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SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
-------------------------------
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported): June 22, 1999
GREEN TREE FINANCIAL CORPORATION
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(Exact name of registrant as specified in its charter)
Delaware 01-08916 41-1807858
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(State or other Jurisdiction (Commission File Number) (I.R.S. Employer
of incorporation) Identification No.)
1100 Landmark Towers, 345 St. Peter Street, Saint Paul, Minnesota 55102-1639
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(Address of principal executive offices)
Registrant's telephone number, including area code: (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.
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Not applicable.
ITEM 2. Acquisition or Disposition of Assets.
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Not applicable
ITEM 3. Bankruptcy or Receivership.
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Not applicable
ITEM 4. Changes in Registrant's Certifying Accounting.
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Not applicable
ITEM 5. Other Events.
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Not applicable.
ITEM 6. Resignations of Registrant's Directors.
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Not applicable
ITEM 7. Financial Statements and Exhibits.
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(a) Financial statements of businesses acquired.
Not applicable
(b) Pro forma financial information.
Not applicable
2
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(c) Exhibits.
The following is filed herewith. The exhibit numbers correspond
with Item 601(b) of Regulation S-K.
Exhibit No. Description
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99 Term Sheet distributed in connection with
Certificates for Home Improvement and
Home Equity Loans, Series 1999-C, issued by
Green Tree Financial Corporation, as Seller
and Servicer.
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
Date: June 24, 1999 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 Term Sheet distributed in connection with
Certificates for Home Improvement and
Home Equity Loans, Series 1999-C, issued by
Green Tree Financial Corporation, as Seller
and Servicer.
4
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EXHIBIT 99
TERM SHEET DATED JUNE 22, 1999
$1,600,000,000 (Approximate)
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GREEN TREE FINANCIAL CORPORATION
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[LOGO OF GREEN TREE FINANCIAL]
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Certificates for Home Improvement and Home Equity Loans, Series 1999-C
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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 JUNE 22, 1999
Green Tree Financial Corporation
Certificates for Home Improvement and Home Equity Loans, Series 1999-C
$1,600,000,000 (Approximate)
Subject to Revision
Seller/Servicer Green Tree Financial Corporation ("Green Tree")
Trustee U.S. Bank Trust National Association
Underwriter Lehman Brothers Inc. (Lead), Banc of America Securities
LLC (Co), Chase Securities Inc. (Co), Credit Suisse First
Boston Corporation (Co), First Union Capital Markets (Co) and
Merrill Lynch & Co. (Co)
Ratings WAL at 100% Exp. Final
Amount (S&P/Fitch) Prepayment Model(1) Maturity
------------ ----------- ------------------- ----------
To Call
HI: A-1 $ 98,825,000 AAA / AAA 0.75 01/2001
HI: A-2 $ 60,000,000 AAA / AAA 2.12 04/2002
HI: A-3 $ 23,250,000 AAA / AAA 3.12 01/2003
HI: A-4 $ 29,900,000 AAA / AAA 4.15 05/2004
HI: A-5 $ 22,775,000 AAA / AAA 5.57 11/2005
HI: M-1 $ 23,250,000 AA / AA 7.22 01/2007
HI: M-2 $ 14,250,000 A / A 7.54 01/2007
HI: B-1 $ 12,750,000 BBB / BBB 3.94 07/2004
HI: B-2 $ 15,000,000 BBB- / BBB+ 6.78 01/2007
To Maturity
HI: M-1 $ 23,250,000 AA / AA 7.59 10/2008
HI: M-2 $ 14,250,000 A / A 12.13 07/2024
HI: B-2 $ 15,000,000 BBB- / BBB+ 8.09 07/2024
HI Balance $300,000,000
Ratings WAL at 100% Exp. Final
Amount (S&P/Fitch) Prepayment Model(1) Maturity
------------ ----------- ------------------- ----------
To Call
HE: A-1A $ 350,000,000 AAA / AAA 2.48 12/2005
HE: A-1 $ 275,000,000 AAA / AAA 0.85 01/2001
HE: A-2 $ 210,750,000 AAA / AAA 2.10 04/2002
HE: A-3 $ 67,100,000 AAA / AAA 3.10 12/2002
HE: A-4 $ 76,925,000 AAA / AAA 4.23 02/2005
HE: A-5 $ 66,075,000 AAA / AAA 4.43 02/2005
HE: A-6 IO(2) $ 60,000,000 AAAr / AAA 1.63 02/2001
HE: M-1 $ 70,850,000 AA / AA 7.13 01/2007
HE: M-2 $ 70,200,000 A / A 7.54 01/2007
HE: B-1 $ 46,800,000 BBB / BBB 3.80 04/2004
HE: B-2 $ 66,300,000 BBB- / BBB+ 6.75 01/2007
To Maturity
HE: M-1 $ 70,850,000 AA / AA 7.22 09/2007
HE: M-2 $ 70,200,000 A / A 10.66 07/2029
HE: B-2 $ 66,300,000 BBB- / BBB+ 9.06 07/2029
HE Balance $1,300,000,000
(1) The Sub Pool HE Certificates will be priced, with respect to the Fixed
Rate Home Equity Contracts, using 125% of the Base Prepayment
Assumption. The Base Prepayment Assumption assumes a conditional
prepayment rate of 4% per annum of the then outstanding principal
balance of the Fixed Rate Home Equity Contracts in the first month of
the life of the Fixed Rate Home Equity Contracts and an additional 1.45%
(precisely, 16/11%) per annum in each month thereafter until the twelfth
month. Beginning in the twelfth month and in each month thereafter, the
conditional prepayment rate is 20%. The Sub Pool HE Certificates will be
priced, with respect to the Adjustable Rate Home Equity Contracts, using
a constant prepayment rate of 30% CPR. The Sub Pool HI Certificates will
be priced using 100% of a prepayment rate assuming a conditional
prepayment rate of 12% per annum of the then outstanding principal
balance of the Home Improvement Contracts in the first month of the life
of the Home Improvement Contracts and an additional 0.91% (precisely,
10/11%) per annum in each month thereafter until the twelfth month.
Beginning in the twelfth month and in each month thereafter, the
conditional prepayment rate is 22%.
(2) Interest will be based on a notional principal amount which will equal
$60,000,000 (or the Class HE: A Principal Balance for such Payment Date,
if less) for the first 20 Payment Dates, and will thereafter, equal
zero. The Class HE: A-6 IO Certificates are interest-only Certificates
and are not entitled to receive distributions of principal.
2
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Cut-off Date Sub-Pool HI: June 1, 1999 for a portion
of the Sub Pool HI, July 1, 1999 for the
remaining portion of Sub Pool HI (or the
date of origination, if later), in each case
for contracts other than Subsequent
Contracts. For each Subsequent Contract, the
date of purchase by the Trust.
Sub-Pool HE: May 1, 1999 (or the date of
origination, if later), in each case for
contracts other than Subsequent Contracts.
For each Subsequent Contract, the date of
purchase by the Trust.
Exp. Pricing Week of June 21, 1999
Exp. Settlement June 30, 1999
Legal Final Sub-Pool HI: 8/15/2025
Sub-Pool HE: 7/15/2030
Payment 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, 1999.
Cross-Collateralization On each Payment Date the Amount Available
for each Sub-Pool remaining after making
distributions in respect of the related
Certificates will generally be available to
make distributions in respect to the
Certificates related to the other Sub-Pool.
ERISA Only the Class HI: A and Class HE: A
Certificates are ERISA eligible.
Tax Status The Trust will consist of two segregated
asset pools with respect to which elections
will be made to treat each as a separate
"real estate mortgage investment conduit" (a
"REMIC") for federal income tax purposes.
Optional Redemption 10% cleanup call on the entire pool.
Additional Collateral The data set forth below with respect to
each Sub-Pool are based solely on the
contracts identified for inclusion in each
Sub-Pool as of the related Cut-off Date
("Original Home Improvement Contracts" and
"Original Home Equity Contracts"). Certain
additional contracts will be identified for
inclusion in each Sub-Pool prior to the
Closing Date ("Additional Home Improvement
Contracts" and "Additional Home Equity
Contracts" and, collectively, "Additional
Contracts"). During a limited period
following the Closing Date, the Trust Fund
will purchase subsequent contracts
("Subsequent Home Improvement Contracts" and
"Subsequent Home Equity Contracts" and,
collectively, "Subsequent Contracts"). It is
expected that the Additional Contracts and
Subsequent Contracts will have
characteristics which are substantially
similar to the related group of original
contracts.
3
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HOME IMPROVEMENT CERTIFICATE STRUCTURE
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Credit Enhancement Class HI: A: 21.75% subordination (Class
HI: M-1, HI: M-2, HI: B-1 and
HI: B-2), and Residual (Class
C)
Class HI: M-1: 14.00% subordination (Class
HI: M-2, HI: B-1 and HI:
B-2), and Residual (Class C)
Class HI: M-2: 9.25% subordination (Class
HI: B-1 and HI: B-2), and
Residual (Class C)
Class HI: B-1: 5.00% subordination (Class
HI: B-2), and Residual (Class
C)
Class HI: B-2: Limited Guaranty and Residual
(Class C)
Distributions The Sub-Pool HI Amount Available will
generally consist of payments made on or in
respect of the Home Improvement Contracts
comprising Sub-Pool HI, and will include
amounts otherwise payable to the Servicer
(as long as Green Tree is the Servicer) as
the Monthly Servicing Fee with respect to
the Home Improvement Contracts, and to the
Class C Certificateholder.
