<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): June 18, 1998
GREEN TREE FINANCIAL CORPORATION
(Exact name of registrant as specified in its charter)
Delaware 01-08916 41-1807858
- --------------------------------------------------------------------------------
(State or other jurisdiction (Commission (IRS employer
of incorporation) file number) identification No.)
1100 Landmark Towers, 345 St. Peter Street, Saint Paul, Minnesota 55102-1639
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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)
<PAGE>
Item 1. Changes in Control of Registrant.
Not applicable.
Item 2. Acquisition or Disposition of Assets.
Not applicable.
Item 3. Bankruptcy or Receivership.
Not applicable.
Item 4. Changes in Registrant's Certifying Accountant.
Not applicable.
Item 5. Other Events.
Not applicable.
Item 6. Resignations of Registrant's Directors.
Not applicable.
Item 7. Financial Statements and Exhibits.
(a) Financial statements of businesses acquired.
Not applicable.
(b) Pro forma financial information.
Not applicable.
2
<PAGE>
(c) Exhibits.
The following is filed herewith. The exhibit numbers
correspond with Item 601(b) of Regulation S-K.
Exhibit No. Description
----------- -----------
99 Term sheet dated June 17, 1998, distributed in
connection with approximately $403,537,828
Green Tree Recreational, Equipment & Consumer
Trust 1998-B Asset-Backed Notes and
Certificates, 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.
GREEN TREE FINANCIAL CORPORATION
By: /s/ Phyllis A. Knight
--------------------------------------
Phyllis A. Knight
Senior Vice President and Treasurer
3
<PAGE>
INDEX TO EXHIBITS
Exhibit Number Page
- -------------- ----
99 Term sheet dated June 17, 1998, distributed in 5
connection with approximately $403,537,828 Green Tree
Recreational, Equipment & Consumer Trust 1998-B
Asset-Backed Notes and Certificates, issued by Green Tree
Financial Corporation, as Seller and Servicer.
<PAGE>
$403,537,828.44 (APPROXIMATE) SUBJECT TO CHANGE
GREEN TREE FINANCIAL CORPORATION
(SELLER AND SERVICER)
GREEN TREE RECREATIONAL, EQUIPMENT & CONSUMER TRUST 1998-B
(ISSUER)
<TABLE>
<CAPTION>
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EXPECTED LEGAL EXPECTED
CLASS AVG. LIFE PAYMENT FINAL RATINGS
CLASS SIZE TO CALL WINDOW PAYMENT S&P/FITCH
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Class A-1 $62,500,000 0.29 1-7 (7/98-1/99) 7/15/99 A-1+/F-1+
Class A-2 $110,250,000 1.14 7-21 (1/99-3/00) 12/15/04 AAA/AAA
Class A-3 $81,250,000 2.30 21-35 (3/00-5/01) 10/15/10 AAA/AAA
Class A-4 $60,750,000 3.50 35-50 (5/01-8/02) 11/15/13 AAA/AAA
Class A-5 $34,310,000 4.71 50-66 (8/02-12/03) 12/15/13 AAA/AAA
Class A-6 $14,125,000 5.92 66-78 (12/03-12/04) 12/15/13 AA/AA
Class A-7 $16,140,000 6.46 78 (12/04) 10/15/18 A/A
Class B-1 $12,100,000 6.46 78 (12/04) 12/15/18 BBB/BBB
Class B-2 $12,112,828 6.46 78 (12/04) 12/15/18 BBB-/BBB
- ------------------------------------------------------------------------------------------------------------
</TABLE>
SELLER/SERVICER: Green Tree Financial Corporation
TRANSACTION: Green Tree Recreational, Equipment, & Consumer Trust
1998-B
INDENTURE TRUSTEE: U.S. Bank Trust National Association
OWNER TRUSTEE: Wilmington Trust Company
UNDERWRITERS: J.P. Morgan & Co. (Lead), Lehman Brothers
CUT-OFF DATE: June 1, 1998
EXP. PRICING: June 18/19, 1998
EXP. SETTLEMENT: June 29, 1998
DISTRIBUTION DATE: The 15th day of each month (or if such 15th day is not
a business day, the next succeeding business day),
commencing on July 15, 1998.
ERISA: Class A-1 through A-7 are ERISA eligible, Class B-1
and Class B-2 are not ERISA eligible
PRODUCT BASE CASE PREPAYMENT RATE
- ------- -------------------------
Horse Trailers, Sport Vehicles,
Keyboard Instruments, Recreational Vehicles 18% CPR
Marine 100% (1)
Motorcycles and Aircraft 30% CPR
Trucks 1.4% ABS
(1) Prepayment rate for the marine asset class ramps up from 0% CPR to 14% CPR
by month 12, and remains at 14% CPR thereafter.
1
Additional information is available upon request. Information herein is believed
to be reliable but J.P. Morgan does not warrant its completeness or accuracy.
These materials are subject to change from time to time without notice. Past
performance is not indicative of future results. Any description of the
collateral contained herein supersedes any previous collateral information and
will be superseded by the final prospectus relating to the securities. These
materials are not intended as an offer or solicitation with respect to the
purchase or sale of any security, and have been provided to you for
informational purposes only and may not be relied upon by you in evaluating the
merits of investing in the securities. Any investment decision with respect to
the securities should be made by you based solely upon the information contained
in the final prospectus relating to the securities. No assurance or
representation can be made as to the actual rate or timing of principal payments
or prepayments on any of the collateral or the performance characteristics of
the securities. This information was prepared in reliance on information
regarding the collateral furnished by the seller of the collateral. J.P. Morgan
may hold a position or act as market maker in the financial instruments of any
issuer discussed herein or act as advisor or lender to such issuer. J.P. Morgan
Securities Inc. is a member of SIPC and SFA. Copyright 1997 J.P. Morgan & Co.
Incorporated.
<PAGE>
DESCRIPTION OF THE NOTES
DISTRIBUTIONS
Noteholders will be entitled to receive distributions of interest and
principal on the 15th day of each month (or if the 15th is not a business day,
the next business day thereafter) (a "Distribution Date") commencing in July
1998, to the extent that funds available are sufficient therefor. On each
Distribution Date, the Servicer shall instruct the Indenture Trustee to
distribute from the Collection Account the Amount Available in the following
order of priority:
1. If Green Tree or an affiliate is no longer the Servicer, then to the
Servicer, the Monthly Servicing Fee for the related Monthly Period.
2. To the Servicer, reimbursement for advances made with respect to
delinquent payments that were recovered during the prior Monthly
Period.
3. To the Note Distribution Account, all accrued interest on the Senior
Notes (Class A-1, Class A-2, Class A-3, Class A-4 and Class A-5
Notes).
4. To the Note Distribution Account (or, if all the Notes have been paid
in full, to the Certificate Distribution Account), the First Priority
Principal Distribution Amount, if any.
