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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): March 11, 1999
GREEN TREE FINANCIAL CORPORATION
--------------------------------
(Exact name of registrant as specified in its charter)
01-08916
Delaware [333-63265] 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: (651) 293-3400
--------------
Not Applicable
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(Former name or former address, if changed since last report)
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Item 1. Changes in Control of Registrant.
---------------------------------
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.
(c) Exhibits.
The following is filed herewith. The exhibit numbers
correspond with Item 601(b) of Regulation S-K.
2
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Exhibit No. Description
----------- -----------
99 External Computational and Descriptive
Information distributed in connection with
Certificates for Manufactured Housing
Contract Senior/Subordinate Pass-Through
Certificates, Series 1999-2, 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/ Joel H. Gottesman
-------------------------------
Joel H. Gottesman
Senior Vice President, General Counsel
and Secretary
3
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INDEX TO EXHIBITS
Exhibit Number Filed Electroncially
- -------------- --------------------
99 External Computational and Descriptive
Information distributed in connection
with Certificates for Manufactured Housing
Contract Senior/Subordinate Pass-Through
Certificates, Series 1999-2, issued by
Green Tree Financial Corporation, as Seller
and Servicer.
4
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EXHIBIT 99
TERM SHEET DATED MARCH 11, 1999
Green Tree Financial Corporation
Manufactured Housing Contract Senior/Subordinate
Pass-Through Certificates, Series 1999-2
$1,100,000,000 (Approximate)
- --------------------------------------------------------------------------------
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 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 MARCH 11, 1999
Green Tree Financial Corporation
Manufactured Housing Contract Senior/Subordinate
Pass-Through Certificates, Series 1999-2
$1,100,000,000 (Approximate)
Subject to Revision
SELLER/SERVICER: Green Tree Financial Corporation ("Green Tree")
TRUSTEE: U.S. Bank National Association, St. Paul, Minnesota
UNDERWRITERS: Lehman Brothers (Lead), J.P. Morgan & Co., Merrill Lynch & Co.
OFFERED CERTIFICATES:
Ratings WAL Exp Final
Amount (S & P/Fitch) @ 175% MHP Maturity
------ ------------- ---------- --------
To Call:
A-1 $78,000,000 AAA/AAA 1.00 4/01
A-2 $48,000,000 AAA/AAA 2.57 6/02
A-3 $85,000,000 AAA/AAA 4.77 2/06
A-4 $33,500,000 AAA/AAA 7.89 5/08
A-5 $40,750,000 AAA/AAA 10.93 6/12
A-6 $47,000,000 AAA/AAA 15.42 5/15
A-7 $600,000,000 AAA/AAA 6.14 5/15
M-1 $57,750,000 AA/AA 9.77 5/15
M-2 $30,250,000 A-/A+ 9.77 5/15
B-1 $44,000,000 BBB+/BBB 6.19 1/08
B-2 $35,750,000 BBB-/BBB+ 12.54 5/15
To Maturity
A-6 $47,000,000 AAA/AAA 17.26 6/23
A-7 $600,000,000 AAA/AAA 6.40 6/23
M-1 $57,750,000 AA/AA 10.26 6/23
M-2 $30,250,000 A-/A+ 10.26 6/23
B-2 $35,750,000 BBB-/BBB+ 15.33 9/25
CUT-OFF DATE: March 1, 1999 (or the date of origination, if later)
EXP. PRICING: Week of March 8, 1999
EXP. SETTLEMENT: March 31, 1999
INTEREST/PRINCIPAL: The 1st day of each month (or if such 1st day is not a
business day, the next succeeding business day),
commencing on May 3, 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: The Class A Certificates are ERISA eligible, subject
to the conditions set forth in the Prospectus
Supplement. The Class M-1, M-2, B-1 and B-2
Certificates will not be sold to benefit plans unless
such plans deliver a legal opinion to the Trustee,
stating that assets of the Trust are not deemed "plan
assets".
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 your Lehman Brothers account executive for another copy.
2
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SMMEA: The Class A Certificates and 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 Pre-Funded
Amount is reduced to zero. At such time, the Class A
and M-1 Certificates will be "legal investments" for
certain types of institutional investors to the extent
provided in that Act. The Class M-2, B-1 and 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.
