<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): December 21, 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
- -------------------------------------------------------------------------------
(Address of principal executive offices)
Registrant's telephone number, including area code: (651) 293-3400
--------------
Not Applicable
- -------------------------------------------------------------------------------
(Former name or former address, if changed since last report)
<PAGE>
ITEM 1. Changes in Control of Registrant.
- ------- --------------------------------
Not applicable.
ITEM 2. Acquisition or Disposition of Assets.
- ------- ------------------------------------
Not applicable
ITEM 3. Bankruptcy or Receivership.
- ------- --------------------------
Not applicable
ITEM 4. Changes in Registrant's Certifying Accounting.
- ------- ---------------------------------------------
Not applicable
ITEM 5. Other Events.
- ------- ------------
Not applicable.
ITEM 6. Resignations of Registrant's Directors.
- ------- --------------------------------------
Not applicable
ITEM 7. Financial Statements and Exhibits.
- ------- ---------------------------------
(a) Financial statements of businesses acquired.
Not applicable
(b) Pro forma financial information.
Not applicable
2
<PAGE>
(c) Exhibits.
The following is filed herewith. The exhibit numbers correspond
with Item 601(b) of Regulation S-K.
Exhibit No. Description
----------- -----------
99.1 Form T-1 Statement of Eligibility Under the
Trust Indenture Act of 1939.
99.2 Consent of Independent Accountants of
Financial Security Assurance Inc. and
Subsidiaries.
99.3 Term Sheet distributed in connection with
Certificates for Home Improvement and
Home Equity Loans, Series 1998-F, 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: December 28, 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
------
99.1 Form T-1 Statement of Eligibility Under the
Trust Indenture Act of 1939.
99.2 Consent of Independent Accountants of Financial
Security Assurance Inc. and Subsidiaries.
99.3 Term Sheet distributed in connection with
Certificates for Home Improvement and
Home Equity Loans, Series 1998-F, issued by
Green Tree Financial Corporation, as Seller
and Servicer.
4
<PAGE>
EXHIBIT 99.1
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
----------
FORM T-1
Statement of Eligibility Under the
Trust Indenture Act of 1939 of a Corporation
Designated to Act as Trustee
U.S. BANK TRUST NATIONAL ASSOCIATION
(Exact name of Trustee as specified in its charter)
United States 41-0257700
(State of Incorporation) (I.R.S. Employer
Identification No.)
U.S. Bank Trust Center
180 East Fifth Street
St. Paul, Minnesota 55101
(Address of Principal Executive Offices) (Zip Code)
GREEN TREE FINANCIAL CORPORATION
(Exact name of Registrant as specified in its charter)
Delaware 41-1807858
(State of Incorporation) (I.R.S. Employer
Identification No.)
1100 Landmark Towers
345 St. Peter Street
Saint Paul, Minnesota 55102-1639
(Address of Principal Executive Offices) (Zip Code)
CERTIFICATES FOR HOME IMPROVEMENT AND HOME EQUITY LOANS
LOAN BACKED NOTES
(Title of the Indenture Securities)
<PAGE>
GENERAL
1. General Information Furnish the following information as to the Trustee.
(a) Name and address of each examining or supervising authority to which
it is subject.
Comptroller of the Currency
Washington, D.C.
(b) Whether it is authorized to exercise corporate trust powers.
Yes
2. AFFILIATIONS WITH OBLIGOR AND UNDERWRITERS If the obligor or any
underwriter for the obligor is an affiliate of the Trustee, describe each
such affiliation.
None
See Note following Item 16.
Items 3-15 are not applicable because to the best of the Trustee's
knowledge the obligor is not in default under any Indenture for which the
Trustee acts as Trustee.
16. LIST OF EXHIBITS List below all exhibits filed as a part of this statement
of eligibility and qualification.
1. Copy of Articles of Association.*
2. Copy of Certificate of Authority to Commence Business.*
3. Authorization of the Trustee to exercise corporate trust powers
(included in Exhibits 1 and 2; no separate instrument).*
4. Copy of existing By-Laws.*
5. Copy of each Indenture referred to in Item 4. N/A.
6. The consents of the Trustee required by Section 321(b) of the act.
7. Copy of the latest report of condition of the Trustee published
pursuant to law or the requirements of its supervising or examining
authority is incorporated by reference to Registration Number
333-53211.
* Incorporated by reference to Registration Number 22-27000.
<PAGE>
NOTE
The answers to this statement insofar as such answers relate to what
persons have been underwriters for any securities of the obligors within three
years prior to the date of filing this statement, or what persons are owners of
10% or more of the voting securities of the obligors, or affiliates, are based
upon information furnished to the Trustee by the obligors. While the Trustee has
no reason to doubt the accuracy of any such information, it cannot accept any
responsibility therefor.
SIGNATURE
Pursuant to the requirements of the Trust Indenture Act of 1939, the
Trustee, U.S. Bank Trust National Association, an Association organized and
existing under the laws of the United States, has duly caused this statement of
eligibility and qualification to be signed on its behalf by the undersigned,
thereunto duly authorized, and its seal to be hereunto affixed and attested, all
in the City of Saint Paul and State of Minnesota on the 23rd day of December,
1998.
U.S. BANK TRUST NATIONAL ASSOCIATION
/s/ Tamara M. Schultz-Fugh
--------------------------------
Tamara M. Schultz-Fugh
Assistant Vice President
/s/ Christina M. Hatfield
- ---------------------------
Christina M. Hatfield
Assistant Secretary
<PAGE>
EXHIBIT 6
CONSENT
In accordance with Section 321(b) of the Trust Indenture Act of 1939,
the undersigned, U.S. BANK TRUST NATIONAL ASSOCIATION hereby consents that
reports of examination of the undersigned by Federal, State, Territorial or
District authorities may be furnished by such authorities to the Securities and
Exchange Commission upon its request therefor.