The Sub Pool HI Amount Available will
generally be applied first to the
distributions to the Class HI: A
Certificateholders, then to the Class HI:
M-1 Certificateholders, then to the Class
HI: M-2 Certificateholders, then to the
Class HI: B-1 Certificateholders, and then
to the Class HI: B-2 Certificateholders.
Class HI: A Certificates are senior to Class
HI: M and Class HI: B Certificates. Class
HI: M Certificates are senior to the Class
HI: B Certificates.
Losses on Liquidated HI Contracts If Net Liquidation Proceeds from Liquidated
Contracts in the respective collection
period are less than the Scheduled Principal
Balance of such Liquidated Contract plus
accrued and unpaid interest thereon, the
deficiency (a "Liquidation Loss Amount")
will be first absorbed by the Class C
Certificateholder, then the Guaranty Fee
otherwise payable to the Company, then the
Monthly Servicing Fee otherwise payable to
the Servicer (as long as Green Tree is the
Servicer), then the Class HI: B-2
Certificateholders, then the Class HI: B-1
Certificateholders, then the Class HI: M-2
Certificateholders and then the Class HI:
M-1 Certificateholders.
Pre-funding Feature On the Closing Date, a portion of the
proceeds from the sale of the Class HI
Certificates (the "Sub-Pool HI Pre-Funded
Amount") will be deposited with the Trustee
in a segregated account (the "Sub-Pool HI
Pre-Funding Account") and used by the Trust
to purchase Subsequent Home Improvement
Contracts during a period (not longer than
90 days) following the Closing Date (the
"Pre-Funding Period"). The Sub-Pool HI
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 Sub-Pool HI Pre-Funding
Account following the Pre-Funding Period
will be distributed to the Class HI: A-1
Certificateholders.
Interest on the Class HI: A, M-1,
M-2 and B-1 Interest will be distributable first to each
Class of Class HI: A Certificates
concurrently, then to the Class HI: M-1
Certificates, then to the Class HI: M-2
Certificates and then to the Class HI: B-1
Certificates. Interest will accrue on the
outstanding Class HI: A Principal Balance,
Class HI: M-1 Adjusted Principal Balance,
Class HI: M-2 Adjusted Principal Balance and
Class HI: B-1 Adjusted Principal Balance, as
applicable, from the Settlement Date, or
from the most recent Payment Date on which
interest has been paid to but excluding the
following Payment Date. Interest on all
Class HI Certificates will accrue on a
30/360 basis.
4
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Interest shortfalls will be carried forward,
and will bear interest at the applicable
Pass- Through Rate, to the extent legally
permissible.
The Class HI: M-1 Adjusted Principal Balance
on any date is the Class HI: M-1 Principal
Balance on such date less any Liquidation
Loss Amount allocated to the Class HI: M-1
Certificates. The Class HI: M-1 Principal
Balance is the Original Class HI: M-1
Principal Balance less all amounts
previously distributed on account of
principal of the Class HI: M-1 Certificates.
The Class HI: M-2 Adjusted Principal Balance
on any date is the Class HI: M-2 Principal
Balance on such date less any Liquidation
Loss Amount allocated to the Class HI: M-2
Certificates. The Class HI: M-2 Principal
Balance is the Original Class HI: M-2
Principal Balance less all amounts
previously distributed on account of
principal of the Class HI: M-2 Certificates.
The Class HI: B-1 Adjusted Principal Balance
on any date is the Class HI: B-1 Principal
Balance on such date less any Liquidation
Loss Amount allocated to the Class HI: B-1
Certificates. The Class HI: B-1 Principal
Balance is the Original Class HI: B-1
Principal Balance less all amounts
previously distributed on account of
principal of the Class HI: B-1 Certificates.
Principal on the Class HI: A, M-1,
M-2 and B-1 After the payment of all interest
distributable to Class HI: A, Class HI: M-1,
Class HI: M-2 and Class HI: B-1
Certificateholders, principal will be
distributed in the following manner, to the
extent of the available amount.
Class HI: A Principal The Sub-Pool HI Senior Percentage of the
Sub-Pool HI Formula Principal Distribution
Amount will be distributed first to the
Class HI: A-1 Certificateholders, until the
Class HI: A-1 Principal Balance has been
reduced to zero, then to the Class HI: A-2
Certificateholders until the Class HI: A-2
Principal Balance has been reduced to zero,
then to the Class HI: A-3 Certificateholders
until the Class HI: A-3 Principal Balance
has been reduced to zero, then to the Class
HI: A-4 Certificateholders until the Class
HI: A-4 Principal Balance has been reduced
to zero, and then to the Class HI: A-5
Certificateholders until the Class HI: A-5
Principal Balance has been reduced to zero.
The "Sub-Pool HI Senior Percentage" will
equal 100% if any of the following exist:
i) the Payment Date is prior to July 2002
(month 37); or
ii) each Class HI: B Principal Distribution
Test (see below) is not satisfied.
Otherwise, the Sub-Pool HI Senior Percentage
will equal a fraction, the numerator of
which is the sum of the Class HI: A
Principal Balance and the Class HI: M
Principal Balance for a given Payment Date,
and the denominator of which is the
Scheduled Principal Balance of Sub-Pool HI
for the immediately preceding Payment Date.
Class HI: M-1 Principal Class HI: M-1 Certificateholders will not
receive principal payments until the Class
HI: A Principal Balance has been reduced to
zero. At that time the Class HI: M-1
Certificateholders will be entitled to
receive the Sub-Pool HI Senior Percentage of
the Sub-Pool HI Formula Principal
Distribution Amount, until the Class HI: M-1
Principal Balance has been reduced to zero.
Class HI: M-2 Principal Class HI: M-2 Certificateholders will not
receive principal payment until Class HI: A
and Class HI: M-1 Principal Balances have
been reduced to zero. At that time the Class
HI: M-2 Certificateholders will be entitled
to receive the Sub-Pool HI Senior Percentage
of the Sub-Pool HI Formula Principal
Distribution Amount, until the Class HI: M-2
Principal Balance has been reduced to zero.
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Class HI: B-1 Principal The Class HI: B-1 Certificateholders will
not receive principal payments until either
(i) (a) the Payment Date in or after July
2002 and (b) each Class HI: B Principal
Distribution Test is satisfied or (ii) the
Class HI: A Principal Balance and the Class
HI: M Principal Balance have each been
reduced to zero. At that time, to the extent
of the amount available after payment of all
interest distributable to Class HI: A, Class
HI: M- 1, Class HI: M-2 and Class HI: B-1
Certificateholders, and all principal
distributable to the Class HI: A, Class HI:
M-1, and Class HI: M-2 Certificateholders,
the Class HI: B-1 Certificateholders will be
entitled to receive the Class HI: B
Percentage of the Sub-Pool HI Formula
Principal Distribution Amount until the
Class HI: B-1 Principal Balance has been
reduced to zero.
The Class HI: B Percentage will be equal to
100% minus the Sub-Pool HI Senior
Percentage. The Class HI: B Percentage after
the Class HI: A and Class HI: M Principal
Balances have been reduced to zero will be
equal to 100%.
Class HI: B Principal Distribution
Tests (i) the average of the Sub-Pool HI Sixty-Day
Delinquency Ratio as of the given Payment
Date and the prior two Payment Dates must
not exceed 2.5%;
(ii) the average of the Sub-Pool HI
Thirty-Day Delinquency Ratio as of the given
Payment Date and the prior two Payment Dates
must not exceed 5.0%;
(iii)the Sub-Pool HI Cumulative Realized
Losses as of the given Payment Date must not
exceed 10.0%;
(iv) the Sub-Pool HI Current Realized Loss
Ratio as of the given Payment Date must not
exceed 2.5%; and
(v) the Class HI: B Principal Balance
divided by the Pool Scheduled Principal
Balance of Sub-Pool HI as of the immediately
preceding Payment Date must be equal to or
greater than 18.5%.
Liquidation Loss Interest Liquidation Loss Interest will be
distributable first to the Class HI: M-1
Certificates, then to the Class HI: M-2
Certificates and then to the Class HI: B-1
Certificates. Interest on the outstanding
Class HI: M-1 Liquidation Loss Amount, Class
HI: M-2 Liquidation Loss Amount and Class
HI: B-1 Liquidation Loss Amount, as
applicable, will accrue from the Settlement
Date, or from the most recent Payment Date
on which interest has been paid to but
excluding the following Payment Date.
Class HI: B-2 Interest After payment of principal and interest due
to the Class HI: A, Class HI: M-1, Class HI:
M-2 and Class HI: B-1 Certificateholders,
interest will be paid to the Class HI: B-2
Certificateholders. The Class HI: B-2
Limited Guaranty will be available to pay
interest to the Class HI: B-2
Certificateholders if the Class HI: B-2
Remaining Amount Available is not
sufficient. Interest will initially accrue
from the Settlement Date and thereafter will
accrue from the most recent Payment Date on
which interest has been paid to, in each
case, but excluding the following Payment
Date. Interest will be computed on a 30/360
basis. Interest shortfalls will be carried
forward, and will bear interest at the Class
HI: B-2 Pass-Through Rate, to the extent
legally permissible.
Class HI: B-2 Principal Except as described below, the Class HI: B-2
Certificateholders will not receive
principal payments until the Class HI: B-1
Principal Balance has been reduced to zero.
At that time, if each Class HI: B Principal
Distribution Test is satisfied (unless the
Class HI: A and Class HI: M Principal
Balances have been reduced to zero), to the
extent of the amount available after payment
of the Class HI: A, the Class HI: M and the
Class HI: B-1 Distribution Amounts and any
amounts actually paid under the Class HI:
B-2
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Limited Guaranty, the Class HI: B-2
Certificateholders will receive the Class
HI: B Percentage of the Sub-Pool HI Formula
Principal Distribution Amount until the
Class HI: B-2 Principal Balance has been
reduced to zero.
