<PAGE>
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
-------------------------------
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported): May 18, 1998
GREEN TREE FINANCIAL CORPORATION
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(Exact name of registrant as specified in its charter)
Delaware 01-08916 41-1807858
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(State or other Jurisdiction (Commission File Number) (I.R.S. Employer
of incorporation) Identification No.)
1100 Landmark Towers, 345 St. Peter Street, Saint Paul, Minnesota 55102-1639
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(Address of principal executive offices)
Registrant's telephone number, including area code: (612) 293-3400
--------------
Not Applicable
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(Former name or former address, if changed since last report)
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ITEM 1. Changes in Control of Registrant.
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Not applicable.
ITEM 2. Acquisition or Disposition of Assets.
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Not applicable
ITEM 3. Bankruptcy or Receivership.
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Not applicable
ITEM 4. Changes in Registrant's Certifying Accounting.
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Not applicable
ITEM 5. Other Events.
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Not applicable.
ITEM 6. Resignations of Registrant's Directors.
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Not applicable
ITEM 7. Financial Statements and Exhibits.
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(a) Financial statements of businesses acquired.
Not applicable
(b) Pro forma financial information.
Not applicable
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(c) Exhibits.
The following is filed herewith. The exhibit numbers correspond
with Item 601(b) of Regulation S-K.
Exhibit No. Description
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99 Term Sheet distributed in connection with
$500,000,000 (Approximate) Manufactured
Housing Contract Senior/Subordinate Pass-
Through Certificates, Series 1998-4, issued by
Green Tree Financial Corporation, as Seller
and Servicer.
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
Date: May 18, 1998 GREEN TREE FINANCIAL CORPORATION
By: /s/ Scott T. Young
____________________________________
Scott T. Young
Senior Vice President and Controller
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INDEX TO EXHIBITS
Exhibit
-------
Number Page
------ ----
99 Term Sheet distributed in connection with 5
$500,000,000 (Approximate) Manufactured Housing
Contract Senior/Subordinate Pass-Through
Certificates, Series 1998-4, issued by
Green Tree Financial Corporation, as Seller
and Servicer.
4
<PAGE>
TERM SHEET DATED MAY 18, 1998
GREEN TREE FINANCIAL CORPORATION
MANUFACTURED HOUSING CONTRACT SENIOR/SUBORDINATE
PASS-THROUGH CERTIFICATES, SERIES 1998-4
$500,000,000 (APPROXIMATE)
Subject to Revision
SELLER/SERVICER: Green Tree Financial Corporation ("Green Tree").
TRUSTEE: U.S. Bank National Association, St. Paul, Minnesota.
UNDERWRITERS: Merrill Lynch & Co. (Lead), Lehman Brothers Inc. (Co),
Salomon Smith Barney(Co).
RATINGS WAL @ EXP. FINAL
TO CALL AMOUNT MOODY'S/FITCH 150% MHP MATURITY
- ------- ---------- ------------- -------- ----------
A-1 21,400,000 P-1/F-1+ 0.40 2/99
A-2 26,000,000 Aaa/AAA 1.00 10/99
A-3 62,000,000 Aaa/AAA 2.00 2/01
A-4 27,000,000 Aaa/AAA 3.00 10/01
A-5 108,400,000 Aaa/AAA 5.00 7/05
A-6 72,700,000 Aaa/AAA 9.00 9/09
A-7 105,000,000 Aaa/AAA 15.53 6/16
M-1 35,000,000 Aa3/AA- 10.67 6/16
B-1 22,500,000 Baa1/BBB 6.87 9/08
B-2 20,000,000 Baa3/BBB 15.24 6/16
TO
MATURITY
- --------
A-7 105,000,000 Aaa/AAA 16.62 4/24
M-1 35,000,000 Aa3/AA- 11.12 4/24
B-2 20,000,000 Baa3/BBB 20.11 9/28
FOR INFORMATION CONCERNING CERTAIN RISK FACTORS THAT SHOULD BE CONSIDERED BY
PROSPECTIVE INVESTORS, SEE "RISK FACTORS" IN THE PROSPECTUS SUPPLEMENT AND
PROSPECTUS. CAPITALIZED TERMS USED HEREIN AND NOT OTHERWISE DEFINED HAVE THE
MEANINGS SET FORTH IN THE PROSPECTUS AND PROSPECTUS SUPPLEMENT.
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CUT-OFF DATE: May 15, 1998 (or the date of origination, if later) for
each contract other than the Subsequent Contracts, and for
each Subsequent Contract, the date on which such Contract
is purchased by the Trust.
