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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): June 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
2
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(c) Exhibits.
The following is filed herewith. The exhibit numbers correspond
with Item 601(b) of Regulation S-K.
Exhibit No. Description
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99 Term Sheet distributed in connection with
$342,000,000 (Approximate) Manufactured
Housing Contract Senior/Subordinate Pass-
Through Certificates, Series 1998-5, 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: June 18, 1998 GREEN TREE FINANCIAL CORPORATION
By: /s/ Scott T. Young
____________________________________
Scott T. Young
Senior Vice President and Controller
3
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INDEX TO EXHIBITS
Exhibit
-------
Number Page
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99 Term Sheet distributed in connection with 5
$342,000,000 (Approximate) Manufactured Housing
Contract Senior/Subordinate Pass-Through
Certificates, Series 1998-5, issued by
Green Tree Financial Corporation, as Seller
and Servicer.
4
<PAGE>
TERM SHEET DATED JUNE 18, 1998
GREEN TREE FINANCIAL CORPORATION
MANUFACTURED HOUSING CONTRACT SENIOR/SUBORDINATE
PASS-THROUGH CERTIFICATES, SERIES 1998-5
$342,000,000 (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. (Sole)
TO CALL AMOUNT RATINGS WAL @ EXP. FINAL
MOODY'S/S&P 175% MHP MATURITY
A-1 301,197,000 Aaa/AAA 6.55 2/15
M-1 24,950,000 Aa3/AA- 9.99 2/15
B-1 16,040,000 Baa1/BBB+ 6.51 2/08
TO MATURITY
A-1 301,197,000 Aaa/AAA 6.82 2/23
M-1 24,950,000 Aa3/AA- 10.46 2/23
OTHER
CERTIFICATES: The Class B-2 Certificates of $14,260,174 are not offered hereby.
They will be retained by the Seller or an affiliate thereof.
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 31, 1998 for each Contract that has a scheduled
payment due in June 1998, June 15, 1998 for each Contract
that has a first Scheduled payment due in July 1998 or
thereafter.
LEGAL FINAL: June 1, 2030
EXP. PRICING: Week of June 15, 1998.
EXP. SETTLEMENT: Week of June 22, 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 August 1, 1998.
ERISA: Subject to the conditions set forth in the Prospectus
Supplement, the Class A-1 Certificates are ERISA eligible.
No transfer of a Class M-1 Certificates or a Class B
Certificates 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-1 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
the two highest rating categories by Moody's or S&P, 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 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
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investment conduit ("REMIC"). The Class A-1 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 in 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-1: 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
manufactured housing contracts having an aggregate principal
balance of approximately $356,447,174 as of the Cut-off Date
(the "Contracts").
DISTRIBUTIONS: Certificateholders will be entitled to receive on each
Remittance Date commencing in August 1998, to 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
therefore, 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
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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 August 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-1, CLASS M-1
AND CLASS B-1
CERTIFICATES: Interest will be distributable first to the Class A-1
Certificates, then to the Class M-1 Certificates and then to
the Class B-1 Certificates. Interest on the outstanding
Class A-1 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.
All Classes 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
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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 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-1, CLASS M-1
AND CLASS B-1
CERTIFICATES: The Class A-1 Percentage for any Remittance Date will equal
a fraction, expressed as a percentage, the numerator of
which is the Class A-1 Principal Balance as of such
Remittance Date, and the denominator of which is the sum of:
(i) the Class A-1 Principal Balance and (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-1
Principal Balance has been reduced to zero or (ii) the Class
M-1 Distribution Test is satisfied.
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<PAGE>
The Class M-1 Percentage for any Remittance Date will equal
(a) zero, if the Class A-1 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-1 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 August 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-1
Principal Balance and the 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-1 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
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<PAGE>
Class A-1 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 August 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-1, Class M-1, and
Class B-1 Certificates, and (ii) the Guarantee Payment, if
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
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<PAGE>
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-1 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-1 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-1 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.
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
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<PAGE>
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-1, the Class
M-1, and the Class B-1 Certificateholders is intended to
include the Class A-1 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-1 Certificateholders.