STRUCTURE
CREDIT ENHANCEMENT: Class A: 15.25% subordination (Class M-1, M-2, B-1 and
B-2) plus Overcollateralization building to 1% of
initial aggregate pool balance, plus Excess Spread
(Class B-3I)
Class M-1: 10.00% subordination (Class M-2, B-1 and
B-2) plus Overcollateralization building to 1% of
initial aggregate pool balance, plus Excess Spread
(Class B-3I)
Class M-2: 7.25% subordination (Class B-1 and B-2)
plus Overcollateralization building to 1% of
initial aggregate pool balance, plus Excess Spread
(Class B-3I)
Class B-1: 3.25% subordination (Class B-2) plus
Overcollateralization building to 1% of initial
aggregate pool balance, plus Excess Spread (Class
B-3I)
Class B-2: Limited Guarantee plus
Overcollateralization building to 1% of aggregate
pool balance, plus Excess Spread (Class B-3I)
Overcollateralization Amount: $0 initially, building
to $11,000,000 (1% of initial aggregate pool
balance).
THE CONTRACT POOL: On the Closing Date, the Trust expects to purchase (i)
manufactured housing contracts having an aggregate
principal balance of approximately $625,594,156.59 as
of the Cut-off Date (the "Initial Contracts") and (ii)
additional manufactured housing contracts (the
"Additional Contracts"). An amount will be deposited
into an account (the "Prefunding Account") on the
Closing Date to purchase additional contracts prior to
90 days from the Closing Date (the "Subsequent
Contracts") for inclusion in the Contract Pool. The
Subsequent Contracts will represent no more than 25%
of the aggregate Contract Pool.
DISTRIBUTIONS: The Amount Available on each Remittance Date generally
includes the sum of (a) payments on the Contracts due
and received during the related Due Period (as defined
below), (b) prepayments and other unscheduled
collections received during the related Due Period,
and (c) 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 (d) with respect to all
Remittance Dates other than the Remittance Date in May
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
will generally be applied first to the distribution of
interest on Class A, M-1, M-2 and B-1 Certificates,
then to the distribution of principal on Class A, M-1,
M-2 and B-1 Certificates, and finally to the
distribution of interest and principal on Class B-2
Certificates.
The "Due Period" with respect to all Remittance Dates,
other than the Remittance Date in May 1999, is the
period from and including the 15th day of the second
month preceding such Remittance Date, to and including
the 14th day of the month immediately preceding such
Remittance Date. With respect to the Remittance Date
in May 1999, the Due Period will be the period from
and including March 1, 1999 to and including April 14,
1999.
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 your Lehman Brothers account executive for another copy.
3
<PAGE>
INTEREST
(Class A, M-1, M-2, B-1): Interest will be distributable first to each class of
Class A Certificates, then to the Class M-1
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.
Each Class of Certificates will bear interest at a
fixed Pass-Through Rate calculated on a 30/360 basis.
Interest shortfall will be carried forward, and will
bear interest at the applicable Remittance Rate, to
the extent legally permissible.
After payment of all principal distributable on the
Class M-1 Certificates (see below), any accrued and
unpaid Class M-1 Liquidation Loss Interest Amount will
be distributed to the extent available. After payment
of all principal distributable on the Class M-2
Certificates, any accrued and unpaid Class M-2
Liquidation Loss Interest Amount will be distributed
to the extent available. After payment of all
principal distributable on the Class B-1 Certificates
(see below), any accrued and unpaid Class B-1
Liquidation Loss Interest Amount will be distributed
to the extent available.
The Class M-1 Adjusted Principal Balance is the Class
M-1 Principal Balance less any Class M-1 Liquidation
Loss Amount. The Class M-1 Principal Balance is the
Original Class M-1 Principal Balance less all amounts
previously distributed on account of principal of the
Class M-1 Certificates.
The Class M-2 Adjusted Principal Balance 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 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.
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 your Lehman Brothers account executive for another copy.
4
<PAGE>
PRINCIPAL
(Class A, M-1, M-2, B-1): After the payment of all interest distributable to
Class A, Class M-1, Class M-2 and Class B-1
Certificateholders, principal will be distributed in
the following manner.
The Class A Certificates are divided into two Groups.
The Class A Group I is comprised of the Class A-1,
A-2, A-3, A-4, A-5, and A-6 Certificates. The Class A
Group II is comprised of the Class A-7 Certificates.
