<PAGE>
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
-------------------------------
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported): June 28, 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 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 30, 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 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 28, 1999
$1,116,700,000 (Approximate)
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GREEN TREE FINANCIAL CORPORATION
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[LOGO OF GREEN TREE APPEARS HERE]
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Certificates for 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 28, 1999
Green Tree Financial Corporation
Certificates for Home Equity Loans, Series 1999-C
$1,116,700,000 (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)
<TABLE>
<CAPTION>
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Amount Ratings (S&P/Fitch) WAL at 100% Prepayment Model/(1)/ Exp. Final Maturity
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
To Call
A-1A ARM $ 250,000,000 AAA / AAA 2.48 12/2005
A-1B ARM $ 100,000,000 AAA / AAA 2.47 12/2005
A-1 $ 275,000,000 AAA / AAA 0.85 01/2001
A-2 $ 210,750,000 AAA / AAA 2.10 04/2002
A-3 $ 67,100,000 AAA / AAA 3.10 12/2002
A-4 $ 76,925,000 AAA / AAA 4.23 02/2005
A-5 $ 66,075,000 AAA / AAA 4.43 02/2005
A-6 IO/(2)/ $ 60,000,000 AAAr / AAA 1.63 02/2001
M-1 $ 70,850,000 AA / AA 7.13 01/2007
To Maturity
M-1 $ 70,850,000 AA / AA 7.22 09/2007
Other Certificates: The Class M-2, B-1 and B-2 Certificates are not offered hereby. They will be retained by the
Seller or an affiliate thereof.
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) The Certificates (other than the Class A-1A ARM and the Class A-1B ARM
Certificates) will be priced with respect to the Fixed Rate Home Equity
Loans, 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 Loans in
the first month of the life of the Fixed Rate Home Equity Loans 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 Class A-1A ARM and
Class A-1B ARM Certificates will be priced, with respect to the Adjustable
Rate Home Equity Loans, using a constant prepayment rate of 30% CPR.
(2) Interest will be based on a notional principal amount which will equal
$60,000,000 (or the Class A Principal Balance for such Payment Date, if
less) for the first 20 Payment Dates, and will thereafter, equal zero. The
Class A-6 IO Certificates are interest-only Certificates and are not
entitled to receive distributions of principal.
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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Cut-off Date May 1, 1999 (or the date of origination, if
later), in each case for loans other than
Subsequent Loans. For each Subsequent Loan, the
date of purchase by the Trust.
Pricing June 24, 1999
Exp. Settlement June 30, 1999
Legal Final The Payment Date in July 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.
ERISA Only the Class A Certificates are ERISA eligible.
Tax Status The Trust will be treated as a "real estate
mortgage investment conduit" (a "REMIC") for
federal income tax purposes.
Optional Redemption 10% cleanup call
Additional Collateral The data set forth below with respect to the Pool
is based solely on the loans identified for
inclusion in the Pool as of the related Cut-off
Date ("Original Home Equity Loans"). Certain
additional loans will be identified for inclusion
in the Pool prior to the Closing Date ("Additional
Home Equity Loans"). During a limited period
following the Closing Date, the Trust Fund will
purchase subsequent loans ("Subsequent Home Equity
Loans"). It is expected that the Additional and
Subsequent Home Equity Loans will have
characteristics which are substantially similar to
the original loans.
Credit Enhancement Class A: 19.55% subordination (Class M-1, M-2,
B-1 and B-2), and Residual (Class C)
Class M-1: 14.10% subordination (Class M-2, B-1
and B-2), and Residual (Class C)
Class M-2: 8.70% subordination (Class B-1 and
B-2), and Residual (Class C)
Class B-1: 5.10% subordination (Class B-2), and
Residual (Class C)
Class B-2: Limited Guaranty and Residual (Class C)
Distribution The Pool 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 Loans"; all Home
Equity Loans other than the Adjustable Rate Home
Equity Loans are referred to herein as the "Fixed
Rate Home Equity Loans").
The Amount Available will generally consist of
payments made on or in respect of the Home Equity
Loans, and will include amounts otherwise payable
to the Servicer (as long as Green Tree is the
Servicer) as the Monthly Servicing Fee, and
amounts otherwise payable to Green Tree as the
Guaranty Fee, and amounts otherwise payable to the
Class C Certificateholder.
The Amount Available will generally be applied
first to the distributions to the Class A
Certificateholders, then to the Class M-1
Certificateholders, then to the Class M-2
Certificateholders, then to the Class B-1
Certificateholders, and then to the Class B-2
Certificateholders.
Class A Certificates are senior to the Class M and
Class B Certificates. Class M Certificates are
senior to the Class B 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.
3
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Pre-Funding Feature On the Closing Date, a portion of the proceeds
from the sale of the Certificates (the "Pre-Funded
Amount") will be deposited with the Trustee in a
segregated account (the "Pre-Funding Account") and
used by the Trust to purchase Subsequent Home
Equity Loans during the Pre-Funding Period. The
Pre-Funded Amount will be reduced during the
Pre-Funding Period by the amounts thereof used to
fund such purchases. Any amounts remaining in the
Pre-Funding Account following the Pre-Funding
Period will be (i) paid to the Class A-1
Certificateholders in the case of amounts which
had been allocated to fund the purchase of
Subsequent Home Equity Loans which are Fixed Rate
Home Equity Loans, (ii) paid to the Class A-1A ARM
Certificateholders in the case of amounts which
had been allocated to fund the purchase of
Subsequent Home Equity Loans which are Group I
Adjustable Rate Home Equity Loans, and (iii) paid
to the Class A-1B ARM Certificateholders in the
case of amounts which had been allocated to fund
the purchase of Subsequent Home Equity Loans which
are Group II Adjustable Rate Home Equity Loans.
Losses on Liquidated Home If Net Liquidation Proceeds from Liquidated Loans
Equity Loans in the respective collection period are less than
the Scheduled Principal Balance of such Liquidated
Loans 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 B-2 Certificateholders,
then the Class B-1 Certificateholders, then the
Class M-2 Certificateholders and then the Class
M-1 Certificateholders.