On each Payment Date, the Class HI: B-2
Certificateholders will also be entitled to
receive, pursuant to the Class HI: B-2
Limited Guaranty, the Class HI: B-2
Liquidation Loss Principal Amount until the
Class HI: B-2 Principal Balance has been
reduced to zero.
Class HI: B-2 Limited Guaranty The Class HI: B-2 Limited Guaranty will be
available to pay the Class HI: B-2
Liquidation Loss Principal Amount and the
Class HI: B-2 Distribution Amount. The Class
HI: B-2 Limited Guaranty will be an
unsecured general obligation of the Company.
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HOME EQUITY CERTIFICATE STRUCTURE
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Credit Enhancement Class HE: A: 19.55% subordination (Class HE:
M-1, HE: M-2, HE: B-1 and HE:
B-2), and Residual (Class C)
Class HE: M-1: 14.10% subordination (Class
HE: M-2, HE: B-1 and HE:
B-2), and Residual (Class C)
Class HE: M-2: 8.70% subordination (Class
HE: B-1 and HE: B-2), and
Residual (Class C)
Class HE: B-1: 5.10% subordination (Class
HE: B-2), and Residual (Class
C)
Class HE: B-2: Limited Guaranty and Residual
(Class C)
Distribution Sub-Pool HE includes adjustable-rate
closed-end home equity loans subject to
interest rate adjustments after an initial
period of up to 36 months (the "Adjustable
Rate Home Equity Contracts"; all Home Equity
Contracts other than the Adjustable Rate
Home Equity Contracts are referred to herein
as the "Fixed Rate Home Equity Contracts").
The Sub-Pool HE Amount Available will
generally consist of payments made on or in
respect of the Home Equity Contracts
comprising Sub-Pool HE, and will include
amounts otherwise payable to the Servicer
(as long as Green Tree is the Servicer) as
the Monthly Servicing Fee with respect to
the Home Equity Contracts, and to the Class
C Certificateholder.
The Sub Pool HE Amount Available will
generally be applied first to the
distributions to the Class HE: A
Certificateholders, then to the Class HE:
M-1 Certificateholders, then to the Class
HE: M-2 Certificateholders, then to the
Class HE: B-1 Certificateholders, and then
to the Class HE: B-2 Certificateholders.
Class HE: A Certificates are senior to the
Class HE: M and Class HE: B Certificates.
Class HE: M Certificates are senior to the
Class HE: B Certificates.
Pre-Funding Feature On the Closing Date, a portion of the
proceeds from the sale of the Sub-Pool HE
Certificates (the "Sub-Pool HE Pre-Funded
Amount") will be deposited with the Trustee
in a segregated account (the "Sub-Pool HE
Pre-Funding Account") and used by the Trust
to purchase Subsequent Home Equity Contracts
during the Pre-Funding Period. The Sub-Pool
HE 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 Sub-Pool HE
Pre-Funding Account following the
Pre-Funding Period will be (i) paid to the
Class HE: A-1 Certificateholders in the case
of amounts which had been allocated to fund
the purchase of Subsequent Home Equity
Contracts which are Fixed Rate Home Equity
Contracts, and (ii) paid to the Class HE:
A-1A Certificateholders in the case of
amounts which had been allocated to fund the
purchase of Subsequent Home Equity Contracts
which are Adjustable Rate Home Equity
Contracts.
Losses on Liquidated Home Equity
Contracts If Net Liquidation Proceeds from Liquidated
Contracts in the respective collection
period are less than the Scheduled Principal
Balance of such Liquidated Contracts plus
accrued and unpaid interest thereon, the
deficiency (a "Liquidation Loss Amount")
will be absorbed by the Class C
Certificateholder, then the Guaranty Fee
otherwise payable to the Company, then the
Monthly Servicing Fee otherwise payable to
the Servicer (as long as Green Tree is the
Servicer), then the Class HE: B-2
Certificateholders, then the Class HE: B-1
Certificateholders, then the Class HE: M-2
Certificateholders and then the Class HE:
M-1 Certificateholders.
8
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Interest on the Class HE: A, M-1,
M-2 and B-1 Interest will be distributable first to each
Class of Class HE: A Certificates
concurrently, then to the Class HE: M-1
Certificates, then to the Class HE: M-2
Certificates and then to the Class HE: B-1
Certificates.
Interest will be paid concurrently on each
Class of Class HE: A Certificates at the
related Pass-Through Rate on the then
outstanding related Class Principal Balance
(in the case of Class HE: A Certificates
other than the Class HE: A-6 IO
Certificates) or based on the Notional
Principal Amount (in the case of the Class
HE: A-6 IO Certificates). Interest will be
calculated on the Class HE: A-6 IO
Certificates on the basis of a "Notional
Principal Amount" equal to the lesser of (a)
the principal balance of the Class HE: A
Certificates and (b) $60,000,000 (reference
to the Notional Principal Amount is solely
for convenience in certain calculations and
does not represent the right to receive any
distribution allocable to principal). The
Class HE: A-6 IO Certificates are entitled
to receive interest payments only through
the Payment Date in February 2001. Interest
will initially accrue from the Settlement
Date and thereafter will accrue from the
most recent Payment Date on which interest
has been paid, in each case, to but
excluding the following Payment Date.
The Class HE: A-1A Certificates will bear
interest at a variable Pass-Through Rate
calculated on an actual/360 basis. The
Pass-Through Rate for the Class HE: A-1A
Certificates will be floating and will equal
the lesser of:
i. One Month LIBOR plus the Pass-Through
Margin;
ii. The Available Funds Pass-Through Rate;
or
iii. 14.0%
The Pass-Through Margin will equal [ ] per
annum through the Payment Date on which the
principal balance of the Home Equity and
Home Improvement Contracts is 10% or more of
the aggregate principal balance of the Home
Equity Contracts and Home Improvement
Contracts as of the Cut-off Date, and [2 x
the Pass-Through Margin] per annum on each
Payment Date on which the principal balance
of the Home Equity and Home Improvement
Contracts is less than 10% of the Principal
Balance of the Home Equity and Home
Improvement Contracts as of the Cut-off
Date. The Available Funds Pass-Through Rate
for any Payment Date will be a rate per
annum equal to the weighted average of the
Expense Adjusted Mortgage Rates on the then
outstanding Adjustable Rate Contracts. The
"Expense Adjusted Mortgage Rate" on any
Adjustable Rate Contract is equal to the
then applicable loan interest rate thereon,
minus 0.50% per annum (which is the sum of
the servicing fee and the trustee fee).
Each other Class of the Class HE: A
Certificates will bear interest at a fixed
Pass-Through Rate calculated on a 30/360
basis.
Interest will accrue on the outstanding
Class HE: A Principal Balance, Class HE: M-1
Adjusted Principal Balance, Class HE: M-2
Adjusted Principal Balance and Class HE: B-1
Adjusted Principal Balance, as applicable,
from the Settlement Date, or from the most
recent Payment Date on which interest has
been paid to but excluding the following
Payment Date. Interest on the Class HE: A-1A
Certificate will accrue on an actual/360
basis. Interest on all other Class HE
Certificates will accrue on a 30/360 basis.
Interest shortfalls will be carried forward,
and will bear interest at the applicable
Pass-Through Rate, to the extent legally
permissible.
The Class HE: M-1 Adjusted Principal Balance
is the Class HE: M-1 Principal Balance less
any Liquidation Loss Amount allocated to the
Class HE: M-1 Certificates. The Class HE:
M-1 Principal Balance is the Original Class
HE: M-1 Principal Balance less
9
<PAGE>
all amounts previously distributed on
account of principal of the Class HE: M-1
Certificates.
The Class HE: M-2 Adjusted Principal Balance
is the Class HE: M-2 Principal Balance less
any Liquidation Loss Amount allocated to the
Class HE: M-2 Certificates. The Class HE:
M-2 Principal Balance is the Original Class
HE: M-2 Principal Balance less all amounts
previously distributed on account of
principal of the Class HE: M-2 Certificates.
The Class HE: B-1 Adjusted Principal Balance
is the Class HE: B-1 Principal Balance less
any Liquidation Loss Amount allocated to the
Class HE: B-1 Certificates. The Class HE:
B-1 Principal Balance is the Original Class
HE: B-1 Principal Balance less all amounts
previously distributed on account of
principal of the Class HE: B-1 Certificates.
Principal on the Class HE: A, M-1,
M-2, B-1 After the payment of all interest
distributable to Class HE: A, Class HE: M-1,
Class HE: M-2 and Class HE: B-1
Certificateholders, principal will be
distributed in the following manner, to the
extent of the available amount.
Class HE: A Principal After payment of all interest distributable
to the Class HE: A, Class HE: M-1, Class HE:
M-2, and Class HE: B-1 Certificateholders,
holders of the Class HE: A-1A Certificates
will be entitled to receive, as payments of
principal, the Class HE: A-1A Principal
Distribution Amount. The Sub-Pool HE Senior
Percentage of the Sub-Pool HE Formula
Principal Distribution Amount will be
distributed, to the extent of the Amount
Available as follows: (I) that portion, if
any, of the Sub-Pool HE Senior Percentage of
the Sub-Pool HE Formula Principal
Distribution Amount equal to the Class HE:
A-5 Lockout Pro-rata Distribution Amount
will be distributed to the Class HE: A-5
Certificateholders; and (ii) the remainder
of the Senior Percentage of the Sub-Pool HE
Formula Principal Distribution Amount will
be distributed in the following order: first
to the Class HE: A-1 Certificateholders,
until the Class HE: A-1 Principal Balance
has been reduced to zero, then to the Class
HE: A-2 Certificateholders until the Class
HE: A-2 Principal Balance has been reduced
to zero, then to the Class HE: A-3
Certificateholders until the Class HE: A-3
Principal Balance has been reduced to zero,
then to the Class HE: A-4 Certificateholders
until the Class HE: A-4 Principal Balance
has been reduced to zero, then to the Class
HE: A-5 Certificateholders until the Class
HE: A-5 Principal Balance has been reduced
to zero.