The Class A Percentage will be distributed pro-rata
among Class A Group I and Class A Group II. The
portion of the Class A percentage allocable to Group I
will be distributed sequentially to the Class A-1,
A-2, A-3, A-4, A-5, and A-6 Certificateholders.
The Class A Percentage for any Remittance Date will
equal a fraction, expressed as a percentage, the
numerator of which is the Class A Principal Balance as
of such Remittance Date, and the denominator of which
is the sum of: (i) the Class A Principal Balance, (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 sum of the Class B Principal
Balance and the Overcollateralization Amount,
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 sum of the Class B
Principal Balance and the Overcollateralization
Amount, otherwise zero, all as of such Remittance
Date.
The Class M-1 Distribution Test will be satisfied if
each of the following tests is satisfied: (i) the
Remittance Date occurs in or after May 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, the Class B
Principal Balance and the Overcollateralization Amount
divided by the Pool Scheduled Principal Balance as of
the immediately preceding Remittance Date must be
equal to or greater than 22.875%.
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 has 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 sum of the Class B Principal Balance and the
Overcollateralization Amount, 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 May 2003; (ii) the
Average Sixty-Day Delinquency Ratio Test (as defined
in the Agreement) 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 your Lehman Brothers account executive for another copy.
5
<PAGE>
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, the Class B Principal Balance
and the Overcollateralization Amount divided by the
Pool Scheduled Principal Balance as of the immediately
preceding Remittance Date must be equal to or greater
than 15.00%.
The Class B-1 Certificateholders will be entitled to
receive principal on each Remittance Date on which (i)
the Class A Principal Balance, Class M-1 Principal
Balance, and 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 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 sum of the Class B Principal Balance and
the Overcollateralization Amount 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 sum of the
Class B Principal Balance and the
Overcollateralization Amount, all as of such
Remittance Date.
The Class B Distribution Test will be satisfied if
each of the following tests is satisfied: (i) the
Remittance Date occurs in or after May 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) 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 sum of the Class B Principal Balance
and the aggregate amount of Additional Principal
Payment Amounts divided by the Pool Scheduled
Principal Balance as of the immediately preceding
Remittance Date must be equal to or greater than
10.875%; and (vi) the sum of the Class B Principal
Balance and the Overcollateralization Amount must not
be less than $22,000,000.
INTEREST
(Class B-2): 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) Amount Available on 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 at the Class B-2 Remittance
Rate on the Class B-2 Principal Balance.
The Class B-2 Principal Balance is the Original Class
B-2 Principal Balance less all amounts previously
distributed on account of principal of the Class B-2
Certificates.
Interest shortfall will be carried forward, and will
bear interest at the Class B-2 Remittance Rate to the
extent legally permissible.
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 your Lehman Brothers account executive for another copy.
6
<PAGE>
PRINCIPAL
(Class B-2): 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, Class
M-1, Class M-2 and Class B-1 Principal Balances have
been reduced to zero, the Class B-2 Certificateholders
will nevertheless be entitled to receive principal.
The Company will be obligated under the Limited
Guarantee to pay the amount, if any, by which the
Class B Percentage of the Formula Principal
Distribution Amount for the Remittance Date exceeds
the Class B-2 Remaining Amount Available after payment
of interest on the Class B-2 Certificates. On each
Remittance Date, Class B-2 Certificateholders will be
entitled to receive, pursuant to the Limited
Guarantee, any Class B-2 Liquidation Loss Amount for
such Remittance Date.
ADDITIONAL PRINCIPAL
PAYMENT AMOUNT: On each Payment Date, the remaining Amount Available,
if any, after payments to Certificateholders and the
Servicing Fee to Green Tree as Servicer, if any, will
be used to pay principal to each Class or Classes
entitled to receive principal in an amount equal to
the class percentage of the formula principal
distribution amount until the Overcollateralization
Amount equals $11,000,000.
LOSSES ON LIQUIDATED
CONTRACTS: If Net Liquidation Proceeds from Liquidated 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 Overcollateralization Amount, 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.
CONTRACTS: The information concerning the Initial Contracts
presented below is based on a pool originated through
February 20, 1999. Green Tree intends to acquire and
sell to the Trust (i) Additional Contracts on the
Closing Date, and (ii) Subsequent Contracts within 90
days of the Closing Date. Although the characteristics
of the final pool of Contracts will differ from the
characteristics of the Initial Contracts shown below,
Green Tree does not expect that the characteristics of
the Additional Contracts and Subsequent Contracts sold
to the Trust will vary materially from the information
concerning the Initial Contracts herein.
