<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): November 16, 1998
GREEN TREE FINANCIAL CORPORATION
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in its charter)
Delaware 01-08916 41-1807858
- ---------------------------- ------------------------ -------------------
(State or other Jurisdiction (Commission File Number) (I.R.S. Employer
of incorporation) Identification No.)
1100 Landmark Towers, 345 St. Peter Street, Saint Paul, Minnesota 55102-1639
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(Address of principal executive offices)
Registrant's telephone number, including area code: (651) 293-3400
--------------
Not Applicable
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(Former name or former address, if changed since last report)
<PAGE>
ITEM 1. Changes in Control of Registrant.
- ------- --------------------------------
Not applicable.
ITEM 2. Acquisition or Disposition of Assets.
- ------- ------------------------------------
Not applicable
ITEM 3. Bankruptcy or Receivership.
- ------- --------------------------
Not applicable
ITEM 4. Changes in Registrant's Certifying Accounting.
- ------- ---------------------------------------------
Not applicable
ITEM 5. Other Events.
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Not applicable.
ITEM 6. Resignations of Registrant's Directors.
- ------- --------------------------------------
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 Term Sheet distributed in connection with
Certificates for Home Improvement and Home
Equity Loans, Series 1998-E, issued by Green
Tree Financial Corporation, as Seller and
Servicer.
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
Date: November 17, 1998 GREEN TREE FINANCIAL CORPORATION
By: /s/ Scott T. Young
_____________________________
Scott T. Young
Senior Vice President and Controller
3
<PAGE>
INDEX TO EXHIBITS
Exhibit
-------
Number
------
99 Term Sheet distributed in connection with
Certificates for Home Improvement and Home
Equity Loans, Series 1998-E, issued by
Green Tree Financial Corporation, as Seller
and Servicer.
4
<PAGE>
EXHIBIT 99
TERM SHEET DATED NOVEMBER 16, 1998
Green Tree Financial Corporation
Certificates for Home Improvement and Home Equity Loans, Series 1998-E
$1,293,500,000 (Approximate)
Subject to Revision
SELLER/SERVICER: Green Tree Financial Corporation ("Green Tree")
TRUSTEE: U.S. Bank Trust National Association
UNDERWRITERS: Credit Suisse First Boston (Lead Manager), Chase
Securities Inc., First Union Capital Markets, Lehman
Brothers and Merrill Lynch (all Co-Managers)
OFFERED CERTIFICATES:
<TABLE>
<CAPTION>
Ratings WAL at 100% of Expected
Amount Tranche Type (Moody's/Fitch) Prepay. Model(3) Maturity
-------------- --------------- -------------- --------------- --------
<S> <C> <C> <C> <C> <C>
To Call*:
HE: A-1A NAS $ 30,000,000 Fixed NAS Aaa / AAA 2.07 5/01
HE: A-1B ARM 245,000,000 ARM Aaa / AAA 2.63 5/06
HE: A-1 330,000,000(1) Floater PT Aaa / AAA 2.74 5/06
HE: A-2 135,150,000 Fixed SEQ Aaa / AAA 0.95 8/00
HE: A-3 48,330,000 Fixed SEQ Aaa / AAA 2.00 4/01
HE: A-4 146,520,000 Fixed SEQ Aaa / AAA 4.61 5/06
HE A-5 IO 82,500,000(2) IO Aaa / AAA 2.02 12/00
HE: M-1 66,000,000 Fixed Mezzanine Aa2 / AA 5.06 5/06
HE: M-2 55,000,000 Fixed Mezzanine A2 / A+ 5.04 5/06
HE BALANCE $1,056,000,000
--------------
To Maturity:
HE: A - 1B ARM $ 245,000,000 ARM Aaa / AAA 2.82 7/14
HE: A - 1 330,000,000(1) Floater PT Aaa / AAA 2.97 2/14
HE: A - 4 146,520,000 Fixed SEQ Aaa / AAA 5.09 12/13
HE: M - 1 66,000,000 Fixed Mezzanine Aa2 / AA 5.59 6/12
HE: M - 2 55,000,000 Fixed Mezzanine A2 / A+ 5.51 5/11
<CAPTION>
Ratings WAL at 100% of Expected
Amount Tranche Type (Moody's/Fitch) Prepay. Model(3) Maturity
-------------- --------------- -------------- --------------- --------
<S> <C> <C> <C> <C> <C>
To Call*:
HI: A-1 $ 113,500,000 Fixed SEQ Aaa / AAA 0.95 12/00
HI: A-2 40,860,000 Fixed SEQ Aaa / AAA 2.50 12/01
HI: A-3 40,640,000 Fixed SEQ Aaa / AAA 4.15 7/04
HI: M-1 17,500,000 Fixed Mezzanine Aa2 / AA 6.62 5/06
HI: M-2 12,500,000 Fixed Mezzanine A2 / A 7.44 5/06
HI: B-1 12,500,000 Subordinate Baa2/ BBB 3.97 1/04
HI BALANCE $ 237,500,000
--------------
To Maturity:
HI: M-1 17,500,000 Fixed Mezzanine Aa2 / AA 6.68 12/06
HI: M-2 12,500,000 Fixed Mezzanine A2 / A 10.43 11/13
HI: B-1 12,500,000 Subordinate Baa2/ BBB 3.97 01/04
</TABLE>
OTHER CERTIFICATES: The Class HI: B-2 Certificates of $12,500,000 and
Class HE: B Certificates of $44,000,000 are not
offered hereby. They will initially be retained by
the Seller or an affiliate thereof.
* Run to 10% Call
- -----------------
(1) Interest will be based on a swap agreement.
(2) Interest will accrue at 6.75% on a notional principal amount which will
equal $82,500,000 (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-5 IO Certificates are interest-only Certificates and
are not entitled to receive distributions of principal.
(3) The Sub Pool HE Certificates will be priced, with respect to the Fixed Rate
Home Equity Contracts, using 125% of the Base Prepayment Assumption (or
"100% of Prepayment Model"). 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 1.09% (precisely 12/11%) 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 24%
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
CUT-OFF DATE: Sub-Pool HI: October 31, 1998 (or the date of origination,
if later) Sub-Pool HE: September 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.
EXPECTED PRICING: Monday, November 16, 1998 or Tuesday, November 17, 1998.
EXPECTED
SETTLEMENT: December 7, 1998 (the actual date of closing, the "Closing
Date").
PAYMENT DATE: The 15th day of each month (or if such 15th day is not a
business day, the next succeeding business day) commencing
on January 15, 1999.
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: The Class HE: A (excluding the Class HE: A-1) and Class HI:
A Certificates are ERISA eligible. Other classes may not be
ERISA eligible.
TAX STATUS--
REMIC: The Trust will contain 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.
TAX STATUS--
GRANTOR TRUST: The Class HE: A-1 Certificates will represent individual
ownership interests in a grantor trust consisting of (1) the
Class HE: A-1 Underlying REMIC Certificates issued by the
Trust (which are not offered hereby) and (2) a swap
agreement between the Trust and Credit Suisse Financial
Products (the "Swap Counterparty") pursuant to which
agreement (the "Swap Agreement") the Swap Counterparty will
be entitled to receive the fixed rate of interest paid to
the grantor trust in respect of the Class HE: A-1 Underlying
REMIC Certificates and will be obligated to pay to the
grantor trust interest based on one-month LIBOR plus [ %]
for the Class HE: A-1 Certificates for a period of 15 years
from the Closing Date and subject to a maximum rate of 14%.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
OPTIONAL
REDEMPTION: 10% optional clean-up 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 that are
substantially similar to the related group of original
contracts.