Interest on the Class A, M-1, Interest will be distributable first to each Class
M-2 and B-1 of Class A Certificates concurrently, then to the
Class M-1 Certificates, then to the Class M- 2
Certificates and then to the Class B-1
Certificates.
Interest will be paid concurrently on each Class
of Class A Certificates at the related
Pass-Through Rate on the then outstanding related
Class Principal Balance (in the case of Class A
Certificates other than the Class A-6 IO
Certificates) or based on the Notional Principal
Amount (in the case of the Class A-6 IO
Certificates). Interest will be calculated on the
Class A-6 IO Certificates on the basis of a
"Notional Principal Amount" equal to the lesser of
(a) the principal balance of the Class 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 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 A-1A ARM Certificates will bear interest
at a variable Pass-Through Rate calculated on an
actual/360 basis. The Pass-Through Rate for the
Class A-1A ARM Certificates will be floating and
will equal the lesser of:
i. One Month LIBOR plus the Class A-1A ARM
Pass-Through Margin;
ii. The Available Funds Pass-Through Rate; or
iii. 14.0%
The Class A-1A ARM Pass-Through Margin will equal
0.26% per annum through the Payment Date on which
the principal balance of the Home Equity Loans is
10% or more of the aggregate principal balance of
the certificates as of the closing date, and 0.52%
per annum on each Payment Date on which the
principal balance of the Home Equity Loans is less
than 10% of the aggregate principal balance of the
certificates as of the closing 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 Loans. "The Expense
Adjusted Mortgage
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
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Rate" on any Adjustable Rate Loan 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).
The Class A-1B ARM Certificates will bear interest
at a variable Pass-Through Rate calculated on an
actual/360 basis. The Pass-Through Rate for the
Class A-1B ARM Certificates will be floating and
will equal the lesser of:
i. One Month LIBOR plus the Class A-1B ARM
Pass-Through Margin;
ii. The Available Funds Pass-Through Rate; or
iii. 14.0%
The Class A-1B ARM Pass-Through Margin will equal
0.30% per annum through the Payment Date on which
the principal balance of the Home Equity Loans is
10% or more of the aggregate principal balance of
the certificates as of the closing date, and 0.60%
per annum on each Payment Date on which the
principal balance of the Home Equity Loans is less
than 10% of the aggregate principal balance of the
certificates as of the closing date.
Interest will accrue 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, 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 A-1A ARM and Class
A-1B ARM Certificate will accrue on an actual/360
basis. Interest on all other 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 M-1 Adjusted Principal Balance is the
Class M-1 Principal Balance less any Liquidation
Loss Amount allocated to the Class M-1
Certificates. The Class 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 Liquidation
Loss Amount allocated to the Class M-2
Certificates. 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 Liquidation
Loss Amount allocated to the Class B-1
Certificates. 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.
Principal on the Class A, After the payment of all interest distributable to
M-1, M-2, B-1 Class A, Class M-1, Class M-2 and Class B-1
Certificateholders, principal will be distributed
in the following manner, to the extent of the
available amount.
Class A Principal After payment of all interest distributable to the
Class A, Class M-1, Class M-2, and Class B-1
Certificateholders, holders of the Class A-1A ARM
and Class A-1B ARM Certificates will be entitled
to receive, as payments of principal, the Class
A-1A ARM Principal Distribution Amount and the
Class A-1B ARM Principal Distribution Amount,
respectively. The Senior Percentage of the Formula
Principal Distribution Amount will be distributed,
to the extent of the Amount Available as follows:
(i) that portion, if any, of the Senior Percentage
of the Formula Principal Distribution Amount equal
to the Class A-5 Lockout Pro-rata Distribution
Amount will be distributed to the Class A-5
Certificateholders; and (ii) the remainder of the
Senior Percentage of the Formula Principal
Distribution Amount will be distributed in the
following order: first
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
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to the Class A-1 Certificateholders, until the
Class A-1 Principal Balance has been reduced to
zero, then to the Class A-2 Certificateholders
until the Class A-2 Principal Balance has been
reduced to zero, then to the Class A-3
Certificateholders until the Class A-3 Principal
Balance has been reduced to zero, then to the
Class A-4 Certificateholders until the Class A-4
Principal Balance has been reduced to zero, then
to the Class A-5 Certificateholders until the
Class A-5 Principal Balance has been reduced to
zero.
The "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 Loan during the
related Due Period, (ii) the Scheduled Balance of
each Home Equity Loan 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 Loans, (iv)
the scheduled principal balance of each Home
Equity Loan that became a liquidated loan 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 the
Payment Date occurs on or after the Payment Date
on which the Class B-2 Principal Balance has been
reduced to zero, or such amount was not covered by
a Class B-2 Guaranty Payment and corresponding
reduction in the Class B-2 Principal Balance,
minus (B) the sum of (i) the lesser of (x) the
Class A-1A ARM Principal Balance immediately
preceding such Payment Date and (y) the sum of the
amounts described in clauses (B)(i) through (v) of
the definition of the Class A-1A ARM Principal
Distribution Amount and (ii) the lesser of (x) the
Class A-1B ARM Principal Balance immediately
preceding such Payment Date and (y) the sum of the
amounts described in clauses (B)(i) through (v) of
the definition of the Class A-1B ARM Principal
Distribution Amount.
For purpose of determining the Class A-1A ARM
Principal Distribution Amount and the Class A-1B
ARM Principal Distribution Amount, the Adjustable
Rate Home Equity Loans will be separated into two
groups known as the "Group I Adjustable Rate
Loans" and the "Group II Adjustable Rate Loans".
