2 Liquidation Loss Principal Amount, if any).
The Class HE:B-2 Limited Guaranty will be available to
pay interest to the Class HE:B-2 Certificateholders if
the Class HE:B-2 Remaining Amount Available is not
sufficient. Interest will initially accrue from the
Settlement Date and thereafter will accrue from the most
recent Payment Date on which interest has been paid 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 HE:B-2 Pass-Through Rate, to the
extent legally permissible.
CLASS HE:B-2 PRINCIPAL: Except as described below, 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 will also be entitled to receive,
pursuant to the Class HE:B-2 Limited Guaranty, the Class
HE:B-2 Liquidation Loss Principal Amount until the Class
HE:B-2 Principal Balance has been reduced to zero.
CLASS HE:B-2 LIMITED
GUARANTY: The Class HE:B-2 Limited Guaranty will be available to
pay the Class HE: B-2 Liquidation Loss Principal Amount
and the Class HE:B-2 Distribution Amount. The Class
HE:B-2 Limited Guaranty will be an unsecured general
obligation of the Company.
CLASS HE: A-1B INTEREST
CARRYOVER If on any Distribution Date, the Class HE: A-1B ARM
Pass-Through Rate is based on the Available Funds
Pass-Through Rate, holders of such Certificates will be
entitled to receive the Available Funds Cap Carryover
Amount to the extent funds are available. The "Available
Funds Cap Carryover Amount" is the excess of (i) the
amount of interest the Class HE: A-1B ARM
Certificateholders would be entitled to receive on such
Distribution Date had interest been calculated based on
one-month LIBOR plus the Pass-Through Margin (but in no
event exceeding 14%) over (ii) the amount of interest
such Class will receive on such Distribution Date at the
Available Funds Pass-Through Rate, together with the
unpaid portion of any such excess from prior
Distribution Dates (and interest accrued thereon at the
then applicable Class HE: A-1B ARM Pass-Through Rate,
without giving effect to the Available Funds
Pass-Through Rate, but in no event exceeding 14%). The
ratings assigned to the Offered Certificates do not
address the likelihood of the payment of any Interest
Carryover Amount.
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>
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 information concerning the Initial Home Improvement Contracts
presented below is based on a pool originated through July 8, 1998. Green Tree
intends to acquire and sell Additional Home Improvement Contracts to the Trust
on the Closing Date and Subsequent Home Improvement Contracts to the Trust
thereafter. Although the characteristics of the final pool of Home Improvement
Contracts will differ from the characteristics of the Initial Home Improvement
Contracts shown below, Green Tree does not expect that the characteristics of
the Additional and Subsequent Home Improvement Contracts sold to the Trust will
vary materially from those of the Initial Home Improvement Contracts herein.
THE INITIAL HOME IMPROVEMENT CONTRACT SUB-POOL
Number of Contracts in Sub-pool: 10,550
Wgt. Avg. Contract Rate: 11.669%
Range of Rates: 6.99% - 17.50%
Wgt. Avg. Orig. Maturity: 219
Wgt. Avg. Rem. Maturity: 217
Avg. Rem. Princ. Balance: $ 19,626
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL HOME IMPROVEMENT CONTRACTS
<TABLE>
<CAPTION>
% of HI Contract % of HI Contract
Sub-Pool by Number Aggregate Principal Sub-Pool by
Number of of Balance Outstanding
State Contracts Contracts Outstanding Principal Balance
- ----- --------- --------- ----------- -----------------
<S> <C> <C> <C> <C>
CA 1,241 11.76% $ 35,945,110.82 17.36%
NY 851 8.07% 17,424,988.64 8.42%
NJ 649 6.15% 13,059,814.14 6.31%
TX 523 4.96% 12,651,649.36 6.11%
Other States* 7,286 69.06% 127,969,058.36 61.81%
------ ------- ---------------- -------
Total(1) 10,550 100.00% $ 207,050,621.32 100.00%
</TABLE>
- ------------------------
* No one State in this category constitutes more than 5% of the Sub-Pool HI
Outstanding Principal Balance.
(1) Percentages do not add to 100% due to rounding.
YEARS OF ORIGINATION OF INITIAL HOME IMPROVEMENT CONTRACTS
<TABLE>
<CAPTION>
% of HI Contract Sub-Pool
Number of Aggregate Principal by Outstanding Principal
Year of Origination Contracts Balance Outstanding Balance
- ------------------- --------- ------------------- -------
<S> <C> <C> <C>
1995 1 14,564.50 0.01%
1996 3 188,956.94 0.09%
1997 277 5,434,912.09 2.62%
1998 10,269 201,412,187.79 97.27%
------ -------------- -------
Total(1) 10,550 $207,050,621.32 100.00%
====== =============== =======
</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.