The "Sub-Pool HE Formula Principal
Distribution Amount" for a Payment Date will
generally be equal to (A) the sum of (i) all
scheduled payments of principal due on each
outstanding Home Equity Contract during the
related Due Period, (ii) the Scheduled
Balance of each Home Equity Contract which,
during the related Due Period, was
repurchased by the Company, (iii) all
partial principal prepayments applied and
all principal prepayments in full received
during such Due Period in respect of Home
Equity Contracts, (iv) the scheduled
principal balance of each Home Equity
Contract that became a liquidated contract
during such related Due Period and (v) any
amount described in clauses (i) through (iv)
above that was not previously distributed
because of an insufficient amount of funds
available if (a) the Payment Date occurs on
or after the Payment Date on which the Class
HE: B-2 Principal Balance has been reduced
to zero, or (b) such amount was not covered
by a Class HE: B-2 Guaranty Payment and
corresponding reduction in the Class HE: B-2
Principal Balance, minus (B) the Class HE:
A-1A Principal Distribution Amount.
The "Class HE: A-1A Principal Distribution
Amount" on or before the Payment Date on
which the Class HE: A-1A Certificates have
been paid in full will generally be equal to
the lesser of (A) the Class HE: A-1A
Principal Balance or (B) the sum of the
following: (i) all scheduled payments of
principal due on each outstanding Adjustable
Rate Contract during the related Due Period;
(ii) all partial principal prepayments and
principal prepayments in full received on
each Adjustable Rate Contract during the
10
<PAGE>
related Due Period; (iii) the scheduled
principal balance of each Adjustable Rate
Contract that became a liquidated contract
during the related Due Period; (iv) the
scheduled principal balance of each
Adjustable Rate Contract repurchased by the
Company during the related Due Period; and
(v) on any Payment Date which is on or after
the Payment Date on which the Class HE: A-1,
A-2, A-3, A-4 and A-5 Certificates have been
paid in full, (a) the Sub-Pool HE Senior
Percentage times (x) the sum of the amounts
described in clauses (i) through (v) of the
definition of the Sub-Pool HE Formula
Principal Distribution Amount less (y) the
sum of the amounts described in clauses (i)
through (iv) of the definition of the Class
HE: A-1A Principal Distribution Amount less
(b) the amount, if any, distributed in
payment of principal on the Class HE: A-1,
A-2, A-3, A-4 and A-5 Certificates on such
Payment Date.
The "Class HE: A-5 Lockout Pro Rata
Distribution Amount," as to any Payment
Date, is an amount equal to the lesser of:
(a) the product of (1) the Class HE: A-5
Lockout Percentage, and (2) the product of
(A)a fraction, the numerator of which is the
Class HE: A-5 Principal Balance immediately
preceding such Payment Date and the
denominator of which is the Class HE: A
Principal Balance less the Class HE: A-1A
Principal Balance immediately preceding such
Payment Date, and (B) the Sub-Pool HE Senior
Percentage of the Sub-Pool HE Formula
Principal Distribution Amount for such
Payment Date, and
(b) the Class HE: A-5 Principal Balance
immediately preceding such Payment Date.
The "Class HE: A-5 Lockout Percentage" for
each Payment Date shall be as follows:
Payment Dates Lockout Percentage
------------- ------------------
July 1999 - June 2001 0%
July 2001 - June 2003 20%
July 2003 - June 2004 80%
July 2004 - June 2005 100%
July 2005 and thereafter 300%
The Sub-Pool HE Senior Percentage will equal
100% if any of the following exist:
i) the Payment Date is prior to July 2002
(month 37); or
ii) each Class HE: B Principal Distribution
Test (see below) is not satisfied.
On each Payment Date on which the Class HE:
B Principal Distribution Test has been
satisfied, the Senior Percentage will equal
a fraction, expressed as a percentage, the
numerator of which is the sum of the Class
HE: A Principal Balance (excluding the Class
HE: A-1A Principal Balance) and the Class
HE: M Principal Balance for such Payment
Date, and the denominator of which is the
Pool Scheduled Principal Balance of Home
Equity Contracts other than the Adjustable
Rate Contracts for the immediately preceding
Payment Date.
The Class HE: A-6 IO Certificates are
interest-only Certificates and are not
entitled to receive distributions of
principal.
Class HE:M-1 Principal Class HE: M-1 Certificateholders will not
receive principal until the Class HE: A
Principal Balance has been reduced to zero.
At that time the Class HE: M-1
Certificateholders will be entitled to
receive the Sub-Pool HE Senior Percentage of
the Sub-Pool HE Formula Principal
Distribution Amount, until the Class HE: M-1
Principal Balance has been reduced to zero.
11
<PAGE>
Class HE:M-2 Principal Class HE: M-2 Certificateholders will not
receive principal until the Class HE: A and
Class HE: M-1 Principal Balances have been
reduced to zero. At that time Class HE: M-2
will be entitled to receive the Sub-Pool HE
Senior Percentage of the Sub-Pool HE Formula
Principal Distribution Amount, until the
Class HE: M-2 Principal Balance has been
reduced to zero.
Class HE: B-1 Principal The Class HE: B-1 Certificateholders will
not receive principal payments until either
(i) (a) the Payment Date in or after July
2002 and (b) each Class HE: B Principal
Distribution Test is satisfied or (ii) the
Class HE:A Principal Balance and the Class
HE: M Principal Balance have each been
reduced to zero. At that time, to the extent
of the amount available after payment of all
interest distributable to the Class HE: A,
Class HE: M-1, Class HE: M-2 and Class HE:
B-1 Certificateholders and all principal
distributable to the Class HE: A, Class HE:
M-1 and Class HE: M-2 Certificateholders,
the Class HE: B-1 Certificateholders will be
entitled to receive the Class HE: B
Percentage of the Sub-Pool HE Formula
Principal Distribution Amount until the
Class HE: B-1 Principal Balance has been
reduced to zero.
The Class HE: B Percentage will be equal to
100% minus the Sub-Pool HE Senior
Percentage. The Class HE: B Percentage after
the Class HE: A and Class HE: M Principal
Balances have been reduced to zero will be
equal to 100%.
Class HE: B Principal Distribution
Tests (i) the Sub-Pool HE Average Sixty-Day
Delinquency Ratio with respect to Sub-Pool
HE as of such Payment Date, must not exceed
20% of the Sub-Pool HE Senior Subordination
Percentage;
(ii) the Sub-Pool HE Average Thirty-Day
Delinquency Ratio with respect to Sub-Pool
HE as of the given Payment Date and the
prior two Payment Dates must not exceed 12%;
(iii) the Sub-Pool HE Cumulative Realized
Losses with respect to Sub-Pool HE as of the
given Payment Date must not exceed 7.5%;
(iv) the Sub-Pool HE Current Realized Loss
Ratio with respect to Sub-Pool HE as of the
given Payment Date must not exceed 2.0%; and
(v) the Class HE: B Principal Balance
divided by the Pool Scheduled Principal
Balance of Sub-Pool HE as of the immediately
preceding Payment Date must be equal to or
greater than 17.4%.
The "Sub-Pool HE Senior Subordination
Percentage" for any Payment Date will equal
(a) on any Payment Date on which the Class
HE: A Principal Balance has not been reduced
to zero, a fraction, expressed as a
percentage, the numerator of which is the
sum of (i) the Class HE: M-1 Adjusted
Principal Balance, if any, (ii) the Class
HE: M-2 Adjusted Principal Balance, if any,
(iii) the Class HE: B-1 Adjusted Principal
Balance, if any, and (iv) the Class HE: B-2
Principal Balance, if any, and the
denominator of which is the Pool Scheduled
Principal Balance of the Home Equity
Contracts, (b) on any Payment Date on which
the Class HE: A Principal Balance has been
reduced to zero and the Class HE: M-1
Principal Balance has not been reduced to
zero, a fraction, expressed as a percentage,
the numerator of which is the sum of (i) the
Class HE: M-2 Adjusted Principal Balance, if
any, (ii) the Class HE: B-1 Adjusted
Principal Balance, if any, and (iii) the
Class HE: B-2 Principal Balance, if any, and
the denominator of which is the Pool
Scheduled Principal Balance of the Home
Equity Contracts, (c) on any Payment Date on
which the Class HE: M-1 Principal Balance
has been reduced to zero and the Class HE:
M-2 Principal Balance has not been reduced
to zero, a fraction, expressed as a
percentage, the numerator of which is the
sum of (i) the Class HE: B-1 Adjusted
Principal Balance, if any, and (ii) the
Class HE: B-2 Principal Balance, if any, and
the denominator of which is the Pool
Scheduled Principal Balance of the Home
12
<PAGE>
Equity Contracts, or (d) on any Payment Date
on which the Class HE: M-2 Principal Balance
has been reduced to zero and the Class HE:
B-1 Principal Balance has not been reduced
to zero, a fraction, expressed as a
percentage, the numerator of which is the
Class HE: B-2 Principal Balance, if any, and
the denominator of which is the Pool
Scheduled Principal Balance of the Home
Equity Contracts.