5. To the Note Distribution Account, all accrued interest on the Class
A-6 Notes.
6. To the Note Distribution Account (or, if all the Notes have been paid
in full, to the Certificate Distribution Account), the Second Priority
Principal Distribution Amount, if any.
7. To the Note Distribution Account, all accrued interest on the Class
A-7 Notes.
8. To the Note Distribution Account (or, if all the Notes have been paid
in full, to the Certificate Distribution Account), the Third Priority
Principal Distribution Amount, if any.
9. To the Certificate Distribution Account, all accrued interest on the
Class B-1 Certificates;
10. To the Note Distribution Account (or, if all the Notes have been paid
in full, to the Certificate Distribution Account), the Fourth Priority
Principal Distribution Amount, if any.
11. To the Note Distribution Account (or, if all the Notes have been paid
in full, to the Certificate Distribution Account), the Total Principal
Distribution Amount.
12. To the Certificate Distribution Account, all accrued interest on the
Class B-2 Certificates.
13. To the Certificate Distribution Account, the Total Principal
Distribution Amount (for payment to the Class B-2 Certificates, if the
Notes and the Class B-1 Certificates have been paid in full).
14. To Green Tree, any remaining amount as the Monthly Servicing and
Guaranty Fee.
INTEREST
Interest on the Principal Balance of each Class of Notes will accrue from
the closing date, or from the most recent Distribution Date on which interest
has been paid, to but excluding the following Distribution Date, at the Interest
Rate for such Class. The "Principal Balance" of any Class of Notes as of any
Distribution Date will be the Original Principal Balance of such Class minus all
amounts previously distributed to the Noteholders of such Class in respect of
principal.
Interest on the Class A-1 Notes will be calculated on the basis of actual
days elapsed in a 360-day year. Interest on all other Classes of Notes will be
calculated on the basis of a 360-day year of twelve 30-day months. In the event
the remaining funds available are not sufficient to make a full distribution of
interest on a Class of Notes, the remaining funds available will be applied to
the payment of interest on the Class of Notes and the amount of the shortfall
will be added to the amount of interest payable on the Class of Notes on the
next Distribution Date. Any amount so carried forward will bear interest at the
Note Class Interest Rate, to the extent legally permissible.
Interest will be paid on the Senior Notes on each Distribution Date to the
extent of funds available on such Distribution Date. In the event the funds
available are not sufficient to make a full distribution of interest on the
Senior Notes, the funds available will be applied pro rata to each Class of
Senior Notes based on the amount payable to each such Class.
Interest will be paid on the Class A-6 Notes on each Distribution Date, to
the extent of the remaining funds available on such Distribution Date after
payment of (i) all interest accrued on the Senior Notes and (ii) the First
Priority Principal Distribution Amount, if any.
Interest will be paid on the Class A-7 Notes on each Distribution Date, to
the extent of the remaining funds available on such
2
Additional information is available upon request. Information herein is believed
to be reliable but J.P. Morgan does not warrant its completeness or accuracy.
These materials are subject to change from time to time without notice. Past
performance is not indicative of future results. Any description of the
collateral contained herein supersedes any previous collateral information and
will be superseded by the final prospectus relating to the securities. These
materials are not intended as an offer or solicitation with respect to the
purchase or sale of any security, and have been provided to you for
informational purposes only and may not be relied upon by you in evaluating the
merits of investing in the securities. Any investment decision with respect to
the securities should be made by you based solely upon the information contained
in the final prospectus relating to the securities. No assurance or
representation can be made as to the actual rate or timing of principal payments
or prepayments on any of the collateral or the performance characteristics of
the securities. This information was prepared in reliance on information
regarding the collateral furnished by the seller of the collateral. J.P. Morgan
may hold a position or act as market maker in the financial instruments of any
issuer discussed herein or act as advisor or lender to such issuer. J.P. Morgan
Securities Inc. is a member of SIPC and SFA. Copyright 1997 J.P. Morgan & Co.
Incorporated.
<PAGE>
Distribution Date after payment of (i) all interest accrued on the Senior Notes,
(ii) the First Priority Principal Distribution Amount (if any), (iii) all
interest accrued on the Class A-6 Notes, and (iv) the Second Priority Principal
Distribution Amount, if any
PRINCIPAL
Noteholders will be entitled to receive on each Distribution Date as
payment of principal, in the manner and order of priority set forth below, an
amount equal to the Total Principal Distribution Amount for such Distribution
Date. Such amount will paid as principal on the Class A-1 Notes until the Class
A-1 Notes have been paid in full, then on the Class A-2 Notes until the Class
A-2 Notes have been paid in full, and so on until the Class A-7 Notes have been
paid in full.
The "Total Principal Distribution Amount" for any Distribution Date will
equal:
(i) the Formula Principal Distribution Amount for such Distribution Date
(described below), plus
(ii) the aggregate of all Formula Principal Shortfalls, if any, for prior
Distribution Dates (described below), plus
(iii) the First Priority Principal Distribution Amount, if any (as
described below), the Second Priority Principal Distribution Amount,
if any (as described below), the Third Priority Principal Distribution
Amount, if any (as described below), and the Fourth Priority Principal
Distribution Amount (as described below) for such Distribution Date,
minus
(iv) all amounts actually paid on the Notes and Certificates on prior
Distribution Dates in respect of a First Priority Principal
Distribution Amount, Second Priority Principal Distribution Amount,
Third Priority Principal Distribution Amount, or Fourth Priority
Principal Distribution Amount.
The "Formula Principal Distribution Amount" with respect to any
Distribution Date will be an amount equal to the sum of the following amounts
with respect to the related Monthly Period (as defined below), in each case
computed in accordance with the method specified in each Contract:
(i) all scheduled payments of principal due on each outstanding Contract
during the related Monthly Period (after adjustments for previous
Partial Principal Prepayments and after any adjustments to a
Contract's amortization schedule as a result of a bankruptcy or
similar proceeding involving the related Obligor),
(ii) the Scheduled Principal Balance (as defined below) of each Contract
which, during the related Monthly Period, was purchased by Green Tree
pursuant to the Sale and Servicing Agreement on account of a breach of
a representation or warranty,
(iii) all Partial Principal Prepayments applied and all Principal
Prepayments in Full received on Contracts during the related Monthly
Period,
(iv) the Scheduled Principal Balance of each Contract that became a
Liquidated Contract (as defined below) during the related Monthly
Period, plus the amount of any reduction in the outstanding principal
balance of a Contract during such Monthly Period ordered as a result
of a bankruptcy or similar proceeding involving the related Obligor,
(v) all collections in respect of principal on the Contracts received
during the current month up to and including the third business day
prior to such Distribution Date (but in no event later than the 10th
day of the month in which such Distribution Date occurs), minus
(vi) with respect to all Distribution Dates other than the Distribution
Date in July 1998, all collections of principal on the Contracts
received during the related Monthly Period up to and including the
third business day prior to the preceding Distribution Date (but in no
event later than the 10th day of the prior month).