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<PAGE>
CONTRACT CHARACTERISTICS
THE CONTRACT POOL
Number of MHCs in pool: 8,066
Wgt. Avg. Contract Rate: 9.06%
Range of Rates: 4.49% - 17.00%
Wgt. Avg. Orig. Maturity: 317.4 months
Wgt. Avg. Rem. Maturity: 317.2 months
Avg. Rem Princ. Balance: $44,191
Wgt. Avg. LTV: 86.80
New/Used: 81% / 19%
Park/Private: 24% / 76%
Single/Double: 25% / 75%
Land/Home: 44.62%
Land in Lieu: 0.36%
Step Rate: 4.12%
Conventional: 95.88%
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<PAGE>
GEOGRAPHIC DISTRIBUTION OF CONTRACT OBLIGORS
AGGREGATE
NUMBER OF PRINCIPAL BALANCE % OF
CONTRACTS AS OF OUTSTANDING AS CUTOFF DATE POOL
STATE CUTOFF DATE OF CUTOFF DATE PRINCIPAL BALANCE
- ----- --------------- ----------------- -----------------
AK 1 116,802 0.03
AL 490 17,670,952 4.96
AR 158 5,040,777 1.41
AZ 153 7,694,653 2.16
CA 171 7,008,542 1.97
CO 185 11,022,573 3.09
CT 8 203,545 0.06
DE 48 2,209,285 0.62
FL 531 24,982,461 7.01
GA 431 18,409,324 5.16
IA 98 3,963,906 1.11
ID 46 2,419,884 0.68
IL 114 4,220,917 1.18
IN 241 10,851,230 3.04
KS 84 3,509,804 0.98
KY 200 8,207,722 2.30
LA 146 4,899,178 1.37
MA 3 89,392 0.03
MD 31 1,138,722 0.32
ME 58 2,830,247 0.79
MI 458 25,625,509 7.19
MN 145 4,883,022 1.37
MO 176 6,075,994 1.70
MS 130 4,268,282 1.20
MT 62 3,022,980 0.85
NC 1,040 46,539,310 13.06
ND 31 991,529 0.28
NE 40 1,527,992 0.43
NH 49 1,605,978 0.45
NJ 5 378,984 0.11
NM 141 7,375,395 2.07
NV 66 4,107,689 1.15
NY 97 3,793,426 1.06
OH 232 12,421,177 3.48
OK 163 6,023,133 1.69
OR 108 8,140,415 2.28
PA 152 7,113,418 2.00
RI 3 66,899 0.02
SC 355 14,859,969 4.17
SD 49 1,824,753 0.51
TN 203 8,139,822 2.28
TX 595 23,025,558 6.46
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<PAGE>
UT 28 1,661,208 0.47
VA 143 5,572,183 1.56
VT 23 1,315,715 0.37
WA 118 8,769,290 2.46
WI 119 4,966,405 1.39
WV 86 3,049,675 0.86
WY 52 2,811,547 0.79
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Total 8,066 356,447,174 100.00
YEAR OF ORIGINATION OF CONTRACTS
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
YEAR OF CONTRACTS AS OUTSTANDING AS CUTOFF DATE POOL
ORIGINATION (1) OF CUTOFF DATE OF CUTOFF DATE PRINCIPAL BALANCE
- --------------- -------------- -------------- -----------------
1986 1 2,024 *
1987 1 14,065 *
1988 0 0 0.00
1989 2 43,586 0.01
1990 2 38,083 0.01
1991 1 30,821 0.01
1992 3 105,962 0.03
1993 6 240,629 0.07
1994 36 2,026,022 0.57
1995 54 3,161,626 0.89
1996 105 6,744,561 1.89
1997 129 10,055,123 2.82
1998 7,726 333,984,673 93.70
----- ----------- -----
Total 8,066 356,447,174 100.00
* Indicates an amount greater than zero but less than 0.005% of the aggregate
principal balance of the Contracts as of the Cut-off Date.
(1) The 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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<PAGE>
DISTRIBUTION OF ORIGINAL CONTRACTS AMOUNTS
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
ORIGINAL CONTRACTS AS OUTSTANDING AS CUTOFF DATE POOL
CONTRACT AMOUNT ($) OF CUTOFF DATE OF CUTOFF DATE PRINCIPAL BALANCE
- ------------------- -------------- -------------- -----------------
Less than 10,000 299 2,308,958 0.65
10,000 - 19,999 1,061 16,109,989 4.52
20,000 - 29,999 1,442 36,514,238 10.24
30,000 - 39,999 1,453 50,340,117 14.12
40,000 - 49,999 1,031 46,015,440 12.91
50,000 - 59,999 832 45,460,041 12.75
60,000 - 69,999 623 40,208,020 11.28
70,000 - 79,999 430 32,017,329 8.98
80,000 - 89,999 376 31,822,019 8.93
90,000 - 99,999 234 22,290,867 6.25
100,000 - 109,999 126 13,187,669 3.70
110,000 - 119,999 69 7,884,519 2.21
120,000 - 129,999 43 5,328,247 1.49
130,000 - 139,999 20 2,652,374 0.74
140,000 - 149,999 10 1,439,526 0.40
150,000 - 159,999 5 772,377 0.22
160,000 - 169,999 5 819,596 0.23
170,000 - 179,999 5 871,399 0.24
180,000+ 2 404,450 0.11
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Total 8,066 356,447,174 100.00
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statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
DISTRIBUTION OF ORIGINAL LOAN-TO-VALUE RATIOS OF CONTRACTS
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