Dated: December 23, 1998
U.S. BANK TRUST NATIONAL ASSOCIATION
/s/ Tamara M. Schultz-Fugh
------------------------------
Tamara M. Schultz-Fugh
Assistant Vice President
<PAGE>
EXHIBIT 99.2
[LETTERHEAD OF PRICEWATERHOUSECOOPERS]
CONSENT OF INDEPENDENT ACCOUNTANTS
----------
We consent to the incorporation by reference in the Prospectus Supplement of
Green Tree Financial Corporation relating to the Green Tree Home Improvement and
Home Equity Loan Trust 1998-F Loan-Backed Notes of our report dated January 26,
1998 on our audits of the consolidated financial statements of Financial
Security Assurance Inc. and Subsidiaries as of December 31, 1997 and 1996, and
for each of the three years in the period ended December 31, 1997. We also
consent to the reference to our Firm under the caption "Experts".
/s/ PricewaterhouseCoopers LLP
PricewaterhouseCoopers LLP
December 22, 1998
<PAGE>
ABS New Transaction
Computational Materials
-----------------------
$450,000,000 (approx.)
Green Tree Financial Corporation
Home Improvement and Home Equity Loans, Series 1998-F
[LOGO OF GREEN TREE APPEARS HERE]
Green Tree Financial Corporation
Seller/Servicer
December 21, 1998
[LOGO OF MERRILL LYNCH APPEARS HERE]
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-1-
<PAGE>
The attached tables and other statistical analyses (the "Computational
Material") are privileged and confidential and are intended for use by the
addressee only. These Computational Materials are 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 superseded by the
applicable prospectus supplement and by any other information 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 Computational Material which may
or may not be stated therein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials and/or the
assumptions upon which they are based reflect present market conditions or
future market performance. These Computational Materials 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 Computational Materials 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 Computational Materials.
Furthermore, unless otherwise provided, the Computational Materials assume no
losses on the underlying assets and no interest shortfall. The specific
characteristics of the securities may differ from those shown in the
Computational Materials due to differences between the actual underlying assets
and the hypothetical assets used in preparing the Computational Materials. The
principal amount and designation of any security described in the Computational
Materials 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, solicitation 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
definitive Computational Materials on any matter discussed in this
communication. A final prospectus and prospectus supplement may be obtained by
contacting the Merrill Lynch Trading Desk at (212) 449-3659.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. 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.
[LOGO OF MERRILL LYNCH APPEARS HERE]
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-2-
<PAGE>
TERM SHEET DATED DECEMBER 22, 1998
Green Tree Financial Corporation
(Seller and Servicer)
Green Tree Home Improvement and Home Equity Loan Trust 1998-F
$450,000,000 (Approximate)
Subject to Revision
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Pass-Through Ratings WAL at 100% of Prepay.
Notes Amount Rate/Tranche Type (Moody's/S&P) Model (1)(2) Expected Maturity
----- ------ ----------------- ------------- ------------ -----------------
<S> <C> <C> <C> <C> <C>
Class A-1 $245,280,000 Fixed/Senior Aaa/AAA Priced/Not Offered Priced/Not Offered
Class A-2 $ 99,645,000 Fixed/Senior Aaa/AAA Priced/Not Offered Priced/Not Offered
Class M-1 $ 24,075,000 Fixed/Mezzanine Aa3/AA 10.02 12/09
Class M-2 $ 31,500,000 Fixed/Mezzanine A3/A 10.96 12/09
Class B-1 $ 24,750,000 Fixed/Subordinate Baa3/BBB 5.45 3/06
Class B-2(3) $ 24,750,000 Fixed/Subordinate Ba1/BBB- 9.69 12/09
</TABLE>
- ------------------------
(1) Run to 10% Call.
(2) The Notes will be priced using 100% of a prepayment rate assuming a
conditional prepayment rate of 0% per annum of the then outstanding
principal balance of the Contracts in the first month of the life of the
Contracts and an additional 1.14% (precisely, 16/14%) per annum in each
month thereafter until the fifteenth month. Beginning in the fifteenth
month and in each month thereafter, the conditional prepayment rate is 16%.
(3) Not offered hereby.
<TABLE>
<S> <C>
ISSUER: Green Tree Home Improvement and Home Equity Loan Trust 1998-F
SELLER/SERVICER: Green Tree Financial Corporation ("Green Tree")
INDENTURE TRUSTEE: U.S. Bank Trust National Association
OWNER TRUSTEE: Wilmington Trust Company
UNDERWRITERS: Merrill Lynch & Co. (Lead Manager), Lehman Brothers (Co-Lead)
NOTE INSURER (Class A-1 & A-2): Financial Security Assurance Inc.
CUT-OFF DATE: December 1, 1998
EXPECTED PRICING: Wednesday, December 16, 1998.
</TABLE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-3-
<PAGE>
<TABLE>
<S> <C>
EXPECTED SETTLEMENT: December 30, 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 in January, 1999.
ERISA: It is expected that the Notes will be ERISA eligible.
TAX STATUS: Debt obligations of the Issuer.
OPTIONAL REDEMPTION: 10% optional clean-up call.
COLLATERAL: Fixed-rate, home improvement contracts and promissory notes and fixed rate, closed-end home equity
contracts (the "Contracts") secured by first, second, third, or fourth priority liens on the
related properties and, in general, having a high combined loan-to-value ratio at origination. For
purpose of determining the amount of principal to be paid on the Class A-1 Notes and the Class A-2
Notes, the Contracts will be divided into two groups: "Group 1" (relating to the Class A-1 Notes)
and "Group 2" (relating to the Class A-2 Notes,) collectively referred to herein as the "Total
Pool." See below for further description of the Contracts in each Group and the Total Pool.
ADDITIONAL COLLATERAL: The data set forth below with respect to each Group is based solely on the contracts identified for
inclusion in each Group as of the Cut-off Date. Certain additional contracts will be included in
Group 2 on the Closing Date ("Additional Group 2 Contracts"). It is expected that the Additional
Group 2 Contracts will have characteristics that are similar to the initial group of Group 2
Contracts.