In the event the remaining funds available for such Distribution Date are
not sufficient to make a full distribution of the Formula Principal Distribution
Amount, the amount of such deficiency (the "Formula Principal Shortfall" for
such Distribution Date) will be added to the Total Principal Distribution Amount
for the next Distribution Date.
In the unlikely event that on any Distribution Date, (i) the aggregate
Principal Balance of the Senior Notes, is greater than (ii) the Pool Scheduled
Principal Balance as of the immediately preceding Distribution Date, minus the
aggregate Scheduled Principal Balance of all Defaulted Contracts, minus
$175,000, the amount of such deficiency (the "First Priority Principal
Distribution Amount") will be payable as an additional payment of principal on
the Class of Notes then entitled to receive the Total Principal Distribution
Amount, from funds available for distribution on such Distribution Date after
the payment of all interest then payable on the Senior Notes but prior to the
payment of interest then payable on the Class A-6 Notes.
Similarly, in the event that on any Distribution Date, (i) the aggregate
Principal Balance of the Senior Notes plus the Principal
3
Additional information is available upon request. Information herein is believed
to be reliable but J.P. Morgan does not warrant its completeness or accuracy.
These materials are subject to change from time to time without notice. Past
performance is not indicative of future results. Any description of the
collateral contained herein supersedes any previous collateral information and
will be superseded by the final prospectus relating to the securities. These
materials are not intended as an offer or solicitation with respect to the
purchase or sale of any security, and have been provided to you for
informational purposes only and may not be relied upon by you in evaluating the
merits of investing in the securities. Any investment decision with respect to
the securities should be made by you based solely upon the information contained
in the final prospectus relating to the securities. No assurance or
representation can be made as to the actual rate or timing of principal payments
or prepayments on any of the collateral or the performance characteristics of
the securities. This information was prepared in reliance on information
regarding the collateral furnished by the seller of the collateral. J.P. Morgan
may hold a position or act as market maker in the financial instruments of any
issuer discussed herein or act as advisor or lender to such issuer. J.P. Morgan
Securities Inc. is a member of SIPC and SFA. Copyright 1997 J.P. Morgan & Co.
Incorporated.
<PAGE>
Balance of the Class A-6 Notes, minus the amount of any First Priority Principal
Distribution Amount paid on such Distribution Date, is greater than (ii) the
Pool Scheduled Principal Balance as of the immediately preceding Distribution
Date, minus the aggregate Scheduled Principal Balance of all Defaulted
Contracts, minus $175,000, the amount of such deficiency (the "Second Priority
Principal Distribution Amount") will be payable as an additional payment of
principal on the Class of Notes or Certificates then entitled to receive the
Total Principal Distribution Amount, from funds available for distribution on
such Distribution Date after the payment of all interest then payable on the
Senior Notes, the First Priority Principal Distribution Amount and all interest
then payable on the Class A-6 Notes, but prior to the payment of interest then
payable on the Class A-7 Notes.
Similarly, in the event that on any Distribution Date, (i) the aggregate
Principal Balance of the Senior Notes minus the amount of any First Priority
Principal Distribution Amount paid on such Distribution Date, and minus the
amount of any Second Priority Principal Distribution Amount paid on such
Distribution Date, plus the Principal Balance of the Class A-6 Notes plus the
Principal Balance of the Class A-7 Notes, is greater than (ii) the Pool
Scheduled Principal Balance as of the immediately preceding Distribution Date,
minus the aggregate Scheduled Principal Balance of all Defaulted Contracts,
minus $175,000, the amount of such deficiency (the "Third Priority Principal
Distribution Amount") will be payable as an additional payment of principal on
the Class of Notes or Certificates then entitled to receive the Total Principal
Distribution Amount, from funds available for distribution on such Distribution
Date after the payment of all interest then payable on the Senior Notes, the
First Priority Principal Distribution Amount, all interest then payable on the
Class A-6 Notes, the Second Priority Principal Distribution Amount and all
interest then payable on the Class A-7 Notes, but prior to the payment of
interest then payable on the Class B-1 Certificates.
Similarly, in the event that on any Distribution Date, (i) the aggregate
Principal Balance of the Notes plus the Principal Balance of the Class B-1
Certificates, minus the amount of any First Priority Principal Distribution
Amount paid on such Distribution Date, minus the amount of any Second Priority
Principal Distribution Amount paid on such Distribution Date, and minus the
amount of any Third Priority Principal Distribution Amount paid on such
Distribution Date, is greater than (ii) the Pool Scheduled Principal Balance as
of the immediately preceding Distribution Date, minus the aggregate Scheduled
Principal Balance of all Defaulted Contracts, minus $175,000, the amount of such
deficiency (the "Fourth Priority Principal Distribution Amount") will be payable
as an additional payment of principal on the Class of Notes or Certificates then
entitled to receive the Total Principal Distribution Amount, from funds
available for distribution on such Distribution Date after the payment of all
interest then payable on the Senior Notes, the First Priority Principal
Distribution Amount, all interest then payable on the Class A-6 Notes, the
Second Priority Principal Distribution Amount, all interest then payable on the
Class A-7 Notes, the Third Priority Principal Distribution Amount and all
interest then payable on the Class B-1 Certificates, but prior to the payment of
the Formula Principal Distribution Amount.
A "Liquidated Contract" means any defaulted Contract as to which the Servicer
has determined that all amounts which it expects to recover from or on account
of such Contract through the date of disposition of the related Product have
been recovered or any defaulted Contract in respect of which the related Product
has been realized upon and disposed of and the proceeds of such disposition have
been received. A "Defaulted Contract" is any Contract as to which the Servicer
has commenced repossession procedures or assigned such Contract to a third party
for repossession or other enforcement, but which has not become a Liquidated
Contract.
DESCRIPTION OF THE CERTIFICATES
DISTRIBUTIONS
Certificateholders will be entitled to receive on each Distribution Date
commencing in July 1998, to the extent that funds available together with the
Guaranty Payment described below are sufficient therefor, distributions of
interest and principal in the manner and order of priority set forth below.
CLASS B-1 INTEREST
Interest on the Principal Balance of the Class B-1 Certificates will accrue
from the closing date or from the most recent Distribution Date, to but
excluding the following Distribution Date, at the Class B-1 Pass-Through Rate.
The "Class B-1 Principal Balance" as of any Distribution Date will be the
Original Principal Balance of such Class minus all amounts previously
distributed to the Class B-1 Certificateholders in respect of principal.
Interest will be calculated for Class B-1 Certificates on the basis of a
360-day year of twelve 30-day months. Interest will be paid on the Class B-1
Certificates on each Distribution Date to the extent of funds available on such
Distribution Date, after payment
4
Additional information is available upon request. Information herein is believed
to be reliable but J.P. Morgan does not warrant its completeness or accuracy.