LOAN-TO-VALUE CONTRACTS AS OUTSTANDING AS CUTOFF DATE POOL
RATIO OF CUTOFF DATE OF CUTOFF DATE PRINCIPAL BALANCE
- ------------- -------------- -------------- -----------------
Less than 61.00 367 13,617,542 3.82
61.00 - 65.99 102 4,537,351 1.27
66.00 - 70.99 174 7,908,419 2.22
71.00 - 75.99 225 11,071,903 3.11
76.00 - 80.99 617 26,125,790 7.33
81.00 - 85.99 924 44,198,377 12.40
86.00 - 90.99 2,761 125,039,053 35.08
91.00 - 95.99 2,544 109,522,612 30.73
Greater than 95.99 352 14,426,125 4.05
----- ----------- ------
Total 8,066 356,447,174 100.00
INITIAL CONTRACT RATES
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
CONTRACTS AS OUTSTANDING AS CUTOFF DATE POOL
CONTRACT RATE OF CUTOFF DATE OF CUTOFF DATE PRINCIPAL BALANCE
- ------------- -------------- -------------- -----------------
Less than 5.01 1 64,989 0.02
5.01 - 6.00 21 1,291,829 0.36
6.01 - 7.00 899 70,151,325 19.68
7.01 - 8.00 1,031 60,590,123 17.00
8.01 - 9.00 1,406 78,959,545 22.15
9.01 - 10.00 1,273 55,419,255 15.55
10.01 - 11.00 1,177 40,144,940 11.26
11.01 - 12.00 1,198 30,527,900 8.56
12.01 - 13.00 634 12,918,970 3.62
13.01 - 14.00 316 5,267,909 1.48
14.01 - 15.00 6 75,993 0.02
15.01 - 16.00 81 818,861 0.23
16.01 - 17.00 23 215,535 0.06
-- ------- ----
Total 8,066 356,447,174 100.00
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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
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<PAGE>
REMAINING MONTHS TO MATURITY OF CONTRACTS
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
REMAINING MOS. CONTRACTS AS OUTSTANDING AS CUTOFF DATE POOL
TO MATURITY OF CUTOFF DATE OF CUTOFF DATE PRINCIPAL BALANCE
- ------------- -------------- -------------- -----------------
Less than 31 1 8,994 *
31 - 60 141 1,247,283 0.35
61 - 90 284 4,084,194 1.15
91 - 120 449 7,401,959 2.08
121 - 150 162 3,525,371 0.99
151 - 180 1,042 25,195,560 7.07
181 - 210 49 2,008,890 0.56
211 - 240 1,118 36,458,469 10.23
241 - 270 36 2,225,735 0.62
271 - 300 628 23,288,716 6.53
301 - 330 20 1,332,340 0.37
331 - 360 4,136 249,669,663 70.04
----- ----------- -----
Total 8,066 356,447,174 100.00
* Indicates an amount greater than zero but less than 0.005% of the aggregate
principal balance of the Contracts as of the Cut-off Date.
[MERRILL LYNCH LOGO] 15
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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
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<PAGE>
MHP PREPAYMENT SENSITIVITIES
75% MHP 100% MHP 125% MHP 150% MHP
------- -------- -------- --------
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
To Call
A-1 10.82 11/22 9.44 11/20 8.30 9/18 7.37 11/16
M-1 15.72 11/22 13.78 11/20 12.14 9/18 10.81 11/16
B-1 10.91 3/14 9.20 1/12 7.90 4/10 6.93 11/08
B-2 21.41 11/22 19.26 11/20 17.20 9/18 15.50 11/16
To Maturity
A-1 11.00 5/27 9.66 9/26 8.56 10/25 7.64 7/24
M-1 16.02 5/27 14.16 9/26 12.57 10/25 11.26 7/24
B-1 10.91 3/14 9.20 1/12 7.90 4/10 6.93 11/08
B-2 23.98 10/28 22.65 10/28 21.39 10/28 20.29 10/28
175% MHP 200% MHP 250% MHP 300% MHP
------- -------- -------- --------
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
To Call
A-1 6.55 2/15 5.87 8/13 4.81 3/11 4.04 5/09
M-1 9.99 2/15 9.34 8/13 8.33 3/11 7.56 5/09
B-1 6.51 2/08 6.25 7/07 5.84 8/06 5.56 12/05
B-2 14.12 2/15 12.99 8/13 11.18 3/11 9.83 5/09
To Maturity
A-1 6.82 2/23 6.12 8/21 5.04 7/18 4.23 1/16
M-1 10.46 2/23 9.84 8/21 8.85 7/18 8.09 1/16
B-1 6.51 2/08 6.25 7/07 5.84 8/06 5.56 12/05
B-2 19.28 10/28 18.36 10/28 16.45 10/28 14.74 10/28
[MERRILL LYNCH LOGO] 16
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Recipients must read the information contained in the attached statement. Do not
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statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<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
[MERRILL LYNCH LOGO] 17
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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.
[MERRILL LYNCH LOGO] 18
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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.