CREDIT ENHANCEMENT: Credit enhancement with respect to the Notes will be provided by subordination and, with respect to
the Class A Notes, the Financial Security Assurance Inc. ("FSA") insurance policy.
(a) Subordination: Class A-1 Notes and Class A-2 Notes are senior to Class M and Class B Notes.
-------------
Class M Notes are senior to the Class B Notes.
Class A-1 and Class A-2: 23.35% subordination (Class M-1, M-2, B-1 and B-2)
Class M-1: 18.00% subordination (Class M-2, B-1 and B-2)
Class M-2: 11.00% subordination (Class B-1 and B-2)
Class B-1: 5.50% subordination (Class B-2)
Class B-2: Limited Guaranty (which will not benefit any other
class directly or indirectly)
(b) FSA Insurance Policy: FSA will issue a financial guaranty note insurance policy pursuant to
--------------------
which it will irrevocably and unconditionally guarantee the timely payment of interest and ultimate
payment of principal on the Class A-1 and Class A-2 Notes.
</TABLE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-4-
<PAGE>
<TABLE>
<S> <C>
DISTRIBUTIONS: The amount available for payments on the Notes will generally consist of payments made on or in
respect of the Contracts, and will include amounts otherwise payable to the Servicer (as long as
Green Tree is the Servicer) as the Monthly Servicing Fee with respect to the Contracts, to Green
Tree as the Guaranty Fee, and to the Owner Trust Certificateholders.
LOSSES ON LIQUIDATED
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 Guaranty Fee otherwise payable to Green Tree, then
the Monthly Servicing Fee otherwise payable to the Servicer (as long as Green Tree is the
Servicer), then the Class B-2 Noteholders, then the Class B-1 Noteholders, then the Class M-2
Noteholders and then the Class M-1 Noteholders.
INTEREST
(Class A-1, A-2,
M-1, M-2, B-1): Following payment to FSA of the Premium Amount with respect to a Payment Date, interest will be
distributable first to the Class A-1 and Class A-2 Notes, then to the Class M-1 Notes, then to the
Class M-2 Notes and then to the Class B-1 Notes. Interest on the outstanding Class A-1 Principal
Balance, Class A-2 Principal Balance, Class M-1 Adjusted Principal Balance, Class M-2 Adjusted
Principal Balance and Class 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
Notes 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. Draws previously made under the Certificate Insurance
Policy and any other amounts owed to FSA not previously reimbursed will be carried forward for
reimbursement to FSA.
The Class M-1 Adjusted Principal Balance is the Class M-1 Principal Balance less any Class M-1
Liquidation Loss Principal 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
Notes.
The Class M-2 Adjusted Principal Balance is the Class M-2 Principal Balance less any Class M-2
Liquidation Loss Principal Amount. The Class M-2 Principal Balance is the Original Class M-2
Principal Balance less all amounts previously distributed on account of principal of the Class M-2
Notes.
The Class B-1 Adjusted Principal Balance is the Class B-1 Principal Balance less any Class B-1
Liquidation Loss Principal 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
Notes.
</TABLE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-5-
<PAGE>
<TABLE>
<S> <C>
PRINCIPAL
(Class A-1, A-2,
M-1, M-2, B-1): After the payment of all interest distributable to Class A-1, Class A-2, Class M-1, Class M-2 and
Class B-1 Noteholders, principal will be distributed in the following manner.
CLASS A PRINCIPAL: The Class A-1 Noteholders will be entitled to receive the Senior Percentage of the related Group
Formula Principal Distribution Amount, until the Class A-1 Principal Balance has been reduced to
zero. The Class A-2 Noteholders will be entitled to receive the Senior Percentage of the related
Group Formula Principal Distribution Amount until the Class A-2 Principal Balance has been reduced
to zero. The "Senior Percentage" will equal 100% if either of the following exist:
(i) the Payment Date is prior to January 2003 (month 49); or
(ii) any Class B Principal Distribution Test (see below) is not satisfied.
Otherwise, the Senior Percentage will equal a fraction, the numerator of which is the sum of the
Class A-1 Principal Balance, the Class A-2 Principal Balance, and the Class M Principal Balance for
a given Payment Date, and the denominator of which is the sum of the Scheduled Principal Balances
of Group 1 and Group 2 for the immediately preceding Payment Date.
The related "Group Formula Principal Distribution Amount" with respect to each Group and each Class
A Note will generally be equal to (A) the sum of (i) all scheduled payments of principal due on
each outstanding Contract related to such Group during the related Due Period, (ii) the Scheduled
Balance of each Contract related to such Group 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 Contracts related to such Group,
(iv) the scheduled principal balance of each Contract related to such Group 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 B-2
Principal Balance has been reduced to zero, or (b) such amount was not covered by a Class B-2
Guaranty Payment and corresponding reduction in the Class B-2 Principal Balance.
CLASS M-1 PRINCIPAL: Class M-1 Noteholders will not receive principal payments until the Class A-1 Principal Balance and
Class A-2 Principal Balance has been reduced to zero. At that time the Class M-1 Noteholders will
be entitled to receive the Senior Percentage of each Group Formula Principal Distribution Amount,
until the Class M-1 Principal Balance has been reduced to zero.
CLASS M-2 PRINCIPAL: Class M-2 Noteholders will not receive principal payments until the Class A-1, Class A-2 and Class
M-1 Principal Balances have been reduced to zero. At that time the Class M-2 Noteholders will be
entitled to receive the Senior Percentage of each Group Formula Principal Distribution Amount,
until the Class M-2 Principal Balance has been reduced to zero.
</TABLE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-6-
<PAGE>
<TABLE>
<S> <C>
Group Formula Principal Distribution Amount, until the Class M-2 Principal Balance has been
reduced to zero.