HOME EQUITY CERTIFICATE STRUCTURE
CREDIT
ENHANCEMENT: Class HE: A: 19.0% subordination (Class HE: M-1, HE: M-2,
4.0% Reserve Account and Class HE: B) &
Residual (Class HE: C)
Class HE: M-1: 13.0% subordination (Class HE: M-2, Reserve
Account and Class HE: B) & Residual
(Class HE: C)
Class HE: M-2: 8.0% subordination (Reserve Account and
Class HE: B) & 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 Fixed Rate
Home Equity Contracts consist of Group I Home Equity
Contracts and Group II Home Equity Contracts. Each Group I
Home Equity Contract, together with any other loan having a
prior mortgage, has an original principal balance of no more
than $227,150. Group II Contracts are all Fixed Rate Home
Equity Contracts designated as Group II Contracts (without
regard to whether or not they conform to such balance
limitation).
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 that are Fixed Rate Group I Home Equity
Contracts, (ii) paid in respect of the Class HE: A-2
Certificates in the case of amounts which had been allocated
to fund the purchase of Subsequent Home Equity Contracts
that are Fixed Rate Group II Home Equity Contracts and (iii)
paid in respect of the Class
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
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 Certificateholders, then the Reserve Fund, then
the Class HE: M-2 Certificateholders and then the Class HE:
M-1 Certificateholders. On the Closing Date approximately
$44,000,000 will be deposited in a Reserve Account pursuant
to a loan to the Trust funded on the Closing Date by one or
more third-party lenders (the "Reserve Account Lenders").
Amounts will be withdrawn from the Reserve Account for
payment of principal of the Class HE: A Certificates and the
Class HE: M Certificates to the extent that Liquidation
Losses on the Home Equity Contracts exceed the level of
support provided by the Class HE: B Certificates.
INTEREST
(Class HE: A,
M-1, M-2): Interest will be distributable first to each Class of Class
HE: A Certificates concurrently, then to the Class HE: M-1
Certificates and then to the Class HE: M-2 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-5 IO Certificates). Interest will be calculated on the
Class HE: A-5 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) $82,500,000
(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-5 IO Certificates are entitled
to receive interest payments only through the Payment Date
in December 2000. Interest will initially accrue from the
Closing 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-1 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-1
Certificates will be floating and equal one-month LIBOR plus
a fixed margin (the "Class A-1 Pass-Through Margin") until
the Distribution Date in December 2013 but in no event will
exceed 14%. The Pass-Through Rate after that date will equal
that on the Class HE: A-1 Underlying REMIC Certificates
which will be calculated on a 30/360 basis. On the Payment
Date on which the principal balance of the Home Equity
Contracts and the Home Improvement Contracts is less than
10% of the Principal Balance as of the Cut-off Date, the
Pass-Through Rate on the Class HE: A-1 Certificates will
increase by 0.25% and the Class HE: A-1 Underlying REMIC
Certificates will increase by an equivalent amount (after
adjusting for interest calculation basis) and will remain at
that rate thereafter.
The Class HE: A-1 Underlying REMIC Certificates, which are
not offered hereby, will bear interest (payable to the Swap
Counterparty) at a rate to be determined, which may be
variable.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
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 Class A-1B ARM
Pass-Through Margin;
ii. the Available Funds Pass-Through Rate;
or
iii. 14.00%.
The Class A-1B ARM 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 will increase by 0.25%
per annum on the 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, as applicable, will accrue from
the Closing 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-1 Certificates
(until December 2013) and 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.
After the payment of all interest distributable to
Class HE: A, Class HE: M-1 and Class HE: M-2
Certificateholders, interest accrued on the loan used
to fund the Reserve Account in excess of investment
earnings on the Reserve Account will be distributed to
the Reserve Account Lenders.
CLASS HE: A
PRINCIPAL: The remaining Amount Available shall be distributed as
principal as follows: The Class HE: A-1A NAS
Certificateholders and the Class HE: A-1B ARM
Certificateholders will be entitled to receive an
amount equal to the Class HE: A-1A NAS Percentage and
the Class HE: A-1B ARM Percentage, respectively, of the
Sub-Pool HE ARM Formula Principal Distribution Amount.
The Class HE: A-1 Certificateholders will be entitled
to receive an amount equal to the Class HE: A-1 Portion
of the Sub-Pool HE Group I Formula Principal
Distribution Amount. The Class A Portion of the
Sub-Pool HE Group II Formula Principal Distribution
Amount will be distributed first to the Class HE: A-2
Certificateholders until the Class HE: A-2
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
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
the Class HE: A-4 Certificateholders until the Class
HE: A-4 Principal Balance has been reduced to zero.
The "Sub-Pool HE Group I Formula Principal Distribution
Amount" will generally be equal to (A) the sum of (i)
all scheduled payments of principal due on each
outstanding Group I Home Equity Contract during the
related Due Period, (ii) the Scheduled Balance of each
Group I 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 Group I Home Equity Contracts, (iv) the
scheduled principal balance of each Group I Home Equity
Contract that became a liquidated contract during such
related Due Period, (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 Principal
Balance has been reduced to zero, or (b) such amount
was not covered by a Class HE: B Guaranty Payment and
corresponding reduction in the Class HE: B Principal
Balance, and (vi) on any Payment Date on or after the
Payment Date on which the Class HE: A-2, A-3, and A-4
Certificates have been paid in full, the Class HE: A
Portion of the Sub-Pool HE: Group II Formula Principal
Distribution Amount less the amount, if any,
distributed in payment of the Class HE: A-2, A-3 and
A-4 Certificates on such Payment Date.
The "Sub-Pool HE Group II Formula Principal
Distribution Amount" will generally be equal to (A) the
sum of (i) all scheduled payments of principal due on
each outstanding Group II Home Equity Contract during
the related Due Period, (ii) the Scheduled Balance of
each Group II 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 Group II Home Equity Contracts,
(iv) the scheduled principal balance of each Group II
Home Equity Contract that became a liquidated contract
during such related Due Period, (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 Principal Balance has been reduced to zero, or
(b) such amount was not covered by a Class HE: B
Guaranty Payment and corresponding reduction in ithe
Class HE: B Principal Balance, and (vi) on any Payment
Date on or after the Payment Date on which the Class
HE: A-1 Certificates have been paid in full, the Class
HE: A-1 Portion of the Sub-Pool HE: Group I Formula
Principal Distribution Amount less the amount, if any,
distributed in payment of the Class HE: A-1
Certificates on such Payment Date.
The "Sub-Pool HE Formula Principal Distribution Amount"
will be equal to the sum of the Sub-Pool HE Group I
Formula Principal Distribution Amount and the Sub-Pool
HE Group II Formula Principal Distribution Amount.