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 your Lehman Brothers account executive for another copy.
7
<PAGE>
THE INITIAL CONTRACT POOL
Number of MHCs in pool: 15,357
Wgt. Avg. Contract Rate: 9.06%
Range of Rates: 4.00% - 17.00%
Wgt. Avg. Orig. Maturity: 310 mos.
Range of Orig. Maturity: 24-360 mos.
Wgt. Avg. Rem. Maturity: 304 mos.
Range of Rem. Maturity: 4-360 mos.
Avg. Rem Princ. Balance: $40,736.74
Wgt. Avg. LTV: 86.16%
New/Used: (1) 75%/25%
Single/Double: (1) 25%/75%
Park/Private: (1) 28%/72%
(1) % of Initial Contract Pool by Outstanding Principal Balance
GEOGRAPHIC DISTRIBUTION OF INITIAL CONTRACT PROPERTY LOCATION
<TABLE>
<CAPTION>
% of Contract % of Initial Contract
Number Pool by Number Aggregate Principal Pool by Outstanding
State of Contracts of Initial Contracts Balance Outstanding Principal Balance
- ----- ------------ -------------------- ------------------- -----------------
<S> <C> <C> <C> <C>
North Carolina 1,720 11.20% $ 73,168,678.06 11.70%
Michigan 951 6.19% 55,546,172.37 8.88%
Texas 1,130 7.36% 40,384,118.94 6.46%
Florida 823 5.36% 34,640,833.66 5.54%
California 1,025 6.67% 32,787,083.18 5.24%
Other States (1) 9,708 63.22% 389,067,270.38 62.19%
------ ------- --------------- -------
Total: 15,357 100.00% $625,594,156.59 100.00%
</TABLE>
- ---------------
(1) Other States category includes those States which constitute less than 5.00%
of the outstanding balance of the Initial Pool of Contracts.
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 your Lehman Brothers account executive for another copy.
8
<PAGE>
DISTRIBUTION OF ORIGINAL AMOUNTS OF INITIAL CONTRACTS
% of Initial Contract
Original Contract Number of Aggregate Principal Pool by Outstanding
Amount (in Dollars)(1) Contracts Balance Outstanding Principal Balance
- ---------------------- --------- ------------------- -----------------
Less than $10,000.01 357 $ 2,510,937.70 0.40%
$10,000.01 - $20,000.00 3,223 36,435,295.10 5.82%
$20,000.01- $30,000.00 2,970 66,072,395.19 10.56%
$30,000.01 - $40,000.00 2,534 85,422,258.77 13.65%
$40,000.01 - $50,000.00 1,517 67,058,750.95 10.72%
$50,000.01 - $60,000.00 1,189 64,674,741.16 10.34%
$60,000.01 - $70,000.00 988 63,839,951.85 10.20%
$70,000.01 - $80,000.00 798 59,667,876.48 9.54%
$80,000.01 - $90,000.00 600 50,984,705.88 8.15%
$90,000.01 - $100,000.00 455 43,088,029.03 6.89%
$100,000.01 - $110,000.00 302 31,487,266.47 5.03%
$110,000.01 - $120,000.00 163 18,593,399.87 2.97%
$120,000.01 - $130,000.00 119 14,795,460.27 2.37%
$130,000.01 - $140,000.00 61 8,218,792.50 1.31%
$140,000.01 - $150,000.00 33 4,744,668.63 0.76%
$150,000.01 - $160,000.00 23 3,546,134.95 0.57%
$160,000.01 - $170,000.00 12 1,981,094.57 0.32%
$170,000.01 - $180,000.00 4 696,522.77 0.11%
$180,000.01 - $190,000.00 5 914,930.23 0.15%
$190,000.01 - $200,000.00 2 381,527.56 0.06%
$200,000.01 and above 2 479,416.66 0.08%
------ --------------- -------
Total 15,357 $ 625,594,156.59 100.00%
- -------------------
(1) The largest original Contract amount is $259,606.35 which represents 0.04%
of the Initial Pool Principal Balance.
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 your Lehman Brothers account executive for another copy.