CLASS B-1 PRINCIPAL: The Class B-1 Noteholders will not receive principal payments until (i) the Class B Cross-over
Date and (ii) such time as either (a) each Class B Principal Distribution Test is satisfied or
(b) the Class A-1 Principal Balance, the Class A-2 Principal Balance and the Class M Principal
Balances have each been reduced to zero. At that time, to the extent of the amount available
after payment of all interest distributable to Class A-1, Class A-2, Class M-1, Class M-2 and
Class B-1 Noteholders, and all principal distributable to Class A-1, Class A-2, Class M-1, and
Class M-2 Noteholders, Class B-1 Noteholders will receive the lesser of (i) the Class B
Percentage of each Group Formula Principal Distribution Amount and (ii) the excess of (a) the
sum of (x) the Class B-1 Principal Balance and (y) the Class B-2 Principal Balance over (b)
$2,250,000, until the Class B-1 Principal Balance has been reduced to zero.
The Class B Percentage will be equal to 100% minus the Senior Percentage. The Class B
Percentage after the Class A and Class M Principal Balances have been reduced to zero will be
equal to 100%.
CLASS B PRINCIPAL
DISTRIBUTION TESTS: (i) the average of the Sixty-Day Delinquency Ratio as of the given Payment Date and the
prior two Payment Dates must not exceed 4.5%;
(ii) the average of the Thirty-Day Delinquency Ratio as of the given Payment Date and the
prior two Payment Dates must not exceed 7.5%;
(iii) the Cumulative Realized Losses as of the given Payment Date must not exceed 13%;
(iv) the Current Realized Loss Ratio as of the given Payment Date must not exceed 5%; and
(v) the Class B Principal Balance divided by the Pool Scheduled Principal Balance as of the
immediately preceding Payment Date must be equal to or greater than 22%.
LIQUIDATION
LOSS INTEREST: Liquidation Loss Interest will be distributable first to the Class M-1 Notes, then to the
Class M-2 Notes and then to the Class B-1 Notes. Interest on the outstanding Class M-1
Liquidation Loss Principal Amount, Class M-2 Liquidation Loss Principal Amount and Class 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.
</TABLE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-7-
<PAGE>
GROUP 1 CONTRACTS
The Contracts comprising Group 1 consist of home improvement contracts and
home equity contracts. The obligations of the obligor under each Group 1
Contract are secured by the related real estate.
The information concerning the Group 1 Contracts presented below is based
on a pool originated through December 1, 1998. The pool of Group 1 Contracts
will not include (i) any Contract secured by a first priority lien on the
related mortgaged property with an original principal balance in excess of
$227,150, or (ii) any Contract secured by a second or third priority lien on the
related mortgage property with an original principal balance in excess of 50% of
the principal balance of the related first lien or related first and second
liens, as applicable.
INITIAL GROUP CONTRACTS
Number of Contracts: 14,419
Wgt. Avg. Contract Rate: 14.15%
Range of Rates: 6.99% - 20.14%
Wgt. Avg. CLTV 117.00%
Greater than 100% 93.86%
Wgt. Avg. FICO Score 645
Wgt. Avg. Orig. Maturity: 225.03
Wgt. Avg. Rem. Maturity: 221.26
Avg. Rem. Princ. Balance: $22,192.94
Wgt. Avg. CLTV: 117.00%
[LOGO OF MERRILL LYNCH APPEARS HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-8-
<PAGE>
Geographic Distribution of Mortgaged Properties
Group 1 Contracts
% of Group 1
Contracts by
Number of Aggregate Principal Outstanding
State Contracts Balance Outstanding Principal Balance
----- --------- ------------------- -----------------
AL 481 $ 9,815,850 3.07%
AR 67 1,183,166 0.37
AZ 449 12,790,581 4.00
CA 1,219 38,630,128 12.07
CO 260 5,844,039 1.83
CT 290 7,028,175 2.20
DC 9 206,325 0.06
DE 94 2,118,598 0.66
FL 884 19,510,872 6.10
GA 395 8,040,627 2.51
IA 250 3,903,004 1.22
ID 69 1,318,840 0.41
IL 910 18,827,177 5.88
IN 328 5,873,035 1.84
KS 335 5,309,552 1.66
KY 128 2,376,819 0.74
LA 165 2,748,634 0.86
MA 249 5,875,590 1.84
MD 289 6,769,028 2.12
ME 74 1,692,472 0.53
MI 545 10,162,104 3.18
MN 367 7,500,323 2.34
MO 589 9,784,529 3.06
MS 131 2,329,795 0.73
MT 27 558,528 0.17
NC 409 7,785,546 2.43
ND 37 620,166 0.19
NE 130 2,173,969 0.68
NH 61 1,495,341 0.47
NJ 479 13,128,711 4.10
NM 86 1,786,408 0.56
NV 206 5,748,772 1.80
NY 942 22,432,484 7.01
OH 483 9,359,020 2.92
OK 130 2,455,615 0.77
OR 109 2,539,578 0.79
PA 646 14,002,454 4.38
RI 60 1,335,806 0.42
SC 290 5,428,082 1.70
SD 53 923,315 0.29
TN 202 3,835,823 1.20
TX 30 609,219 0.19
UT 85 1,883,305 0.59
VA 709 16,792,876 5.25
VT 10 246,182 0.08
WA 382 9,998,560 3.12
WI 177 3,230,584 1.01
WV 60 1,207,228 0.38
WY 39 783,166 0.24
-- ------- ----
Total 14,419 $320,000,001 100.00%
[LOGO OF MERRILL LYNCH APPEARS HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-9-
<PAGE>
Initial Group 1 Contract Rates
- --------------------------------------------------------------------------------
% of Group 1
Contracts by
Number of Aggregate Principal Outstanding
Contract Rates Contracts Balance Outstanding Principal Balance
-------------- --------- ------------------- -----------------
Less than 9.001% 16 $ 533,705 0.17%
9.001%-10.000% 440 15,960,308 4.99