The Class HE: A-1 Portion of the Sub-Pool HE Group I
Formula Principal Distribution Amount means 100% prior
to the Subordinate Cross-Over Date or if a Subordinate
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
Principal Distribution Test has not been met. On and
after the Subordinate Cross-Over Date (assuming each
Subordinate Distribution Test has been met), the
Sub-Pool HE Group I Formula Principal Distribution
Amount means the Sub-Pool HE Group I Formula Principal
Distribution Amount less the Sub-Pool HE Group I's pro
rata share of the Class HE: M-1 Formula Principal
Distribution Amount, the Class HE: M-2 Formula
Principal Distribution Amount and the Class HE: B
Formula Principal Distribution Amount.
The Class HE: A Portion of the Sub-Pool HE Group II
Formula Principal Distribution Amount means 100% prior
to the Subordinate Cross-Over Date or if a Subordinate
Principal Distribution Test has not been met. On and
after the Subordinate Cross-Over Date (assuming each
Subordinate Distribution Test has been met), the
Sub-Pool HE Group II Formula Principal Distribution
Amount means the Sub-Pool HE Group II Formula Principal
Distribution Amount less the Sub-Pool HE Group II's pro
rata share of the Class HE: M-1 Formula Principal
Distribution Amount, the Class HE: M-2 Formula
Principal Distribution Amount and the Class HE: B
Formula Principal Distribution Amount.
The "Sub-Pool HE: ARM Formula Principal Distribution
Amount" on or before the Payment Date on which the
Class HE: A-1A NAS 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 and A-4 Certificates have been paid in full, (a)
the sum of the Sub-Pool HE Group I Formula Principal
Distribution Amount and the Sub-Pool HE Group II
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 and A-4 Certificates on
such Payment Date.
The Class HE: A-1A NAS Percentage for any Payment Date
will be (i) 0% prior to the Payment Date in September
2000 (unless the Class HE: A-1B ARM Principal Balance
has been reduced to zero), (ii) 90% on the Payment Date
in September 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 NAS 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 NAS
Percentage.
The Class HE: A-5 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 be entitled to
receive, as payments of principal, the Class HE: M-1
Formula Principal Distribution Amount, until the Class
HE: M-1 Principal Balance has been reduced to zero.
The Class HE: M-1 Formula Principal Distribution Amount
will equal, on any Payment Date on which each Class HE:
Subordinate Principal Distribution Test is satisfied
and if such Payment Date is after the Class HE:
Subordinate Cross-over Date, the excess of (a) the sum
of the Class HE: B Adjusted Principal Balance, any
amount on deposit in the Reserve Account, the Class HE:
M-2 Adjusted Principal Balance and the Class HE: M-1
Adjusted Principal Balance over (b) the product of 38%
and the Pool Scheduled Principal Balance of Sub-Pool HE
as of the such Payment Date; or on any date after the
Class A-4 Cross-over Date, the Sub-Pool HE Formula
Principal Distribution Amount less the sum of the Class
HE: M-2 Formula Principal Distribution Amount and the
HE: B Formula Principal Distribution Amount.
The Class HE Subordinate Principal Distribution Tests
are as follows:
(i) the Sub-Pool HE Average Sixty-Day
Delinquency Ratio with respect to
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
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 sum of the Class HE: B Principal
Balance and the amounts on deposit in
the Reserve Account 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 16%.
The Class HE: Subordinate Cross-over Date is the
earlier of (a) the date on which both the Class HE: A-4
Certificates and the Class HE: A-1 Certificates have
been paid in full and (b) the first Payment Date on or
after the Payment Date occurring in January 2002.
CLASS HE: M-2
PRINCIPAL: The Class HE: M-2 Certificateholders will be entitled
to receive, as payments of principal, the Class HE: M-2
Formula Principal Distribution Amount, until the Class
HE: M-2 Principal Balance has been reduced to zero.
The Class HE: M-2 Formula Principal Distribution Amount
will equal, on any Payment Date on which each Class HE:
Subordinate Principal Distribution Test is satisfied
and if such Payment Date is after the Class HE:
Subordinate Cross-over Date, the excess of (a) the sum
of the Class HE: B Adjusted Principal Balance, any
amount on deposit in the Reserve Account and the Class
HE: M-2 Adjusted Principal Balance over (b) the product
of 26% and the Pool Scheduled Principal Balance of
Sub-Pool HE as of such Payment Date; or on any date
after the Class M-1 Cross-over Date, the Sub-Pool HE
Formula Principal Distribution Amount less the Class
HE: B Formula Principal Distribution Amount.
LIQUIDATION LOSS
INTEREST: Liquidation Loss Interest will be distributable first
to the Class HE: M-1 Certificates and then to the Class
HE: M-2 Certificates. Interest on the outstanding Class
HE: M-1 Liquidation Loss Principal Amount and Class HE:
M-2 Liquidation Loss Principal Amount, as applicable,
will accrue from the Payment Date on which a
Liquidation Loss Amount was realized to but excluding
the following Payment Date.
CLASS HE: B
INTEREST: After payment of all interest and principal due on the
Class HE: A, Class HE: M-1, Class HE: M-2 Certificates
and Reserve Account Fee, interest will be paid to the
Class HE: B Certificateholders in an amount equal to
the product of (a) the Class HE: B Pass-Through Rate
and (b) the then outstanding Class HE: B Principal
Balance (less the Class HE: B Liquidation Loss
Principal Amount, if any). The Class HE: B Limited
Guaranty will be available to pay interest to the Class
HE: B Certificateholders if the Class HE: B Remaining
Amount Available is not sufficient. Interest will
initially accrue from the Closing 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
Pass-Through Rate, to the extent legally permissible.
CLASS HE: B
PRINCIPAL: Except as described below, the Class HE: B
Certificateholders will not receive principal payments
until the Reserve Account balance has been reduced to
zero. At that time, if each Class HE: Subordinate
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-1 and the Class HE: M-2 Distribution Amounts and
any amounts
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
actually paid under the Class HE: B Limited
Guaranty, the Class HE: B Certificateholders will be
entitled to receive, as payments of principal, the
Class HE: B Formula Principal Distribution Amount,
until the Class HE: B Principal Balance has been
reduced to zero. The Class HE: B Formula Principal
Distribution Amount will equal (a) on any Payment Date
as of which the Class HE: A and Class HE: M Principal
Balances have not been to reduced to zero, the lesser
of (i) the excess of the Class HE: B Adjusted Principal
Balance over $5,500,000 and (ii) the excess of the
Class HE: B Adjusted Principal Balance over the product
of 16% and the Pool Scheduled Principal Balance of Sub
Pool HE, and (b) on any other Payment Date, the
Sub-Pool HE Formula Principal Distribution Amount. The
Class HE: B Adjusted Principal Balance, as of any
Payment Date, is the Class HE: B Principal Balance as
of that Payment Date minus any Class HE: B Liquidation
Loss Principal Amount as of the prior Payment Date.
On each Payment Date, the Class HE: B
Certificateholders will also be entitled to receive,
pursuant to the Class HE: B Limited Guaranty, the Class
HE: B Liquidation Loss Principal Amount until the Class
HE: B Principal Balance has been reduced to zero.
CLASS HE: B
LIMITED GUARANTY: The Class HE: B Limited Guaranty will be available to
pay the Class HE: B Liquidation Loss Principal Amount
and the Class HE: B Distribution Amount. The Class HE:
B 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 Interest
Limitation Amount to the extent funds are available.
The "Available Funds Interest Limitation 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.