LEGAL FINAL: Class A-1 - June 1, 1999 All other classes - April 1, 2030
EXP. PRICING: Week of May 18, 1998.
EXP. SETTLEMENT: Week of May 25, 1998.
INTEREST/PRINCIPAL: The 1st day of each month (or if such 1st day is not a
business day, the next succeeding business day), commencing
on July 1, 1998.
MONEY MARKET
ELIGIBILITY: The Class A-1 Certificates are expected to be eligible
securities for purchase by money market funds under Rule
2a-7 under the Investment Company Act of 1940, as amended.
ERISA: Subject to the conditions set forth in the Prospectus
Supplement, Class A Certificates are ERISA eligible. No
transfer of a Class M-1 Certificate or a Class B
Certificate will be permitted to be made to any employee
benefit plan subject to ERISA or to the Internal Revenue
Code of 1986, as amended, unless an opinion of counsel is
delivered to the Trustee.
SMMEA: The Class A and the Class M-1 Certificates will be "legal
investments" for certain types of institutional investors
to the extent provided in that Act.
Because the Class B Certificates will not be rated in one
of its two highest rating categories by Moody's or Fitch,
the Class B Certificates will not constitute "mortgage
related securities" for purposes of SMMEA. Accordingly,
many institutions with legal authority to invest in more
highly rated securities based on first mortgage loans may
not be legally authorized to invest in the Class B
Certificates. See "Legal Investment Considerations" in the
Prospectus Supplement and in the Prospectus. No
representations are made as to any regulatory requirements
or considerations (including without limitation regulatory
capital requirements) applicable to the purchase of Class B
Certificates by banks, savings and loan
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associations or other financial institutions, which
institutions should consult their own counsel as to such
matters.
TAX STATUS: For federal income tax purposes, the Trust will be treated
as two separate asset pools (the "Master REMIC" and the
"Subsidiary REMIC"), each of which will be treated as a
real estate mortgage investment conduit ("REMIC"). The
Class A Certificates, the Class M-1 Certificates, the Class
B Certificates and the Class B-3I Certificates will
constitute "regular interests" in the Master REMIC and
generally will be treated as debt instruments of the Trust
for federal income tax purposes with payment terms
equivalent to the terms of such Certificates. The Class C
Master Certificates and Class C Subsidiary Certificates
will constitute "residual interests" in the Master REMIC
and the Subsidiary REMIC, respectively. The holders of the
Offered Certificates will be required to include an income
interest on such Certificates (including any original issue
discount) in accordance with the accrual method of
accounting. See "Certain Federal Income Tax Consequences"
in the Prospectus.
OPTIONAL
REPURCHASE: At its option either the Servicer or the Company may
repurchase from the Trust all remaining Contracts, and
thereby effect early retirement of the Offered
Certificates, on any Remittance Date when the Pool
Scheduled Principal Balance is less than 10% of the Cut-off
Date Pool Principal Balance.
CREDIT
ENHANCEMENT: Class A:15.5% subordination (Class M-1, B-1 and B-2) plus
Excess Spread (Class B-3I).
Class M-1: 8.5% (Class B-1 and B-2) plus Excess Spread
(Class B-3I).
Class B-1: 4.0% (Class B-2) plus Excess Spread
(Class B-3I).
Class B-2: Limited Guarantee plus Excess Spread.
THE CONTRACT POOL: On the Closing Date, the Trust expects to purchase (i)
manufactured housing contracts having an aggregate
principal balance of approximately $327,760,837 - as of the
Cut-off Date (the "Initial Contracts")and (ii) additional
manufactured housing contracts (the "Additional
Contracts").
DISTRIBUTIONS: Certificateholders will be entitled to receive on each
Remittance Date commencing in July 1998, to
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the extent that the Amount Available in the Certificate
Account (together with, in the case of the Class B-2
Certificates, the Guarantee Payment, as described below) is
sufficient therefor, distributions allocable to interest
and principal, as described in the Prospectus Supplement.
The Amount Available on each Remittance Date generally
includes the sum of (i) payments on the Contracts due and
received during the related Due Period, (ii) prepayments
and other unscheduled collections received during the
related Due Period, and (iii) all collections of principal
on the Contracts received during the Due Period in which
such Remittance Date occurs up to and including the third
business day prior to such Remittance Date (but in no event
later than the 25th day of the month prior to such
Remittance Date), minus (iv) with respect to all Remittance
Dates other than the Remittance Date in July 1998, all
collections in respect of principal on the Contracts
received during the related Due Period up to and including
the third business day prior to such Remittance Date (but
in no event later than the 25th day of the prior month).