10.001%-11.000% 810 26,721,078 8.35
11.001%-12.000% 892 26,761,817 8.36
12.001%-13.000% 994 25,045,684 7.83
13.001%-14.000% 1,908 48,068,641 15.02
14.001%-15.000% 2,654 60,281,052 18.84
15.001%-16.000% 3,170 60,678,023 18.96
16.001%-17.000% 2,213 36,572,779 11.43
Greater than 17.000% 1,322 19,376,916 6.06
----- ---------- ----
Total 14,419 $320,000,001 100.00%
[LOGO OF MERRILL LYNCH APPEARS HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-10-
<PAGE>
Initial Group 1 Months Since Origination
- --------------------------------------------------------------------------------
% of Group 1
Contracts by
Months Since Number of Aggregate Principal Outstanding
Origination Contracts Balance Outstanding Principal Balance
----------- --------- ------------------- -----------------
Less than 4 5,258 $114,725,095 35.85%
4-6 4,859 107,574,705 33.62
7-12 4,172 94,500,973 29.53
Greater than 12 130 3,199,228 1.00
--- --------- ----
Total 14,419 $320,000,001 100.00%
Distribution of Group 1 Current Balance
- --------------------------------------------------------------------------------
% of Group 1
Contracts by
Number of Aggregate Principal Outstanding
Current Balance Contracts Balance Outstanding Principal Balance
--------------- --------- ------------------- -----------------
Less than 10,000.00 1,372 $12,845,860 4.01%
10,000.00-19,999.99 6,183 93,535,753 29.23
20,000.00-29,999.99 3,857 95,051,659 29.70
30,000.00-39,999.99 1,785 61,806,203 19.31
40,000.00-49,999.99 924 40,327,130 12.60
50,000.00-59,999.99 244 12,713,514 3.97
Greater than 59,999.99 54 3,719,881 1.16
-- --------- ----
Total 14,419 $320,000,001 100.00%
[LOGO OF MERRILL LYNCH APPEARS HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-11-
<PAGE>
Distribution of Group 1 Original Balance
- --------------------------------------------------------------------------------
% of Group 1
Contract by
Number of Aggregate Principal Outstanding
Original Balance Contracts Balance Outstanding Principal Balance
---------------- --------- ------------------- -----------------
Less than 10,000.00 287 $2,198,814 0.69%
10,000.00-19,999.99 6,609 91,238,418 28.51
20,000.00-29,999.99 4,235 99,690,008 31.15
30,000.00-39,999.99 1,962 65,999,170 20.62
40,000.00-49,999.99 994 42,768,322 13.37
50,000.00-59,999.99 278 14,385,388 4.50
Greater than 59,999.99 54 3,719,881 1.16
-- --------- ----
Total 14,419 $320,000,001 100.00%
Remaining Months to Maturity of Group 1 Contracts
- --------------------------------------------------------------------------------
% of Group 1
Contracts by
Number of Aggregate Principal Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
---------------- --------- ------------------- -----------------
1-60 253 $3,366,061 1.05%
61-120 2,145 36,574,268 11.43
121-180 3,564 76,431,729 23.88
181-240 5,879 119,756,444 37.42
241-300 2,570 83,625,593 26.13
301-360 8 245,906 0.08
- ------- ----
Total 14,419 $320,000,001 100.00%
[LOGO OF MERRILL LYNCH APPEARS HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-12-
<PAGE>
Group 1 Contracts FICO Scores
- --------------------------------------------------------------------------------
% of Group 1 Contracts
Number of Aggregate Principal by Outstanding
FICO Scores Contracts Balance Outstanding Principal Balance
----------- --------- ------------------- -----------------
Less than 551 462 $8,277,784 2.59%
551-600 1,695 32,853,021 10.27
601-650 6,382 139,297,090 43.53
651-700 4,379 101,837,558 31.82
701-750 1,240 31,286,029 9.78
Greater than 750 261 6,448,519 2.02
--- --------- ----
Total 14,419 $320,000,001 100.00%
Group 1 Contracts Debt to Income
- --------------------------------------------------------------------------------
% of Group 1 Contract
Number of Aggregate Principal by Outstanding
Debt to Income Contracts Balance Outstanding Principal Balance
-------------- --------- ------------------- -----------------
Less than 10.01% 746 $12,572,851 3.93%
10.01% -15.00% 211 3,566,756 1.11
15.01% -20.00% 374 6,301,860 1.97
20.01% -25.00% 773 15,479,643 4.84
25.01% -30.00% 1,344 29,274,900 9.15
30.01% -35.00% 2,082 47,438,354 14.82
35.01% -40.00% 2,608 59,866,348 18.71
40.01% -45.00% 3,088 70,826,565 22.13
45.01% -50.00% 2,071 48,934,671 15.29
Greater than 50.00% 1,122 25,738,051 8.04
----- ---------- ----
Total 14,419 $320,000,001 100.00%
[LOGO OF MERRILL LYNCH APPEARS HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-13-
<PAGE>
GROUP 2 CONTRACTS
The Contracts comprising Group 2 consist of home improvement contracts and
home equity contracts. The obligations of the obligor under each Group 2
Contract are secured by the related real estate.
The information concerning the Initial Group 2 Contracts presented below is
based on a pool originated through December 1, 1998 (the "Initial Group 2
Contracts). Green Tree intends to acquire and sell Additional Group 2 Contracts
to the Trust on the Closing Date. Although the characteristics of the final pool
of Group 2 Contracts will differ from the characteristics of the Initial Group 2
Contracts shown below, Green Tree does not expect that the characteristics of
the Additional Group 2 Contracts sold to the Trust will vary materially from
those of the Initial Group 2 Contracts herein.