Liquidation Loss Interest Liquidation Loss Interest will be
distributable first to the Class HE: M-1
Certificates, then to the Class HE: M-2
Certificates and then to the Class HE: B-1
Certificates. Interest on the outstanding
Class HE: M-1 Liquidation Loss Amount, Class
HE: M-2 Liquidation Loss Amount and Class
HE: B-1 Liquidation Loss Amount, as
applicable, will accrue from the Settlement
Date, or from the most recent Payment Date
on which interest has been paid to but
excluding the following Payment Date.
Class HE: B-2 Interest After payment of Class HE: A, Class HE: M-1,
Class HE: M-2 and Class HE: B-1 Distribution
Amounts, interest will be paid to the Class
HE: B-2. The Class HE: B-2 Limited Guaranty
will be available to pay interest to the
Class HE: B-2 Certificateholders if the
Class HE: B-2 Remaining Amount Available is
not sufficient. Interest will initially
accrue from the Settlement Date and
thereafter will accrue from the most recent
Payment Date on which interest has been paid
to, in each case, but excluding the
following Payment Date. Interest will be
computed on a 30/360 basis. Interest
shortfalls will be carried forward, and will
bear interest at the Class HE: B-2
Pass-Through Rate, to the extent legally
permissible.
Class HE: B-2 Principal Except as described below, the Class HE: B-2
Certificateholders will not receive
principal payments until the Class HE: B-1
Principal Balance has been reduced to zero.
At that time, if each Class HE: B Principal
Distribution Test is satisfied (unless the
Class HE: A and Class HE: M Principal
Balances have been reduced to zero), to the
extent of the amount available after payment
of the Class HE: A, the Class HE: M and the
Class HE: B-1 Distribution Amounts and any
amounts actually paid under the Class HE:
B-2 Limited Guaranty, the Class HE: B-2
Certificateholders will receive the Class
HE: B Percentage of the Sub-Pool HE Formula
Principal Distribution Amount until Class
HE:B-2 Principal Balance has been reduced to
zero.
On each Payment Date, the Class HE: B-2
Certificateholders will also be entitled to
receive, pursuant to the Class HE: B-2
Limited Guaranty, the Class HE: B-2
Liquidation Loss Principal Amount until the
Class HE: B-2 Principal Balance has been
reduced to zero.
Class HE:B-2 Limited Guaranty The Class HE: B-2 Limited Guaranty will be
available to pay the Class HE: B-2
Liquidation Loss Principal Amount and the
Class HE:B-2 Distribution Amount. The Class
HE: B-2 Limited Guaranty will be an
unsecured general obligation of the Company.
Class HE: A-1A Available Funds Cap
Carryover Amount If on any Distribution Date, the Class HE:
A-1A Pass-Through Rate is based on the
Available Funds Pass-Through Rate, holders
of such Certificates will be entitled to
receive the Available Funds Cap Carryover
Amount to the extent funds are available.
The "Available Funds Cap Carryover Amount"
is the excess of (i) the amount of interest
the Class A-1A Certificateholders would be
entitled to receive on such Payment Date had
interest been calculated based on one-month
LIBOR plus the Class HE: A-1A Pass-Through
Margin (but in no event exceeding 14.00%)
over (ii) the amount of interest such Class
will receive on such Payment Date at the
Available Funds Pass-Through Rate, together
with the unpaid portion of any such excess
from prior Payment Dates (and interest
accrued thereon at the then applicable Class
HE: A-1A Pass-Through Rate, without giving
effect to the Available Funds Pass-Through
Rate, but in no event exceeding 14.00%). The
ratings assigned to the Class HE: A-1A
Certificates do not address the likelihood
of the payment of Available Funds Cap
Carryover Amount.
13
<PAGE>
HOME IMPROVEMENT CONTRACTS
The Home Improvement Contracts comprising Sub-Pool HI consist of
conventional and FHA-insured home improvement contracts and promissory notes.
The obligations of the Obligor under each Home Improvement Contract are secured
by the related real estate.
The information concerning the Initial Home Improvement Contracts
presented below is based on a pool originated through May 11, 1999. Green Tree
intends to acquire and sell Additional Home Improvement Contracts to the Trust
by the Closing Date and Subsequent Home Improvement Contracts to the Trust
thereafter. Although the characteristics of the final pool of Home Improvement
Contracts will differ from the characteristics of the Initial Home Improvement
Contracts shown below, Green Tree does not expect that the characteristics of
the Additional and Subsequent Home Improvement Contracts sold to the Trust will
vary materially from those of the Initial Home Improvement Contracts herein.
THE INITIAL HOME IMPROVEMENT CONTRACT SUB-POOL
Number of Contracts in Sub-pool: 14,545
Wgt. Avg. Contract Rate: 13.065%
Range of Rates: 6.00% - 18.99%
Wgt. Avg. Orig. Maturity: 213
Wgt. Avg. Rem. Maturity: 202
Avg. Rem. Princ. Balance: $ 16,734
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL HOME IMPROVEMENT CONTRACTS
Aggregate Principal % of HI Contract Sub-
Number of Balance Pool by Outstanding
State Contracts Outstanding Principal Balance
----- --------- ------------------- -----------------
CA 1,984 $ 46,755,765.03 19.21%
NY 785 16,378,725.68 6.73%
TX 1,131 13,996,404.75 5.75%
NJ 676 13,509,373.55 5.55%
PA 768 13,239,342.97 5.44%
Other States* 9,201 139,515,771.04 57.32%
------ ---------------- -------
Total(1) 14,545 $ 243,395,383.02 100.00%
* No one State in this category constitutes more than 5% of the Sub-Pool HI
Outstanding Principal Balance.
(1) Percentages may not add to 100% due to rounding.
YEARS OF ORIGINATION OF INITIAL HOME IMPROVEMENT CONTRACTS
% of HI Contract Sub-
Number of Aggregate Principal Pool by Outstanding
Year of Origination Contracts Balance Outstanding Principal Balance
- ------------------- --------- ------------------- -----------------
1979 1 $ 4,871.03 *
1989 1 12,010.07 *
1990 4 52,016.58 0.02%
1991 4 27,435.08 0.01%
1992 70 387,053.73 0.16%
1993 220 1,892,477.79 0.78%
1994 685 7,488,451.00 3.08%
1995 756 9,894,063.96 4.07%
1996 2,611 33,345,770.09 13.70%
1997 55 1,659,697.52 0.68%
1998 2,702 51,599,932.89 21.20%
1999 7,436 137,031,603.28 56.30%
------ ---------------- -------
Total(1) 14,545 $ 243,395,383.02 100.00%
(1) Percentages may not add to 100% due to rounding.
* Indicates an amount greater than 0.000% but less than 0.005%
14
<PAGE>
DISTRIBUTION OF ORIGINAL INITIAL HOME IMPROVEMENT CONTRACT AMOUNTS
<TABLE>
<CAPTION>
% of HI Contract
Original HI Contract Number of Aggregate Principal Sub-Pool by Outstanding
Amount (in Dollars) Contracts Balance Outstanding Principal Balance
------------------- --------- ------------------- -----------------------
<S> <C> <C> <C>
Less than 10,000.00 4,093 $ 25,029,184.04 10.28%
10,000.00 - 14,999.99 3,098 35,344,130.66 14.52%
15,000.00 - 19,999.99 2,357 38,512,163.54 15.82%
20,000.00 - 24,999.99 1,558 33,553,733.77 13.79%
25,000.00 - 29,999.99 1,720 43,822,221.39 18.00%
30,000.00 - 34,999.99 711 22,279,740.25 9.15%
35,000.00 - 39,999.99 402 14,678,620.26 6.03%
40,000.00 - 44,999.99 280 11,735,464.59 4.82%
45,000.00 - 49,999.99 99 4,671,860.77 1.92%
50,000.00 - 54,999.99 147 7,575,973.60 3.11%
55,000.00 - 59,999.99 15 860,580.93 0.35%
60,000.00 - 64,999.99 24 1,436,606.06 0.59%
65,000.00 - 69,999.99 7 472,750.89 0.19%
70,000.00 - 74,999.99 5 358,581.34 0.15%
75,000.00 - 79,999.99 8 615,583.73 0.25%
80,000.00 - 84,999.99 3 246,607.43 0.10%
85,000.00 - 89,999.99 2 159,934.49 0.07%
90,000.00 - 94,999.99 2 184,297.78 0.08%
100,000.00 - 104,999.99 2 205,314.87 0.08%
105,000.00 - 109,999.99 1 109,153.83 0.04%
110,000.00 - 114,999.99 1 112,654.54 0.05%
120,000.00 - 124,999.99 2 244,014.09 0.10%
125,000.00 - 129,999.99 2 250,971.29 0.10%
130,000.00 - 134,999.99 1 134,805.50 0.06%
135,000.00 - 139,999.99 1 138,461.14 0.06%
145,000.00 - 149,999.99 1 149,287.77 0.06%
150,000.00 - 154,999.99 1 151,663.38 0.06%
175,000.00 - 179,999.99 1 177,955.95 0.07%
180,000.00 - 184,999.99 1 183,065.14 0.08%
------ ---------------- -------
Total(1) 14,545 $ 243,395,383.02 100.00%
</TABLE>
(1) Percentages may not add to 100% due to rounding.