9
<PAGE>
CONTRACT RATES OF INITIAL CONTRACTS
% of Initial Contract
Range of Contracts by Number of Aggregate Principal Pool by Outstanding
Contract Rate Contracts Balance Outstanding Principal Balance
- ------------- --------- ------------------- -----------------
Less than 5.001% 8 $ 599,101.14 0.10%
5.001% - 6.00% 70 5,900,460.06 0.94%
6.001% - 7.00% 1,836 152,497,155.76 24.38%
7.001% - 8.00% 1,086 79,043,237.59 12.63%
8.001% - 9.00% 2,100 116,141,220.18 18.56%
9.001% - 10.00% 2,710 109,639,833.94 17.53%
10.001% - 11.00% 1,756 60,214,720.70 9.63%
11.001% - 12.00% 1,529 40,240,510.33 6.43%
12.001% - 13.00% 1,259 25,147,233.55 4.02%
13.001% - 14.00% 2,172 27,370,759.63 4.38%
14.001% - 15.00% 657 7,103,901.86 1.14%
15.001% - 16.00% 132 1,224,209.09 0.20%
16.001% - 17.00% 42 471,812.76 0.08%
------ --------------- -------
Total (1) 15,357 $625,594,156.59 100.00%
- ------------------
(1) Percentages do not add to 100% due to rounding.
DISTRIBUTION OF ORIGINAL LOAN-TO-VALUE RATIOS OF INITIAL CONTRACTS
% of Initial Contract
Number of Aggregate Principal Pool by Outstanding
Loan-to-Value Ratio Contracts Balance Outstanding Principal Balance
- ------------------- --------- ------------------- -----------------
Less than 60.001% 706 $ 26,026,583.14 4.16%
60.001 % - 65.000% 270 11,307,968.38 1.81%
65.001 % - 70.000% 426 17,666,443.00 2.82%
70.001 % - 75.000% 572 25,348,447.88 4.05%
75.001 % - 80.000% 1,342 54,025,257.45 8.64%
80.001 % - 85.000% 1,681 75,685,909.65 12.10%
85.001 % - 90.000% 5,507 202,181,934.35 32.32%
90.001 % - 95.000% 3,310 157,661,641.59 25.20%
95.001 % - 100.000% 1,543 55,689,971.15 8.90%
------ --------------- -------
Total 15,357 $625,594,156.59 100.00%
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 your Lehman Brothers account executive for another copy.
10
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL CONTRACTS
% of Initial Contract
Number of Aggregate Principal Pool by Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
- ---------------- --------- ------------------- -----------------
Less than 31 795 $ 3,538,110.86 0.57%
31 - 60 917 8,043,478.75 1.29%
61 - 90 1,064 14,379,409.39 2.30%
91 - 120 829 14,975,285.85 2.39%
121 - 150 691 16,072,654.18 2.57%
151 - 180 1,786 47,870,466.30 7.65%
181 - 210 170 6,001,469.87 0.96%
211 - 240 1,754 59,491,232.02 9.51%
241 - 270 48 2,106,016.60 0.34%
271 - 300 956 37,813,580.84 6.04%
301 - 330 50 2,355,460.73 0.38%
331 - 360 6,297 412,946,991.20 66.01%
------ --------------- -------
Total (1) 15,357 $625,594,156.59 100.00%
- --------------
(1) Percentages do not add to 100% due to rounding.
YEARS OF ORIGINATION OF INITIAL CONTRACTS
% of Initial Contract
Number of Aggregate Principal Pool by Outstanding
Year of Origination (1) Contracts Balance Outstanding Principal Balance
- ----------------------- --------- ------------------- -----------------
1985 21 $ 107,449.46 0.02%
1986 445 2,426,003.10 0.39%
1987 258 2,437,225.98 0.39%
1988 467 4,580,992.15 0.73%
1989 6 103,724.61 0.02%
1990 1,485 19,744,413.74 3.16%
1991 2 51,636.58 0.01%
1992 3 96,139.65 0.02%
1993 1 9,760.55 *
1994 6 217,508.31 0.03%
1995 9 277,638.39 0.04%
1996 70 1,796,164.12 0.29%
1997 411 11,125,686.07 1.78%
1998 4,754 320,043,552.82 51.16%
1999 7,419 262,576,261.06 41.97%
------ --------------- -------
Total 15,357 $625,594,156.59 100.00%
- -------------
* Indicates a percentage greater than 0% but less than 0.005%
(1) The Contracts shown in the above table with earlier years of origination
primarily represent Contracts originated by the Company and subsequently
refinanced through the Company. The Company retains the first origination
dates on its records with respect to such refinanced Contracts.