The Initial Group 2 Contracts
Number of Contracts: 3,833
Wgt. Avg. Contract Rate: 13.76%
Range of Rates: 7.99% - 19.64%
Wgt. Avg. CLTV 128.30%
Greater than 100% 94.58%
Wgt. Avg. FICO Score 647
Wgt. Avg. Orig. Maturity: 231.74
Wgt. Avg. Rem. Maturity: 228.04
Avg. Rem. Princ. Balance: $26,829.69
[LOGO OF MERRILL LYNCH APPEARS HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-14-
<PAGE>
Geographic Distribution of Mortgaged Properties
Initial Group 2 Contracts
% of Group 2 Contracts
Number of Aggregate Principal by Outstanding
State Contracts Balance Outstanding Principal Balance
----- --------- ------------------- -----------------
AL 133 $3,270,144 3.18%
AR 22 568,257 0.55
AZ 109 3,392,399 3.30
CA 237 8,437,832 8.20
CO 63 1,861,999 1.81
CT 60 1,628,099 1.58
DC 1 19,369 0.02
DE 29 720,793 0.70
FL 266 7,310,371 7.11
GA 89 2,403,788 2.34
IA 63 1,143,818 1.11
ID 15 369,603 0.36
IL 190 4,665,323 4.54
IN 119 3,037,891 2.95
KS 79 1,606,204 1.56
KY 37 872,958 0.85
LA 43 1,027,721 1.00
MA 41 1,154,578 1.12
MD 53 1,317,257 1.28
ME 35 1,093,088 1.06
MI 173 4,224,130 4.11
MN 150 3,454,138 3.36
MO 148 3,297,138 3.21
MS 24 535,673 0.52
MT 11 278,939 0.27
NC 112 2,597,238 2.53
ND 17 421,234 0.41
NE 37 789,623 0.77
NH 17 550,438 0.54
NJ 89 2,862,695 2.78
NM 28 775,543 0.75
NV 40 1,166,432 1.13
NY 299 8,544,411 8.31
OH 147 3,572,719 3.47
OK 48 1,310,233 1.27
OR 30 983,631 0.96
PA 231 6,318,349 6.14
RI 19 466,769 0.45
SC 70 1,719,318 1.67
SD 25 605,174 0.59
TN 49 1,378,246 1.34
TX 13 331,658 0.32
UT 12 262,697 0.26
VA 164 4,757,095 4.63
VT 2 58,273 0.06
WA 97 3,120,103 3.03
WI 64 1,596,960 1.55
WV 15 452,552 0.44
WY 18 505,302 0.49
-- ------- ----
Total 3,833 $102,838,205 100.00%
[LOGO OF MERRILL LYNCH APPEARS HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-15-
<PAGE>
Initial Group 2 Contract Rates
- --------------------------------------------------------------------------------
% of Group 2 Contracts
Number of Aggregate Principal by Outstanding
Contract Rates Contracts Balance Outstanding Principal Balance
-------------- --------- ------------------- -----------------
Less than 9.001% 9 $297,719 0.29%
9.001%-10.000% 120 4,819,983 4.69
10.001%-11.000% 239 8,702,740 8.46
11.001%-12.000% 326 11,280,005 10.97
12.001%-13.000% 377 11,690,437 11.37
13.001%-14.000% 704 20,870,419 20.29
14.001%-15.000% 705 19,391,365 18.86
15.001%-16.000% 684 14,502,779 14.10
16.001%-17.000% 432 7,596,968 7.39
Greater than 17.000% 237 3,685,789 3.58
--- --------- ----
Total 3,833 $102,838,205 100.00%
[LOGO OF MERRILL LYNCH APPEARS HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-16-
<PAGE>
Initial Group 2 Months Since Origination
- --------------------------------------------------------------------------------
% of Group 2 Contracts
Months Since Number of Aggregate Principal by Outstanding
Origination Contracts Balance Outstanding Principal Balance
----------- --------- ------------------- -----------------
Less than 4 1,377 $36,423,773 35.42%
4-6 1,330 35,781,934 34.79
7-12 1,068 28,820,034 28.02
Greater than 12 58 1,812,464 1.76
-- --------- ----
Total 3,833 $102,838,205 100.00%
Distribution of Initial Group 2 Current Balance
- --------------------------------------------------------------------------------
% of Group 2 Contract
Number of Aggregate Principal by Outstanding
Current Balance Contracts Balance Outstanding Principal Balance
--------------- --------- ------------------- ------------------
Less than 10,000.00 190 $1,764,975 1.72%
10,000.00-19,999.99 1,173 18,009,550 17.51
20,000.00-29,999.99 1,060 26,508,089 25.78
30,000.00-39,999.99 803 28,111,539 27.34
40,000.00-49,999.99 467 20,487,722 19.92
50,000.00-59,999.99 112 5,808,409 5.65
Greater than 59,999.99 28 2,147,920 2.09
-- --------- ----
Total 3,833 $102,838,205 100.00%
[LOGO OF MERRILL LYNCH APPEARS HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-17-
<PAGE>
Distribution of Initial Group 2 Original Balance
- --------------------------------------------------------------------------------
% of Group 2 Contract
Number of Aggregate Principal by Outstanding
Original Balance Contracts Balance Outstanding Principal Balance
---------------- --------- ------------------- -----------------
Less than 10,000.00 38 $276,867 0.27%
10,000.00-19,999.99 1,216 17,346,670 16.87
20,000.00-29,999.99 1,094 26,427,738 25.70
30,000.00-39,999.99 802 27,354,787 26.60
40,000.00-49,999.99 520 22,371,587 21.75
50,000.00-59,999.99 135 6,912,636 6.72
Greater than 59,999.99 28 2,147,920 2.09
-- --------- ----
Total 3,833 $102,838,205 100.00%
Remaining Months to Maturity of Initial Group 2 Contracts
- --------------------------------------------------------------------------------
% of Group 2 Contracts
Number of Aggregate Principal by Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
---------------- --------- ------------------- -----------------
1-60 47 $606,884 0.59%
61-120 486 9,973,134 9.70
121-180 942 24,502,400 23.83
181-240 1,429 34,750,035 33.79
241-300 929 33,005,752 32.09
--- ---------- -----
Total 3,833 $102,838,205 100.00%
[LOGO OF MERRILL LYNCH APPEARS HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-18-
<PAGE>
Initial Group 2 Contracts FICO Scores
- --------------------------------------------------------------------------------
% of Group 2
Contracts by
Number of Aggregate Principal Outstanding
FICO Scores Contracts Balance Outstanding Principal Balance
----------- --------- ------------------- -----------------
Less than 551 126 $2,595,935 2.52%
551-600 392 9,351,455 9.09
601-650 1,696 44,160,073 42.94
651-700 1,202 34,322,512 33.38
701-750 361 10,855,429 10.56
Greater than 750 56 1,552,802 1.51
-- --------- -----
Total 3,833 $102,838,205 100.00%
Initial Group 2 Contracts Debt to Income
- --------------------------------------------------------------------------------
% of Group 2
Contracts by
Number of Aggregate Principal Outstanding
Debt to Income Contracts Balance Outstanding Principal Balance
-------------- --------- ------------------- -----------------
Less than 10.01% 173 $3,234,218 3.14%
10.01% -15.00% 52 1,012,062 0.98
15.01% -20.00% 88 1,852,580 1.80
20.01% -25.00% 240 6,136,402 5.97
25.01% -30.00% 343 8,958,010 8.71
30.01% -35.00% 536 14,913,217 14.50
35.01% -40.00% 737 20,371,744 19.81
40.01% -45.00% 867 24,003,052 23.34
45.01% -50.00% 518 14,815,534 14.41
Greater than 50.00% 279 7,541,386 7.33
--- --------- ----
Total 3,833 $102,838,205 100.00%
[LOGO OF MERRILL LYNCH APPEARS HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-19-
<PAGE>
TOTAL POOL CONTRACTS
The Contracts comprising the Total Pool consist of home improvement
contracts and home equity contracts. The obligations of the obligor under each
Total Pool Contract are secured by the related real estate.