14
<PAGE>
DISTRIBUTION OF ORIGINAL INITIAL HOME IMPROVEMENT CONTRACT AMOUNTS
<TABLE>
<CAPTION>
% of HI Contract
Original HI Contract Number of Aggregate Principal Sub-Pool by Outstanding
Amount (in Dollars) Contracts Balance Outstanding Principal Balance
- ------------------- --------- ------------------- -----------------
<S> <C> <C> <C>
0 - 10,000.00 2,319 $16,028,525.91 7.74%
10,000.01 - 20,000.00 4,069 59,587,624.01 28.78%
20,000.01 - 30,000.00 2,411 58,032,827.88 28.03%
30,000.01 - 40,000.00 937 31,529,293.05 15.23%
40,000.01 - 50,000.00 489 21,134,374.56 10.21%
50,000.01 - 60,000.00 200 10,373,647.38 5.01%
60,000.01 - 70,000.00 43 2,731,754.07 1.32%
70,000.01 - 80,000.00 35 2,593,291.91 1.25%
80,000.01 - 90,000.00 15 1,267,370.86 0.61%
90,000.01 - 100,000.00 6 569,030.81 0.27%
100,000.01 - 110,000.00 5 529,160.88 0.26%
110,000.01 - 120,000.00 10 1,147,657.83 0.55%
120,000.01 - 130,000.00 6 767,461.37 0.37%
130,000.01 - 140,000.00 2 266,444.75 0.13%
140,000.01 - 150,000.00 1 145,790.00 0.07%
150,000.01 - 160,000.00 1 154,422.00 0.07%
160,000.01 - 200,000.00 1 191,944.05 0.09%
------ --------------- -------
Total(1) 10,550 $207,050,621.32 100.00%
====== =============== =======
</TABLE>
(1) Percentages do not add to 100% due to rounding.
INITIAL HOME IMPROVEMENT CONTRACT RATES
<TABLE>
<CAPTION>
% of HI Contract
Range of HI Contracts by Number of Aggregate Principal Sub-Pool by Outstanding
Contract Rates Contracts Balance Outstanding Principal Balance
- -------------- --------- ------------------- -----------------
<S> <C> <C> <C>
6.001% - 7.000% 1 29,710.20 0.01%
7.001% - 8.000% 13 462,121.87 0.22%
8.001% - 9.000% 473 9,389,055.05 4.53%
9.001% - 10.000% 1,565 36,442,427.38 17.60%
10.001% - 11.000% 2,295 50,827,910.89 24.55%
11.001% - 12.000% 1,466 31,363,844.11 15.15%
12.001% - 13.000% 1,739 32,028,836.32 15.47%
13.001% - 14.000% 1,691 24,771,593.06 11.96%
14.001% - 15.000% 1,049 16,382,402.44 7.91%
15.001% - 16.000% 210 4,243,782.03 2.05%
16.001% - 17.000% 42 960,871.71 0.46%
Greater than 17.000% 6 148,066.26 0.07%
------ -------------- -------
Total(1) 10,550 207,050,621.32 100.00%
====== ============== =======
</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.
15
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL HOME IMPROVEMENT CONTRACTS
<TABLE>
<CAPTION>
% of HI Contract Sub-Pool
Number of Aggregate Principal by Outstanding Principal
Months Remaining Contracts Balance Outstanding Balance
- ---------------- --------- ------------------- -------
<S> <C> <C> <C>
Less than 30 26 $ 127,324.88 0.06%
31 - 60 790 6,728,591.85 3.25%
61 - 90 396 3,716,249.07 1.79%
91 - 120 2,560 34,634,446.34 16.73%
121 - 150 151 2,075,293.58 1.00%
151 - 180 2,596 50,401,775.65 24.34%
181 - 210 5 112,685.75 0.05%
211 - 240 1,219 27,835,246.73 13.44%
241 - 270 4 78,753.61 0.04%
271 - 300 2,802 81,314,981.07 39.27%
301 - 360 1 25,272.79 0.01%
------ -------------- -------
Total(1) 10,550 207,050,621.32 100.00%
====== ============== =======
</TABLE>
(1) Percentages do not add to 100% due to rounding.
