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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): August 18, 1999
GREEN TREE FINANCIAL CORPORATION
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Delaware 01-08916 41-1807858
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(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: (651) 293-3400
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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.
--------------------------------
Not applicable.
Item 2. Acquisition or Disposition of Assets.
------------------------------------
Not applicable.
Item 3. Bankruptcy or Receivership.
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Not applicable.
Item 4. Changes in Registrant's Certifying Accountant.
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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.
---------------------------------
(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
----------- -----------
99.1 Computational materials prepared by underwriter
in connection with the $1,500,000,000
(Approximate) Manufactured Housing Contract
Senior/Subordinate Pass-Through Certificates,
Series 1999-5, 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.
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
- --------------
99.1 Computational materials prepared by underwriter in connection with
the $1,500,000,000 (Approximate) Manufactured Housing Contract
Senior/Subordinate Pass-Through Certificates, Series 1999-5, to be
issued by Green Tree Financial Corporation, as Seller and Servicer.
4
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TERM SHEET DATED August 18, 1999
$1,500,000,000 (Approximate)
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GREEN TREE FINANCIAL CORPORATION
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[LOGO OF GREEN TREE APPEARS HERE]
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Certificates for Manufactured Housing Contract, Series 1999-5
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This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in light of the same
warnings, lack of assurances, and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
descriptions of the securities or underlying assets, the information contained
in the Offering Document).
1
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TERM SHEET DATED August 18, 1999
Green Tree Financial Corporation
Certificates for Manufactured Housing Contract, Series 1999-5
$1,500,000,000 (Approximate)
Subject to Revision
Seller/Servicer Green Tree Financial Corporation ("Green Tree")
Trustee U.S. Bank Trust National Association
Underwriters Lehman Brothers Inc. (Lead),
J.P. Morgan Securities Inc. (Co), and
Merrill Lynch, Pierce, Fenner & Smith Incorporated (Co)
WAL at 100% Exp. Final
Amount Ratings (S&P/Fitch) Prepayment Model/(1)/ Maturity
- -------------------------------------------------------------------------------
To Call
A-1 $232,000,000 AAA / AAA 0.95 06/2001
A-2 $116,000,000 AAA / AAA 2.15 03/2002
A-3 $170,000,000 AAA / AAA 3.15 06/2003
A-4 $218,000,000 AAA / AAA 5.05 04/2006
A-5 $464,000,000 AAA / AAA 11.95 06/2016
M-1 $ 90,000,000 AA / AA 10.05 06/2016
M-2 $ 52,500,000 A / A 10.05 06/2016
B-1 $ 52,500,000 BBB / BBB 5.50 10/2006
B-2 $105,000,000 BBB- / BBB+ 12.36 06/2016
To Maturity
A-5 $139,000,000 AAA / AAA 18.77 06/2024
M-1 $ 90,000,000 AA / AA 10.54 06/2024
M-2 $ 52,500,000 A / A 10.54 06/2024
B-2 $105,000,000 BBB- / BBB+ 15.28 10/2029
Total Balance
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(1) The Certificates will be priced assuming a conditional prepayment rate of
175% MHP per annum.
FOR INFORMATION CONCERNING CERTAIN RISK FACTORS THAT SHOULD BE CONSIDERED BY
PROSPECTIVE INVESTORS, SEE "RISK FACTORS" IN THE PROSPECTUS SUPPLEMENT.
CAPITALIZED TERMS USED HEREIN AND NOT OTHERWISE DEFINED HAVE THE MEANINGS SET
FORTH IN THE PROSPECTUS AND PROSPECTUS SUPPLEMENT.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call Lehman Brothers account executive
for another copy.
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Cut-off Date July 31, 1999 for a portion of the Pool and August
31, 1999 for the remaining portion of the Pool, in
each case for contracts other than Subsequent
Contracts. For each Subsequent Contract, the
trust will be entitled to receive all payments due
after the last day of the calendar month in which
the subsequent closing occurs.