The information concerning the Total Pool Contracts presented below is
based on a pool originated through December 1, 1998. Green Tree intends to
acquire and sell Additional Group 2 Contracts to the Trust on the Closing Date.
Although the characteristics of the final pool of Total Pool Contracts will
differ from the characteristics of the Total Pool Contracts shown below, Green
Tree does not expect that the characteristics of the Additional Group 2
Contracts sold to the Trust will vary materially from those of the Group 2
Contracts herein.
The Total Pool Contracts
Number of Contracts: 18,252
Wgt. Avg. Contract Rate: 14.05%
Range of Rates: 6.99% - 20.14%
Wgt. Avg. CLTV 119.75%
Greater than 100% 94.03%
Wgt. Avg. FICO Score 646
Wgt. Avg. Orig. Maturity: 226.66
Wgt. Avg. Rem. Maturity: 222.91
Avg. Rem. Princ. Balance: $23,166.68
[LOGO OF MERRILL LYNCH APPEARS HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-20-
<PAGE>
Geographic Distribution of Mortgaged Properties
Total Pool Contracts
% of Total Pool
Contracts by
Number of Aggregate Principal Outstanding
State Contracts Balance Outstanding Principal Balance
----- --------- ------------------- -----------------
AL 614 $13,085,994 3.09%
AR 89 1,751,423 0.41
AZ 558 16,182,980 3.83
CA 1,456 47,067,960 11.13
CO 323 7,706,038 1.82
CT 350 8,656,274 2.05
DC 10 225,694 0.05
DE 123 2,839,391 0.67
FL 1,150 26,821,243 6.34
GA 484 10,444,415 2.47
IA 313 5,046,822 1.19
ID 84 1,688,442 0.40
IL 1,100 23,492,500 5.56
IN 447 8,910,926 2.11
KS 414 6,915,756 1.64
KY 165 3,249,777 0.77
LA 208 3,776,355 0.89
MA 290 7,030,168 1.66
MD 342 8,086,285 1.91
ME 109 2,785,560 0.66
MI 718 14,386,235 3.40
MN 517 10,954,461 2.59
MO 737 13,081,667 3.09
MS 155 2,865,467 0.68
MT 38 837,468 0.20
NC 521 10,382,784 2.46
ND 54 1,041,400 0.25
NE 167 2,963,592 0.70
NH 78 2,045,779 0.48
NJ 568 15,991,406 3.78
NM 114 2,561,951 0.61
NV 246 6,915,204 1.64
NY 1,241 30,976,895 7.33
OH 630 12,931,740 3.06
OK 178 3,765,848 0.89
OR 139 3,523,209 0.83
PA 877 20,320,803 4.81
RI 79 1,802,575 0.43
SC 360 7,147,399 1.69
SD 78 1,528,489 0.36
TN 251 5,214,070 1.23
TX 43 940,877 0.22
UT 97 2,146,002 0.51
VA 873 21,549,971 5.10
VT 12 304,455 0.07
WA 479 13,118,662 3.10
WI 241 4,827,543 1.14
WV 75 1,659,780 0.39
WY 57 1,288,468 0.30
------ ------------ ------
Total 18,252 $422,838,206 100.00%
[LOGO OF MERRILL LYNCH APPEARS HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-21-
<PAGE>
Total Pool Contract Rates
- -------------------------------------------------------------------------------
% of Total Pool
Contracts by
Number of Aggregate Principal Outstanding
Contract Rates Contracts Balance Outstanding Principal Balance
-------------- --------- ------------------- -----------------
Less than 9.001% 25 $831,424 0.20%
9.001%-10.000% 560 20,780,290 4.91
10.001%-11.000% 1,049 35,423,819 8.38
11.001%-12.000% 1,218 38,041,822 9.00
12.001%-13.000% 1,371 36,736,121 8.69
13.001%-14.000% 2,612 68,939,059 16.30
14.001%-15.000% 3,359 79,672,417 18.84
15.001%-16.000% 3,854 75,180,802 17.78
16.001%-17.000% 2,645 44,169,747 10.45
Greater than 17.000% 1,559 23,062,705 5.45
----- ---------- ----
Total 18,252 $422,838,206 100.00%
[LOGO OF MERRILL LYNCH APPEARS HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-22-
<PAGE>
Total Pool Months Since Origination
- -------------------------------------------------------------------------------
% of Total Pool
Contracts by
Months Since Number of Aggregate Principal Outstanding
Origination Contracts Balance Outstanding Principal Balance
----------- --------- ------------------- -----------------
Less than 4 6,635 $151,148,868 35.75%
4-6 6,189 143,356,639 33.90
7-12 5,240 123,321,007 29.17
Greater than 12 188 5,011,692 1.19
--- --------- ----
Total 18,252 $422,838,206 100.00%
Distribution of Total Pool Current Balance
- --------------------------------------------------------------------------------
% of Total Pool
Contracts by
Number of Aggregate Principal Outstanding
Current Balance Contracts Balance Outstanding Principal Balance
--------------- --------- ------------------- -----------------
Less than 10,000.00 1,562 $14,610,834 3.46%
10,000.00-19,999.99 7,356 111,545,304 26.38
20,000.00-29,999.99 4,917 121,559,749 28.75
30,000.00-39,999.99 2,588 89,917,742 21.27
40,000.00-49,999.99 1,391 60,814,852 14.38
50,000.00-59,999.99 356 18,521,923 4.38
Greater than 59,999.99 82 5,867,801 1.39