LIEN POSITION OF INITIAL HOME IMPROVEMENT CONTRACTS
% of HI Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Lien Position Contracts Balance Outstanding Principal Balance
- ------------- --------- ------------------- -----------------
First 849 $ 20,210,443.60 9.76%
Second 7,865 151,934,987.96 73.38%
Third 1,823 34,677,743.39 16.75%
Fourth 13 227,446.37 0.11%
------ ---------------- -------
Total(1) 10,550 $207,050,621.32 100.00%
====== =============== =======
(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.
16
<PAGE>
HOME EQUITY CONTRACTS
The Home Equity Contracts comprising Sub-Pool HE 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
"Adjustable Rate Home Equity Contracts"). All Home Equity Contracts which are
not Adjustable Rate Contracts are referred to herein as "Fixed Rate Home Equity
Contracts." The obligations of the Obligor under each Home Equity Contract are
secured by the related real estate.
The information concerning the Initial Home Equity Contracts presented
below is based on a pool originated through June 30, 1998. Green Tree intends to
acquire and sell Additional Home Equity Contracts to the Trust on the Closing
Date and Subsequent Contracts to the Trust thereafter. Although the
characteristics of the final pool of Home Equity Contracts will differ from the
characteristics of the Initial Home Equity Contracts shown below, Green Tree
does not expect that the characteristics of the Additional and Subsequent Home
Equity Contracts sold to the Trust will vary materially from those of the
Initial Home Equity Contracts herein.
THE INITIAL HOME EQUITY CONTRACT SUB-POOL
INITIAL FIXED RATE HOME EQUITY CONTRACTS
Number of Contracts in Sub-pool: 6,679
Wgt. Avg. Contract Rate: 11.384%
Range of Rates: 7.00% - 18.74%
Wgt. Avg. Orig. Maturity: 248
Wgt. Avg. Rem. Maturity: 247
Avg. Rem. Princ. Balance: $58,604.97
Wgt. Avg. CLTV: 88.16%
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL FIXED RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
% of HE Contract Sub-Pool by
Number of Sub-Pool by Number Aggregate Principal Outstanding
State Contracts of Contracts Balance Outstanding Principal Balance
- ----- --------- ------------ ------------------- -----------------
<S> <C> <C> <C> <C>
MI 435 6.51% 27,123,777.94 6.93%
CA 273 4.09% 24,053,135.17 6.15%
OH 462 6.92% 23,110,566.84 5.90%
IL 347 5.20% 20,737,309.70 5.30%
PA 365 5.46% 20,291,024.14 5.18%
Other* 4,797 71.82% 276,106,785.32 70.51%
----- ------ -------------- ------
Total(1) 6,679 100.00% 391,422,599.11 100.00%
===== ======= ============== =======
</TABLE>
- ---------------
* No one State in this category constitutes more than 5% of the Initial Fixed
Rate Home Equity Contracts 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.
17
<PAGE>
YEARS OF ORIGINATION OF INITIAL FIXED RATE HOME EQUITY CONTRACTS
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Year of Origination Contracts Balance Outstanding Principal Balance
- ------------------- --------- ------------------- -----------------
1996 3 202,992.20 0.05%
1997 108 6,346,196.11 1.62%
1998 6,568 384,873,410.80 98.33%
----- -------------- ------
Total (1)
6,679 391,422,599.11 100.00%
===== ============== =======
(1) Percentages do not add to 100% due to rounding.
INITIAL FIXED RATE HOME EQUITY CONTRACT RATES
<TABLE>
<CAPTION>
% of HE Contract
Range of HE Contracts by Number of Aggregate Principal Sub-Pool by Outstanding
Contract Rates Contracts Balance Outstanding Principal Balance
- -------------- --------- ------------------- -----------------
<S> <C> <C> <C>
6.001% - 7.000% 1 75,500.00 0.02%
7.001% - 8.000% 14 1,693,245.15 0.43%
8.001% - 9.000% 120 13,581,111.33 3.47%
9.001% - 10.000% 659 65,132,035.77 16.64%
10.001% - 11.000% 1,425 119,126,727.41 30.43%
11.001% - 12.000% 1,163 69,848,745.32 17.84%
12.001% - 13.000% 1,452 61,048,564.48 15.60%
13.001% - 14.000% 1,137 39,185,145.79 10.01%
14.001% - 15.000% 463 14,326,493.68 3.66%
15.001% - 16.000% 135 4,361,832.09 1.11%
16.001% - 17.000% 80 2,413,572.52 0.62%
17.001% - 18.000% 26 526,489.92 0.13%
18.001% - 19.000% 4 103,135.65 0.03%
----- -------------- ------
Total (1) 6,679 391,422,599.11 100.00%
===== ============== =======
</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.