HOME IMPROVEMENT CERTIFICATE STRUCTURE
CREDIT ENHANCEMENT: Class HI: A: 22% subordination (Class HI: M-1, HI: M-2,
HI: B-1 and HI: B-2) & Residual (Class HI: C)
Class HI: M-1: 15% subordination (Class HI: M-2, HI: B-1
and HI: B-2) & Residual (Class HI: C)
Class HI: M-2: 10% subordination (Class HI: B-1 and HI: B-2)
& Residual (Class HI: C)
Class HI: B-1: 5% 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
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
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 Balances of such Liquidated Contracts 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 Certificateholders.
INTEREST
(Class HI: A, M-1,
M-2, B-1): Interest will be distributable first to the Class HI: A
Certificates, 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 initially
accrue from the Closing 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 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.
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.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
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 Class HI: A 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:
A-1 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 January
2002 (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.
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 lesser of (i) the Class HI: B Percentage of
the Sub-Pool HI Formula Principal Distribution Amount and
(ii) the excess of (a) the sum of (x) HI: B-1 Principal
Balance and (y) HI: B-2
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
Principal Balance over (b) $1,250,000, 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 20%.
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.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<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 September 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.
INITIAL FIXED RATE GROUP I HOME EQUITY CONTRACTS
Number of Contracts: 2,262
Wgt. Avg. Contract Rate: 11.118%
Range of Rates: 7.000% - 18.200%
Wgt. Avg. Orig. Maturity: 257.96
Wgt. Avg. Rem. Maturity: 257.50
Avg. Rem. Princ. Balance: $62,226.82
Wgt. Avg. CLTV: 88.11%
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL FIXED RATE GROUP I HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of Group I % of Group I
Contracts by Contracts by
Number of Number of Aggregate Principal Outstanding
State Contracts Contracts Balance Outstanding Principal Balance
- ----- --------- --------- --------------- -----------------
<S> <C> <C> <C> <C>
CA 140 6.19% $ 10,839,400.30 7.70%
IL 138 6.10% 8,905,600.68 6.33%
OH 155 6.85% 8,750,260.10 6.22%
MI 124 5.48% 7,444,626.33 5.29%
PA 110 4.86% 7,121,358.00 5.06%
Other* 1,595 70.51% 97,695,821.12 69.41%
----- ------ --------------- ------
Total(1) 2,262 100.00% $140,757,066.53 100.00%
===== ====== =============== ======
</TABLE>
- ---------------
* No one State in this category constitutes more than 5% of the Initial Fixed
Rate Group I Home Equity Contracts Outstanding Principal Balance.
(1) Percentages do not add to 100% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
YEAR OF ORIGINATION OF INITIAL FIXED RATE GROUP I HOME EQUITY CONTRACTS
% of Group I Contracts
Number of Aggregate Principal by Outstanding
Year of Origination Contracts Balance Outstanding Principal Balance
- ------------------- --------- ------------------- -----------------
1987 1 $14,054.92 0.01%
1996 2 31,379.19 0.02%
1997 26 824,574.64 0.59%
1998 2,233 139,887,057.78 99.38%
----- -------------- ------
Total (1)
2,262 $140,757,066.53 100.00%
===== =============== =======
(1) Percentages do not add to 100% due to rounding.
INITIAL FIXED RATE GROUP I HOME EQUITY CONTRACT RATES
% of Group I Contracts
Number of Aggregate Principal by Outstanding
Contract Rates Contracts Balance Outstanding Principal Balance
- -------------- --------- ------------------- -----------------
6.001% - 7.000% 1 $ 53,200.00 0.04%
7.001% - 8.000% 8 1,087,636.89 0.77%
8.001% - 9.000% 61 6,588,861.23 4.68%
9.001% - 10.000% 279 26,505,510.84 18.83%
10.001% - 11.000% 567 49,508,948.71 35.17%
11.001% - 12.000% 385 23,211,999.50 16.49%
12.001% - 13.000% 432 17,146,823.56 12.18%
13.001% - 14.000% 322 10,338,580.32 7.34%
14.001% - 15.000% 131 4,138,327.86 2.94%
15.001% - 16.000% 45 1,372,339.98 0.97%
16.001% - 17.000% 23 640,792.73 0.46%
Greater Than 17.000% 8 164,044.91 0.12%
----- --------------- ------
Total (1) 2,262 $140,757,066.53 100.00%
===== =============== ======
(1) Percentages do not add to 100% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
DISTRIBUTION OF INITIAL FIXED RATE GROUP I HOME EQUITY ORIGINAL CONTRACT AMOUNTS
% of Group I
Contracts by
Original Contract Number of Aggregate Principal Outstanding
Amount (in Dollars) Contracts Balance Outstanding Principal Balance
------------------- --------- ------------------- -----------------
0.00 - 10,000.00 24 $ 232,246.15 0.16%
10,000.01 - 20,000.00 310 4,851,803.31 3.45%
20,000.01 - 30,000.00 311 7,740,238.48 5.50%
30,000.01 - 40,000.00 237 8,318,822.39 5.91%
40,000.01 - 50,000.00 200 9,051,240.23 6.43%
50,000.01 - 60,000.00 219 12,114,869.88 8.61%
60,000.01 - 70,000.00 199 12,943,512.22 9.20%
70,000.01 - 80,000.00 163 12,247,894.21 8.70%
80,000.01 - 90,000.00 118 10,043,556.56 7.14%
90,000.01 - 100,000.00 84 7,958,331.04 5.65%
100,000.01 - 110,000.00 66 6,970,592.30 4.95%
110,000.01 - 120,000.00 76 8,773,488.07 6.23%
120,000.01 - 130,000.00 56 6,985,040.24 4.96%
130,000.01 - 140,000.00 40 5,389,344.80 3.83%
140,000.01 - 150,000.00 44 6,409,781.96 4.55%
150,000.01 - 160,000.00 25 3,861,594.82 2.74%
160,000.01 - 170,000.00 14 2,287,794.00 1.63%
170,000.01 - 180,000.00 23 3,991,969.45 2.84%
180,000.01 - 190,000.00 12 2,219,652.33 1.58%
190,000.01 - 200,000.00 22 4,333,091.16 3.08%
200,000.01 - 210,000.00 8 1,643,284.29 1.17%
210,000.01 - 220,000.00 9 1,942,718.64 1.38%
220,000.01 - 230,000.00 2 446,200.00 0.32%
----- --------------- ------
Total(1) 2,262 $140,757,066.53 100.00%
===== =============== ======
(1) Percentages do not add to 100% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL FIXED RATE GROUP I HOME EQUITY
CONTRACTS
% of Group I
Contracts by
Number of Aggregate Principal Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
- ---------------- --------- ------------------- -----------------
31 - 60 19 $ 324,744.56 0.23%
61 - 90 10 215,562.77 0.15%
91 - 120 138 3,798,261.68 2.70%
121 - 150 10 413,510.08 0.29%
151 - 180 686 37,046,906.84 26.32%
181 - 210 5 216,006.76 0.15%
211 - 240 715 42,409,122.43 30.13%
241 - 270 4 195,250.00 0.14%
271 - 300 315 22,960,657.76 16.31%
331 - 360 360 33,177,043.65 23.57%
--- --- --- --------------- ------
Total(1) 2,262 $140,757,066.53 100.00%
===== =============== =======
(1) Percentages do not add to 100% due to rounding.