Exp. Pricing August 18, 1999
Exp. Settlement/Closing August 25, 1999
Date
Legal Final The Remittance Date in April 2031.
Remittance Date The 1st day of each month (or if such 1st day is
not a business day, the next succeeding business
day) commencing on October 1, 1999.
Other Certificates In addition to the Offered Certificates, the Class
C and Class B-3I Certificates will be issued. The
Class B-3I Certificates will be interest-only
Certificates which are retained by an affiliate of
Green Tree, and fully subordinated to the Offered
Certificates.
ERISA Subject to the conditions set forth in the
Prospectus Supplement, the Class A Certificates
are ERISA eligible. No transfer of a Class M or a
Class B Certificate will be permitted to be made
to any benefit plan unless such plan delivers an
opinion of counsel to the Trustee.
SMMEA The Class A and the Class M-1 Certificates will
not constitute "mortgage related securities" under
the Secondary Mortgage Market Enhancement Act of
1984 ("SMMEA") until such time as the amount in
the Prefunding Account is reduced to zero. At
such time, the Class A and Class M-1 Certificates
will be "legal investments" for certain types of
institutional investors to the extent provided in
SMMEA. The Class M-2, Class B-1 and Class B-2
Certificates are not SMMEA eligible.
Tax Status Two separate REMIC Elections will be made with
respect to the Trust for federal income tax
purposes.
Optional Redemption Less than 10% of the original pool balance
outstanding.
Pre-Funding Account On the Closing Date, a portion of the proceeds
from the sale of the Certificates (the "Pre-Funded
Amount") will be deposited with the Trustee in a
segregated account (the "Pre-Funding Account") and
used by the Trust to purchase additional contracts
(the "Subsequent Contracts") during a period (not
longer than 90 days) following the Closing Date
(the "Pre-Funding Period"). The Pre-Funded Amount
will be reduced during the Pre-Funding Period by
the amounts thereof used to fund such purchases.
Any amounts remaining in the Pre-Funding Account
following the Pre-Funding Period will be paid to
the Class A-1 Certificateholders on the next
Remittance Date.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call Lehman Brothers account executive
for another copy.
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Credit Enhancement Class A: 20.00% subordination (Class M-1, M-2,
B-1 and B-2) plus Excess Spread
(Class B-3I)
Class M-1: 14.00% subordination (Class M-2, B-1
and B-2) plus Excess Spread
(Class B-3I)
Class M-2: 10.50% subordination (Class B-1 and
B-2) plus Excess Spread (Class B-3I)
Class B-1: 7.00% subordination (Class B-2) plus
Excess Spread (Class B-3I)
Class B-2: Limited Guaranty plus Excess Spread
(Class B-3I)
Distributions Certificateholders will be entitled to receive on
each Remittance Date commencing in October 1999,
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 therefor,
distributions allocable to interest and principal,
as described in the Prospectus Supplement. The
Amount Available on each Remittance Date generally
includes the sum of (i) payments on the Contracts
due and received during the related Due Period,
(ii) prepayments and other unscheduled collections
received during the related Due Period, and (iii)
all collections of principal on the Contracts
received during the Due Period in which such
Remittance Date occurs up to and including the
third business day prior to such Remittance Date
(but in no event later than the 25th day of the
month prior to such Remittance Date), minus (iv)
with respect to all Remittance Dates other than the
Remittance Date in October 1999, 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 the preceding
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 Class A, Class M-1, Class M-2 and Class B-1
Certificates, and then to the distribution of
principal on the Class A, Class M-1, Class M-2 and
Class B-1 Certificates, in the manner and order of
priority described below, and then to the
distribution of interest and principal on the
Class B-2 Certificates.
The "Due Period" with respect to all Remittance
Dates other than the Remittance Date in October
1999, is the period from and including the 16th
day of the second month preceding such Remittance
Date, to and including the 15th day of the month
immediately preceding such Remittance Date.
With respect to the Remittance Date in October
1999, the Due Period is the period from and
including August 1, 1999 to and including
September 15, 1999.