18
<PAGE>
DISTRIBUTION OF ORIGINAL INITIAL FIXED RATE HOME EQUITY CONTRACT AMOUNTS
<TABLE>
<CAPTION>
% of HE Contract
Original HE Contract Number of Aggregate Principal Sub-Pool by Outstanding
Amount (in Dollars) Contracts Balance Outstanding Principal Balance
- ------------------- --------- ------------------- -----------------
<S> <C> <C> <C>
0 - 10,000.00 113 1,089,247.24 0.28%
10,000.01 - 20,000.00 1,011 15,809,596.09 4.04%
20,000.01 - 30,000.00 953 24,035,135.43 6.14%
30,000.01 - 40,000.00 770 27,207,725.69 6.95%
40,000.01 - 50,000.00 717 32,565,380.12 8.32%
50,000.01 - 60,000.00 646 35,560,722.45 9.08%
60,000.01 - 70,000.00 531 34,554,314.90 8.83%
70,000.01 - 80,000.00 431 32,219,257.24 8.23%
80,000.01 - 90,000.00 331 28,029,571.45 7.16%
90,000.01 - 100,000.00 218 20,799,044.77 5.31%
100,000.01 - 110,000.00 190 20,028,491.79 5.12%
110,000.01 - 120,000.00 165 18,938,806.60 4.84%
120,000.01 - 130,000.00 129 16,137,834.98 4.12%
130,000.01 - 140,000.00 96 12,880,843.10 3.29%
140,000.01 - 150,000.00 74 10,771,288.08 2.75%
150,000.01 - 160,000.00 58 9,010,569.05 2.30%
160,000.01 - 170,000.00 48 7,905,801.29 2.02%
170,000.01 - 180,000.00 38 6,644,424.13 1.70%
180,000.01 - 190,000.00 27 4,972,927.57 1.27%
190,000.01 - 200,000.00 23 4,491,770.72 1.15%
200,000.01 - 210,000.00 25 5,136,172.90 1.31%
210,000.01 - 220,000.00 14 3,008,535.66 0.77%
220,000.01 - 230,000.00 15 3,391,417.46 0.87%
230,000.01 - 240,000.00 8 1,870,175.84 0.48%
240,000.01 - 250,000.00 7 1,720,326.29 0.44%
250,000.01 - 260,000.00 8 2,035,561.92 0.52%
260,000.01 - 270,000.00 5 1,317,502.97 0.34%
270,000.01 - 280,000.00 6 1,640,571.68 0.42%
280,000.01 - 290,000.00 1 284,050.00 0.07%
290,000.01 - 300,000.00 3 883,400.00 0.23%
300,000.01 - 310,000.00 2 609,833.60 0.16%
310,000.01 - 320,000.00 1 315,000.00 0.08%
320,000.01 - 330,000.00 2 656,727.03 0.17%
330,000.01 - 340,000.00 1 335,350.00 0.09%
340,000.01 - 360,000.00 5 1,743,289.13 0.45%
360,000.01 - 370,000.00 2 725,574.88 0.19%
380,000.01 - 400,000.00 2 754,403.81 0.19%
400,000.01 - 440,000.00 1 408,317.35 0.10%
440,000.01 - 490,000.00 1 445,500.00 0.11%
490,000.01 - 500,000.00 1 0.12%
----- -------------- -------
488,135.90
Total(1) 6,679 391,422,599.11 100.00%
===== ============== =======
</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.
19
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL FIXED RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
- ---------------- --------- ------------------- -----------------
<S> <C> <C> <C>
Less than 31 53 1,067,655.97 0.27%
31 - 60 49 1,506,088.76 0.38%
61 - 90 411 11,710,705.41 2.99%
91 - 120 31 1,278,713.89 0.33%
121 - 150 2,396 119,695,297.49 30.58%
151 - 180 26 912,206.63 0.23%
181 - 210 2,034 119,793,281.65 30.60%
211 - 240 3 248,350.00 0.06%
241 - 270 960 65,963,312.09 16.85%
271 - 300 2 191,350.67 0.05%
331 - 360 714 69,055,636.55 17.64%
----- -------------- ------
Total(1) 6,679 391,422,599.11 100.00%
===== ============== =======
</TABLE>
(1) Percentages do not add to 100% due to rounding.