The "Class A-1A ARM Principal Distribution Amount"
on or before the Payment Date on which the Class
A-1A ARM Certificates have been paid in full will
generally be equal to the lesser of (A) the Class
A-1A ARM Principal Balance immediately preceding
such Payment Date or (B) the sum of the following:
(i) all scheduled payments of principal due on
each outstanding Group I Adjustable Rate Loan
during the related Due Period; (ii) all partial
principal prepayments and principal prepayments in
full received on each Group I Adjustable Rate Loan
during the related Due Period; (iii) the scheduled
principal balance of each Group I Adjustable Rate
Loan that became a liquidated loan during the
related Due Period; (iv) the scheduled principal
balance of each Group I Adjustable Rate Loan
repurchased by the Company during the related Due
Period; (v) the amount, if any by which the
amounts described in clauses (i) through (iv) of
the definition of the Class A-1B ARM Principal
Distribution Amount exceed the Class A-1B ARM
Principal Balance immediately preceding such
Payment Date; and (vi) on any Payment Date which
is on or after the Payment Date on which the Class
A-1, A-2, A-3, A-4 and A-5 Certificates have been
paid in full, a pro-rata portion (based on the
Class A-1A ARM Principal Balance versus the Class
A-1B ARM Principal Balance) of (a) the Senior
Percentage multiplied by the excess of the sum of
the amounts described in clauses (A)(i) through
(v) of the definition of the Formula Principal
Distribution Amount over the sum of the amounts
described in clauses (i) through (iv) of the
definition of the Class A-1A ARM Principal
Distribution Amount and the amounts described in
clauses (i) through (iv) of the definition of the
Class A-1B ARM Principal Distribution Amount, less
(b) the amount, if any, distributed in payment of
principal on the Class A-1, A-2, A-3, A-4 and A-5
Certificates on such Payment 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.
6
<PAGE>
The "Class A-1B ARM Principal Distribution Amount" on or before the
Payment Date on which the Class A-1B ARM Certificates have been paid
in full will generally be equal to the lesser of (A) the Class A-1B
ARM Principal Balance immediately preceding such Payment Date or (B)
the sum of the following: (i) all scheduled payments of principal due
on each outstanding Group II Adjustable Rate Loan during the related
Due Period; (ii) all partial principal prepayments and principal
prepayments in full received on each Group II Adjustable Rate Loan
during the related Due Period; (iii) the scheduled principal balance
of each Group II Adjustable Rate Loan that became a liquidated loan
during the related Due Period; (iv) the scheduled principal balance of
each Group II Adjustable Rate Loan repurchased by the Company during
the related Due Period; (v) the amount, if any, by which the amounts
described in clauses (i) and (iv) of the definition of the Class A-1A
ARM Principal Distribution Amount exceed the Class A-1A ARM Principal
Balance immediately preceding such Payment Date; and (vi) on any
Payment Date which is on or after the Payment Date on which the Class
A-1, A-2, A-3, A-4 and A-5 Certificates have been paid in full, a
pro-rata portion (based on the Class A-1A ARM Principal Balance versus
the Class A-1B ARM Principal Balance) of (a) the Senior Percentage
multiplied by the excess of the sum of the amounts described in
clauses (A)(i) through (v) of the definition of the Formula Principal
Distribution Amount over the sum of the amounts described in clauses
(i) through (iv) of the definition of the Class A-1A ARM Principal
Distribution Amount and the amounts described in clauses (i) through
(iv) of the definition of the Class A-1B ARM Principal Distribution
Amount, less (b) the amount, if any, distributed in payment of
principal on the Class A-1, A-2, A-3, A-4 and A-5 Certificates on such
Payment Date.
The "Class 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 A-5 Lockout Percentage, and (2) the
product of (A) a fraction, the numerator of which is the Class A-5
Principal Balance immediately preceding such Payment Date and the
denominator of which is the Class A Principal Balance less the sum of
the Class A-1A ARM Principal Balance and the Class A-1B ARM Principal
Balance immediately preceding such Payment Date, and (B) the Senior
Percentage of the Formula Principal Distribution Amount for such
Payment Date, and (b) the Class A-5 Principal Balance immediately
preceding such Payment Date.
The "Class 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 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 B Principal Distribution Test (see below) is not
satisfied.
On each Payment Date on which the Class 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 A Principal Balance (excluding the Class A-1A ARM Principal
Balance and the Class A-1B ARM Principal Balance) and the Class M
Principal Balance for such Payment Date, and the denominator of which
is the Pool Scheduled Principal Balance of Home Equity Loans other
than the Adjustable Rate Loans for the immediately preceding Payment
Date.
The Class A-6 IO Certificates are interest-only Certificates and are
not entitled to receive distributions of principal.
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>
Class M-1 Principal Class M-1 Certificateholders will not receive
principal until the Class A Principal Balance has
been reduced to zero. At that time the Class M-1
Certificateholders will be entitled to receive the
Senior Percentage of the Formula Principal
Distribution Amount, until the Class M-1 Principal
Balance has been reduced to zero.
Class M-2 Principal Class M-2 Certificateholders will not receive
principal until the Class A and Class M-1
Principal Balances have been reduced to zero. At
that time Class M-2 will be entitled to receive
the Senior Percentage of the Formula Principal
Distribution Amount, until the Class M-2 Principal
Balance has been reduced to zero.
Class B-1 Principal The Class B-1 Certificateholders will not receive
principal payments until either (i) (a) the
Payment Date in or after July 2002 and (b) each
Class B Principal Distribution Test is satisfied
or (ii) the Class A Principal Balance and the
Class 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 A, Class M-1, Class M-2
and Class B-1 Certificateholders and all principal
distributable to the Class A, Class M-1 and Class
M-2 Certificateholders, the Class B-1
Certificateholders will be entitled to receive the
Class B Percentage of the Formula Principal
Distribution Amount until the Class B-1 Principal
Balance has been reduced to zero.
The Class B Percentage will be equal to 100% minus
the Senior Percentage. The Class B Percentage
after the Class A and Class M Principal Balances
have been reduced to zero will be equal to 100%.