These materials are subject to change from time to time without notice. Past
performance is not indicative of future results. Any description of the
collateral contained herein supersedes any previous collateral information and
will be superseded by the final prospectus relating to the securities. These
materials are not intended as an offer or solicitation with respect to the
purchase or sale of any security, and have been provided to you for
informational purposes only and may not be relied upon by you in evaluating the
merits of investing in the securities. Any investment decision with respect to
the securities should be made by you based solely upon the information contained
in the final prospectus relating to the securities. No assurance or
representation can be made as to the actual rate or timing of principal payments
or prepayments on any of the collateral or the performance characteristics of
the securities. This information was prepared in reliance on information
regarding the collateral furnished by the seller of the collateral. J.P. Morgan
may hold a position or act as market maker in the financial instruments of any
issuer discussed herein or act as advisor or lender to such issuer. J.P. Morgan
Securities Inc. is a member of SIPC and SFA. Copyright 1997 J.P. Morgan & Co.
Incorporated.
<PAGE>
of (i) interest on the Notes, (ii) the First Priority Principal Distribution
Amount (if any), (iii) the Second Priority Principal Distribution Amount (if
any) and (iv) the Third Priority Principal Distribution Amount (if any).
In the event the remaining funds available are not sufficient to make a
full distribution of interest on the Class B-1 Certificates, the remaining funds
available will be applied to the payment of interest on such Class and the
amount of the shortfall will be carried forward and added to the amount of
interest payable on the next Distribution Date. Any amount so carried forward
will bear interest at the Class B-1 Pass-Through Rate to the extent legally
permissible.
CLASS B-1 PRINCIPAL
No distributions of principal on the Class B-1 Certificates will be payable
until all of the Notes have been paid in full. On each Distribution Date
commencing on the Distribution Date on which the Notes are paid in full,
principal will be paid on the Class B-1 Certificates in an amount equal to the
Total Principal Distribution Amount for such Distribution Date, to the extent of
funds available on such Distribution Date after payment of interest on the Class
B-1 Certificates.
CLASS B-2 INTEREST
Interest on the Principal Balance of the Class B-2 Certificates will accrue
from the closing date, or from the most recent Distribution Date, to but
excluding the following Distribution Date, at the Class B-2 Pass-Through Rate.
The "Class B-2 Principal Balance" as of any Distribution Date will be the
Original Principal Balance of such Class minus all amounts previously
distributed to the Class B-2 Certificateholders in respect of principal.
Interest will be calculated for Class B-2 Certificates on the basis of a
360-day year of twelve 30-day months. Interest will be paid on the Class B-2
Certificates on each Distribution Date to the extent of funds available on such
Distribution Date, after payment of all interest and principal then payable on
the Notes and the Class B-1 Certificates.
In the event the remaining funds available are not sufficient to make a
full distribution of interest on the Class B-2 Certificates, the remaining funds
available will be applied to the payment of interest on such Class and the
amount of the shortfall will be carried forward and added to the amount of
interest payable on the next Distribution Date. Any amount so carried forward
will bear interest at the Class B-2 Pass-Through Rate, to the extent legally
permissible.
CLASS B-2 PRINCIPAL
No distributions of principal on the Class B-2 Certificates will be payable
until all of the Class B-1 Certificates have been paid in full (other than a
Class B-2 Principal Liquidation Loss paid by Green Tree pursuant to the Limited
Guaranty). On each Distribution Date commencing on the Distribution Date on
which the Class B-1 Certificates are paid in full, principal will be paid on the
Class B-2 Certificates in an amount equal to the Total Principal Distribution
Amount for such Distribution Date, to the extent of funds available on such
Distribution Date after payment of interest on the Class B-2 Certificates.
LIMITED GUARANTY
If the Pool Scheduled Principal Balance for any Distribution Date is less
than the sum of the aggregate outstanding Principal Balance of the Notes and the
Certificates after giving effect to all distributions of principal on such
Distribution Date, then Green Tree will be obligated to pay the amount of such
deficiency (a "Class B-2 Principal Liquidation Loss") under the Limited
Guaranty. If Green Tree should fail to pay such amount, however, the Class B-2
Principal Balance would not be reduced and interest would continue to accrue on
the full Class B-2 Principal Balance. Securityholders would, however, be
entitled to receive such unpaid amount as part of the Total Principal
Distribution Amount prior to any payment of the Monthly Servicing and Guaranty
Fee to Green Tree on any subsequent Distribution Date.
In order to mitigate the effect of the subordination of the Class B-2
Certificates and the effect of liquidation losses and delinquencies on the
Contracts, the Class B-2 Certificateholders are entitled to receive on each
Distribution Date the amount equal to the Guaranty Payment, if any, under Green
Tree's Limited Guaranty. The Guaranty Payment for any Distribution Date will
equal the difference, if any, between the Class B-2 Distributable Amount and the
remaining funds available in the Collection Account after payment of all
interest and principal on the Notes and Class B-1 Certificates. The "Class B-2
Distributable Amount" equals the unpaid and accrued interest on the Class B-2
Certificates, plus on each Distribution Date commencing on the Distribution Date
on which the Notes and Class B-1 Certificates are paid in full, principal in an
amount equal to the Total Principal Distribution Amount for such Distribution
Date (less, on the Distribution Date on which the Class B-1 Certificates are
paid in full, the portion thereof
5
Additional information is available upon request. Information herein is believed
to be reliable but J.P. Morgan does not warrant its completeness or accuracy.
These materials are subject to change from time to time without notice. Past
performance is not indicative of future results. Any description of the
collateral contained herein supersedes any previous collateral information and
will be superseded by the final prospectus relating to the securities. These
materials are not intended as an offer or solicitation with respect to the
purchase or sale of any security, and have been provided to you for
informational purposes only and may not be relied upon by you in evaluating the
merits of investing in the securities. Any investment decision with respect to
the securities should be made by you based solely upon the information contained
in the final prospectus relating to the securities. No assurance or
representation can be made as to the actual rate or timing of principal payments
or prepayments on any of the collateral or the performance characteristics of
the securities. This information was prepared in reliance on information
regarding the collateral furnished by the seller of the collateral. J.P. Morgan
may hold a position or act as market maker in the financial instruments of any
issuer discussed herein or act as advisor or lender to such issuer. J.P. Morgan
Securities Inc. is a member of SIPC and SFA. Copyright 1997 J.P. Morgan & Co.
Incorporated.