LIEN POSITION OF INITIAL FIXED RATE HOME EQUITY CONTRACTS
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Lien Contracts Balance Outstanding Principal Balance
---- --------- ------------------- -----------------
First 4,096 317,420,268.71 81.09%
Second 2,560 73,630,412.43 18.81%
Third 23 371,917.97 0.10%
----- -------------- ------
Total(1) 6,679 391,422,599.11 100.00%
===== ============== =======
(1) Percentages do not add to 100% due to rounding.
COMBINED LOAN-TO-VALUE RATIO OF INITIAL FIXED RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Combined Loan-to-Value Ratio Contracts Balance Outstanding Principal Balance
- ---------------------------- --------- ------------------- -----------------
<S> <C> <C> <C>
0.01% - 10.00% 2 32,816.00 0.01%
10.01% - 20.00% 15 330,696.60 0.08%
20.01% - 30.00% 42 1,326,892.83 0.34%
30.01% - 40.00% 50 1,547,273.47 0.40%
40.01% - 50.00% 77 2,891,909.34 0.74%
50.01% - 60.00% 123 5,366,628.33 1.37%
60.01% - 70.00% 274 13,251,632.12 3.39%
70.01% - 80.00% 857 43,710,619.46 11.17%
80.01% - 90.00% 2,286 136,504,047.32 34.87%
90.01% - 100.00% 2,896 184,732,943.59 47.20%
100.01% - 110.00% 55 1,657,187.51 0.42%
110.01% - 120.00% 2 69,952.54 0.02%
----- -------------- ------
Total(1) 6,679 391,422,599.11 100.00%
===== ============== =======
</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.
20
<PAGE>
THE INITIAL HOME EQUITY CONTRACT SUB-POOL
INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
Number of Contracts in Sub-pool: 1,115
Wgt. Avg. Contract Rate: 9.126%
Range of Rates: 6.50% - 18.99%
Wgt. Avg. Orig. Maturity: 360
Wgt. Avg. Rem. Maturity: 359
Avg. Rem. Princ. Balance: $115,631
Wgt. Avg. CLTV: 85.82%
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
% of HE Contract Sub-Pool by
Number of Sub-Pool by Number Aggregate Principal Outstanding
State Contracts of Contracts Balance Outstanding Principal Balance
- ----- --------- ------------ ------------------- -----------------
<S> <C> <C> <C> <C>
CA 110 9.87% 19,971,169.68 15.49%
WA 113 10.13% 15,391,841.33 11.94%
OH 130 11.66% 11,064,752.70 8.58%
MD 46 4.13% 7,342,514.65 5.70%
MI 92 8.25% 7,021,600.76 5.45%
Other* 624 55.96% 68,136,957.18 52.85%
--- ------ ------------- ------
Total(1) 1,115 100.00% 128,928,836.30 100.00%
===== ======= ============== =======
</TABLE>
- ---------------
* No one State in this category constitutes more than 5% of the Initial
Adjustable Rate Home Equity Contracts Outstanding Principal Balance.
(1) Percentages do not add to 100% due to rounding.
YEARS OF ORIGINATION OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Year of Origination Contracts Balance Outstanding Principal Balance
- ------------------- --------- ------------------- -----------------
1997 86 9,266,995.40 7.19%
1998 1,029 119,661,840.90 92.81%
----- -------------- ------
Total: 1,115 128,928,836.30 100.00%
====== ===== ============== =======
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.