COMBINED LOAN-TO-VALUE RATIO OF INITIAL FIXED RATE GROUP I HOME EQUITY CONTRACTS
% of Group I
Contracts by
Number of Aggregate Principal Outstanding
Combined Loan-to-Value Ratio Contracts Balance Outstanding Principal Balance
- ---------------------------- --------- ------------------- -----------------
0.01% - 10.00% 1 $ 39,000.00 0.03%
10.01% - 20.00% 6 132,221.69 0.09%
20.01% - 30.00% 15 336,911.21 0.24%
30.01% - 40.00% 16 393,225.93 0.28%
40.01% - 50.00% 37 1,324,531.47 0.94%
50.01% - 60.00% 40 1,561,766.32 1.11%
60.01% - 70.00% 84 4,300,503.84 3.06%
70.01% - 80.00% 301 16,536,531.85 11.75%
80.01% - 90.00% 775 49,637,693.47 35.26%
Greater Than 90.00% 987 66,494,680.75 47.24%
--- --------------- ------
Total(1) 2,262 $140,757,066.53 100.00%
=======
(1) Percentages do not add to 100% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
LIEN POSITION OF INITIAL FIXED RATE GROUP I HOME EQUITY CONTRACTS
% of Group I Contracts
Number of Aggregate Principal by Outstanding
Lien Contracts Balance Outstanding Principal Balance
- ---- --------- ------------------- -----------------
First 1,477 $120,169,110.27 85.37%
Second 785 20,587,956.26 14.63%
Total(1) 2,262 $140,757,066.53 100.00%
===== =============== ======
(1) Percentages do not add to 100% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
INITIAL FIXED RATE GROUP II HOME EQUITY CONTRACTS
Number of Contracts: 2,230
Wgt. Avg. Contract Rate: 11.179%
Range of Rates: 7.550% - 17.700%
Wgt. Avg. Orig. Maturity: 255.46
Wgt. Avg. Rem. Maturity: 254.93
Avg. Rem. Princ. Balance: $63,118.05
Wgt. Avg. CLTV: 89.03%
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL FIXED RATE GROUP II HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of Group II % of Group II
Contracts by Contracts by
Number of Number of Aggregate Principal Outstanding Principal
State Contracts Contracts Balance Outstanding Balance
- ----- --------- --------- ------------------- -------
<S> <C> <C> <C> <C>
CA 209 9.37% $ 20,090,154.67 14.27%
Other* 2,021 90.63% 120,663,091.11 85.73%
----- ------ -------------- -----
Total(1) 2,230 100.00% $140,753,245.78 100.00%
===== ======= =============== ======
</TABLE>
- ---------------
* No one State in this category constitutes more than 5% of the Initial Fixed
Rate Home Equity Group II Contracts Outstanding Principal Balance.
(2) Percentages do not add to 100% due to rounding.
YEAR OF ORIGINATION OF INITIAL FIXED RATE GROUP II HOME EQUITY CONTRACTS
% of Group II
Contracts by
Number of Aggregate Principal Outstanding Principal
Year of Origination Contracts Balance Outstanding Balance
- ------------------- --------- ------------------- ---------------------
1995 1 $11,814.32 0.01%
1996 1 21,750.28 0.02%
1997 34 1,095,449.98 0.78%
1998 2,194 139,624,231.20 99.20%
----- -------------- ------
Total (1)
2,230 $140,753,245.78 100.00%
===== =============== =======
(1) Percentages do not add to 100% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
INITIAL FIXED RATE GROUP II HOME EQUITY CONTRACT RATES
% of Group II
Contracts by
Number of Aggregate Principal Outstanding
Contract Rates Contracts Balance Outstanding Principal Balance
- -------------- --------- ------------------- -----------------
7.001% - 8.000% 5 $ 744,793.98 0.53%
8.001% - 9.000% 63 8,388,868.96 5.96%
9.001% - 10.000% 241 25,409,761.24 18.05%
10.001% - 11.000% 503 45,950,704.34 32.65%
11.001% - 12.000% 374 22,910,288.48 16.28%
12.001% - 13.000% 438 17,950,001.52 12.75%
13.001% - 14.000% 365 12,704,850.46 9.03%
14.001% - 15.000% 158 4,499,336.25 3.20%
15.001% - 16.000% 43 1,161,472.70 0.83%
16.001% - 17.000% 30 865,040.33 0.61%
Greater Than 17.000% 10 168,127.52 0.12%
---- --------------- -------
Total (1) 2,230 $140,753,245.78 100.00%
===== =============== =======
(1) Percentages do not add to 100% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
DISTRIBUTION OF INITIAL FIXED RATE GROUP II HOME EQUITY ORIGINAL CONTRACT
AMOUNTS
<TABLE>
<CAPTION>
Aggregate Principal % of Group II Contracts
Original Contract Number of Balance by Outstanding
Amount (in Dollars) Contracts Outstanding Principal Balance
- ------------------- --------- ----------- -----------------
<S> <C> <C> <C>
0.01 - 10,000.00 38 377,470.90 0.27%
10,000.01 - 20,000.00 316 4,899,766.23 3.48%
20,000.01 - 30,000.00 328 8,286,542.49 5.89%
30,000.01 - 40,000.00 248 8,800,595.14 6.25%
40,000.01 - 50,000.00 216 9,723,048.01 6.91%
50,000.01 - 60,000.00 216 11,842,892.18 8.41%
60,000.01 - 70,000.00 155 10,090,827.31 7.17%
70,000.01 - 80,000.00 139 10,448,853.57 7.42%
80,000.01 - 90,000.00 117 9,920,077.02 7.05%
90,000.01 - 100,000.00 92 8,756,545.86 6.22%
100,000.01 - 110,000.00 69 7,291,668.56 5.18%
110,000.01 - 120,000.00 53 6,128,109.23 4.35%
120,000.01 - 130,000.00 46 5,749,912.09 4.09%
130,000.01 - 140,000.00 32 4,304,579.90 3.06%
140,000.01 - 150,000.00 25 3,622,313.63 2.57%
150,000.01 - 160,000.00 16 2,849,676.60 1.77%
160,000.01 - 170,000.00 18 2,975,802.14 2.11%
170,000.01 - 180,000.00 13 2,256,083.92 1.60%
180,000.01 - 190,000.00 7 1,302,680.00 0.93%
190,000.01 - 200,000.00 12 2,348,002.29 1.67%
200,000.01 - 210,000.00 7 1,442,550.00 1.02%
210,000.01 - 220,000.00 12 2,581,179.40 1.83%
220,000.01 - 230,000.00 7 1,583,004.49 1.12%
230,000.01 - 240,000.00 8 1,889,409.79 1.34%
240,000.01 - 250,000.00 5 1,196,060.56 0.85%
250,000.01 - 260,000.00 7 1,787,420.34 1.27%
260,000.01 - 270,000.00 4 1,050,321.15 0.75%
270,000.01 - 280,000.00 3 824,750.00 0.59%
280,000.01 - 290,000.00 5 1,434,299.79 1.02%
290,000.01 - 300,000.00 4 1,168,350.00 0.83%
300,000.01 - 310,000.00 1 306,850.00 0.22%
310,000.01 - 320,000.00 2 628,510.00 0.45%
320,000.01 - 330,000.00 3 980,893.19 0.70%
330,000.01 - 340,000.00 1 332,000.00 0.24%
340,000.01 - 350,000.00 1 343,900.00 0.24%
350,000.01 - 360,000.00 1 354,300.00 0.25%
370,000.01 - 380,000.00 1 370,500.00 0.26%
400,000.01 - 410,000.00 1 405,000.00 0.29%
450,000.01 - 460,000.00 1 458,500.00 0.33%
----- --------------- -------
Total(1) 2,230 $140,753,245.78 100.00%
===== =============== =======
</TABLE>
(1) Percentages do not add to 100% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL FIXED RATE GROUP II HOME EQUITY
CONTRACTS
<TABLE>
<CAPTION>
% of Group II Contracts
Number of Aggregate Principal by Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
- ---------------- --------- ------------------- -----------------
<S> <C> <C> <C>
31 - 60 13 $ 236,436.71 0.17%
61 - 90 10 313,815.05 0.22%
91 - 120 132 3,951,581.56 2.81%
121 - 150 11 643,259.73 0.46%
151 - 180 790 39,309,249.50 27.93%
181 - 210 6 150,050.00 0.11%
211 - 240 688 44,128,882.73 31.35%
271 - 300 264 17,511,194.08 12.44%
301 - 330 1 276,600.00 0.20%
331 - 360 315 34,232,176.42 24.32%
--- --- --- ------------- ------
Total(1) 2,230 $140,753,245.78 100.00%
===== =============== =======
</TABLE>
(1) Percentages do not add to 100% due to rounding.