<PAGE>
payable on the Class B-1 Certificates), plus any Class B-2 Principal Liquidation
Loss for such Distribution Date
The Limited Guaranty will be an unsecured general obligation of Green Tree
and will not be supported by any letter of credit or other enhancement
arrangement. The ratings assigned to the Certificates may be affected by the
ratings of Green Tree's debt securities. Green Tree's senior debt securities
were recently downgraded by S&P to "BBB-" and by Fitch to "BBB," which has been
reflected in the ratings assigned to the Class B-2 Certificates.
OPTIONAL REDEMPTION AND AUCTION SALE
The Notes and Certificates will be redeemed in whole, but not in part, on
any Distribution Date on which Green Tree exercises its option to purchase the
Contracts. Green Tree may purchase the Contracts when the Pool Scheduled
Principal Balance has declined to 10% or less of the Cutoff Date Pool Principal
Balance. Such redemption would effect early retirement of the Class A-7 Notes,
the Class B-1 Certificates and the Class B-2 Certificates. The redemption price
will be equal to the unpaid principal amount of the Notes redeemed plus accrued
and unpaid interest thereon.
If neither Green Tree nor the Servicer has exercised its repurchase option,
as described above, then after the third Distribution Date as of which the Pool
Scheduled Principal Balance is 10% or less of the Cutoff Date Pool Principal
Balance, the Indenture Trustee (or Owner Trustee, as applicable) shall solicit
bids for the purchase of the Contracts remaining in the Trust. In the event that
satisfactory bids are received, the net sale proceeds will be distributed to
Securityholders, in the same order of priority as collections received in
respect of the Contracts, on the second Distribution Date succeeding such
Distribution Date, which will result in the early retirement of the Class A-7
Notes, Class B-1 Certificates and Class B-2 Certificates. If satisfactory bids
are not received, the Indenture Trustee (or Owner Trustee, as applicable) shall
decline to sell the Contracts and shall not be under any obligation to solicit
any further bids or otherwise negotiate any further sale of the Contracts.
6
Additional information is available upon request. Information herein is believed
to be reliable but J.P. Morgan does not warrant its completeness or accuracy.
These materials are subject to change from time to time without notice. Past
performance is not indicative of future results. Any description of the
collateral contained herein supersedes any previous collateral information and
will be superseded by the final prospectus relating to the securities. These
materials are not intended as an offer or solicitation with respect to the
purchase or sale of any security, and have been provided to you for
informational purposes only and may not be relied upon by you in evaluating the
merits of investing in the securities. Any investment decision with respect to
the securities should be made by you based solely upon the information contained
in the final prospectus relating to the securities. No assurance or
representation can be made as to the actual rate or timing of principal payments
or prepayments on any of the collateral or the performance characteristics of
the securities. This information was prepared in reliance on information
regarding the collateral furnished by the seller of the collateral. J.P. Morgan
may hold a position or act as market maker in the financial instruments of any
issuer discussed herein or act as advisor or lender to such issuer. J.P. Morgan
Securities Inc. is a member of SIPC and SFA. Copyright 1997 J.P. Morgan & Co.
Incorporated.
<PAGE>
THE CONTRACT POOL
GENERAL
These computational materials contain information regarding the Contracts,
which were originated through May 29, 1998 and will be transferred to the Trust
on the Closing Date. The information for each Contract is as of the Cutoff Date
for such Contract. The Contracts had an aggregate principal balance as of the
Cutoff Date of $403,537,828.44.
The Contracts (i) had a remaining maturity, as of the Cutoff Date, of at
least 8 months, but not more than 240 months, (ii) had an original maturity of
at least 12 months, but not more than 240 months, (iii) had an original
principal balance of at least $1,075.00 and not more than $2,977,573.00, (iv)
had a remaining principal balance as of the Cutoff Date of at least $1,003.39
and not more than $2,977,573.00 and (v) had a contractual rate of interest
("Contract Rate") of at least 3.01% and not more than 21.68%. Neither Green Tree
nor the Servicer may substitute other contracts for the Contracts at any time
during the term of the Sale and Servicing Agreement.
CHARACTERISTICS OF CONTRACTS
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
% OF WEIGHTED WEIGHTED
CUTOFF WEIGHTED AVERAGE WEIGHTED AVERAGE
NUMBER % OF SCHEDULED DATE POOL AVERAGE AVERAGE ORIGINAL AVERAGE LOAN-TO-
OF CONTRACT PRINCIPAL PRINCIPAL PRINCIPAL REMAINING SCHEDULED CONTRACT VALUE
ASSET TYPE CONTRACTS POOL BALANCE BALANCE BALANCE TERM (1) TERM RATE RATIO
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aircraft............. 218 1.07% $ 46,942,021.28 11.63% $215,330.37 154 155 8.93 89%
Trucks............... 1,265 6.18 110,743,198.95 27.45 87,544.03 56 56 9.90 94
Recreational Vehicles 4,097 20.03 86,358,567.90 21.40 21,078.49 157 157 9.69 84
Motorcycles.......... 5,754 28.12 50,733,089.59 12.57 8,817.01 66 66 12.91 84
Keyboard Instruments. 357 1.75 4,268,631.18 1.06 11,956.95 95 96 10.89 81
Marine Products...... 4,616 22.57 76,203,991.62 18.88 16,508.66 144 144 10.19 85
Horsetrailers........ 1,729 8.45 16,526,054.98 4.10 9,558.16 114 114 11.09 84
Sport Vehicles....... 2,420 11.83 11,762,272.94 2.91 4,860.44 52 53 15.11 86
------ ------ --------------- ------ ----------- --- --- ----- --
Total............ 20,456 100.00% $403,537,828.44 100.00% $ 19,727.11 109 110 10.39 88%
====== ====== =============== ====== =========== === === ===== ==
</TABLE>
- -----------
(1) Based on scheduled payments due after the Cutoff Date and assuming no
prepayments on the Contracts.
GEOGRAPHIC CONCENTRATION OF CONTRACTS
<TABLE>
<CAPTION>
% OF CONTRACTS
NUMBER OF BY OUTSTANDING
CONTRACTS AS PRINCIPAL BALANCE
OF % OF NUMBER PRINCIPAL BALANCE AS OF CUTOFF
TOP TEN STATES (1) CUTOFF DATE OF CONTRACTS AS OF CUTOFF DATE DATE
- ------------------ ------------ ------------ ------------------ -----------------
<S> <C> <C> <C> <C>
California............................ 2,916 14.25% $53,601,651.80 13.29%
Texas................................. 2,157 10.54 46,582,005.42 11.55
Florida............................... 1,693 8.28 33,812,772.25 8.39
Arizona .............................. 921 4.50 15,991,879.78 3.97
Minnesota............................. 534 2.61 14,430,516.88 3.58
Washington............................ 578 2.83 14,119,784.57 3.50
Georgia .............................. 672 3.29 13,170,444.84 3.26
North Carolina........................ 884 4.32 12,968,948.25 3.21
Colorado.............................. 625 3.06 11,600,367.90 2.87
Tennessee............................. 441 2.16 11,258,849.96 2.79
</TABLE>
- -----------
(1) Based on the billing address of the Obligor set forth in Green Tree's
records.