Interest on the Class A, Interest will be distributable first to each class
Class M-1,Class M-2 and of the Class A Certificates, then to the Class M-1
Class B-1 Certificates Certificates, then to the Class M-2 Certificates
and then to the Class B-1 Certificates. Interest on
the outstanding Class A Principal Balance, Class M-
1 Adjusted Principal Balance, Class M-2 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 Certificates will bear interest at a fixed
Pass-Through Rate calculated on a 30/360 basis.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call Lehman Brothers account executive
for another copy.
4
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Interest on the Class A, The "Class M-1 Adjusted Principal Balance" as of
Class M-1, Class M-2 and any Remittance Date is the Class M-1 Principal
Class B-1 Certificates Balance less any Class M-1 Liquidation Loss
(Cont'd) Amount. The Class M-1 Principal Balance is the
Original Class M-1 Principal Balance less all
amounts previously distributed on account of
principal of the Class M-1 Certificates.
The "Class M-2 Adjusted Principal Balance" as of
any Remittance Date is the Class M-2 Principal
Balance less any Class M-2 Liquidation Loss
Amount. The Class M-2 Principal Balance is the
Original Class M-2 Principal Balance less all
amounts previously distributed on account of
principal of the Class M-2 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, The Class A Percentage will be distributed
Class M-1, Class M-2 and sequentially to the Class A-1, A-2, A-3, A-4, and
Class B-1 Certificates A-5 Certificateholders.
The Class A Percentage for any Remittance Date
will equal a fraction, expressed as a percentage,
the numerator of which is the Class A Principal
Balance as of such Remittance Date, and the
denominator of which is the sum of: (i) the Class
A Principal Balance, (ii) if the Class M-1
Distribution Test is satisfied on such Remittance
Date, the Class M-1 Principal Balance, otherwise
zero, (iii) if the Class M-2 Distribution Test is
satisfied on such Remittance Date, the Class M-2
Principal Balance, otherwise zero, and (iv) if the
Class B Distribution Test is satisfied on such
Remittance Date, the Class B Principal Balance,
otherwise zero, all as of such Remittance Date.
The Class M-1 Certificateholders will be entitled
to receive principal on each Remittance Date on
which (i) the Class A Principal Balance has been
reduced to zero or (ii) the Class M-1 Distribution
Test is satisfied.
The Class M-1 Percentage for any Remittance Date
will equal (a) zero, if the Class A Principal
Balance has not yet been reduced to zero and the
Class M-1 Distribution Test is not satisfied or
(b) a fraction, expressed as a percentage, the
numerator of which is the Class M-1 Principal
Balance as of such Remittance Date, and the
denominator of which is the sum of: (i) the Class
A Principal Balance, if any, (ii) the Class M-1
Principal Balance, (iii) if the Class M-2
Distribution Test is satisfied on such Remittance
Date, the Class M-2 Principal Balance, otherwise
zero and (iv) 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.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call Lehman Brothers account executive
for another copy.
5
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Principal on the Class A, The Class M-1 Distribution Test will be satisfied
Class M-1, Class M-2 and if each of the following tests is satisfied: (i)
Class B-1 Certificates the Remittance Date occurs in or after October
(Cont'd) 2003; (ii) the Average Sixty-Day Delinquency Ratio
Test (as defined in the Agreement) as of such
Remittance Date must not exceed 4.50%; (iii)
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;
(iv) the Current Realized Loss Ratio (as defined
in the Agreement) as of such Remittance Date must
not exceed 2.75%; and (v) the sum of the Class M-1
Principal Balance, the Class M-2 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 27.75%.
The Class M-2 Certificateholders will be entitled
to receive principal on each Remittance Date on
which (i) the Class A Principal Balance and Class
M-1 Principal Balance have been reduced to zero or
(ii) the Class M-2 Distribution Test is satisfied.