21
<PAGE>
DISTRIBUTION OF ORIGINAL INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACT AMOUNTS
<TABLE>
<CAPTION>
% of HE Contract
Original HE Contract Number of Aggregate Principal Sub-Pool by Outstanding
Amount (in Dollars) Contracts Balance Outstanding Principal Balance
- ------------------- --------- ------------------- -----------------
<S> <C> <C> <C>
20,000.01 - 30,000.00 6 $ 160,113.82 0.12%
30,000.01 - 40,000.00 22 788,717.01 0.61%
40,000.01 - 50,000.00 48 2,202,075.36 1.71%
50,000.01 - 60,000.00 84 4,628,920.81 3.59%
60,000.01 - 70,000.00 88 5,743,751.90 4.45%
70,000.01 - 80,000.00 123 9,142,405.85 7.09%
80,000.01 - 90,000.00 75 6,363,809.93 4.94%
90,000.01 - 100,000.00 106 10,103,643.69 7.84%
100,000.01 - 110,000.00 76 7,995,751.52 6.20%
110,000.01 - 120,000.00 83 9,586,940.46 7.44%
120,000.01 - 130,000.00 67 8,377,165.82 6.50%
130,000.01 - 140,000.00 51 6,902,187.34 5.35%
140,000.01 - 150,000.00 52 7,554,107.24 5.86%
150,000.01 - 160,000.00 42 6,475,764.55 5.02%
160,000.01 - 170,000.00 20 3,293,942.62 2.55%
170,000.01 - 180,000.00 24 4,192,661.38 3.25%
180,000.01 - 190,000.00 23 4,253,808.12 3.30%
190,000.01 - 200,000.00 15 2,933,267.42 2.28%
200,000.01 - 210,000.00 11 2,265,857.31 1.76%
210,000.01 - 220,000.00 13 2,786,107.04 2.16%
220,000.01 - 230,000.00 14 3,150,810.83 2.44%
230,000.01 - 240,000.00 13 3,057,393.20 2.37%
240,000.01 - 250,000.00 8 1,972,810.64 1.53%
250,000.01 - 260,000.00 12 3,046,639.78 2.36%
260,000.01 - 270,000.00 6 1,596,980.75 1.24%
270,000.01 - 280,000.00 7 1,920,474.99 1.49%
280,000.01 - 290,000.00 4 1,140,779.87 0.88%
290,000.01 - 300,000.00 2 581,183.26 0.45%
300,000.01 - 310,000.00 5 1,523,820.15 1.18%
310,000.01 - 320,000.00 3 951,419.61 0.74%
320,000.01 - 330,000.00 3 979,993.22 0.76%
330,000.01 - 340,000.00 2 670,742.22 0.52%
340,000.01 - 350,000.00 2 690,035.85 0.54%
350,000.01 - 360,000.00 1 351,602.74 0.27%
360,000.01 - 370,000.00 1 368,100.00 0.29%
370,000.01 - 420,000.00 2 752,050.00 0.58%
420,000.01 - 430,000.00 1 423,000.00 0.33%
----- --------------- ------
Total(1) 1,115 $128,928,836.30 100.00%
===== ================ =======
</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.
22
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
- ---------------- --------- ------------------- -----------------
<S> <C> <C> <C>
151 - 180 2 249,547.55 0.19%
211 - 240 1 65,668.34 0.05%
331 - 360 1,112 128,613,620.41 99.76%
----- -------------- ------
Total 1,115 128,928,836.30 100.00%
===== ============== =======
</TABLE>
INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACT RATES
<TABLE>
<CAPTION>
% of HE Contract
Range of HE Contracts by Number of Aggregate Principal Sub-Pool by Outstanding
Contract Rates Contracts Balance Outstanding Principal Balance
- -------------- --------- ------------------- -----------------
<S> <C> <C> <C>
6.001% - 7.000% 10 2,096,310.70 1.63%
7.001% - 8.000% 194 28,024,576.67 21.74%
8.001% - 9.000% 354 42,547,332.71 33.00%
9.001% - 10.000% 299 34,072,154.75 26.43%
10.001% - 11.000% 159 14,655,115.35 11.37%
11.001% - 12.000% 47 3,971,961.18 3.08%
12.001% - 13.000% 22 1,860,370.45 1.44%
13.001% - 14.000% 20 1,111,106.36 0.86%
14.001% - 15.000% 4 326,897.10 0.25%
15.001% - 16.000% 3 157,674.15 0.12%
16.001% - 17.000% 2 72,340.57 0.06%
18.001% - 19.000% 1 32,996.31 0.03%
----- -------------- ------
Total(1) 1,115 128,928,836.30 100.00%
===== ============== =======
</TABLE>
(1) Percentages do not add to 100% due to rounding.
COMBINED LOAN-TO-VALUE RATIO OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Combined Loan-to-Value Ratio Contracts Balance Outstanding Principal Balance
- ---------------------------- --------- ------------------- -----------------
<S> <C> <C> <C>
20.01% - 30.00% 1 49,971.23 0.04%
30.01% - 40.00% 2 113,711.80 0.09%
40.01% - 50.00% 7 497,493.10 0.39%
50.01% - 60.00% 9 756,421.15 0.59%
60.01% - 70.00% 34 3,433,889.39 2.66%
70.01% - 80.00% 305 32,166,904.06 24.95%
80.01% - 90.00% 596 73,439,351.55 56.96%
90.01% - 100.00% 157 18,108,134.94 14.05%
100.01% - 110.00% 2 120,565.51 0.09%
110.01% - 120.00% 2 242,393.57 0.19%
----- -------------- ------
Total(1) 1,115 128,928,836.30 100.00%
===== ============== =======
</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.