7
Additional information is available upon request. Information herein is believed
to be reliable but J.P. Morgan does not warrant its completeness or accuracy.
These materials are subject to change from time to time without notice. Past
performance is not indicative of future results. Any description of the
collateral contained herein supersedes any previous collateral information and
will be superseded by the final prospectus relating to the securities. These
materials are not intended as an offer or solicitation with respect to the
purchase or sale of any security, and have been provided to you for
informational purposes only and may not be relied upon by you in evaluating the
merits of investing in the securities. Any investment decision with respect to
the securities should be made by you based solely upon the information contained
in the final prospectus relating to the securities. No assurance or
representation can be made as to the actual rate or timing of principal payments
or prepayments on any of the collateral or the performance characteristics of
the securities. This information was prepared in reliance on information
regarding the collateral furnished by the seller of the collateral. J.P. Morgan
may hold a position or act as market maker in the financial instruments of any
issuer discussed herein or act as advisor or lender to such issuer. J.P. Morgan
Securities Inc. is a member of SIPC and SFA. Copyright 1997 J.P. Morgan & Co.
Incorporated.
<PAGE>
DISTRIBUTION OF ORIGINAL CONTRACT AMOUNTS OF CONTRACTS
<TABLE>
<CAPTION>
% OF CONTRACTS
AGGREGATE PRINCIPAL BY OUTSTANDING
NUMBER OF CONTRACTS BALANCE OUTSTANDING PRINCIPAL BALANCE
ORIGINAL CONTRACT AMOUNT AS OF CUTOFF DATE AS OF CUTOFF DATE AS OF CUTOFF DATE
- ------------------------ ----------------- ----------------- -----------------
<S> <C> <C> <C>
Less than $10,000................. 10,027 $ 56,548,034.24 14.00%
Between $10,000 and $19,999....... 6,468 91,014,414.06 22.54
Between $20,000 and $29,999....... 1,634 39,177,262.83 9.71
Between $30,000 and $39,999....... 618 21,143,734.01 5.24
Between $40,000 and $49,999....... 422 18,717,366.00 4.64
Between $50,000 and $59,999....... 273 14,768,228.07 3.66
Between $60,000 and $69,999....... 169 10,886,051.22 2.70
Between $70,000 and $79,999....... 158 11,854,002.36 2.94
Between $80,000 and $89,999....... 134 11,283,820.88 2.80
Between $90,000 and $99,999....... 150 14,087,270.39 3.49
Between $100,000 and $109,999..... 81 8,382,356.38 2.08
Between $110,000 and $119,999..... 36 4,091,511.48 1.01
Between $120,000 and $129,999..... 25 3,112,500.75 .77
Between $130,000 and $139,999..... 28 3,775,689.47 .94
Between $140,000 and $149,999..... 17 2,449,675.03 .61
Between $150,000 and $159,999..... 22 3,381,799.09 .84
Between $160,000 and $169,999..... 16 2,641,879.41 .65
Between $170,000 and $179,999..... 16 2,798,290.46 .69
Between $180,000 and $189,999..... 13 2,386,168.69 .59
Between $190,000 and $199,999..... 8 1,538,271.63 .38
Between $200,000 and $249,999..... 30 6,598,028.12 1.64
Between $250,000 and $299,999..... 10 2,695,550.19 .67
Between $300,000 and $349,999..... 14 4,435,090.92 1.10
Between $350,000 and $399,999..... 15 5,589,294.27 1.39
Between $400,000 and $449,999..... 9 3,846,997.83 .95
Between $450,000 and $499,999..... 9 4,301,072.56 1.07
Between $500,000 and $549,999..... 9 4,719,839.95 1.17
Between $550,000 and $599,999..... 3 1,721,766.90 .43
Between $600,000 and $649,999..... 3 1,882,721.62 .47
Between $650,000 and $699,999..... 6 4,100,511.27 1.02
Between $700,000 and $749,999..... 5 3,597,110.97 .89
Between $750,000 and $799,999..... 0 .00 .00
Between $800,000 and $849,999..... 1 835,411.00 .21
Between $850,000 and $899,999..... 2 1,706,485.88 .42
Between $900,000 and $949,999..... 5 4,600,044.81 1.14
Between $950,000 and $999,999..... 3 2,954,315.05 .73
Over $999,999..................... 17 25,915,260.65 6.42
------ --------------- ----
Total........................ 20,456 $403,537,828.44 100.00%
====== =============== ======
</TABLE>
8
Additional information is available upon request. Information herein is believed
to be reliable but J.P. Morgan does not warrant its completeness or accuracy.
These materials are subject to change from time to time without notice. Past
performance is not indicative of future results. Any description of the
collateral contained herein supersedes any previous collateral information and
will be superseded by the final prospectus relating to the securities. These
materials are not intended as an offer or solicitation with respect to the
purchase or sale of any security, and have been provided to you for
informational purposes only and may not be relied upon by you in evaluating the
merits of investing in the securities. Any investment decision with respect to
the securities should be made by you based solely upon the information contained
in the final prospectus relating to the securities. No assurance or
representation can be made as to the actual rate or timing of principal payments
or prepayments on any of the collateral or the performance characteristics of
the securities. This information was prepared in reliance on information
regarding the collateral furnished by the seller of the collateral. J.P. Morgan
may hold a position or act as market maker in the financial instruments of any
issuer discussed herein or act as advisor or lender to such issuer. J.P. Morgan
Securities Inc. is a member of SIPC and SFA. Copyright 1997 J.P. Morgan & Co.
Incorporated.
<PAGE>
YEAR OF ORIGINATION OF CONTRACTS
% OF CONTRACTS
AGGREGATE BY OUTSTANDING
NUMBER OF PRINCIPAL PRINCIPAL
CONTRACTS BALANCE BALANCE
YEAR OF AS OF OUTSTANDING AS AS OF
ORIGINATION CUTOFF DATE OF CUTOFF DATE CUTOFF DATE
- ----------- ---------- --------------- --------------
1990................ 1 $72,714.42 .02%
1991................ 0 .00 .00
1992................ 0 .00 .00
1993................ 0 .00 .00
1994................ 2 11,625.78 *
1995................ 8 178,460.16 .04
1996................ 49 1,379,000.56 .34
1997................ 117 3,386,560.01 .84
1998................ 20,279 398,509,467.51 98.76
------ -------------- ------
Total....... 20,456 $403,537,828.44 100.00%
====== =============== ======
- --------
* Indicates an amount greater than zero but less than .005% of Cutoff Date
Principal balance.