-- --------- ----
Total 18,252 $422,838,206 100.00%
[LOGO OF MERRILL LYNCH APPEARS HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-23-
<PAGE>
Distribution of Total Pool Original Balance
- --------------------------------------------------------------------------------
% of Total Pool
Contracts by
Number of Aggregate Principal Outstanding
Original Balance Contracts Balance Outstanding Principal Balance
---------------- --------- ------------------- -----------------
Less than 10,000.00 325 $2,475,681 0.59%
10,000.00-19,999.99 7,825 108,585,089 25.68
20,000.00-29,999.99 5,329 126,117,746 29.83
30,000.00-39,999.99 2,764 93,353,958 22.08
40,000.00-49,999.99 1,514 65,139,909 15.41
50,000.00-59,999.99 413 21,298,023 5.04
Greater than 59,999.99 82 5,867,801 1.39
-- --------- ----
Total 18,252 $422,838,206 100.00%
Remaining Months to Maturity of Total Pool Contracts
- --------------------------------------------------------------------------------
% of Total Pool
Contracts by
Number of Aggregate Principal Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
- ---------------- --------- ------------------- -----------------
1-60 300 $3,972,945 0.94%
61-120 2,631 46,547,402 11.01
121-180 4,506 100,934,130 23.87
181-240 7,308 154,506,479 36.54
241-300 3,499 116,631,345 27.58
301-360 8 245,906 0.06
- ------- ----
Total 18,252 $422,838,206 100.00%
[LOGO OF MERRILL LYNCH APPEARS HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-24-
<PAGE>
Initial Total Pool Contracts FICO Scores
- --------------------------------------------------------------------------------
% of Total Pool
Contracts by
Number of Aggregate Principal Outstanding
FICO Scores Contracts Balance Outstanding Principal Balance
- ----------- --------- ------------------- -----------------
Less than 551 588 $10,873,719 2.57%
551-600 2,087 42,204,475 9.98
601-650 8,078 183,457,163 43.39
651-700 5,581 136,160,069 32.20
701-750 1,601 42,141,458 9.97
Greater than 750 317 8,001,321 1.89
--- --------- ----
Total 18,252 $422,838,206 100.00%
Total Pool Contracts Debt to Income
- --------------------------------------------------------------------------------
% of Total Pool
Contracts by
Number of Aggregate Principal Outstanding
Debt to Income Contracts Balance Outstanding Principal Balance
-------------- --------- ------------------- -----------------
Less than 10.01% 919 $15,807,070 3.74%
10.01%-15.00% 263 4,578,818 1.08
15.01%-20.00% 462 8,154,441 1.93
20.01%-25.00% 1,013 21,616,044 5.11
25.01%-30.00% 1,687 38,232,910 9.04
30.01%-35.00% 2,618 62,351,571 14.75
35.01%-40.00% 3,345 80,238,092 18.98
40.01%-45.00% 3,955 94,829,617 22.43
45.01%-50.00% 2,589 63,750,205 15.08
Greater than 50.00% 1,401 33,279,438 7.87
----- ---------- ----
18,252 $422,838,206 100.00%
[LOGO OF MERRILL LYNCH APPEARS HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
-25-
<PAGE>
CPR PREPAYMENT SENSITIVITIES
<TABLE>
<CAPTION>
50% of 75% of 100% of 125% of 150% of
Prepayment Prepayment Prepayment Prepayment Prepayment
Model* Model* Model* Model* Model*
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
To Call
Class A-1 5.34 07/12 4.09 12/09 3.28 11/07 2.67 03/06 2.23 11/04
Class A-2 5.52 08/12 4.24 01/10 3.41 12/07 2.78 04/06 2.34 12/04
Class M-1 14.80 11/14 12.22 02/12 10.02 12/09 8.19 02/08 6.77 09/06
Class M-2 15.88 11/14 13.13 02/12 10.96 12/09 9.12 02/08 7.79 10/06
Class B-1 8.64 04/10 6.68 09/07 5.45 03/06 5.18 08/05 4.99 03/05
To Maturity
Class A-1 5.34 07/12 4.09 12/09 3.28 11/07 2.67 03/06 2.23 11/04
Class A-2 5.52 08/12 4.24 01/10 3.41 12/07 2.78 04/06 2.34 12/04
Class M-1 14.83 05/15 12.26 07/12 10.04 04/10 8.20 04/08 6.77 09/06
Class M-2 19.12 09/22 16.62 02/21 14.35 08/18 12.20 12/16 10.35 12/14
Class B-1 8.64 04/10 6.68 09/07 5.45 03/06 5.18 08/05 4.99 03/05
</TABLE>
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* The Notes will be priced using 100% of a prepayment rate assuming a
conditional prepayment rate of 0% per annum of the then outstanding principal
balance of the Contracts in the first month of the life of the Contracts and
an additional 1.14% (precisely, 16/14%) per annum in each month thereafter
until the fifteenth month. Beginning in the fifteenth month and in each month
thereafter, the conditional prepayment rate is 16%.
[LOGO OF MERRILL LYNCH APPEARS HERE]
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
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