The Class M-2 Percentage for any Remittance Date
will equal (a) zero, if the Class A Principal
Balance and Class M-1 Principal Balance have not
yet been reduced to zero and the Class M-2
Distribution Test is not satisfied or (b) a
fraction, expressed as a percentage, the numerator
of which is the Class M-2 Principal Balance as of
such Remittance Date, and the denominator of which
is the sum of: (i) the Class A Principal Balance,
if any, (ii) the Class M-1 Principal Balance, if
any, (iii) the Class M-2 Principal Balance, and
(iv) 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-2 Distribution Test will be satisfied
if each of the following tests is satisfied: (i)
the Remittance Date occurs in or after October
2003; (ii) the Average Sixty-Day Delinquency Ratio
Test (as defined in the Agreement) as of such
Remittance Date must not exceed 4.50%; (iii)
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;
(iv) the Current Realized Loss Ratio (as defined
in the Agreement) as of such Remittance Date must
not exceed 2.75%; and (v) the sum of the Class M-2
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 18.75%.
The Class B-1 Certificateholders will be entitled
to receive principal on each Remittance Date on
which (i) the Class A Principal Balance, the Class
M-1 Principal Balance and the Class M-2 Principal
Balance have been reduced to zero or (ii) the
Class B Distribution Test is satisfied.
The Class B Percentage for any Remittance Date
will equal (a) zero, if the Class A Principal
Balance, the Class M-1 Principal Balance and the
Class M-2 Principal Balance have not yet been
reduced to zero and the Class B Distribution Test
is not satisfied or (b) a fraction, expressed as a
percentage, the numerator of which is the Class B
Principal Balance as of such Remittance Date, and
the denominator of which is the sum of: (i) the
Class A Principal Balance, if any, (ii) the Class
M-1 Principal Balance, if any, (iii) the Class M-2
Principal Balance, if any, and (iv) the Class B
Principal Balance, all as of such Remittance Date.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call Lehman Brothers account executive
for another copy.
6
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Principal on the Class A, The Class B Distribution Test will be satisfied if
Class M-1, Class M-2 and each of the following tests is satisfied: (i) the
Class B-1 Certificates Remittance Date occurs in or after October 2003;
(Cont'd) (ii) the Average Sixty-Day Delinquency Ratio Test
(as defined in the Agreement) as of such
Remittance Date must not exceed 4.50%; (iii) 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;
(iv) the Current Realized Loss Ratio (as defined
in the Agreement) as of such Remittance Date must
not exceed 2.75%; (v) 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 13.50%; and
(vi) the Class B Principal Balance must not be
less than $20,000,000.
Class B-2 Interest Interest on the outstanding Class B-2 Principal
Balance will accrue from the Settlement Date, or
from the most recent Remittance Date on which
interest has been paid to but excluding the
following Remittance Date.
To the extent of (i) the remaining Amount
Available, if any, for a Remittance Date after
payment of all interest and principal then payable
on the Class A, Class M-1, Class M-2 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 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 and (ii) the Class B Distribution Test is
satisfied; provided, however, that if the Class A
Principal Balance, the Class M-1 Principal
Balance, the Class M-2 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.
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 Class B-2 Certificateholders
until the Class B-2 Principal Balance has been
reduced to zero. Green Tree will be obligated
under the Limited Guarantee to pay the amount, if
any, by which the Class B Percentage of the
Formula Principal Distribution Amount for such
Remittance Date exceeds the remaining Amount
Available after payment of interest on the Class
B-2 Certificates.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call Lehman Brothers account executive
for another copy.
7
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Losses on Liquidated If Net Liquidation Proceeds from Liquidated
Contracts Contracts in the respective collection period are
less than the Scheduled Principal Balance of such
Liquidated Contract, the shortfall amount will be
absorbed by the Class B-3I Certificateholders,
then the Monthly Servicing Fee (as long as Green
Tree is the Servicer), then the Class B-2
Certificateholders, then the Class B-1
Certificateholders, then the Class M-2
Certificateholders and then the Class M-1
Certificateholders, since a portion of the Amount
Available equal to such shortfall and otherwise
distributable to them will be paid to the Class A
Certificateholders.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call Lehman Brothers account executive
for another copy.