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 your Lehman Brothers account executive for another copy.
11
<PAGE>
MHP PREPAYMENT SENSITIVITIES(1)
100% MHP 125% MHP 150% MHP 175% MHP
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
To Call
A-1 1.45 3/02 1.25 10/01 1.11 6/01 1.00 4/01
A-2 3.84 3/04 3.28 6/03 2.88 11/02 2.57 6/02
A-3 7.55 11/09 6.44 5/08 5.49 2/07 4.77 2/06
A-4 12.00 11/12 10.40 2/11 9.02 8/09 7.89 5/08
A-5 15.91 11/17 14.00 11/15 12.34 12/13 10.93 6/12
A-6 20.97 12/20 18.92 11/18 17.07 1/17 15.42 5/15
A-7 8.95 12/20 7.86 11/18 6.92 1/17 6.14 5/15
M-1 12.66 12/20 11.35 11/18 10.50 1/17 9.77 5/15
M-2 12.66 12/20 11.35 11/18 10.50 1/17 9.77 5/15
B-1 7.68 9/10 6.83 6/09 6.47 9/08 6.19 1/08
B-2 16.61 12/20 14.88 11/18 13.62 1/17 12.54 5/15
To Maturity
A-6 22.66 4/27 20.78 3/26 18.95 12/24 17.26 6/23
A-7 9.19 4/27 8.12 3/26 7.19 12/24 6.40 6/23
M-1 13.03 4/27 11.77 3/26 10.96 12/24 10.26 6/23
M-2 13.03 4/27 11.77 3/26 10.96 12/24 10.26 6/23
B-2 18.67 4/28 17.34 9/27 16.28 11/26 15.33 9/25
200% MHP 250% MHP 300% MHP 350% MHP
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
To Call
A-1 0.90 1/01 0.77 10/00 0.66 8/00 0.59 6/00
A-2 2.33 3/02 1.97 9/01 1.71 5/01 1.51 2/01
A-3 4.21 4/05 3.41 12/03 2.91 2/03 2.56 8/02
A-4 6.95 4/07 5.49 9/05 4.41 6/04 3.71 6/03
A-5 9.74 2/11 7.84 11/08 6.39 3/07 5.23 10/05
A-6 14.01 12/13 11.69 8/11 9.89 11/09 8.43 6/08
A-7 5.50 12/13 4.50 8/11 3.77 11/09 3.22 6/08
M-1 9.17 12/13 8.19 8/11 7.46 11/09 6.86 6/08
M-2 9.17 12/13 8.19 8/11 7.46 11/09 6.86 6/08
B-1 5.96 7/07 5.61 10/06 5.36 4/06 5.18 11/05
B-2 11.63 12/13 10.17 8/11 9.08 11/09 8.23 6/08
To Maturity
A-6 15.74 11/21 13.20 11/18 11.18 5/16 9.53 4/14
A-7 5.75 11/21 4.72 11/18 3.96 5/16 3.37 4/14
M-1 9.67 11/21 8.72 11/18 8.00 5/16 7.43 4/14
M-2 9.67 11/21 8.72 11/18 8.00 5/16 7.43 4/14
B-2 14.42 5/24 12.71 8/21 11.35 11/18 10.25 7/16
(1) The following are the assumed characteristics of the Additional and
Subsequent Contracts as of the Cut-off Date:
Months Aggregate Principal Wtd Avg Wtd Avg Wtd Avg
Remaining Balance Outstanding Original Term Remaining Term Contract Rate
- --------- ------------------- ------------- -------------- -------------
0 to 90 $7,341,025.52 80 80 12.412%
91 to 120 $16,210,538.17 119 119 12.184%
121 to 180 $57,086,602.59 177 177 11.308%
181 to 240 $73,244,849.34 240 240 10.795%
241 to 300 $46,868,283.87 300 300 10.671%
301 to 360 $273,654,543.92 360 360 9.584%
--------------- --- --- -------
Total: $474,405,843.41 301 301 10.218%
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 your Lehman Brothers account executive for another copy.
12