DISTRIBUTION OF ORIGINAL LOAN-TO-VALUE RATIOS OF CONTRACTS
% OF CONTRACTS
AGGREGATE BY OUTSTANDING
NUMBER OF PRINCIPAL PRINCIPAL
CONTRACTS BALANCE BALANCE
LOAN-TO VALUE AS OF OUTSTANDING AS AS OF
RATIO CUTOFF DATE OF CUTOFF DATE CUTOFF DATE
- ----------- ---------- --------------- --------------
Less than 61%........ 1,539 $14,056,602.25 3.48%
From 61 to 65%....... 585 6,588,990.46 1.63
From 66 to 70%....... 789 9,952,970.08 2.47
From 71 to 75%....... 1,431 18,595,219.11 4.61
From 76 to 80%....... 2,096 35,057,256.37 8.69
From 81 to 85%....... 3,031 54,303,392.14 13.46
From 86 to 90%....... 5,823 95,500,001.76 23.67
From 91 to 95%....... 2,619 59,647,906.29 14.78
Over 95%............. 2,543 109,835,489.98 27.21
------ --------------- ------
Total........... 20,456 $403,537,828.44 100.00%
====== =============== ======
9
Additional information is available upon request. Information herein is believed
to be reliable but J.P. Morgan does not warrant its completeness or accuracy.
These materials are subject to change from time to time without notice. Past
performance is not indicative of future results. Any description of the
collateral contained herein supersedes any previous collateral information and
will be superseded by the final prospectus relating to the securities. These
materials are not intended as an offer or solicitation with respect to the
purchase or sale of any security, and have been provided to you for
informational purposes only and may not be relied upon by you in evaluating the
merits of investing in the securities. Any investment decision with respect to
the securities should be made by you based solely upon the information contained
in the final prospectus relating to the securities. No assurance or
representation can be made as to the actual rate or timing of principal payments
or prepayments on any of the collateral or the performance characteristics of
the securities. This information was prepared in reliance on information
regarding the collateral furnished by the seller of the collateral. J.P. Morgan
may hold a position or act as market maker in the financial instruments of any
issuer discussed herein or act as advisor or lender to such issuer. J.P. Morgan
Securities Inc. is a member of SIPC and SFA. Copyright 1997 J.P. Morgan & Co.
Incorporated.
<PAGE>
CONTRACT RATES
% OF CONTRACTS
AGGREGATE BY OUTSTANDING
NUMBER OF PRINCIPAL PRINCIPAL
CONTRACTS BALANCE BALANCE
AS OF OUTSTANDING AS AS OF
CONTRACT RATE CUTOFF DATE OF CUTOFF DATE CUTOFF DATE
- ------------- ---------- --------------- --------------
Less than 7.001%.......... 2 $ 933,846.68 .23%
7.001% to 8.000%........ 103 28,140,372.15 6.97
8.001% to 9.000%........ 1,223 97,374,553.23 24.13
9.001% to 10.000%....... 3,537 96,752,495.26 23.98
10.001% to 11.000%........ 4,544 74,148,373.97 18.37
11.001% to 12.000%........ 3,190 38,697,308.39 9.59
12.001% to 13.000%........ 2,337 26,861,584.38 6.66
13.001% to 14.000%........ 1,230 12,449,626.91 3.09
14.001% to 15.000%........ 1,791 12,923,216.25 3.20
15.001% to 16.000%........ 1,011 6,565,006.62 1.63
16.001% to 17.000%........ 726 4,646,644.22 1.15
Over 17.000%.............. 762 4,044,800.38 1.00
------ --------------- ------
Total................ 20,456 $403,537,828.44 100.00%
====== =============== ======
REMAINING MONTHS TO MATURITY OF CONTRACTS
% OF CONTRACTS
AGGREGATE BY OUTSTANDING
NUMBER OF PRINCIPAL PRINCIPAL
CONTRACTS BALANCE BALANCE
REMAINING MONTHS TO AS OF OUTSTANDING AS AS OF
MATURITY CUTOFF DATE OF CUTOFF DATE CUTOFF DATE
- ------------- ---------- --------------- --------------
Fewer than 31........... 805 $ 10,101,575.38 2.50%
31 to 60............. 8,585 139,075,397.01 34.46
61 to 90............. 4,069 59,825,017.08 14.83
91 to 120............. 2,181 40,783,145.17 10.11
121 to 150.............. 3,148 53,650,735.09 13.30
151 to 180.............. 1,472 71,844,208.57 17.80
181 to 210.............. 9 529,736.06 0.13
211 to 240.............. 187 27,728,014.08 6.87
------ --------------- ------
Total.............. 20,456 $403,537,828.44 100.00%
====== =============== ======
10
Additional information is available upon request. Information herein is believed
to be reliable but J.P. Morgan does not warrant its completeness or accuracy.
These materials are subject to change from time to time without notice. Past
performance is not indicative of future results. Any description of the
collateral contained herein supersedes any previous collateral information and
will be superseded by the final prospectus relating to the securities. These
materials are not intended as an offer or solicitation with respect to the
purchase or sale of any security, and have been provided to you for
informational purposes only and may not be relied upon by you in evaluating the
merits of investing in the securities. Any investment decision with respect to
the securities should be made by you based solely upon the information contained
in the final prospectus relating to the securities. No assurance or
representation can be made as to the actual rate or timing of principal payments
or prepayments on any of the collateral or the performance characteristics of
the securities. This information was prepared in reliance on information
regarding the collateral furnished by the seller of the collateral. J.P. Morgan
may hold a position or act as market maker in the financial instruments of any
issuer discussed herein or act as advisor or lender to such issuer. J.P. Morgan
Securities Inc. is a member of SIPC and SFA. Copyright 1997 J.P. Morgan & Co.
Incorporated.
<PAGE>
GREEN TREE FINANCIAL CORPORATION
The following information supplements the information in the Prospectus
under the heading "Green Tree Financial Corporation."
DELINQUENCY, LOAN LOSS AND REPOSSESSION INFORMATION
The following tables set forth information relating to Green Tree's delinquency,
loan loss and repossession experience for each period indicated with respect to
all consumer product and equipment contracts it has purchased and continues to
service, including such contracts which do not meet the criteria for selection
as a Contract.
DELINQUENCY EXPERIENCE
<TABLE>
<CAPTION>
AT DECEMBER 31,
----------------------------------------- MARCH 31,
1994 1995 1996 1997 1998
------ ------ ------- ------- -------
<S> <C> <C> <C> <C> <C>
Number of Contracts Outstanding (1)........ 21,137 49,998 104,698 158,418 167,381
Number of Contracts Delinquent (2)
30--59 Days........................... 181 643 1,390 1,613 1,429
60--89 Days........................... 50 219 494 692 558
90 Days or More....................... 134 350 934 1,532 1,589
------ ------ ------- ------- -------
Total Contracts Delinquent................. 365 1,212 2,818 3,837 3,576
====== ====== ======= ======= =======
Delinquencies as a Percentage of Contracts
Outstanding (3)......................... 1.73% 2.42% 2.69% 2.42% 2.14%
</TABLE>
- ----------
(1) Excludes contracts already in repossession.