23
<PAGE>
MONTH OF NEXT RATE ADJUSTMENT OF INITIAL ADJUSTABLE RATE HOME EQUITY 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>
1998-07 2 198,645.19 0.15%
1998-08 6 472,411.11 0.37%
1998-09 4 308,798.88 0.24%
1998-10 2 130,144.10 0.10%
1998-11 6 729,828.81 0.57%
1998-12 1 123,500.00 0.10%
1999-03 6 865,939.12 0.67%
1999-05 3 417,653.79 0.32%
1999-06 36 3,346,743.05 2.60%
1999-07 15 1,686,908.55 1.31%
1999-08 4 643,237.11 0.50%
1999-10 5 719,870.03 0.56%
1999-11 10 1,154,662.34 0.90%
1999-12 11 1,170,811.46 0.91%
2000-01 11 1,017,062.45 0.79%
2000-02 30 3,374,109.71 2.62%
2000-03 153 18,883,369.77 14.65%
2000-04 337 37,030,563.08 28.72%
2000-05 325 39,293,814.34 30.48%
2000-06 129 15,284,249.17 11.85%
2000-07 5 872,850.00 0.68%
2001-01 1 34,354.44 0.03%
2001-03 6 509,725.53 0.40%
2001-04 5 520,984.27 0.40%
2001-05 2 138,600.00 0.11%
----- -------------- ------
Total(1) 1,115 128,928,836.30 100.00%
===== ============== =======
</TABLE>
(1) Percentages do not add to 100% due to rounding
LIEN POSITION OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of HE Contract Sub-Pool
Number of Aggregate Principal by Outstanding Principal
Lien Contracts Balance Outstanding Balance
---- --------- ------------------- -------
First 1,115 128,928,836.30 100.00%
Total 1,115 128,928,836.30 100.00%
===== ============== =======
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.
24
<PAGE>
DISTRIBUTION OF GROSS MARGIN OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Contracts by Outstanding
Gross Margin (%) Contracts Balance Outstanding Principal Balance
- ---------------- --------- ------------------- -----------------
<S> <C> <C> <C>
2.001% - 4.000% 8 743,642.90 0.58%
4.001% - 6.000% 336 38,752,236.77 30.06%
6.001% - 8.000% 725 85,877,682.03 66.61%
8.001% - 10.000% 41 3,318,635.47 2.57%
10.001% - 12.000% 4 203,642.82 0.16%
12.001% - 14.000% 1 32,996.31 0.03%
----- -------------- ------
Total (1) 1,115 128,928,836.30 100.00%
===== ============== =======
</TABLE>
(1) Percentages do not add to 100% due to rounding
MAXIMUM LOAN RATE OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Contracts by Outstanding
Maximum Loan Rate Contracts Balance Outstanding Principal Balance
- ----------------- --------- ------------------- -----------------
<S> <C> <C> <C>
10.001% - 12.000% 4 714,229.28 0.55%
12.001% - 14.000% 138 19,629,881.54 15.23%
14.001% - 16.000% 620 75,420,119.37 58.50%
16.001% - 18.000% 286 27,669,414.81 21.46%
18.001% - 20.000% 56 4,876,496.44 3.78%
20.001% - 22.000% 8 513,357.98 0.40%
Greater than - 22.000% 3 105,336.88 0.08%
----- -------------- ------
Total (1) 1,115 128,928,836.30 100.00%
===== ============== =======
</TABLE>
(1) Percentages do not add to 100% due to rounding
MINIMUM LOAN RATE OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of Adjustable Rate
Number of Aggregate Principal Contracts by Outstanding
Minimum Loan Rate Contracts Balance Outstanding Principal Balance
- ----------------- --------- ------------------- -----------------
<S> <C> <C> <C>
2.001% - 4.000% 1 157,500.00 0.12%
4.001% - 6.000% 1 150,000.00 0.12%
6.001% - 8.000% 206 30,218,179.12 23.44%
8.001% - 10.000% 653 76,472,050.58 59.31%
10.001% - 12.000% 202 18,369,721.66 14.25%
12.001% - 14.000% 42 2,971,476.81 2.30%
14.001% - 16.000% 7 484,571.25 0.38%
16.001% - 18.000% 2 72,340.57 0.06%
20.001% - 20.000% 1 32,996.31 0.03%
----- -------------- ------
Total (1) 1,115 128,928,836.30 100.00%
===== ============== =======
</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.