8
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MANUFACTURED HOUSING CONTRACT CHARACTERISTICS
The information presented below relates to the Initial Contracts, which
will represent approximately 75% of the Contract Pool. Although the
characteristics of the final pool of Contracts will differ from the
characteristics of the Initial Contracts shown below, Green Tree does not expect
that the characteristics of the Subsequent Contracts sold to the Trust will vary
materially from the information concerning the Initial Contracts herein.
THE INITIAL CONTRACT POOL
--------------------------------------------
Number of Contracts: 19,049
Wgt. Avg. Contract Rate: 9.86%
Range of Rates: 4.0% - 18.0%
Wgt. Avg. Orig. Maturity: 317 months
Wgt. Avg. Rem. Maturity: 315 months
Avg. Rem Princ. Balance: $40,876
Wgt. Avg. LTV: 88.25%
New/Used: 73.9% / 26.1%
Park/Private: 31.2% / 68.8%
Single/Double: 32.1% / 67.9%
Land/Home: 26.6%
Step Rate: 2.7%
Conventional: 100%
--------------------------------------------
YEARS OF ORIGINATION OF INITIAL CONTRACTS
% of Contracts by
Number of Aggregate Principal Outstanding Principal
Year of Origination Contracts Balance Outstanding Balance
- ------------------- --------- -------------------- ---------------------
1984 2 2,229.72 *
1985 80 224,180.43 0.03%
1986 133 645,093.49 0.08%
1987 147 1,336,612.95 0.17%
1988 195 2,351,306.21 0.30%
1989 153 2,239,082.94 0.29%
1990 25 306,196.53 0.04%
1991 20 215,607.16 0.03%
1992 32 396,351.97 0.05%
1993 82 1,318,429.40 0.17%
1994 175 3,420,780.94 0.44%
1995 310 6,835,892.68 0.88%
1996 121 3,167,776.80 0.41%
1997 76 2,810,894.47 0.36%
1998 1,797 80,586,772.52 10.35%
1999 15,701 672,438,927.80 86.40%
------ --------------- -------
Total/(1)/ 19,049 $778,296,136.01 100.00%
* Indicates an amount greater than 0.000% but less than 0.005%.
(1) Percentages may not add to 100% due to rounding.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call Lehman Brothers account executive
for another copy.
9
<PAGE>
GEOGRAPHIC DISTRIBUTION OF INITIAL CONTRACT OBLIGORS
% of Contracts by
Number of Aggregate Principal Outstanding Principal
State Contracts Balance Outstanding Balance
- -------- ---------- ------------------- ---------------------
NC 1,879 $ 87,579,040.73 11.25%
TX 1,630 69,210,112.60 8.89%
FL 1,110 50,161,500.22 6.45%
GA 1,169 48,871,784.17 6.28%
MI 1,712 48,044,406.01 6.17%
SC 996 46,190,973.59 5.93%
AL 1,267 42,602,416.92 5.47%
Other States* 9,286 385,635,901.77 49.55%
------ --------------- ------
Total/(1)/ 19,049 $778,296,136.01 100.00%
(1) Percentages may not add to 100% due to rounding.