Class B Principal (i) the Average Sixty-Day Delinquency Ratio
Distribution Tests as of such given Payment Date and the
prior two Payment Dates must not exceed
20% of the Senior Subordination
Percentage;
(ii) the Average Thirty-Day Delinquency Ratio
as of the given Payment Date and the
prior two Payment Dates must not exceed
12%;
(iii) the Cumulative Realized Losses as of the
given Payment Date must not exceed 7.5%;
(iv) the Current Realized Loss Ratio as of
the given Payment Date must not exceed
2.0%; and
(v) the Class B Principal Balance divided by
the Pool Scheduled Principal Balance as
of the immediately preceding Payment
Date must be equal to or greater than
17.4%.
The "Senior Subordination Percentage" for any
Payment Date will equal (a) on any Payment Date on
which the Class 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 M-1 Adjusted Principal Balance, if
any, (ii) the Class M-2 Adjusted Principal
Balance, if any, (iii) the Class B-1 Adjusted
Principal Balance, if any, and (iv) the Class B-2
Principal Balance, if any, and the denominator of
which is the Pool Scheduled Principal Balance of
the Home Equity Loans, (b) on any Payment Date on
which the Class A Principal Balance has been
reduced to zero and the Class 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 M-2 Adjusted Principal
Balance, if any, (ii) the Class B-1 Adjusted
Principal Balance, if any, and (iii) the Class B-2
Principal Balance, if any, and the denominator of
which is the Pool Scheduled Principal Balance of
the Home Equity Loans, (c) on any Payment Date on
which the Class M-1 Principal Balance has been
reduced to zero and the Class 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 B-1 Adjusted Principal
Balance, if any, and (ii) the Class B-2 Principal
Balance, if any,
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>
<TABLE>
<S> <C>
and the denominator of which is the Pool Scheduled
Principal Balance of the Home Equity Loans, or (d)
on any Payment Date on which the Class M-2
Principal Balance has been reduced to zero and the
Class B-1 Principal Balance has not been reduced
to zero, a fraction, expressed as a percentage,
the numerator of which is the Class B-2 Principal
Balance, if any, and the denominator of which is
the Pool Scheduled Principal Balance of the Home
Equity Loans.
Liquidation Loss Interest Liquidation Loss Interest will be distributable
first 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
M-1 Liquidation Loss Amount, Class M-2 Liquidation
Loss Amount and Class 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 B-2 Interest After payment of Class A, Class M-1, Class M-2 and
Class B-1 Distribution Amounts, interest will be
paid to the Class B-2. The Class B-2 Limited
Guaranty will be available to pay interest to the
Class B-2 Certificateholders if the Class 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 B-2
Pass-Through Rate, to the extent legally
permissible.
Class B-2 Principal Except as described below, the Class B-2
Certificateholders will not receive principal
payments until the Class B-1 Principal Balance has
been reduced to zero. At that time, if each Class
B Principal Distribution Test is satisfied (unless
the Class A and Class M Principal Balances have
been reduced to zero), to the extent of the amount
available after payment of all interest and
principal on the Class A, the Class M and the
Class B-1 Certificates and any amounts actually
paid under the Class B-2 Limited Guaranty, the
Class B-2 Certificateholders will receive the
Class B Percentage of the Formula Principal
Distribution Amount until Class B-2 Principal
Balance has been reduced to zero.
On each Payment Date, the Class B-2
Certificateholders will also be entitled to
receive, pursuant to the Class B-2 Limited
Guaranty, the Class B-2 Liquidation Loss Principal
Amount until the Class B-2 Principal Balance has
been reduced to zero.
Class B-2 Limited Guaranty The Class B-2 Limited Guaranty will be available
to pay the Class B-2 Liquidation Loss Principal
Amount and the Class B-2 Distribution Amount. The
Class B-2 Limited Guaranty will be an unsecured
general obligation of the Company.
Class A-1A ARM Available Funds If on any Distribution Date, the Class A-1A ARM
Cap Carryover Amount 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 ARM Certificateholders
would be entitled to receive on such Payment Date
had interest been calculated based on one-month
LIBOR plus the Class A-1A ARM 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 A-1A
ARM 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 A-1A ARM Certificates do not address the
likelihood of the payment of Available Funds Cap
Carryover Amount.
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
9
<PAGE>
Class A-1B ARM Available If on any Distribution Date, the Class A-1B ARM
Funds Cap Carryover Amount 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-1B ARM Certificateholders
would be entitled to receive on such Payment Date
had interest been calculated based on one-month
LIBOR plus the Class A-1B ARM 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 A-1B
ARM 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 A-1B ARM Certificates do not address the
likelihood of the payment of Available Funds Cap
Carryover Amount.
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>
HOME EQUITY LOANS
The Home Equity Loans consist of both fixed rate and adjustable rate
closed-end home equity loans. The adjustable rate closed-end home equity loans
are subject to interest rate adjustments after an initial six month, twenty-four
month, or thirty-six month period (the "Adjustable Rate Home Equity Loans"). All
Home Equity Loans which are not Adjustable Rate Loans are referred to herein as
"Fixed Rate Home Equity Loans." The obligations of the Obligor under each Home
Equity Loan are secured by the related real estate.
The information concerning the Initial Home Equity Loans presented below is
based on a pool originated through April 30, 1999. Green Tree intends to acquire
and sell Additional Home Equity Loans to the Trust by the Closing Date and
Subsequent Loans to the Trust thereafter. Although the characteristics of the
final pool of Home Equity Loans will differ from the characteristics of the
Initial Home Equity Loans shown below, Green Tree does not expect that the
characteristics of the Additional and Subsequent Home Equity Loans sold to the
Trust will vary materially from those of the Initial Home Equity Loans herein.
THE INITIAL FIXED RATE HOME EQUITY LOANS
- --------------------------------------------------------------------------------
Number of Loans: 7,783
Wgt. Avg. Loan 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 LOANS
<TABLE>
<CAPTION>
% of Initial Fixed Rate
Number of Aggregate Principal Loans by Outstanding
State Loans 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 Loans Outstanding Principal Balance.