25
<PAGE>
CPR PREPAYMENT SENSITIVITIES
FOR SUB-POOL HI CERTIFICATES
<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
HI: A - 1 1.23 01/01 0.92 05/00 0.75 01/00 0.63 10/99 0.55 08/99
HI: A - 2 3.45 04/03 2.54 01/02 2.00 04/01 1.65 11/00 1.40 06/00
HI: A - 3 5.27 08/04 3.88 01/03 3.00 01/02 2.44 05/01 2.05 11/00
HI: A - 4 6.99 10/06 5.18 09/04 4.00 05/03 3.15 05/02 2.60 08/01
HI: A - 5 9.49 10/09 7.21 02/07 5.61 04/05 4.44 12/03 3.56 12/02
HI: M - 1 12.90 06/12 9.60 08/08 7.45 04/06 5.92 09/04 4.84 08/03
HI: M - 2 13.82 06/12 9.99 08/08 7.65 04/06 6.07 09/04 4.99 08/03
HI: B - 1 6.06 03/06 4.45 04/04 3.81 05/03 3.66 01/03 3.55 10/02
To Maturity
HI: M - 1 13.22 09/14 10.19 03/11 8.07 08/08 6.49 10/06 5.27 04/05
HI: M - 2 19.39 09/23 15.79 09/23 12.87 09/23 10.56 09/23 8.75 09/23
</TABLE>
CPR PREPAYMENT SENSITIVITIES
FOR SUB-POOL HE CERTIFICATES
<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
HE: A - 1A ARM 2.20 05/01 2.08 02/01 2.03 01/01 2.01 12/00 2.01 12/00
HE: A - 1B ARM 5.62 12/11 3.67 02/08 2.61 09/05 1.95 02/04 1.49 12/02
HE: A - 1 1.64 10/01 1.22 11/00 1.00 05/00 0.86 02/00 0.77 11/99
HE: A - 2 3.94 07/03 2.75 12/01 2.13 03/01 1.76 09/00 1.51 05/00
HE: A - 3 6.92 10/07 4.25 03/04 3.08 05/02 2.45 07/01 2.05 01/01
HE: A - 4 9.66 11/08 6.35 11/05 4.00 12/02 3.00 10/01 2.48 03/01
HE: A - 5 11.03 07/10 7.86 03/07 5.18 01/05 3.45 05/02 2.74 07/01
HE: A - 6 6.08 05/10 5.39 01/07 4.76 12/04 3.96 07/03 3.17 07/02
HE: A - 7 IO 1.99 08/00 1.99 08/00 1.99 08/00 1.99 08/00 1.99 08/00
HE: M - 1 13.76 06/12 9.90 08/08 7.53 04/06 5.90 09/04 4.73 08/03
HE: M - 2 13.82 06/12 9.99 08/08 7.65 04/06 6.07 09/04 4.99 08/03
HE: B - 1 6.81 10/07 4.73 01/05 4.04 12/03 3.82 06/03 3.69 04/03
To Maturity
HE: M - 1 14.34 08/13 10.42 04/10 7.84 06/07 6.07 06/05 4.80 01/04
HE: M - 2 17.74 03/26 14.23 03/26 11.22 03/26 8.91 03/26 7.17 02/26
HE: B - 1 6.81 10/07 4.73 01/05 4.04 12/03 3.82 06/03 3.69 04/03
</TABLE>
- ---------------
* The Sub Pool HE Certificates will be priced, with respect to the Fixed Rate
Home Equity Contracts, 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 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 the twelfth
month and in each month thereafter, the conditional prepayment rate is 20%.
The Sub Pool HE Certificates will be priced, with respect to the Adjustable
Rate Home Equity Contracts, using a constant prepayment rate of 30% CPR.
The Sub Pool HI Certificates will be priced using 100% of a prepayment rate
assuming a conditional prepayment rate of 12% per annum of the then
outstanding principal balance of the Home Improvement Contracts in the
first month of the life of the Home Improvement Contracts and an additional
0.91% (precisely, 10/11%) 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 22%.
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.
26