15
<PAGE>
INITIAL HOME IMPROVEMENT CONTRACT RATES
<TABLE>
<CAPTION>
% of HI Contract
Range of HI Contracts by Number of Aggregate Principal Sub-Pool by Outstanding
Contract Rates Contracts Balance Outstanding Principal Balance
-------------- --------- ------------------- -----------------
<S> <C> <C> <C>
5.001 - 6.000 1 $ 7,367.07 *
7.001 - 8.000 10 262,072.54 0.11%
8.001 - 9.000 165 4,738,037.38 1.95%
9.001 - 10.000 938 19,569,771.23 8.04%
10.001 - 11.000 1,393 30,033,641.09 12.34%
11.001 - 12.000 1,843 32,127,630.41 13.20%
12.001 - 13.000 2,516 39,302,430.64 16.15%
13.001 - 14.000 3,346 46,263,175.89 19.01%
14.001 - 15.000 2,518 33,827,453.28 13.90%
15.001 - 16.000 1,138 21,240,535.88 8.73%
16.001 - 17.000 513 12,043,599.93 4.95%
17.001 - 18.000 130 3,158,089.64 1.30%
18.001 - 19.000 34 821,578.04 0.34%
------ ---------------- -------
Total(1) 14,545 $ 243,395,383.02 100.00%
</TABLE>
(1) Percentages may not add to 100% due to rounding.
* Indicates an amount greater than 0.000% but less than 0.005%
REMAINING MONTHS TO MATURITY OF INITIAL
HOME IMPROVEMENT CONTRACTS
<TABLE>
<CAPTION>
% of HI Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
---------------- --------- ------------------- -----------------
<S> <C> <C> <C>
1 - 30 337 $ 1,044,357.69 0.43%
31 - 60 1,213 7,562,176.21 3.11%
61 - 90 1,279 10,442,015.44 4.29%
91 - 120 2,716 33,146,687.77 13.62%
121 - 150 1,287 16,424,660.51 6.75%
151 - 180 2,628 48,963,418.65 20.12%
181 - 210 1,209 24,087,680.64 9.90%
211 - 240 1,399 31,901,162.11 13.11%
241 - 270 5 78,646.61 0.03%
271 - 300 2,472 69,744,577.39 28.65%
------ ---------------- -------
Total(1) 14,545 $ 243,395,383.02 100.00%
</TABLE>
(1) Percentages may not add to 100% due to rounding.
16
<PAGE>
HOME EQUITY CONTRACTS
The Home Equity Contracts comprising Sub-Pool HE consist of both fixed
rate and adjustable rate closed-end home equity contracts. The adjustable rate
closed-end home equity contracts are subject to interest rate adjustments after
an initial six month, twenty-four month, or thirty-six month period (the
"Adjustable Rate Home Equity Contracts"). All Home Equity Contracts which are
not Adjustable Rate Contracts are referred to herein as "Fixed Rate Home Equity
Contracts." The obligations of the Obligor under each Home Equity Contract are
secured by the related real estate.
The information concerning the Initial Home Equity Contracts presented
below is based on a pool originated through April 30, 1999. Green Tree intends
to acquire and sell Additional Home Equity Contracts to the Trust by the Closing
Date and Subsequent Contracts to the Trust thereafter. Although the
characteristics of the final pool of Home Equity Contracts will differ from the
characteristics of the Initial Home Equity Contracts shown below, Green Tree
does not expect that the characteristics of the Additional and Subsequent Home
Equity Contracts sold to the Trust will vary materially from those of the
Initial Home Equity Contracts herein.
THE INITIAL HOME EQUITY CONTRACT SUB-POOL
INITIAL FIXED RATE HOME EQUITY CONTRACTS
Number of Contracts in Sub-pool: 7,783
Wgt. Avg. Contract Rate: 11.086%
Range of Rates: 5.74% - 19.80%
Wgt. Avg. Orig. Maturity: 258
Wgt. Avg. Rem. Maturity: 257
Avg. Rem. Princ. Balance: $63,347
Wgt. Avg. CLTV: 89.56%
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL FIXED RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
State Contracts Balance Outstanding Principal Balance
----- --------- ------------------- -----------------------
<S> <C> <C> <C>
CA 530 $ 50,615,052.25 10.27%
MI 468 30,460,327.18 6.18%
OH 529 29,847,899.52 6.05%
Other* 6,256 382,108,680.74 77.50%
----- ---------------- -------
Total(1) 7,783 $493,031,959.69 100.00%
</TABLE>
* No one State in this category constitutes more than 5% of the Initial Fixed
Rate Home Equity Contracts Outstanding Principal Balance.
(1) Percentages may not add to 100% due to rounding.
17
<PAGE>
YEARS OF ORIGINATION OF INITIAL FIXED RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Year of Origination Contracts Balance Outstanding Principal Balance
------------------- --------- ------------------- -----------------
<S> <C> <C> <C>
1977 1 $ 26,322.78 0.01%
1978 1 19,464.91 *
1995 1 27,442.95 0.01%
1996 11 266,110.73 0.05%
1997 25 795,748.61 0.16%
1998 785 66,603,936.31 13.51%
1999 6,959 425,292,933.40 86.26%
----- ---------------- -------
Total(1) 7,783 $ 493,031,959.69 100.00%
</TABLE>
(1) Percentages may not add to 100% due to rounding.
* Indicates an amount greater than 0.000% but less than 0.005%
INITIAL FIXED RATE HOME EQUITY CONTRACT RATES
<TABLE>
<CAPTION>
% of HE Contract
Range of HE Contracts by Number of Aggregate Principal Sub-Pool by Outstanding
Contract Rates Contracts Balance Outstanding Principal Balance
-------------- --------- ------------------- -----------------------
<S> <C> <C> <C>
5.001 - 6.000 1 $ 62,332.91 0.01%
6.001 - 7.000 3 128,900.00 0.03%
7.001 - 8.000 21 2,712,356.90 0.55%
8.001 - 9.000 473 55,800,170.94 11.32%
9.001 - 10.000 916 94,592,373.77 19.19%
10.001 - 11.000 1,572 128,520,000.07 26.07%
11.001 - 12.000 1,443 91,617,003.86 18.58%
12.001 - 13.000 1,334 54,917,244.50 11.14%
13.001 - 14.000 1,328 43,115,254.95 8.74%
14.001 - 15.000 422 13,511,315.37 2.74%
15.001 - 16.000 145 4,620,673.63 0.94%
16.001 - 17.000 88 2,543,811.51 0.52%
17.001 - 18.000 28 700,545.50 0.14%
18.001 >= 9 189,975.78 0.04%
----- ---------------- -------
Total: 7,783 $ 493,031,959.69 100.00%
</TABLE>
(1) Percentages may not add to 100% due to rounding.
18
<PAGE>
DISTRIBUTION OF ORIGINAL INITIAL FIXED RATE
HOME EQUITY CONTRACT AMOUNTS
<TABLE>
<CAPTION>
% of HE Contract
Original HE Contract Number of Aggregate Principal Sub-Pool by Outstanding
Amount (in Dollars) Contracts Balance Outstanding Principal Balance
------------------- --------- ------------------- -----------------------
<S> <C> <C> <C>
1 - 10,000 117 $ 1,084,293.01 0.22%
10,001 - 20,000 1,054 16,353,151.34 3.32%
20,001 - 30,000 1,038 26,080,936.33 5.29%
30,001 - 40,000 846 29,798,681.75 6.04%
40,001 - 50,000 752 34,067,945.49 6.91%
50,001 - 60,000 735 40,503,043.56 8.22%
60,001 - 70,000 647 41,916,508.09 8.50%
70,001 - 80,000 540 40,508,265.80 8.22%
80,001 - 90,000 409 34,657,058.79 7.03%
90,001 - 100,000 328 31,161,157.68 6.32%
100,001 - 110,000 231 24,352,187.19 4.94%
110,001 - 120,000 220 25,387,923.32 5.15%
120,001 - 130,000 153 19,153,519.46 3.88%
130,001 - 140,000 130 17,601,515.16 3.57%
140,001 - 150,000 118 17,156,427.86 3.48%
150,001 - 160,000 94 14,559,537.36 2.95%
160,001 - 170,000 66 10,915,999.11 2.21%
170,001 - 180,000 60 10,542,544.18 2.14%
180,001 - 190,000 38 7,069,540.21 1.43%
190,001 - 200,000 40 7,872,989.17 1.60%
200,001 - 210,000 22 4,521,522.71 0.92%
210,001 - 220,000 25 5,379,268.13 1.09%
220,001 - 230,000 14 3,171,338.86 0.64%
230,001 - 240,000 24 5,665,419.56 1.15%
240,001 - 250,000 10 2,468,047.08 0.50%
250,001 - 260,000 8 2,048,070.15 0.42%
260,001 - 270,000 16 4,232,738.72 0.86%
270,001 - 280,000 11 3,024,366.89 0.61%
280,001 - 290,000 8 2,271,870.88 0.46%
290,001 - 300,000 9 2,658,020.31 0.54%
300,001 - 310,000 2 610,000.00 0.12%
310,001 - 320,000 5 1,580,904.95 0.32%
320,001 - 330,000 2 650,463.46 0.13%
330,001 - 340,000 2 670,815.40 0.14%
340,001 - 350,000 4 1,392,687.73 0.28%
350,001 - 360,000 1 360,000.00 0.07%
380,001 - 390,000 1 389,500.00 0.08%
390,001 - 400,000 2 793,200.00 0.16%
400,001 - 410,000 1 400,500.00 0.08%
----- ---------------- -------
Total(1) 7,783 $ 493,031,959.69 100.00%
</TABLE>
(1) Percentages may not add to 100% due to rounding.
19
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL
FIXED RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
---------------- --------- ------------------- -----------------------
<S> <C> <C> <C>
31 - 60 91 $ 1,649,612.35 0.33%
61 - 90 54 1,312,535.84 0.27%
91 - 120 423 11,973,100.31 2.43%
121 - 150 21 745,625.57 0.15%
151 - 180 2,647 140,529,992.63 28.50%
181 - 210 16 664,555.57 0.13%
211 - 240 2,416 145,557,312.50 29.52%
241 - 270 2 81,600.00 0.02%
271 - 300 845 57,378,876.38 11.64%
301 - 330 1 150,300.00 0.03%
331 - 360 1,267 132,988,448.54 26.97%
----- -------------- ------
Total(1) 7,783 $ 493,031,959.69 100.00%
</TABLE>
(1) Percentages may not add to 100% due to rounding.