LIEN POSITION OF INITIAL FIXED RATE GROUP II HOME EQUITY CONTRACTS
% of Group II Contracts
Number of Aggregate Principal by Outstanding
Lien Contracts Balance Outstanding Principal Balance
- ---- --------- ------------------- -----------------
First 1,282 $110,697,689.76 78.65%
Second 933 29,695,486.52 21.10%
Third 15 360,069.50 0.26%
----- ---------- -----
Total(1) 2,230 $140,753,245.78 100.00%
===== =============== =======
(1) Percentages do not add to 100% due to rounding.
COMBINED LOAN-TO-VALUE RATIO OF INITIAL FIXED RATE GROUP II HOME EQUITY
CONTRACTS
<TABLE>
<CAPTION>
% of Group II Contracts
Number of Aggregate Principal by Outstanding
Combined Loan-to-Value Ratio Contracts Balance Outstanding Principal Balance
- ---------------------------- --------- ------------------- -----------------
<S> <C> <C> <C> <C>
0.00% - 10.00% 2 $49,995.51 0.04%
10.01% - 20.00% 7 201,326.00 0.14%
20.01% - 30.00% 8 188,300.00 0.13%
30.01% - 40.00% 20 664,935.89 0.47%
40.01% - 50.00% 31 1,108,894.36 0.79%
50.01% - 60.00% 44 1,898,282.09 1.35%
60.01% - 70.00% 73 3,574,239.66 2.54%
70.01% - 80.00% 265 15,169,892.36 10.78%
80.01% - 90.00% 694 44,213,280.57 31.41%
Greater Than 90.00% 1,086 73,684,099.34 52.35%
----- ------------- ------
Total(1) 2,230 $140,753,245.78 100.00%
===== =============== =======
</TABLE>
(1) Percentages do not add to 100% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
Number of Contracts: 935
Wgt. Avg. Contract Rate: 9.096%
Range of Rates: 6.999% - 12.690%
Wgt. Avg. Orig. Maturity: 359.61
Wgt. Avg. Rem. Maturity: 358.61
Avg. Rem. Princ. Balance: $120,522.27
Wgt. Avg. LTV: 88.44%
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of Adjustable % of Adjustable Rate
Rate Contracts by Contracts by
Number of Number of Aggregate Principal Outstanding
State Contracts Contracts Balance Outstanding Principal Balance
- ----- --------- --------- ------------------- -----------------
<S> <C> <C> <C> <C>
MD 83 8.88% 13,774,932.98 12.22%
CA 65 6.95% 11,448,044.38 10.16%
OH 70 7.49% 6,142,190.32 5.45%
IL 51 5.45% 5,987,705.39 5.31%
NC 56 5.99% 5,952,251.69 5.28%
WA 43 4.60% 5,932,567.22 5.26%
Other* 567 60.64% 63,450,632.76 56.31%
--- ------ ------------- ------
Total(1) 935 100.00% 112,688,324.74 100.00%
=== ======= ============== =======
</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.
YEAR OF ORIGINATION OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of Adjustable Rate
Contracts by
Number of Aggregate Principal Outstanding Principal
Year of Origination Contracts Balance Outstanding Balance
- ------------------- --------- ------------------- -------
1997 1 $ 49,910.38 0.04%
1998 934 112,638,414.36 99.96%
--- -------------- ------
Total: 935 $112,688,324.74 100.00%
============== ======
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
DISTRIBUTION OF INITIAL ADJUSTABLE RATE HOME EQUITY ORIGINAL CONTRACT AMOUNTS
<TABLE>
<CAPTION>
% of Adjustable
Rate Contracts by
Original Number of Aggregate Principal Outstanding
Amount (in Dollars) Contracts Balance Outstanding Principal Balance
- ------------------- --------- ------------------- -----------------
<S> <C> <C> <C>
20,000.01 - 30,000.00 4 $ 102,073.39 0.09%
30,000.01 - 40,000.00 14 508,232.76 0.45%
40,000.01 - 50,000.00 22 1,016,294.54 0.90%
50,000.01 - 60,000.00 66 3,649,592.75 3.24%
60,000.01 - 70,000.00 78 5,019,505.95 4.45%
70,000.01 - 80,000.00 82 6,172,503.52 5.48%
80,000.01 - 90,000.00 85 7,172,684.41 6.37%
90,000.01 - 100,000.00 68 6,499,682.20 5.77%
100,000.01 - 110,000.00 51 5,368,132.04 4.76%
110,000.01 - 120,000.00 80 9,236,918.57 8.20%
120,000.01 - 130,000.00 66 8,260,439.56 7.33%
130,000.01 - 140,000.00 51 6,886,642.64 6.11%
140,000.01 - 150,000.00 38 5,491,425.90 4.87%
150,000.01 - 160,000.00 34 5,287,092.79 4.69%
160,000.01 - 170,000.00 28 4,612,603.07 4.09%
170,000.01 - 180,000.00 30 5,254,517.29 4.66%
180,000.01 - 190,000.00 18 3,337,922.51 2.96%
190,000.01 - 200,000.00 20 3,943,369.12 3.50%
200,000.01 - 210,000.00 10 2,037,423.26 1.81%
210,000.01 - 220,000.00 20 4,299,453.10 3.82%
220,000.01 - 230,000.00 13 2,925,363.15 2.60%
230,000.01 - 240,000.00 11 2,592,834.84 2.30%
240,000.01 - 250,000.00 7 1,714,694.29 1.52%
250,000.01 - 260,000.00 8 2,033,041.14 1.80%
260,000.01 - 270,000.00 5 1,309,528.92 1.16%
270,000.01 - 280,000.00 3 817,156.34 0.73%
280,000.01 - 290,000.00 7 1,994,615.65 1.77%
290,000.01 - 300,000.00 6 1,771,048.29 1.57%
300,000.01 - 310,000.00 2 611,050.00 0.54%
310,000.01 - 320,000.00 1 310,500.00 0.28%
320,000.01 - 330,000.00 1 328,243.35 0.29%
330,000.01 - 340,000.00 2 663,918.60 0.59%
340,000.01 - 350,000.00 2 690,820.80 0.61%
360,000.01 - 370,000.00 1 369,000.00 0.33%
390,000.01 - 400,000.00 1 400,000.00 0.35%
--- --------------- ------
Total(1) 935 $112,688,324.74 100.00%
=== =============== ======
</TABLE>
(1) Percentages do not add to 100% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of Adjustable
Rate Contracts by
Number of Aggregate Principal Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
- ---------------- --------- ------------------- -----------------
151 - 180 2 $179,083.51 0.16%
211 - 240 1 101,362.83 0.09%
331 - 360 932 112,407,878.40 99.75%
--- -------------- ------
Total 935 $112,688,324.74 100.00%
=== =============== =======
INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACT RATES
% of Adjustable
Rate Contracts by
Number of Aggregate Principal Outstanding
Contract Rates Contracts Balance Outstanding Principal Balance
- -------------- --------- ------------------- -----------------
6.001% - 7.000% 2 $ 217,296.02 0.19%
7.001% - 8.000% 146 22,580,743.58 20.04%
8.001% - 9.000% 323 41,603,567.86 36.92%
9.001% - 10.000% 285 30,024,179.80 26.64%
10.001% - 11.000% 142 14,813,536.38 13.15%
11.001% - 12.000% 32 3,196,855.32 2.84%
12.001% - 13.000% 5 252,145.78 0.22%
--- --------------- ------
Total(1) 935 $112,688,324.74 100.00%
=== =============== ======
(1) Percentages do not add to 100% due to rounding.