/1/ Percentages may not add to 100% due to rounding.
YEARS OF ORIGINATION OF INITIAL FIXED RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Initial Fixed Rate
Number of Aggregate Principal Loans by Outstanding
Year of Origination Loans 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>
* Indicates an amount greater than 0.000% but less than 0.005%.
/1/ Percentages may not add to 100% due to rounding.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
11
<PAGE>
INITIAL FIXED RATE HOME EQUITY LOAN RATES
<TABLE>
<CAPTION>
% of Initial Fixed
Rate Loans by
Number of Aggregate Principal Outstanding Principal
Range of HE Loan Rates Loans Balance Outstanding 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.
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
<PAGE>
DISTRIBUTION OF ORIGINAL INITIAL FIXED RATE
HOME EQUITY LOAN AMOUNTS
<TABLE>
<CAPTION>
% of Initial Fixed
Rate Loans by
Original HE Loan Number of Aggregate Principal Outstanding Principal
Amount (in Dollars) Loans Balance Outstanding 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.
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.
13
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL
FIXED RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Initial Fixed Rate
Number of Aggregate Principal Loans by Outstanding
Months Remaining Loans 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 LOANS
<TABLE>
<CAPTION>
% of Initial Fixed Rate
Number of Aggregate Principal Loans by Outstanding
Lien Loans 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 LOANS
<TABLE>
<CAPTION>
% of Initial Fixed Rate
Combined Loan to Value Number of Aggregate Principal Loans by Outstanding
Ratio Loans 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.
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.
14
<PAGE>
THE INITIAL GROUP I ADJUSTABLE RATE
HOME EQUITY LOANS
- ----------------------------------------------------------------------------
Number of Loans: 699
Wgt. Avg. Loan Rate: 9.788%
Range of Rates: 7.24% - 13.55%
Wgt. Avg. Orig. Maturity: 360
Wgt. Avg. Rem. Maturity: 359
Avg. Rem. Princ. Balance: $108,718
Wgt. Avg. CLTV: 86.07%
- ----------------------------------------------------------------------------
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL GROUP I ADJUSTABLE RATE
HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Initial Group I
Number of Aggregate Principal Adjustable Rate Loans by
State Loans Balance Outstanding Outstanding Principal Balance
- -------------------------- ------------------------ ---------------------------- -----------------------------
<S> <C> <C> <C>
OH 88 $ 8,098,143.87 10.66%
CA 44 6,961,718.15 9.16%
WA 44 6,221,117.01 8.19%
IL 38 4,085,656.18 5.38%
NC 48 4,053,332.76 5.33%
TX 38 3,946,911.54 5.19%
Other States* 399 42,627,281.34 56.09%
--- ------------- ------
Total/1/ 699 $ 75,994,160.85 100.00%
</TABLE>
* No one State in this category constitutes more than 5% of the Initial Group
I Adjustable Rate Home Equity Loans Outstanding Principal Balance.
/1/ Percentages
YEARS OF ORIGINATION OF INITIAL GROUP I
ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Initial Group I
Number of Aggregate Principal Adjustable Rate Loans by
Year of Origination Loans Balance Outstanding Outstanding Principal Balance
- -------------------------- ------------------------ ---------------------------- -----------------------------
<S> <C> <C> <C>
1996 1 $ 162,000.00 0.21%
1997 5 560,676.24 0.74%
1998 93 10,077,091.62 13.26%
1999 600 65,194,392.99 85.79%
--- ------------- ------
Total/1/ 699 $ 75,994,160.85 100.00%
</TABLE>
/1/ Percentages may not add to 100% due to rounding.
DISTRIBUTION OF ORIGINAL INITIAL GROUP I ADJUSTABLE RATE
HOME EQUITY LOAN AMOUNTS
<TABLE>
<CAPTION>
% of Initial Group I
Original HE Loan Amount Number of Aggregate Principal Adjustable Rate Loans by
(in Dollars) Loans Balance Outstanding Outstanding Principal Balance
- -------------------------- ------------------------ ---------------------------- ------------------------------
<S> <C> <C> <C>
1 - 25,000 1 $ 21,975.00 0.03%
25,001 - 50,000 61 2,527,563.48 3.33%
50,001 - 75,000 144 9,069,475.13 11.93%
75,001 - 100,000 142 12,340,867.92 16.24%
100,001 - 125,000 116 12,959,693.21 17.05%
125,001 - 150,000 93 12,719,616.89 16.74%
150,001 - 175,000 55 8,900,810.21 11.71%
175,001 - 200,000 43 7,897,936.58 10.39%
200,001 - 225,000 30 6,284,372.84 8.27%
225,001 - 250,000 14 3,271,849.59 4.31%
-- ------------ -----
Total/1/ 699 $ 75,994,160.85 100.00%
</TABLE>
/1/ Percentages may not add to 100% due to rounding.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
15
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL GROUP I
ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Initial Group I
Number of Aggregate Principal Adjustable Rate Loans by
Months Remaining Loans Balance Outstanding Outstanding Principal Balance
- -------------------------- ------------------------ ---------------------------- ---------------------------------
<S> <C> <C> <C>
289 - 312 1 $ 51,079.41 0.07%
337 - 360 698 75,943,081.44 99.93%
--- ------------- ------
Total/1/ 699 $ 75,994,160.85 100.00%
</TABLE>
/1/ Percentages may not add to 100% due to rounding.