The Amount Available in the Certificate Account with
respect to any Distribution Date will be applied first to
the distribution of interest on the Certificates, and then
to the distribution of principal on the Certificates, in
the manner and order of priority described below.
The "Due Period" with respect to any Remittance Date is the
period from and including the 15th day of the second month
preceding such Remittance Date, to and including the 14th
day of the month immediately preceding such Remittance
Date.
INTEREST ON THE
CLASS A, CLASS M-1
AND CLASS B-1
CERTIFICATES: Interest will be distributable first to each class of Class
A Certificates concurrently, then to the Class M-1
Certificates and then to the Class B-1 Certificates.
Interest on the outstanding Class A Principal Balance,
Class M-1 Adjusted Principal Balance, and Class B-1
Adjusted Principal Balance, as applicable, will accrue from
the Settlement Date or from the most recent Remittance Date
on which interest has been paid, to but excluding the
following Remittance Date.
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The Class A-1 Certificates will bear interest at a fixed
Pass-Through Rate calculated on an actual/360 basis. Each
other Class of Certificates will bear interest at a fixed
Pass-Through Rate calculated on a 30/360 basis.
The "Class M-1 Adjusted Principal Balance" as of any
Remittance Date is the Class M-1 Principal Balance less any
Class M-1 Liquidation Loss Amount. The Class M-1 Principal
Balance is the Original Class M-1 Principal Balance less
all amounts previously distributed on account of principal
of the Class M-1 Certificates.
The "Class B-1 Adjusted Principal Balance" as of any
Remittance Date is the Class B-1 Principal Balance less any
Class B-1 Liquidation Loss Amount. The Class B-1 Principal
Balance is the original Class B-1 Principal Balance less
all amounts previously distributed on account of principal
of the Class B-1 Certificates.
In the event that, on a particular Remittance Date, the
Amount Available in the Certificate Account, after payment
of interest on each Class of Certificates that is senior to
such Class of Certificates, is not sufficient to make a
full distribution of interest to the holders of such Class
of Certificates (the Class A Certificates being treated as
a single class for this purpose), the amount of interest to
be distributed in respect of such Class will be allocated
among the outstanding Certificates of such Class pro rata
in accordance with their respective entitlements to
interest, and the amount of the shortfall will be carried
forward and added to the amount such holders will be
entitled to receive on the next Remittance Date. Any such
amount so carried forward will bear interest at the
applicable Remittance Rate, to the extent legally
permissible.
PRINCIPAL ON THE
CLASS A, CLASS M-1
AND CLASS B-1
CERTIFICATES : The Class A Percentage will be distributed sequentially to
the Class A-1, A-2, A-3, A-4, A-5 and A-6
Certificateholders. The Class A Percentage for any
Remittance Date will equal a fraction, expressed as a
percentage, the numerator of which is the Class A Principal
Balance as of such Remittance Date, and the denominator of
which is the sum of: (i) the Class A Principal Balance and
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(ii) if the Class M-1 Distribution Test is satisfied on
such Remittance Date, the Class M-1 Principal Balance,
otherwise zero, and (iii) if the Class B Distribution Test
is satisfied on such Remittance Date, the Class B Principal
Balance, otherwise zero, all as of such Remittance Date.
The Class M-1 Certificateholders will be entitled to
receive principal on each Remittance Date on which (i) the
Class A Principal Balance has been reduced to zero or (ii)
the Class M-1 Distribution Test is satisfied.
The Class M-1 Percentage for any Remittance Date will equal
(a) zero, if the Class A Principal Balance has not yet been
reduced to zero and the Class M-1 Distribution Test is not
satisfied or (b) a fraction, expressed as a percentage, the
numerator of which is the Class M-1 Principal Balance as of
such Remittance Date, and the denominator of which is the
sum of: (i) the Class A Principal Balance, if any, (ii) the
Class M-1 Principal Balance and (iii) if the Class B
Distribution Test is satisfied on such Remittance Date, the
Class B Principal Balance, otherwise zero, all as of such
Remittance Date.
The Class M-1 Distribution Test will be satisfied if each
of the following tests is satisfied: (i) the Remittance
Date occurs in or after [July] 2002; (ii) the Average
Sixty-Day Delinquency Ratio Test (as defined in the
Agreement) as of such Remittance Date must not exceed 4.0%;
(iii) the Average Thirty-Day Delinquency Ratio Test (as
defined in the Agreement) as of such Remittance Date must
not exceed 6.0%; (iv) Cumulative Realized Losses (as
defined in the Agreement) as of such Remittance Date must
not exceed a certain specified percentage of the Cut-off
Date Pool Principal Balance, depending on the year in which
such Remittance Date occurs; (v) the Current Realized Loss
Ratio (as defined in the Agreement) as of such Remittance
Date must not exceed 2.50%; and (vi) the sum of the Class
M-1 Principal Balance and the Class B Principal Balance
divided by the Pool Scheduled Principal Balance as of the
immediately preceding Remittance Date must be equal to or
greater than 23.25%.