LIEN POSITION OF INITIAL FIXED RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Lien Contracts Balance Outstanding Principal Balance
---- --------- ------------------- -----------------------
<S> <C> <C> <C>
1 5,044 $ 414,699,620.88 84.11%
2 2,722 77,800,745.27 15.78%
3 17 531,593.54 0.11%
----- ---------------- -------
Total(1) 7,783 $ 493,031,959.69 100.00%
</TABLE>
(1) Percentages may not add to 100% due to rounding.
COMBINED LOAN-TO-VALUE RATIO OF INITIAL
FIXED RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Combined Loan to Value Number of Aggregate Principal Sub-Pool by Outstanding
Ration Contracts Balance Outstanding Principal Balance
------ --------- ------------------- -----------------------
<S> <C> <C> <C>
0.00001 - 10.00000 5 $82,300.00 0.02%
10.00001 - 20.00000 9 146,681.16 0.03%
20.00001 - 30.00000 38 942,947.59 0.19%
30.00001 - 40.00000 51 1,565,410.91 0.32%
40.00001 - 50.00000 90 3,194,537.71 0.65%
50.00001 - 60.00000 135 5,444,522.72 1.10%
60.00001 - 70.00000 313 15,950,965.63 3.24%
70.00001 - 80.00000 1,024 56,420,573.09 11.44%
80.00001 - 90.00000 2,268 145,983,403.83 29.61%
90.00001 - 100.00000 3,850 263,300,617.05 53.40%
----- ---------------- -------
Total(1) 7,783 $ 493,031,959.69 100.00%
</TABLE>
(1) Percentages may not add to 100% due to rounding.
20
<PAGE>
THE INITIAL HOME EQUITY CONTRACT SUB-POOL
INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
Number of Contracts in Sub-pool: 1,041
Wgt. Avg. Contract Rate: 9.747%
Range of Rates: 7.20% - 13.55%
Wgt. Avg. Orig. Maturity: 360
Wgt. Avg. Rem. Maturity: 359
Avg. Rem. Princ. Balance: $109,816
Wgt. Avg. CLTV: 85.97%
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
State Contracts Balance Outstanding Principal Balance
----- --------- ------------------- -----------------------
<S> <C> <C> <C>
OH 128 $ 11,160,144.34 9.76%
CA 58 9,234,346.64 8.08%
WA 58 8,416,688.39 7.36%
IL 64 6,822,387.42 5.97%
NC 71 6,471,894.42 5.66%
TX 59 6,233,995.81 5.45%
MD 43 5,963,224.69 5.22%
Other States* 560 60,015,333.15 52.50%
----- --------------- -------
Total(1) 1,041 $114,318,014.86 100.00%
</TABLE>
* No one State in this category constitutes more than 5% of the Initial
Adjustable Rate Home Equity Contracts Outstanding Principal Balance.
(1) Percentages may not add to 100% due to rounding.
YEARS OF ORIGINATION OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Year of Origination Contracts Balance Outstanding Principal Balance
------------------- --------- ------------------- -----------------------
<S> <C> <C> <C>
1996 1 $ 162,000.00 0.14%
1997 6 973,178.45 0.85%
1998 154 16,933,723.25 14.81%
1999 880 96,249,113.16 84.19%
----- ---------------- -------
Total(1) 1,041 $ 114,318,014.86 100.00%
</TABLE>
(1) Percentages may not add to 100% due to rounding.
21
<PAGE>
DISTRIBUTION OF ORIGINAL INITIAL ADJUSTABLE RATE
HOME EQUITY CONTRACT AMOUNTS
<TABLE>
<CAPTION>
% of HE Contract
Original HE Contract Number of Aggregate Principal Sub-Pool by Outstanding
Amount (in Dollars) Contracts Balance Outstanding Principal Balance
------------------- --------- ------------------- -----------------------
<S> <C> <C> <C>
20,001 - 30,000 9 $ 253,316.89 0.22%
30,001 - 40,000 30 1,081,280.35 0.95%
40,001 - 50,000 55 2,481,642.14 2.17%
50,001 - 60,000 79 4,367,303.77 3.82%
60,001 - 70,000 96 6,264,697.68 5.48%
70,001 - 80,000 100 7,481,907.80 6.54%
80,001 - 90,000 90 7,669,003.82 6.71%
90,001 - 100,000 82 7,827,940.89 6.85%
100,001 - 110,000 76 7,970,689.69 6.97%
110,001 - 120,000 64 7,320,573.29 6.40%
120,001 - 130,000 70 8,763,443.64 7.67%
130,001 - 140,000 56 7,556,764.39 6.61%
140,001 - 150,000 45 6,547,423.97 5.73%
150,001 - 160,000 31 4,796,774.96 4.20%
160,001 - 170,000 25 4,121,287.55 3.61%
170,001 - 180,000 22 3,868,485.65 3.38%
180,001 - 190,000 20 3,678,420.50 3.22%
190,001 - 200,000 8 1,556,177.61 1.36%
200,001 - 210,000 17 3,483,625.71 3.05%
210,001 - 220,000 12 2,580,649.67 2.26%
220,001 - 230,000 4 907,103.16 0.79%
230,001 - 240,000 11 2,584,843.89 2.26%
240,001 - 250,000 5 1,224,894.13 1.07%
250,001 - 260,000 5 1,264,486.80 1.11%
260,001 - 270,000 5 1,333,287.85 1.17%
270,001 - 280,000 4 1,093,371.95 0.96%
280,001 - 290,000 7 2,010,460.87 1.76%
290,001 - 300,000 3 894,332.50 0.78%
300,001 - 310,000 3 921,344.08 0.81%
310,001 - 320,000 3 935,940.32 0.82%
340,001 - 350,000 2 695,037.13 0.61%
360,001 - 370,000 1 369,000.00 0.32%
410,001 - 420,000 1 412,502.21 0.36%
----- ---------------- -------
Total(1) 1,041 $ 114,318,014.86 100.00%
</TABLE>
(1) Percentages may not add to 100% due to rounding.
22
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL
ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
---------------- --------- ------------------- -----------------------
<S> <C> <C> <C>
271 - 300 1 $ 51,079.41 0.04%
331 - 360 1,040 114,266,935.45 99.96%
----- ---------------- -------
Total(1) 1,041 $ 114,318,014.86 100.00%
</TABLE>
(1) Percentages may not add to 100% due to rounding.
INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACT RATES
<TABLE>
<CAPTION>
% of HE Contract
Range of HE Contracts by Number of Aggregate Principal Sub-Pool by Outstanding
Contract Rates Contracts Balance Outstanding Principal Balance
-------------- --------- ------------------- -----------------------
<S> <C> <C> <C>
7.001 - 8.000 16 $ 2,367,216.65 2.07%
8.001 - 9.000 203 26,490,065.41 23.17%
9.001 - 10.000 459 51,451,680.25 45.01%
10.001 - 11.000 259 25,003,412.16 21.87%
11.001 - 12.000 84 7,645,227.01 6.69%
12.001 - 13.000 17 1,229,223.82 1.08%
13.001 - 14.000 3 131,189.56 0.11%
----- ---------------- -------
Total(1) 1,041 $ 114,318,014.86 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding.
COMBINED LOAN-TO-VALUE RATIO OF INITIAL
ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Combined Loan-to-Value Number of Aggregate Principal Sub-Pool by Outstanding
Ratio Contracts Balance Outstanding Principal Balance
----- --------- ------------------- -----------------------
<S> <C> <C> <C>
20.01 - 30.00 1 $ 30,000.00 0.03%
30.01 - 40.00 1 49,972.63 0.04%
40.01 - 50.00 4 355,058.12 0.31%
50.01 - 60.00 14 894,056.25 0.78%
60.01 - 70.00 56 4,319,557.52 3.78%
70.01 - 80.00 266 27,705,337.19 24.24%
80.01 - 90.00 535 59,622,551.83 52.15%
90.01 - 100.00 164 21,341,481.32 18.67%
----- ---------------- -------
Total(1) 1,041 $ 114,318,014.86 100.00%
</TABLE>
(1) Percentages may not add to 100% due to rounding.
23
<PAGE>
MONTH OF NEXT RATE ADJUSTMENT OF INITIAL
ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Month of Next Rate Number of Aggregate Principal Sub-Pool by Outstanding
Adjustment Contracts Balance Outstanding Principal Balance
---------- --------- ------------------- -----------------------
<S> <C> <C> <C>
1999-05 2 $ 232,921.17 0.20%
1999-07 2 310,198.21 0.27%
1999-08 8 702,132.08 0.61%
1999-09 1 412,502.21 0.36%
1999-11 2 291,803.31 0.26%
1999-12 2 228,828.78 0.20%
2000-01 1 97,970.43 0.09%
2000-02 2 336,720.79 0.29%
2000-03 2 121,565.82 0.11%
2000-05 1 234,277.63 0.20%
2000-07 4 583,225.49 0.51%
2000-08 3 167,090.90 0.15%
2000-09 17 1,993,044.63 1.74%
2000-10 23 2,239,179.71 1.96%
2000-11 32 3,080,226.46 2.69%
2000-12 51 6,210,428.13 5.43%
2001-01 102 10,729,659.86 9.39%
2001-02 243 26,602,279.65 23.27%
2001-03 401 44,392,476.99 38.83%
2001-04 97 10,830,968.36 9.47%
2001-05 9 980,155.00 0.86%
2001-07 1 76,500.00 0.07%
2001-09 1 65,363.30 0.06%
2001-10 1 128,460.67 0.11%
2001-11 4 227,584.21 0.20%
2001-12 3 372,772.89 0.33%
2002-01 4 323,524.35 0.28%
2002-02 14 1,564,735.91 1.37%
2002-03 6 675,417.92 0.59%
2002-04 2 106,000.00 0.09%
----- ---------------- -------
Total(1) 1,041 $ 114,318,014.86 100.00%
</TABLE>
(1) Percentages may not add to 100% due to rounding.