INITIAL GROUP I ADJUSTABLE RATE HOME EQUITY LOAN RATES
<TABLE>
<CAPTION>
% of Initial Group I
Range of HE Loans by Number of Aggregate Principal Adjustable Rate Loans by
Loan Rates Loans Balance Outstanding Outstanding Principal Balance
- -------------------------- ------------------------ ---------------------------- -----------------------------
<S> <C> <C> <C>
7.001 - 8.000 9 $ 902,289.77 1.19%
8.001 - 9.000 135 17,660,666.07 23.24%
9.001 - 10.000 296 32,823,088.13 43.19%
10.001 - 11.000 181 17,538,824.06 23.08%
11.001 - 12.000 63 6,053,887.33 7.97%
12.001 - 13.000 12 884,215.93 1.16%
13.001 - 14.000 3 131,189.56 0.17%
- ---------- -----
Total/1/ 699 $ 75,994,160.85 100.00%
</TABLE>
/1/ Percentages may not add to 100% due to rounding.
COMBINED LOAN-TO-VALUE RATIO OF INITIAL GROUP I
ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Initial Group I
Combined Loan-to-Value Number of Aggregate Principal Adjustable Rate Loans by
Ratio Loans Balance Outstanding Outstanding Principal Balance
- -------------------------- ------------------------ ---------------------------- ------------------------------
<S> <C> <C> <C>
30.01 - 40.00 1 $ 49,972.63 0.07%
40.01 - 50.00 3 288,932.81 0.38%
50.01 - 60.00 8 538,434.52 0.71%
60.01 - 70.00 40 2,660,537.20 3.50%
70.01 - 80.00 167 17,671,540.61 23.25%
80.01 - 90.00 378 41,503,305.35 54.61%
90.01 - 100.00 102 13,281,437.73 17.48%
--- ------------- ------
Total/1/ 699 $ 75,994,160.85 100.00%
</TABLE>
/1/ Percentages may not add to 100% due to rounding.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
16
<PAGE>
MONTH OF NEXT RATE ADJUSTMENT OF INITIAL GROUP I
ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Initial Group I
Month of Next Rate Number of Aggregate Principal Adjustable Rate Loans by
Adjustment Loans Balance Outstanding Outstanding Principal Balance
- -------------------------- ------------------------ ---------------------------- -----------------------------
<S> <C> <C> <C>
1999-05 1 $ 159,921.30 0.21%
1999-07 2 310,198.21 0.41%
1999-08 4 339,501.71 0.45%
1999-11 2 291,803.31 0.38%
1999-12 2 228,828.78 0.30%
2000-01 1 97,970.43 0.13%
2000-02 2 336,720.79 0.44%
2000-03 1 78,576.38 0.10%
2000-05 1 234,277.63 0.31%
2000-07 1 70,521.07 0.09%
2000-09 9 1,072,129.76 1.41%
2000-10 14 1,441,891.34 1.90%
2000-11 20 1,971,619.33 2.59%
2000-12 36 3,948,461.15 5.20%
2001-01 64 6,751,900.06 8.88%
2001-02 176 18,784,883.04 24.72%
2001-03 274 30,601,154.26 40.27%
2001-04 61 6,400,146.90 8.42%
2001-05 5 575,975.00 0.76%
2001-07 1 76,500.00 0.10%
2001-09 1 65,363.30 0.09%
2001-10 1 128,460.67 0.17%
2001-11 3 126,572.71 0.17%
2002-01 4 323,524.35 0.43%
2002-02 9 1,019,609.37 1.34%
2002-03 4 557,650.00 0.73%
- ---------- -----
Total/1/ 699 $ 75,994,160.85 100.00%
</TABLE>
/1/ Percentages may not add to 100% due to rounding.
LIEN POSITION OF INITIAL GROUP I ADJUSTABLE
RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Initial Group I
Number of Aggregate Principal Adjustable Rate Loans by
Lien Loans Balance Outstanding Outstanding Principal Balance
- -------------------------- ------------------------ ---------------------------- -----------------------------
<S> <C> <C> <C>
1 699 $ 75,994,160.85 100.00%
</TABLE>
DISTRIBUTION OF GROSS MARGIN OF INITIAL GROUP I
ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Initial Group I
Number of Aggregate Principal Adjustable Rate Loans by
Gross Margin Loans Balance Outstanding Outstanding Principal Balance
- -------------------------- ------------------------ ---------------------------- -----------------------------
<S> <C> <C> <C>
4.001 - 5.000 8 $ 664,237.85 0.87%
5.001 - 6.000 88 10,404,579.04 13.69%
6.001 - 7.000 348 38,775,150.96 51.02%
7.001 - 8.000 204 21,610,946.96 28.44%
8.001 - 9.000 40 3,803,623.48 5.01%
9.001 - 10.000 11 735,622.56 0.97%
-- ---------- -----
Total/1/ 699 $ 75,994,160.85 100.00%
</TABLE>
/1/ Percentages may not add to 100% due to rounding.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
17
<PAGE>
MAXIMUM LOAN RATE OF INITIAL GROUP I
ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Initial Group I
Number of Aggregate Principal Adjustable Rate Loans by
Maximum Loan Rate Loans Balance Outstanding Outstanding Principal Balance
- -------------------------- ------------------------ ---------------------------- -----------------------------
<S> <C> <C> <C>
9.001 - 10.000 2 $ 151,454.05 0.20%
11.001 - 12.000 1 181,537.60 0.24%
12.001 - 13.000 1 161,400.00 0.21%
13.001 - 14.000 8 861,539.77 1.13%
14.001 - 15.000 110 14,405,128.37 18.96%
15.001 - 16.000 229 25,794,759.11 33.94%
16.001 - 17.000 203 21,206,187.76 27.91%
17.001 - 18.000 109 10,152,018.93 13.36%
18.001 - 19.000 28 2,529,400.16 3.33%
19.001 - 20.000 6 465,035.79 0.61%
20.001 - 21.000 2 85,699.31 0.11%
- --------- -----
Total/1/ 699 $ 75,994,160.85 100.00%
</TABLE>
/1/ Percentages may not add to 100% due to rounding.