The Class B-1 Certificateholders will be entitled to
receive principal on each Remittance Date on which (i) the
Class A Principal Balance and the
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Class M-1 Principal Balance have been reduced to zero or
(ii) the Class B Distribution Test is satisfied.
The Class B Percentage for any Remittance Date will equal
(a) zero, if the Class A Principal Balance and the Class
M-1 Principal Balance have not yet been reduced to zero and
the Class M-1 Distribution Test and the Class B
Distribution Test are not satisfied or (b) a fraction,
expressed as a percentage, the numerator of which is the
Class B Principal Balance as of such Remittance Date, and
the denominator of which is the sum of: (i) the Class A
Principal Balance, if any, (ii) the Class M-1 Principal
Balance, if any, and (iii) the Class B Principal Balance,
all as of such Remittance Date.
The Class B Distribution Test will be satisfied if each of
the following tests is satisfied: (i) the Remittance Date
occurs in or after July 2002; (ii) the Average Sixty-Day
Delinquency Ratio Test (as defined in the Agreement) as of
such Remittance Date must not exceed 4.0%; (iii) the
Average Thirty-Day Delinquency Ratio Test (as defined in
the Agreement) as of such Remittance Date must not exceed
6.0%; (iv) the Cumulative Realized Losses (as defined in
the Agreement) as of such Remittance Date must not exceed a
certain specified percentage of the Cut-off Date Pool
Principal Balance, depending on the year in which such
Remittance Date occurs; (v) the Current Realized Loss Ratio
(as defined in the Agreement) as of such Remittance Date
must not exceed 2.50%; (vi) the Class B Principal Balance
divided by the Pool Scheduled Principal Balance as of the
immediately preceding Remittance Date must be equal to or
greater than 12.75%; and (vii) the Class B Principal
Balance must not be less than $10,000,000.
CLASS B-2
INTEREST: Interest on the outstanding Class B-2 Principal Balance
will accrue from the Settlement Date, or from the most
recent Remittance Date on which interest has been paid to
but excluding the following Remittance Date.
To the extent of (i) the remaining Amount Available, if
any, for a Remittance Date after payment of all interest
and principal then payable on the Class A, Class M-1, and
Class B-1 Certificates, and (ii) the Guarantee Payment, if
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any, for such date, interest will be paid to the Class B-2
Certificateholders on such Remittance Date at the Class B-2
Remittance Rate on the then outstanding Class B-2 Principal
Balance. The Class B-2 Principal Balance is the Original
Class B-2 Principal Balance less all amounts previously
distributed to the Class B-2 Certificateholders (including
any Guarantee Payments) on account of principal.
In the event that, on a particular Remittance Date, the
remaining Amount Available in the Certificate Account plus
any amounts actually paid under the Limited Guarantee are
not sufficient to make a full distribution of interest to
the Class B-2 Certificateholders, the amount of the
deficiency will be carried forward as an amount that the
Class B-2 Certificateholders are entitled to receive on the
next Remittance Date. Any amount so carried forward will,
to the extent legally permissible, bear interest at the
Class B-2 Remittance Rate.
CLASS B-2
PRINCIPAL: Except for payments of the Class B-2 Liquidation Loss
Amount under the Limited Guarantee, the Class B-2
Certificateholders will be entitled to receive principal on
each Remittance Date on which (i) the Class B-1 Principal
Balance has been reduced to zero (the "Class B-1 Cross-over
Date") and (ii) the Class B Distribution Test is satisfied;
provided, however, that if the Class A Principal Balance,
the Class M-1 Principal Balance and the Class B-1 Principal
Balance have been reduced to zero, the Class B-2
Certificateholders will nevertheless be entitled to receive
principal. See "Description of the Certificates--Class B-2
Principal" in the Prospectus Supplement.
The Class B Percentage for any Remittance Date will equal
(a) zero, if the Class A Principal Balance and the Class
M-1 Principal Balance have not yet been reduced to zero and
the Class B Distribution Test is not satisfied or (b) a
fraction, expressed as a percentage, the numerator of which
is the Class B Principal Balance as of such Remittance
Date, and the denominator of which is the sum of: (i) the
Class A Principal Balance, if any, (ii) the Class M-1
Principal Balance, if any, and (iii) the Class B Principal
Balance, all as of such Remittance Date.