(2) The period of delinquency is based on the number of days payments are
contractually past due (assuming 30-day months). Consequently, a contract
due on the first day of a month is not 30 days delinquent until the first
day of the next month.
(3) By number of contracts.
LOAN LOSS/REPOSSESSION EXPERIENCE
(DOLLARS IN THOUSANDS)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
---------------------------------------------------- MARCH 31,
1994 1995 1996 1997 1998
-------- -------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Number of Contracts Serviced (1)...... 21,283 50,265 105,369 159,496 168,595
Principal Balance of Contracts (1).... $148,734 $506,459 $1,350,964 $2,352,141 $2,553,866
Contract Liquidations:
Units............................ 145 379 1,968 3,601 1,176
Percentage (2)................... 0.68% 0.75% 1.87% 2.26% 0.70%
Net Losses:
Dollars (3)...................... $ 884 $ 1,907 $ 9,249 $ 15,050 $ 5,031
Percentage (4)................... 0.59% 0.38% 0.68% 0.64% 0.20%
</TABLE>
(1) As of period end. Includes contracts already in repossession.
(2) As a percentage of the total number of contracts being serviced as of
period end.
(3) The calculation of net loss includes unpaid interest to the date of
repossession and all expenses of repossession and liquidation.
(4) As a percentage of the principal balance of contracts being serviced as of
period end.
11
Additional information is available upon request. Information herein is believed
to be reliable but J.P. Morgan does not warrant its completeness or accuracy.
These materials are subject to change from time to time without notice. Past
performance is not indicative of future results. Any description of the
collateral contained herein supersedes any previous collateral information and
will be superseded by the final prospectus relating to the securities. These
materials are not intended as an offer or solicitation with respect to the
purchase or sale of any security, and have been provided to you for
informational purposes only and may not be relied upon by you in evaluating the
merits of investing in the securities. Any investment decision with respect to
the securities should be made by you based solely upon the information contained
in the final prospectus relating to the securities. No assurance or
representation can be made as to the actual rate or timing of principal payments
or prepayments on any of the collateral or the performance characteristics of
the securities. This information was prepared in reliance on information
regarding the collateral furnished by the seller of the collateral. J.P. Morgan
may hold a position or act as market maker in the financial instruments of any
issuer discussed herein or act as advisor or lender to such issuer. J.P. Morgan
Securities Inc. is a member of SIPC and SFA. Copyright 1997 J.P. Morgan & Co.
Incorporated.
<PAGE>
The following tables indicate the projected weighted average lives of each
Class of Notes and Certificates at the indicated percentages of the Base Case
prepayment model.
AVERAGE LIFE OF THE CLASS A-1
NOTES AT THE RESPECTIVE PERCENTAGES OF THE
BASE CASE PREPAYMENT MODEL SET FORTH BELOW:
80% 90% 100% 110% 120%
----- ----- ---- ---- ----
Weighted Average Life(1)
(Years).................... 0.33 0.31 0.29 0.27 0.25
AVERAGE LIFE OF THE CLASS A-2
NOTES AT THE RESPECTIVE PERCENTAGES OF THE
BASE CASE PREPAYMENT MODEL SET FORTH BELOW:
80% 90% 100% 110% 120%
----- ----- ---- ---- ----
Weighted Average Life(1)
(Years).................... 1.32 1.22 1.14 1.06 1.00
AVERAGE LIFE OF THE CLASS A-3
NOTES AT THE RESPECTIVE PERCENTAGES OF THE
BASE CASE PREPAYMENT MODEL SET FORTH BELOW:
80% 90% 100% 110% 120%
----- ----- ---- ---- ----
Weighted Average Life(1)
(Years).................... 2.64 2.46 2.30 2.16 2.03
AVERAGE LIFE OF THE CLASS A-4
NOTES AT THE RESPECTIVE PERCENTAGES OF THE
BASE CASE PREPAYMENT MODEL SET FORTH BELOW:
80% 90% 100% 110% 120%
---- ----- ---- ---- ----
Weighted Average Life(1)
(Years).................... 3.94 3.71 3.50 3.30 3.11
AVERAGE LIFE OF THE CLASS A-5
NOTES AT THE RESPECTIVE PERCENTAGES OF THE
BASE CASE PREPAYMENT MODEL SET FORTH BELOW:
80% 90% 100% 110% 120%
---- ----- ---- ---- ----
Weighted Average Life(1)
(Years).................... 5.33 5.00 4.71 4.45 4.20
AVERAGE LIFE OF THE CLASS A-6
NOTES AT THE RESPECTIVE PERCENTAGES OF THE
BASE CASE PREPAYMENT MODEL SET FORTH BELOW:
80% 90% 100% 110% 120%
----- ---- ---- ---- ----
Weighted Average Life(1) (Years)...... 6.77 6.33 5.92 5.55 5.22
AVERAGE LIFE OF THE CLASS A-7
NOTES, CLASS B-1 AND CLASS B-2 CERTIFICATES AT THE RESPECTIVE PERCENTAGES OF
THE BASE CASE PREPAYMENT MODEL SET FORTH BELOW:
80% 90% 100% 110% 120%
----- ---- ---- ---- ----
Weighted Average Life(1) (Years)...... 7.29 6.88 6.46 6.04 5.63
1) The weighted average life of Notes and Certificates are determined by (i)
multiplying the amount of cash distributions in reduction of the principal
balance of such Note or Certificate by the number of years from the date of
issuance of such Notes or Certificates to the stated Distribution Date,
(ii) adding the results, and (iii) dividing the sum by the initial
principal balance of such Notes or Certificates.
12
Additional information is available upon request. Information herein is believed
to be reliable but J.P. Morgan does not warrant its completeness or accuracy.
These materials are subject to change from time to time without notice. Past
performance is not indicative of future results. Any description of the
collateral contained herein supersedes any previous collateral information and
will be superseded by the final prospectus relating to the securities. These
materials are not intended as an offer or solicitation with respect to the
purchase or sale of any security, and have been provided to you for
informational purposes only and may not be relied upon by you in evaluating the
merits of investing in the securities. Any investment decision with respect to
the securities should be made by you based solely upon the information contained
in the final prospectus relating to the securities. No assurance or
representation can be made as to the actual rate or timing of principal payments
or prepayments on any of the collateral or the performance characteristics of
the securities. This information was prepared in reliance on information
regarding the collateral furnished by the seller of the collateral. J.P. Morgan
may hold a position or act as market maker in the financial instruments of any
issuer discussed herein or act as advisor or lender to such issuer. J.P. Morgan
Securities Inc. is a member of SIPC and SFA. Copyright 1997 J.P. Morgan & Co.
Incorporated.