DISTRIBUTION OF ORIGINAL INITIAL CONTRACT AMOUNTS
% of Contracts by
Original Contract Number of Aggregate Principal Outstanding Principal
Amount (in Dollars) Contracts Balance Outstanding Balance
- ----------------------- --------- ------------------- ---------------------
Less than 10,000.01 521 $ 3,915,252.79 0.50%
10,000.01 - 20,000.00 2,752 37,768,975.29 4.85
20,000.01 - 30,000.00 3,685 90,329,844.49 11.61%
30,000.01 - 40,000.00 3,928 135,505,688.68 17.41%
40,000.01 - 50,000.00 2,593 115,622,192.43 14.86%
50,000.01 - 60,000.00 2,028 110,743,094.72 14.23%
60,000.01 - 70,000.00 1,375 88,947,956.47 11.43%
70,000.01 - 80,000.00 796 59,283,494.95 7.62%
80,000.01 - 90,000.00 517 43,746,589.19 5.62%
90,000.01 - 100,000.00 390 36,955,122.32 4.75%
100,000.01 - 110,000.00 174 18,028,841.95 2.32%
110,000.01 - 120,000.00 112 12,784,187.10 1.64%
120,000.01 - 130,000.00 85 10,564,063.48 1.36%
130,000.01 - 140,000.00 36 4,836,130.51 0.62%
140,000.01 - 150,000.00 20 2,892,352.79 0.37%
150,000.01 - 160,000.00 17 2,625,353.41 0.34%
160,000.01 - 170,000.00 7 1,147,566.23 0.15%
170,000.01 - 180,000.00 1 174,844.50 0.02%
180,000.01 - 190,000.00 5 918,358.18 0.12%
190,000.01 - 200,000.00 2 395,846.91 0.05%
200,000.01 - 210,000.00 1 207,225.72 0.03%
210,000.01 - 220,000.00 1 211,986.15 0.03%
220,000.01 - 230,000.00 1 229,087.05 0.03%
230,000.01 - 240,000.00 2 462,080.70 0.06%
------ --------------- ------
Total/(1)/ 19,049 $778,296,136.01 100.00%
(1) Percentages may not add to 100% due to rounding.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call Lehman Brothers account executive
for another copy.
10
<PAGE>
INITIAL CONTRACT RATES
% of Contracts by
Range of Contracts by Number of Aggregate Principal Outstanding Principal
Contract Rates Contracts Balance Outstanding Balance
- --------------------- --------- ------------------ ---------------------
3.001 - 4.000 1 $ 149,981.95 0.02%
4.001 - 5.000 1 108,191.40 0.01%
5.001 - 6.000 11 823,919.57 0.11%
6.001 - 7.000 335 26,288,003.24 3.38%
7.001 - 8.000 1,632 122,302,404.68 15.71%
8.001 - 9.000 2,259 131,066,674.16 16.84%
9.001 -10.000 4,073 180,952,954.37 23.25%
10.001 -11.000 3,461 129,645,371.61 16.66%
11.001 -12.000 3,016 91,280,986.92 11.73%
12.001 -13.000 2,289 57,349,014.27 7.37%
13.001 -14.000 1,417 30,045,336.13 3.86%
14.001 -15.000 375 6,312,920.82 0.81%
15.001 -16.000 53 660,327.48 0.08%
16.001 -17.000 112 1,139,307.58 0.15%
Greater than 17.000 14 170,741.83 0.02%
------ --------------- ------
Total/(1)/ 19,049 $778,296,136.01 100.00%
(1) Percentages may not add to 100% due to rounding.
DISTRIBUTION OF ORIGINAL LOAN-TO-VALUE RATIOS OF INITIAL CONTRACTS
% of Contracts by
Loan to Value Number of Aggregate Principal Outstanding Principal
Ratio Contracts Balance Outstanding Balance
- ------------- --------- ------------------- ---------------------
0.01 - 5.00 3 $ 222,073.17 0.03%
5.01 - 10.00 6 280,633.27 0.04%
10.01 - 15.00 8 277,397.63 0.04%
15.01 - 20.00 17 416,278.93 0.05%
20.01 - 25.00 20 578,325.16 0.07%
25.01 - 30.00 21 804,455.95 0.10%
30.01 - 35.00 27 562,797.95 0.07%
35.01 - 40.00 40 1,161,806.62 0.15%
40.01 - 45.00 72 2,062,884.79 0.27%
45.01 - 50.00 94 3,097,649.44 0.40%
50.01 - 55.00 108 3,663,561.56 0.47%
55.01 - 60.00 154 6,241,924.70 0.80%
60.01 - 65.00 230 8,892,467.21 1.14%
65.01 - 70.00 319 13,096,553.91 1.68%
70.01 - 75.00 460 20,617,841.05 2.65%
75.01 - 80.00 1,561 64,164,442.25 8.24%
80.01 - 85.00 1,349 60,649,469.59 7.79%
85.01 - 90.00 6,230 277,170,957.28 35.61%
90.01 - 95.00 5,864 244,697,914.42 31.44%
95.01 -100.00 2,466 69,636,701.13 8.95%
------ --------------- ------
Total/(1)/ 19,049 $778,296,136.01 100.00%
(1) Percentages may not add to 100% due to rounding.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call Lehman Brothers account executive
for another copy.