LOAN-TO-VALUE RATIO OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of Adjustable
Rate Contracts by
Number of Aggregate Principal Outstanding
Loan-to-Value Ratio Contracts Balance Outstanding Principal Balance
- ------------------- --------- ------------------- -----------------
30.01% - 40.00% 2 $351,300.00 0.31%
40.01% - 50.00% 1 65,000.00 0.06%
50.01% - 60.00% 8 871,113.90 0.77%
60.01% - 70.00% 9 561,433.84 0.50%
70.01% - 80.00% 171 19,606,645.73 17.40%
80.01% - 90.00% 466 55,630,672.17 49.37%
Greater Than 90.00% 278 35,602,159.10 31.59%
--- ------------- ------
Total(1) 935 $112,688,324.74 100.00%
=== =============== =======
(1) Percentages do not add to 100% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
MONTH OF NEXT RATE ADJUSTMENT OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of Adjustable Rate
Contracts by
Month of Next Number of Aggregate Principal Outstanding Principal
Rate Adjustment Contracts Balance Outstanding Balance
- --------------- --------- ------------------- -------
1999-02 2 $216,900.00 0.19%
1999-03 1 119,000.00 0.11%
1999-12 1 49,910.38 0.04%
2000-01 2 325,315.89 0.29%
2000-02 4 502,957.46 0.45%
2000-03 9 789,991.46 0.70%
2000-04 20 2,340,382.68 2.08%
2000-05 51 5,989,739.83 5.32%
2000-06 137 15,411,221.21 13.68%
2000-07 212 26,848,794.16 23.83%
2000-08 296 37,556,143.35 33.33%
2000-09 166 19,129,184.70 16.98%
2000-10 2 130,100.00 0.12%
2001-02 1 58,788.69 0.05%
2001-03 1 78,102.33 0.07%
2001-06 2 172,334.43 0.15%
2001-07 2 168,478.92 0.15%
2001-08 20 2,198,723.25 1.95%
2001-09 6 602,256.00 0.53%
--- --------------- -----
Total(1) 935 $112,688,324.74 100.00%
=== =============== =======
(1) Percentages do not add to 100% due to rounding
LIEN POSITION OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of Adjustable Rate
Contracts by
Number of Aggregate Principal Outstanding Principal
Lien Contracts Balance Outstanding Balance
- ---- --------- ------------------- -------
First 935 $112,688,324.74 100.00%
--- --------------- -------
Total 935 $112,688,324.74 100.00%
=== =============== =======
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
DISTRIBUTION OF GROSS MARGIN OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of Adjustable Rate
Contracts by
Number of Aggregate Principal Outstanding Principal
Gross Margin (%) Contracts Balance Outstanding Balance
- ---------------- --------- ------------------- -------
<S> <C> <C> <C>
4.001% - 6.000% 330 $ 39,965,588.77 35.47%
6.001% - 8.000% 566 69,197,453.77 61.41%
8.001% - 10.000% 32 2,883,441.76 2.56%
10.001% - 12.000% 7 641,840.44 0.57%
--- --------------- -----
100.00%
Total (1) 935 $112,688,324.74
=== ===============
</TABLE>
(1) Percentages do not add to 100% due to rounding
MAXIMUM LOAN RATE OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of Adjustable Rate
Contracts by
Number of Aggregate Principal Outstanding Principal
Maximum Loan Rate Contracts Balance Outstanding Balance
- ----------------- --------- ------------------- -------
10.001% - 12.000% 6 $ 650,782.37 0.58%
12.001% - 14.000% 131 19,548,237.39 17.35%
14.001% - 16.000% 548 66,838,595.91 59.31%
16.001% - 18.000% 235 24,222,673.72 21.50%
18.001% - 20.000% 15 1,428,035.35 1.27%
--- ------------ -------
Total (1) 935 $112,688,324.74 100.00%
=== =============== =======
(1) Percentages do not add to 100% due to rounding
MINIMUM LOAN RATE OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of Adjustable Rate
Contracts
Number of Aggregate Principal by Outstanding
Minimum Loan Rate Contracts Balance Outstanding Principal Balance
- ----------------- --------- ------------------- -----------------
6.001% - 8.000% 151 $ 23,244,439.60 20.63%
8.001% - 10.000% 606 71,253,347.66 63.23%
10.001% - 12.000% 174 18,010,391.70 15.98%
12.001% - 14.000% 4 180,145.78 0.16%
--- --------------- ------
Total (1) 935 $112,688,324.74 100.00%
=== =============== ======
(1) Percentages do not add to 100% due to rounding
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<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 October 27, 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 CONTRACTS
Number of Contracts: 12,299
Wgt. Avg. Contract Rate: 12.935%
Range of Rates: 8.000% - 18.750%
Wgt. Avg. Orig. Maturity: 197.25
Wgt. Avg. Rem. Maturity: 190.94
Avg. Rem. Princ. Balance: $ 13,271.24
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL HOME IMPROVEMENT CONTRACTS
<TABLE>
<CAPTION>
% of HI Contracts Aggregate Principal % of HI Contracts
Number of by Number of Balance by Outstanding
State Contracts Contracts Outstanding Principal Balance
- ----- --------- --------- ----------- -----------------
<S> <C> <C> <C> <C>
CA 1,279 10.40% $ 31,421,363.37 19.25%
TX 1,638 13.32% 14,589,008.14 8.94%
NY 519 4.22% 10,846,915.36 6.65%
MI 1,054 8.57% 10,670,169.58 6.54%
Other* 7,809 63.49% $ 95,695,551.08 58.63%
------ ------ --------------- ------
Total(1) 12,299 100.00% $163,223,007.53 100.00%
====== ======= =============== =======
</TABLE>
* No one State in this category constitutes more than 5% of the HI
Outstanding Principal Balance.