LIEN POSITION OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Lien Contracts Balance Outstanding Principal Balance
---- --------- ------------------- -----------------------
<S> <C> <C> <C>
1 1,041 $ 114,318,014.86 100.00%
</TABLE>
24
<PAGE>
DISTRIBUTION OF GROSS MARGIN OF INITIAL
ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Gross Margin Contracts Balance Outstanding Principal Balance
------------ --------- ------------------- -----------------------
<S> <C> <C> <C>
4.001 - 5.000 14 $ 1,242,486.72 1.09%
5.001 - 6.000 133 15,604,699.21 13.65%
6.001 - 7.000 512 58,552,412.15 51.22%
7.001 - 8.000 318 33,415,803.50 29.23%
8.001 - 9.000 51 4,646,684.85 4.06%
9.001 - 10.000 13 855,928.43 0.75%
----- ---------------- -------
Total(1) 1,041 $ 114,318,014.86 100.00%
</TABLE>
(1) Percentages may not add to 100% due to rounding.
MAXIMUM LOAN RATE OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Maximum Loan Rate Contracts Balance Outstanding Principal Balance
----------------- --------- ------------------- -----------------------
<S> <C> <C> <C>
9.001 - 10.000 2 $ 151,454.05 0.13%
11.001 - 12.000 2 265,537.60 0.23%
12.001 - 13.000 4 421,738.84 0.37%
13.001 - 14.000 11 1,535,096.34 1.34%
14.001 - 15.000 160 20,664,374.34 18.08%
15.001 - 16.000 373 43,151,549.38 37.75%
16.001 - 17.000 289 30,674,843.49 26.83%
17.001 - 18.000 152 13,473,099.10 11.79%
18.001 - 19.000 39 3,384,822.17 2.96%
19.001 - 20.000 7 509,800.24 0.45%
20.001 - 21.000 2 85,699.31 0.07%
----- ---------------- -------
Total(1) 1,041 $ 114,318,014.86 100.00%
</TABLE>
(1) Percentages do not add to 100% due to rounding.
MINIMUM LOAN RATE OF INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of HE Contract
Number of Aggregate Principal Sub-Pool by Outstanding
Minimum Loan Rate Contracts Balance Outstanding Principal Balance
----------------- --------- ------------------- -----------------------
<S> <C> <C> <C>
5.001 - 6.000 21 $ 2,798,833.80 2.45%
6.001 - 7.000 44 5,731,266.29 5.01%
7.001 - 8.000 58 6,512,357.93 5.70%
8.001 - 9.000 190 24,273,882.91 21.23%
9.001 - 10.000 405 45,146,677.56 39.49%
10.001 - 11.000 236 22,649,767.10 19.81%
11.001 - 12.000 69 5,995,064.44 5.24%
12.001 - 13.000 15 1,078,975.27 0.94%
13.001 - 14.000 3 131,189.56 0.11%
----- ---------------- -------
Total(1) 1,041 $ 114,318,014.86 100.00%
</TABLE>
(1) Percentages may not add to 100% due to rounding.
25
<PAGE>
PREPAYMENT SCENARIOS
FOR HOME IMPROVEMENT CONTRACT CERTIFICATES
<TABLE>
<CAPTION>
HI Scenario I HI Scenario II HI Scenario III HI Scenario IV HI Scenario V
------------- -------------- --------------- -------------- -------------
<S> <C> <C> <C> <C> <C>
Home Improvement
Contracts (1) 60% 80% 100% 120% 140%
</TABLE>
(1) As a percentage of the Prepayment Assumption for Home Improvement
Contracts.
CPR PREPAYMENT SENSITIVITIES
FOR HOME IMPROVEMENT CONTRACT CERTIFICATES
<TABLE>
<CAPTION>
HI Scenario I HI Scenario II HI Scenario III HI Scenario IV HI Scenario V
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
--------------- -------------- --------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
To Call
HI: A-1 1.17 11/01 0.92 05/01 0.75 01/01 0.63 10/00 0.54 08/00
HI: A-2 3.32 11/03 2.61 12/02 2.12 04/02 1.78 10/01 1.52 06/01
HI: A-3 4.94 01/05 3.92 11/03 3.12 01/03 2.59 05/02 2.21 12/01
HI: A-4 6.41 11/06 5.16 06/05 4.15 05/04 3.35 06/03 2.79 09/02
HI: A-5 8.32 01/09 6.79 03/07 5.57 11/05 4.57 10/04 3.75 11/03
HI: M-1 11.08 07/11 8.83 11/08 7.22 01/07 6.02 10/05 5.04 10/04
HI: M-2 12.04 07/11 9.38 11/08 7.54 01/07 6.29 10/05 5.29 10/04
HI: B-1 5.38 06/06 4.31 02/05 3.94 07/04 3.79 03/04 3.67 12/03
HI: B-2 9.99 07/11 7.99 11/08 6.78 01/07 5.92 10/05 5.17 10/04
To Maturity
HI: M-1 11.27 11/12 9.19 09/10 7.59 10/08 6.35 04/07 5.32 02/06
HI: M-2 16.70 07/24 14.26 07/24 12.13 07/24 10.30 07/24 8.80 07/24
HI: B-2 11.06 07/24 9.18 07/24 8.09 07/24 7.34 07/24 6.75 07/24
</TABLE>
26
<PAGE>
PREPAYMENT SCENARIOS
FOR HOME EQUITY CONTRACT CERTIFICATES
<TABLE>
<CAPTION>
HE Scenario I HE Scenario II HE Scenario III HE Scenario IV HE Scenario V
------------- -------------- --------------- -------------- -------------
<S> <C> <C> <C> <C> <C>
Adjustable Rate Home
Equity Contracts (1) 18% 24% 30% 36% 42%
Fixed Rate Home Equity
Contracts (2) 75% 100% 125% 150% 175%
</TABLE>
(1) As a conditional prepayment rate ("CPR") percentage.
(2) As a percentage of the Prepayment Assumption for Fixed Rate Home Equity
Contracts.
CPR PREPAYMENT SENSITIVITIES
FOR HOME EQUITY CONTRACT CERTIFICATES
<TABLE>
<CAPTION>
HE Scenario I HE Scenario II HE Scenario III HE Scenario IV HE Scenario V
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
-------------- -------------- --------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
To Call
HE: A-1A 4.30 03/10 3.19 09/07 2.48 12/05 1.99 08/04 1.63 09/03
HE: A-1 1.24 10/01 1.00 04/01 0.85 01/01 0.75 10/00 0.67 08/00
HE: A-2 3.36 04/04 2.58 01/03 2.10 04/02 1.78 10/01 1.55 06/01
HE: A-3 5.63 04/06 4.08 03/04 3.10 12/02 2.56 04/02 2.19 11/01
HE: A-4 8.08 11/08 5.90 09/06 4.23 02/05 3.19 03/03 2.65 06/02
HE: A-5 5.58 09/08 5.03 07/06 4.43 02/05 3.75 12/03 3.07 02/03
HE: A-6 1.63 02/01 1.63 02/01 1.63 02/01 1.63 02/01 1.63 02/01
HE: M-1 11.65 07/11 8.99 11/08 7.13 01/07 5.78 10/05 4.72 10/04
HE: M-2 12.04 07/11 9.38 11/08 7.54 01/07 6.29 10/05 5.29 10/04
HE: B-1 5.42 06/06 4.10 10/04 3.80 04/04 3.65 12/03 3.57 11/03
HE: B-2 10.41 07/11 8.01 11/08 6.75 01/07 5.91 10/05 5.18 10/04
To Maturity
HE: M-1 11.91 11/12 9.16 11/09 7.22 09/07 5.81 02/06 4.72 12/04
HE: M-2 15.96 07/29 13.09 07/29 10.66 07/29 8.76 07/29 7.26 07/29
HE: B-2 13.65 07/29 10.63 07/29 9.06 07/29 7.96 07/29 7.11 07/29
</TABLE>
* The Sub Pool HE Certificates will be priced, with respect to the Fixed Rate
Home Equity Contracts, using 125% of the Base Prepayment Assumption. The
Base Prepayment Assumption assumes a conditional prepayment rate of 4% per
annum of the then outstanding principal balance of the Fixed Rate Home
Equity Contracts in the first month of the life of the Fixed Rate Home
Equity Contracts and an additional 1.45% (precisely, 16/11%) per annum in
each month thereafter until the twelfth month. Beginning in the twelfth
month and in each month thereafter, the conditional prepayment rate is 20%.
The Sub Pool HE Certificates will be priced, with respect to the Adjustable
Rate Home Equity Contracts, using a constant prepayment rate of 30% CPR.
The Sub Pool HI Certificates will be priced using 100% of a prepayment rate
assuming a conditional prepayment rate of 12% per annum of the then
outstanding principal balance of the Home Improvement Contracts in the
first month of the life of the Home Improvement Contracts and an additional
0.91% (precisely, 10/11%) per annum in each month thereafter until the
twelfth month. Beginning in the twelfth month and in each month thereafter,
the conditional prepayment rate is 22%.
27