11
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL CONTRACTS
% of Contracts by
Number of Aggregate Principal Outstanding Principal
Months Remaining Contracts Balance Outstanding Balance
- ---------------- --------- ------------------- ---------------------
1 - 30 232 $ 843,740.58 0.11%
31 - 60 514 4,140,273.03 0.53%
61 - 90 526 6,932,682.91 0.89%
91 - 120 1,203 20,912,664.54 2.69%
121 - 150 681 14,422,710.53 1.85%
151 - 180 1,947 47,049,791.64 6.05%
181 - 210 241 7,587,377.55 0.97%
211 - 240 2,284 71,761,330.85 9.22%
241 - 270 50 2,197,482.89 0.28%
271 - 300 1,610 61,112,053.90 7.85%
301 - 330 27 1,415,731.02 0.18%
331 - 360 9,734 539,920,296.57 69.37%
------ --------------- ------
Total/(1)/ 19,049 $778,296,136.01 100.00%
(1) Percentages may not add to 100% due to rounding.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call Lehman Brothers account executive
for another copy.
12
<PAGE>
PREPAYMENT SENSITIVITIES
<TABLE>
<CAPTION>
75% MHP 125% MHP 175% MHP 250% MHP 300% MHP
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
---------------- ---------------- ---------------- ---------------- ----------------
To Call
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 1.68 11/02 1.21 12/01 0.95 06/01 0.73 01/01 0.64 11/00
A-2 3.89 05/04 2.74 12/02 2.15 03/02 1.65 08/01 1.43 05/01
A-3 5.80 10/06 4.07 08/04 3.15 06/03 2.38 07/02 2.06 02/02
A-4 9.48 10/11 6.73 05/08 5.05 04/06 3.51 01/04 3.01 04/03
A-5 19.17 03/24 15.05 01/20 11.95 06/16 8.58 06/12 7.00 07/10
M-1 15.84 03/24 12.28 01/20 10.05 06/16 8.36 06/12 7.57 07/10
M-2 15.84 03/24 12.28 01/20 10.05 06/16 8.36 06/12 7.57 07/10
B-1 9.26 09/11 6.68 06/08 5.50 10/06 5.09 12/05 4.93 08/05
B-2 19.17 03/24 15.13 01/20 12.36 06/16 9.99 06/12 8.89 07/10
To Maturity
A-5 19.64 08/28 15.73 02/27 12.64 06/24 9.15 10/19 7.49 03/17
M-1 16.15 08/28 12.74 02/27 10.54 06/24 8.90 10/19 8.14 03/17
M-2 16.15 08/28 12.74 02/27 10.54 06/24 8.90 10/19 8.14 03/17
B-2 20.58 10/29 17.49 10/29 15.28 10/29 13.01 10/29 11.74 10/29
</TABLE>
(1) The following are the assumed characteristics of the Additional and
Subsequent Contracts as of the Cut-off Date:
<TABLE>
<CAPTION>
Aggregate Principal Wtd Avg Wtd Avg Wtd Avg
Months Remaining Balance Outstanding Original Term Remaining Term Contract Rate
- ---------------- ------------------- ------------- -------------- --------------
<S> <C> <C> <C> <C>
0 to 120 $ 29,625,897.55 104 104 12.277%
121 to 180 67,194,222.91 175 175 12.015%
181 to 240 80,425,775.88 238 238 11.514%
241 to 300 60,673,352.55 300 300 11.492%
301 to 360 483,784,615.10 360 360 10.045%
--------------- --- --- -------
Total $148,118,982.33 314 314 10.605%
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call Lehman Brothers account executive
for another copy.
13