MINIMUM LOAN RATE OF INITIAL GROUP I
ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Initial Group I
Number of Aggregate Principal Adjustable Rate Loans by
Minimum Loan Rate Loans Balance Outstanding Outstanding Principal Balance
- -------------------------- ------------------------ ---------------------------- -----------------------------
<S> <C> <C> <C>
5.001 - 6.000 10 $ 1,251,138.76 1.65%
6.001 - 7.000 28 3,772,454.53 4.96%
7.001 - 8.000 38 4,086,878.84 5.38%
8.001 - 9.000 128 16,174,693.26 21.28%
9.001 - 10.000 267 29,325,161.38 38.59%
10.001 - 11.000 165 15,899,313.34 20.92%
11.001 - 12.000 49 4,522,111.06 5.95%
12.001 - 13.000 11 831,220.12 1.09%
13.001 - 14.000 3 131,189.56 0.17%
- ---------- -----
Total/1/ 699 $ 75,994,160.85 100.00%
</TABLE>
/1/ Percentages may not add to 100% due to rounding.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
18
<PAGE>
THE INITIAL GROUP II ADJUSTABLE RATE
HOME EQUITY LOANS
- ----------------------------------------------------------------------------
Number of Loans: 342
Wgt. Avg. Loan Rate: 9.664%
Range of Rates: 7.20% - 12.75%
Wgt. Avg. Orig. Maturity: 360
Wgt. Avg. Rem. Maturity: 358
Avg. Rem. Princ. Balance: $112,058
Wgt. Avg. CLTV: 85.77%
- ----------------------------------------------------------------------------
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL GROUP II ADJUSTABLE RATE
HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Initial Group II
Number of Aggregate Principal Adjustable Rate Loans by
State Loans Balance Outstanding Outstanding Principal Balance
- ------------------------ ----------------- ----------------------- -----------------------------
<S> <C> <C> <C>
OH 40 $ 3,062,000.47 7.99%
IL 26 2,736,731.24 7.14%
NC 23 2,418,561.66 6.31%
MD 15 2,326,751.55 6.07%
TX 21 2,287,084.27 5.97%
CA 14 2,272,628.49 5.93%
WA 14 2,195,571.38 5.73%
Other States* 189 21,024,524.95 54.86%
--- ------------- ------
Total/1/ 342 $ 38,323,854.01 100.00%
</TABLE>
* No one State in this category constitutes more than 5% of the Initial Group
II Adjustable Rate Home Equity Loans Outstanding Principal Balance.
/1/ Percentages may not add to 100% due to rounding.
YEARS OF ORIGINATION OF INITIAL GROUP II
ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Initial Group II
Number of Aggregate Principal Adjustable Rate Loans by
Year of Origination Loans Balance Outstanding Outstanding Principal Balance
- ------------------------- ----------------- --------------------- -----------------------------
<S> <C> <C> <C>
1997 1 $ 412,502.21 1.08%
1998 61 6,856,631.63 17.89%
1999 280 31,054,720.17 81.03%
--- ------------- ------
Total/1/ 342 $ 38,323,854.01 100.00%
</TABLE>
/1/ Percentages may not add to 100% due to rounding.
DISTRIBUTION OF ORIGINAL INITIAL GROUP II ADJUSTABLE
RATE HOME EQUITY LOAN AMOUNTS
<TABLE>
<CAPTION>
% of Initial Group II
Original HE Loan Number of Aggregate Principal Adjustable Rate Loans by
Amount (in Dollars) Loans Balance Outstanding Outstanding Principal Balance
- ----------------------- ---------------- --------------------- -----------------------------
<S> <C> <C> <C>
25,001 - 50,000 32 $ 1,266,700.90 3.31%
50,001 - 75,000 80 5,109,307.74 13.33%
75,001 - 100,000 81 7,091,203.17 18.50%
100,001 - 125,000 57 6,384,994.21 16.66%
125,001 - 150,000 45 6,094,590.67 15.90%
150,001 - 175,000 8 1,222,399.48 3.19%
225,001 - 250,000 5 1,224,894.13 3.20%
250,001 - 275,000 12 3,138,946.60 8.19%
275,001 - 300,000 12 3,456,993.37 9.02%
>= 300,001 10 3,333,823.74 8.70%
-- ------------ -----
Total/1/ 342 $ 38,323,854.01 100.00%
</TABLE>
/1/ Percentages may not add to 100% due to rounding.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
19
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL GROUP II
ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Initial Group II
Number of Aggregate Principal Adjustable Rate Loans by
Months Remaining Loans Balance Outstanding Outstanding Principal Balance
- ------------------------- ------------------- ---------------------- -----------------------------
<S> <C> <C> <C>
337 - 360 342 $ 38,323,854.01 100.00%
</TABLE>
/1/ Percentages may not add to 100% due to rounding.
INITIAL GROUP II ADJUSTABLE RATE HOME EQUITY LOAN RATES
<TABLE>
<CAPTION>
% of Initial Group II
Range of HE Loans by Number of Aggregate Principal Adjustable Rate Loans by
Loan Rates Loans Balance Outstanding Outstanding Principal Balance
- ------------------------- ---------------- --------------------- -----------------------------
<S> <C> <C> <C>
7.001 - 8.000 7 $ 1,464,926.88 3.82%
8.001 - 9.000 68 8,829,399.34 23.04%
9.001 - 10.000 163 18,628,592.12 48.61%
10.001 - 11.000 78 7,464,588.10 19.48%
11.001 - 12.000 21 1,591,339.68 4.15%
12.001 - 13.000 5 345,007.89 0.90%
- ---------- -----
Total/1/ 342 $ 38,323,854.01 100.00%
</TABLE>
/1/ Percentages may not add to 100% due to rounding.