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On each Remittance Date on which the Class B-2
Certificateholders are entitled to receive principal, the
Class B Percentage of the Formula Principal Distribution
Amount will be distributed, to the extent of the remaining
Amount Available after payment of interest on the Class B-2
Certificates, to the extent of the remaining Amount
Available after payment of interest on the Class B-2
Certificates, to the Class B-2 Certificateholders until the
Class B-2 Principal Balance has been reduced to zero. The
Company will be obligated under the Limited Guarantee to
pay the amount, if any, by which the Class B Percentage of
the Formula Principal Distribution Amount for such
Remittance Date exceeds the remaining Amount Available
after payment of interest on the Class B-2 Certificates.
LOSSES ON LIQUIDATED
CONTRACTS: The distribution of principal to the Class A, the Class
M-1, and the Class B-1 Certificateholders is intended to
include the Class A Percentage, the Class M-1 Percentage
and the Class B Percentage, respectively, of the Scheduled
Principal Balance of each Contract that became a Liquidated
Contract during the related Due Period. If the Net
Liquidation Proceeds from such Liquidated Contract are less
than the Scheduled Principal Balance of such Liquidated
Contract, the deficiency will, in effect, be absorbed by
the Class B-3I Certificateholders, then the Monthly
Servicing Fee (so long as Green Tree is the Servicer), then
the Class B-2 Certificateholders, then the Class B-1
Certificateholders and then the Class M-1
Certificateholders, since a portion of the Amount Available
equal to such deficiency and otherwise distributable to
them will be paid to the Class A Certificateholders.
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CONTRACT CHARACTERISTICS
The information presented below relates to the Initial Contracts, which will
represent approximately 66% of the Contract Pool. Although the characteristics
of the final pool of Contracts will differ from the characteristics of the
Initial Contracts shown below, Green Tree does not expect that the
characteristics of the Additional Contracts sold to the Trust will vary
materially from the information concerning the Initial Contracts herein.
THE INITIAL CONTRACT POOL
Number of MHCs in pool: 8,191
Wgt. Avg. Contract Rate: 9.30%
Range of Rates: 3.98% - 16.75%
Wgt. Avg. Orig. Maturity: 309.5 months
Wgt. Avg. Rem. Maturity: 309.3 months
Avg. Rem Princ. Balance: $40,015
Wgt. Avg. LTV: 87.5
New/Used: 79% / 21%
Park/Private: 28% / 72%
Single/Double: 30% / 70%
Land/Home: 33.41%
Land in Lieu: 0.65%
Step Rate: 4.50%
Conventional: 95.38%
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GEOGRAPHIC DISTRIBUTION OF INITIAL CONTRACT OBLIGORS
AGGREGATE
NUMBER OF PRINCIPAL BALANCE % OF INITIAL
CONTRACTS AS OUTSTANDING AS CUTOFF DATE POOL
STATE OF CUTOFF DATE OF CUTOFF DATE PRINCIPAL BALANCE
- ----- -------------- ----------------- -----------------
AL 518 17,543,047 5.35
AR 191 5,815,219 1.77
AZ 130 5,940,780 1.81
CA 186 7,845,805 2.39
CO 156 8,884,992 2.71
CT 4 100,830 0.03
DE 29 1,398,482 0.43
FL 542 24,077,222 7.35
GA 488 19,189,127 5.85
IA 107 3,245,015 0.99
ID 44 2,285,112 0.70
IL 107 3,470,943 1.06
IN 223 8,914,099 2.72
KS 113 4,172,075 1.27
KY 184 6,815,173 2.08
LA 165 5,071,116 1.55
MA 2 82,977 0.03
MD 30 1,085,109 0.33
ME 47 1,944,086 0.59
MI 386 18,154,601 5.54
MN 124 3,438,389 1.05
MO 228 7,159,225 2.18
MS 205 6,833,250 2.08
MT 63 2,334,908 0.71
NC 1,015 42,447,603 12.95
ND 32 858,545 0.26
NE 42 1,686,720 0.51
NH 31 952,700 0.29
NJ 3 165,927 0.05
NM 173 8,454,062 2.58
NV 62 3,486,372 1.06
NY 94 2,702,881 0.82
OH 196 8,914,182 2.72
OK 197 7,118,947 2.17
OR 81 6,335,306 1.93
PA 105 4,132,085 1.26
SC 373 15,005,303 4.58
SD 56 2,117,821 0.65
TN 236 8,381,971 2.56
TX 650 24,048,782 7.34
UT 33 1,443,385 0.44
VA 165 6,052,595 1.85
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VT 11 398,764 0.12
WA 121 8,162,450 2.49
WI 114 3,986,240 1.22
WV 91 2,956,533 0.90
WY 38 2,150,080 0.66
-- --------- ----
Total 8,191 327,760,837 100.00
YEAR OF ORIGINATION OF INITIAL CONTRACTS
AGGREGATE
PRINCIPAL
NUMBER OF CONTRACTS BALANCE % OF INITIAL
YEAR OF AS OF OUTSTANDING AS CUTOFF DATE POOL
ORIGINATION (1) CUTOFF DATE OF CUTOFF DATE PRINCIPAL BALANCE
- --------------- ----------- -------------- -----------------
1986 2 11,842 *
1987 1 8,031 *
1988 2 23,126 0.01
1989 4 78,369 0.02
1990 7 144,732 0.04
1991 9 178,191 0.05
1992 8 181,538 0.06
1993 6 165,427 0.05
1994 22 675,132 0.21
1995 19 592,113 0.18
1996 25 858,681 0.26
1997 73 5,897,414 1.80
1998 8,013 318,946,242 97.31
----- ----------- -----
Total 8,191 327,760,837 100.00
* Indicates an amount greater than zero but less than 0.005% of the aggregate
principal balance of the Initial Contracts as of the Cut-off Date.