(1) Percentages do not add to 100% due to rounding.
YEAR OF ORIGINATION OF INITIAL HOME IMPROVEMENT CONTRACTS
% of HI Contracts
Number of Aggregate Principal by Outstanding
Year of Origination Contracts Balance Outstanding Principal Balance
- ------------------- --------- ------------------- -----------------
1989 196 $ 1,016,947.73 0.62%
1990 731 3,989,118.44 2.44%
1996 4 70,893.31 0.04%
1997 2,528 17,170,639.29 10.52%
1998 8,840 140,975,408.76 86.37%
------ -------------- ------
Total(1) 12,299 $163,223,007.53 100.00%
====== =============== =======
(1) Percentages do not add to 100% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
DISTRIBUTION OF INITIAL HOME IMPROVEMENT ORIGINAL CONTRACT AMOUNTS
<TABLE>
<CAPTION>
% of HI Contracts by
Original HI Contract Number of Aggregate Principal Outstanding Principal
Amount (in Dollars) Contracts Balance Outstanding Balance
- ------------------- --------- ------------------- -------
<S> <C> <C> <C>
0 - 10,000.00 6,143 $ 32,163,835.38 19.71%
10,000.01 - 20,000.00 3,351 45,472,717.63 27.86%
20,000.01 - 30,000.00 1,834 44,464,613.89 27.24%
30,000.01 - 40,000.00 485 16,563,457.19 10.15%
40,000.01 - 50,000.00 298 13,035,933.11 7.99%
50,000.01 - 60,000.00 132 7,249,939.26 4.44%
60,000.01 - 70,000.00 27 1,706,646.35 1.05%
70,000.01 - 80,000.00 18 1,352,291.66 0.83%
80,000.01 - 90,000.00 5 426,764.55 0.26%
100,000.01 - 110,000.00 2 166,175.64 0.10%
120,000.01 - 130,000.00 2 246,712.25 0.15%
160,000.01 - 170,000.00 1 161,799.24 0.10%
210,000.01 - 220,000.00 1 212,121.38 0.13%
------ --------------- ------
Total(1) 12,299 $163,223,007.53 100.00%
====== =============== ======
</TABLE>
(1) Percentages do not add to 100% due to rounding.
INITIAL HOME IMPROVEMENT CONTRACT RATES
% of HI Contracts
Number of Aggregate Principal by Outstanding
Contract Rates Contracts Balance Outstanding Principal Balance
- -------------- --------- ------------------- -----------------
7.001% - 8.000% 1 $ 16,642.53 0.01%
8.001% - 9.000% 51 1,626,587.38 1.00%
9.001% - 10.000% 1,291 21,244,007.77 13.02%
10.001% - 11.000% 1,018 18,193,974.96 11.15%
11.001% - 12.000% 1,205 18,654,692.74 11.43%
12.001% - 13.000% 1,926 24,656,543.72 15.11%
13.001% - 14.000% 2,521 31,291,942.12 19.17%
14.001% - 15.000% 2,482 28,441,614.72 17.43%
15.001% - 16.000% 1,521 14,602,428.25 8.95%
16.001% - 17.000% 221 3,225,973.74 1.98%
Greater than 17.000% 62 1,268,599.60 0.78%
------ --------------- ------
Total(1) 12,299 $163,223,007.53 100.00%
====== =============== ======
(1) Percentages do not add to 100% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL HOME IMPROVEMENT CONTRACTS
% of HI Contracts by
Number of Aggregate Principal Outstanding Principal
Months Remaining Contracts Balance Outstanding Balance
- ---------------- --------- ------------------- -------
Less than 30 581 1,542,646.32 0.95%
31 - 60 2,101 10,400,911.22 6.37%
61 - 90 1,675 10,932,402.46 6.70%
91 - 120 2,896 28,716,927.20 17.59%
121 - 150 216 1,933,101.46 1.18%
151 - 180 1,798 31,470,919.04 19.28%
181 - 210 18 332,628.92 0.20%
211 - 240 1,888 43,917,141.20 26.91%
241 - 270 2 38,962.81 0.02%
271 - 300 1,124 33,937,366.90 20.79%
Total(1) 12,299 $163,223,007.53 100.00%
====== =============== =======
(1) Percentages do not add to 100% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
CPR PREPAYMENT SENSITIVITIES
FOR 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 NAS 2.24 9/01 2.12 6/01 2.07 5/01 2.05 5/01 2.06 5/01
HE: A - 1B ARM 5.68 7/12 3.70 9/08 2.63 5/06 1.96 10/04 1.51 10/03
HE: A - 1 5.00 7/12 3.57 9/08 2.74 5/06 2.18 10/04 1.75 10/03
HE: A - 2 1.59 12/01 1.17 2/01 0.95 8/00 0.81 5/00 0.71 2/00
HE: A - 3 3.65 3/03 2.57 12/01 2.00 4/01 1.65 11/00 1.41 7/00
HE: A - 4 8.49 7/12 6.06 9/08 4.61 5/06 3.59 10/04 2.80 10/03
HE: A - 5IO 2.02 12/00 2.02 12/00 2.02 12/00 2.02 12/00 2.02 12/00
HE: M - 1 9.41 7/12 6.59 9/08 5.06 5/06 4.31 10/04 4.22 10/03
HE: M - 2 9.41 7/12 6.59 9/08 5.04 5/06 4.16 10/04 3.64 10/03
To Maturity
HE: A - 1B ARM 6.15 10/23 3.99 8/18 2.82 7/14 2.10 12/11 1.60 8/09
HE: A - 1 5.23 6/22 3.83 12/17 2.97 2/14 2.37 10/11 1.90 6/09
HE: A - 4 8.97 3/22 6.61 10/17 5.09 12/13 4.00 8/11 3.13 5/09
HE: M - 1 10.13 7/20 7.24 9/15 5.59 6/12 4.73 9/09 4.54 10/07
HE: M - 2 10.08 12/18 7.19 5/14 5.51 5/11 4.54 11/08 3.94 1/07
</TABLE>
CPR PREPAYMENT SENSITIVITIES
FOR 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 1.64 5/02 1.21 6/01 0.95 12/00 0.78 7/00 0.65 4/00
HI: A - 2 4.45 9/04 3.26 2/03 2.50 12/01 2.03 6/01 1.69 1/01
HI: A - 3 7.45 8/08 5.57 4/06 4.15 7/04 3.19 3/03 2.57 3/02
HI: M - 1 11.52 7/12 8.57 9/08 6.62 5/06 5.14 10/04 3.98 10/03
HI: M - 2 13.61 7/12 9.77 9/08 7.44 5/06 5.86 10/04 4.86 10/03
HI: B - 1 5.52 5/06 4.23 8/04 3.97 1/04 3.79 8/03 3.66 5/03
To Maturity
HI: M - 1 11.53 8/12 8.61 5/09 6.68 12/06 5.19 4/05 3.98 11/03
HI: M - 2 16.55 5/20 13.21 1/17 10.43 11/13 8.38 6/11 6.73 5/09
HI: B - 1 5.52 5/06 4.23 8/04 3.97 1/04 3.79 8/03 3.66 5/03
</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
1.09% (precisely, 12/11%) 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 24%.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