(1) The Initial Contracts shown in the above table with earlier years of
origination primarily represent Contracts originated by the Company and
subsequently refinanced through the Company. The Company retains the first
origination dates on its records with respect to such refinanced Contracts.
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DISTRIBUTION OF ORIGINAL INITIAL CONTRACTS AMOUNTS
AGGREGATE
PRINCIPAL
NUMBER OF BALANCE % OF INITIAL
ORIGINAL CONTRACTS AS OUTSTANDING AS CUTOFF DATE POOL
CONTRACT AMOUNT ($) OF CUTOFF DATE OF CUTOFF DATE PRINCIPAL BALANCE
- ------------------- -------------- -------------- -----------------
Less than 10,000 342 2,662,860 0.81
10,000 - 19,999 1,263 19,118,656 5.83
20,000 - 29,999 1,780 44,990,503 13.73
30,000 - 39,999 1,562 54,001,222 16.48
40,000 - 49,999 1,017 45,456,545 13.87
50,000 - 59,999 783 42,752,149 13.04
60,000 - 69,999 511 32,924,812 10.05
70,000 - 79,999 319 23,875,645 7.28
80,000 - 89,999 233 19,765,656 6.03
90,000 - 99,999 146 13,893,085 4.24
100,000 - 109,999 86 8,964,739 2.74
110,000 - 119,999 58 6,681,927 2.04
120,000 - 129,999 43 5,350,995 1.63
130,000 - 139,999 17 2,274,493 0.69
140,000 - 149,999 12 1,736,571 0.53
150,000 - 159,999 4 621,348 0.19
160,000 - 169,999 6 996,328 0.30
170,000 - 179,999 3 522,650 0.16
180,000+ 6 1,170,652 0.36
- --------- ----
Total 8,191 327,760,837 100.00
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<PAGE>
DISTRIBUTION OF ORIGINAL LOAN-TO-VALUE RATIOS OF INITIAL CONTRACTS
AGGREGATE
PRINCIPAL
NUMBER OF BALANCE % OF INITIAL
LOAN-TO-VALUE CONTRACTS AS OUTSTANDING AS CUTOFF DATE POOL
RATIO OF CUTOFF DATE OF CUTOFF DATE PRINCIPAL BALANCE
- ------------- -------------- -------------- -----------------
Less than 61.00 290 9,432,781 2.88
61.00 - 65.99 89 3,331,306 1.02
66.00 - 70.99 138 5,694,557 1.74
71.00 - 75.99 224 9,533,983 2.91
76.00 - 80.99 641 26,078,281 7.96
81.00 - 85.99 876 37,445,402 11.42
86.00 - 90.99 2,817 117,238,697 35.77
91.00 - 95.99 2,654 101,882,444 31.08
Greater than 95.99 462 17,123,387 5.22
--- ---------- ----
Total 8,191 327,760,837 100.00
INITIAL CONTRACT RATES
AGGREGATE
PRINCIPAL
NUMBER OF BALANCE % OF INITIAL
CONTRACTS AS OUTSTANDING AS CUTOFF DATE POOL
CONTRACT RATE OF CUTOFF DATE OF CUTOFF DATE PRINCIPAL BALANCE
- ------------- -------------- -------------- -----------------
Less than 5.01 4 304,239 0.09
5.01 - 6.00 19 1,194,955 0.36
6.01 - 7.00 671 53,250,949 16.25
7.01 - 8.00 966 55,163,737 16.83
8.01 - 9.00 1,181 59,798,389 18.24
9.01 - 10.00 1,341 54,710,409 16.69
10.01 - 11.00 1,340 44,869,798 13.69
11.01 - 12.00 1,453 36,377,017 11.10
12.01 - 13.00 757 15,481,203 4.72
13.01 - 14.00 330 5,345,580 1.63
14.01 - 15.00 12 167,775 0.05
15.01 - 16.00 95 896,349 0.27
16.01 - 17.00 22 200,436 0.06
-- ------- ----
Total 8,191 327,760,837 100.00
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<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL CONTRACTS
AGGREGATE
PRINCIPAL
NUMBER OF BALANCE % OF INITIAL
REMAINING MOS. CONTRACTS AS OUTSTANDING AS CUTOFF DATE POOL
TO MATURITY OF CUTOFF DATE OF CUTOFF DATE PRINCIPAL BALANCE
- ----------- -------------- -------------- -----------------
Less than 31 1 3,335 *
31 - 60 172 1,537,889 0.47
61 - 90 309 4,228,183 1.29
91 - 120 584 9,451,130 2.88
121 - 150 200 4,175,519 1.27
151 - 180 1,105 26,402,847 8.06
181 - 210 61 2,103,221 0.64
211 - 240 1,345 42,705,590 13.03
241 - 270 10 374,425 0.11
271 - 300 654 23,066,319 7.04
301 - 330 8 310,521 0.09
331 - 360 3,742 213,401,859 65.11
----- ----------- -----
Total 8,191 327,760,837 100.00
* Indicates an amount greater than zero but less than 0.005% of the aggregate
principal balance of the Initial Contracts as of the Cut-off Date.
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<PAGE>
MHP PREPAYMENT SENSITIVITIES(1)
75% MHP 100% MHP 125% MHP 150% MHP
------- -------- -------- --------
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
To Call
A-1 0.59 6/99 0.50 5/99 0.44 3/99 0.40 2/99
A-2 1.55 6/00 1.30 2/00 1.13 12/99 1.00 10/99
A-3 3.14 9/02 2.62 1/02 2.27 7/01 2.00 2/01
A-4 4.79 10/03 3.98 11/02 3.42 3/02 3.00 10/01
A-5 7.93 7/09 6.65 11/07 5.71 7/06 5.00 7/05
A-6 13.70 1/15 11.78 11/12 10.23 2/11 9.00 9/09
A-7 21.41 6/22 19.23 5/20 17.24 4/18 15.53 6/16
M-1 15.38 6/22 13.51 5/20 11.96 4/18 10.67 6/16
B-1 10.62 9/13 9.02 9/11 7.82 1/10 6.87 9/08
B-2 21.01 6/22 18.88 5/20 16.93 4/18 15.24 6/16
To Maturity
A-1 0.59 6/99 0.50 5/99 0.44 3/99 0.40 2/99
A-2 1.55 6/00 1.30 2/00 1.13 12/99 1.00 10/99
A-3 3.14 9/02 2.62 1/02 2.27 7/01 2.00 2/01
A-4 4.79 10/03 3.98 11/02 3.42 3/02 3.00 10/01
A-5 7.93 7/09 6.65 11/07 5.71 7/06 5.00 7/05
A-6 13.70 1/15 11.78 11/12 10.23 2/11 9.00 9/09
A-7 22.20 4/27 20.20 8/26 18.32 8/25 16.62 4/24
M-1 15.70 4/27 13.91 8/26 12.41 8/25 11.12 4/24
B-1 10.62 9/13 9.02 9/11 7.82 1/10 6.87 9/08
B-2 23.72 9/28 22.45 9/28 21.30 9/28 20.11 9/28
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<PAGE>
MHP PREPAYMENT SENSITIVITIES(1)
175% MHP 200% MHP 250% MHP 300% MHP
-------- -------- -------- --------
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
To Call
A-1 0.36 1/99 0.34 1/99 0.30 12/98 0.27 11/98
A-2 0.91 8/99 0.83 7/99 0.70 5/99 0.61 4/99
A-3 1.80 11/00 1.64 8/00 1.40 4/00 1.22 1/00
A-4 2.68 5/01 2.44 2/01 2.07 9/00 1.81 6/00
A-5 4.38 8/04 3.88 11/03 3.19 9/02 2.75 1/02
A-6 7.91 5/08 7.00 4/07 5.57 7/05 4.53 3/04
A-7 13.99 11/14 12.63 5/13 10.45 1/11 8.76 3/09
M-1 9.88 11/14 9.26 5/13 8.27 1/11 7.51 3/09
B-1 6.46 12/07 6.20 5/07 5.81 6/06 5.53 11/05
B-2 13.96 11/14 12.84 5/13 11.10 1/11 9.75 3/09
To Maturity
A-1 0.36 1/99 0.34 1/99 0.30 12/98 0.27 11/98
A-2 0.91 8/99 0.83 7/99 0.70 5/99 0.61 4/99
A-3 1.80 11/00 1.64 8/00 1.40 4/00 1.22 1/00
A-4 2.68 5/01 2.44 2/01 2.07 9/00 1.81 6/00
A-5 4.38 8/04 3.88 11/03 3.19 9/02 2.75 1/02
A-6 7.91 5/08 7.00 4/07 5.57 7/05 4.53 3/04
A-7 15.05 11/22 13.65 4/21 11.33 3/18 9.54 9/15
M-1 10.35 11/22 9.74 4/21 8.77 3/18 8.04 9/15
B-1 6.46 12/07 6.20 5/07 5.81 6/06 5.53 11/05
B-2 19.14 9/28 18.17 9/28 16.37 9/28 14.63 9/28
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<PAGE>
(1) The following are the assumed characteristics of Subsequent Contracts as of
the Cut-off Date:
AGGREGATE WGT. AVG. WGT. AVG.
REMAINING PRINCIPAL ORIGINAL REMAINING WGT. AVG.
MONTHS TO BALANCE TERM TERM CONTRACT
MATURITY OUTSTANDING (MONTHS) (MONTHS) RATE
- -------- ----------- -------- -------- ----
0-120 $7,998,431.47 102 102 11.51%
121-180 $16,069,009.59 174 174 10.90%
181-240 $23,547,145.44 237 237 10.36%
241-300 $12,318,171.46 299 299 10.15%
301-360 $112,306,405.04 360 360 8.60%
--------------- --- --- -----
TOTAL $172,239,163.00 309.5 309.3 9.30%
===== ===== =====
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<PAGE>
The attached tables and other statistical analyses (the "Term Sheet") are
privileged and confidential and are intended for use by the addressee only. This
Term Sheet is furnished to you solely by Merrill Lynch, Pierce, Fenner & Smith
Incorporated ("Merrill Lynch") and not by the issuer of the securities or any of
its affiliates. The issuer of these securities has not prepared or taken part in
the preparation of these materials. Neither Merrill Lynch, the issuer of the
securities nor any of its affiliates makes any representation as to the accuracy
or completeness of the information herein. The information herein is
preliminary, and will be subsequently filed with the Securities and Exchange
Commission. They may not be provided to any third party other than the
addressee's legal, tax, financial and/or accounting advisors for the purposes of
evaluating said material.
Numerous assumptions were used in preparing the Term Sheet which may or may
not be stated therein. As such, no assurance can be given as to the accuracy,
appropriateness or completeness of the Term Sheet in any particular context; or
as to whether the Term Sheet and/or the assumptions upon which it is based
reflect present market conditions or future market performance. This Term Sheet
should not be construed as either projections or predictions or as legal, tax,
financial or accounting advice.
Any yields or weighted average lives shown in the Term Sheet are based on
prepayment assumptions and actual prepayment experience may dramatically affect
such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Term Sheet. Furthermore, unless otherwise
provided, the Term Sheet assumes no losses on the underlying assets and no
interest shortfall. The specific characteristics of the securities may differ
from those shown in the Term Sheet due to differences between the actual
underlying assets and the hypothetical assets used in preparing the Term Sheet.
The principal amount and designation of any security described in the Term Sheet
are subject to change prior to issuance.
Although a registration statement (including the prospectus) relating to
the securities discussed in this communication has been filed with the
Securities and Exchange Commission and is effective, the final prospectus
supplement relating to the securities discussed in this communication has not
been filed with the Securities and Exchange Commission. This communication shall
not constitute an offer to sell or the solicitation of an offer to buy nor shall
there be any sale of the securities discussed in this communication in any state
in which such offer, solicitations or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the securities discussed in this communication for final
information on any matter discussed in this communication. All information in
this Term Sheet will be superseded by the information in the final prospectus
and prospectus supplement. A final prospectus and prospectus supplement may be
obtained by contacting the Merrill Lynch Trading Desk at (212) 449-3659.
Please be advised that asset-backed securities may not be appropriate for
all investors. Potential investors must be willing to
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<PAGE>
assume, among other things, market price volatility, prepayments, yield curve
and interest rate risk. Investors should fully consider the risk of an
investment in these securities.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
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