COMBINED LOAN-TO-VALUE RATIO OF INITIAL GROUP II
ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Initial Group II
Combined Loan-to-Value Number of Aggregate Principal Adjustable Rate Loans by
Ratio Loans Balance Outstanding Outstanding Principal Balance
- -------------------------- ----------------- --------------------- -----------------------------
<S> <C> <C> <C>
20.01 - 30.00 1 $ 30,000.00 0.08%
40.01 - 50.00 1 66,125.31 0.17%
50.01 - 60.00 6 355,621.73 0.93%
60.01 - 70.00 16 1,659,020.32 4.33%
70.01 - 80.00 99 10,033,796.58 26.18%
80.01 - 90.00 157 18,119,246.48 47.28%
90.01 - 100.00 62 8,060,043.59 21.03%
-- ------------ ------
Total/1/ 342 $ 38,323,854.01 100.00%
</TABLE>
/1/ Percentages may not add to 100% due to rounding.
LIEN POSITION OF INITIAL GROUP II ADJUSTABLE
RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Initial Group II
Number of Aggregate Principal Adjustable Rate Loans by
Lien Loans Balance Outstanding Outstanding Principal Balance
- -------------------------- ----------------- --------------------- -----------------------------
<S> <C> <C> <C>
1 342 $ 38,323,854.01 100.00%
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
20
<PAGE>
MONTH OF NEXT RATE ADJUSTMENT OF INITIAL GROUP II
ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Initial Group II
Month of Next Rate Number of Aggregate Principal Adjustable Rate Loans by
Adjustment Loans Balance Outstanding Outstanding Principal Balance
- -------------------------- ----------------- --------------------- -----------------------------
<S> <C> <C> <C>
1999-05 1 $ 72,999.87 0.19%
1999-08 4 362,630.37 0.95%
1999-09 1 412,502.21 1.08%
2000-03 1 42,989.44 0.11%
2000-07 3 512,704.42 1.34%
2000-08 3 167,090.90 0.44%
2000-09 8 920,914.87 2.40%
2000-10 9 797,288.37 2.08%
2000-11 12 1,108,607.13 2.89%
2000-12 15 2,261,966.98 5.90%
2001-01 38 3,977,759.80 10.38%
2001-02 67 7,817,396.61 20.40%
2001-03 127 13,791,322.73 35.99%
2001-04 36 4,430,821.46 11.56%
2001-05 4 404,180.00 1.05%
2001-11 1 101,011.50 0.26%
2001-12 3 372,772.89 0.97%
2002-02 5 545,126.54 1.42%
2002-03 2 117,767.92 0.31%
2002-04 2 106,000.00 0.28%
- ---------- -----
Total/1/ 342 $ 38,323,854.01 100.00%
</TABLE>
/1/ Percentages may not add to 100% due to rounding.
DISTRIBUTION OF GROSS MARGIN OF INITIAL GROUP II
ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Initial Group II
Number of Aggregate Principal Adjustable Rate Loans by
Gross Margin Loans Balance Outstanding Outstanding Principal Balance
- -------------------------- ----------------- --------------------- -----------------------------
<S> <C> <C> <C>
4.001 - 5.000 6 $ 578,248.87 1.51%
5.001 - 6.000 45 5,200,120.17 13.57%
6.001 - 7.000 164 19,777,261.19 51.61%
7.001 - 8.000 114 11,804,856.54 30.80%
8.001 - 9.000 11 843,061.37 2.20%
9.001 - 10.000 2 120,305.87 0.31%
- ---------- -----
Total/1/ 342 $ 38,323,854.01 100.00%
</TABLE>
/1/ Percentages may not add to 100% due to rounding.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
21
<PAGE>
MAXIMUM LOAN RATE OF INITIAL GROUP II
ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Initial Group II
Number of Aggregate Principal Adjustable Rate Loans by
Maximum Loan Rate Loans Balance Outstanding Outstanding Principal Balance
- -------------------------- ----------------- --------------------- --------------------------------
<S> <C> <C> <C>
11.001 - 12.000 1 $ 84,000.00 0.22%
12.001 - 13.000 3 260,338.84 0.68%
13.001 - 14.000 3 673,556.57 1.76%
14.001 - 15.000 50 6,259,245.97 16.33%
15.001 - 16.000 144 17,356,790.27 45.29%
16.001 - 17.000 86 9,468,655.73 24.71%
17.001 - 18.000 43 3,321,080.17 8.67%
18.001 - 19.000 11 855,422.01 2.23%
19.001 - 20.000 1 44,764.45 0.12%
- --------- -----
Total/1/ 342 $ 38,323,854.01 100.00%
</TABLE>
/1/ Percentages may not add to 100% due to rounding.
MINIMUM LOAN RATE OF INITIAL GROUP II
ADJUSTABLE RATE HOME EQUITY LOANS
<TABLE>
<CAPTION>
% of Initial Group II
Number of Aggregate Principal Adjustable Rate Loans by
Minimum Loan Rate Loans Balance Outstanding Outstanding Principal Balance
- -------------------------- ----------------- --------------------- --------------------------------
<S> <C> <C> <C>
5.001 - 6.000 11 $ 1,547,695.04 4.04%
6.001 - 7.000 16 1,958,811.76 5.11%
7.001 - 8.000 20 2,425,479.09 6.33%
8.001 - 9.000 62 8,099,189.65 21.13%
9.001 - 10.000 138 15,821,516.18 41.28%
10.001 - 11.000 71 6,750,453.76 17.61%
11.001 - 12.000 20 1,472,953.38 3.84%
12.001 - 13.000 4 247,755.15 0.65%
- ---------- -----
Total/1/ 342 $ 38,323,854.01 100.00%
</TABLE>
/1/ Percentages may not add to 100% due to rounding.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
22
<PAGE>
PREPAYMENT SCENARIOS
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V
-------------- --------------- ---------------- --------------- --------------
<S> <C> <C> <C> <C> <C>
Adjustable Rate Home
Equity Loans (1) 18% 24% 30% 36% 42%
Fixed Rate Home Equity
Loans (2) 75% 100% 125% 150% 175%
</TABLE>
(1) As a conditional prepayment rate ("CPR") percentage.
(2) As a percentage of the Base Prepayment Assumption.
CPR PREPAYMENT SENSITIVITIES
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
To Call
HE: A-1A ARM 4.30 03/10 3.19 09/07 2.48 12/05 2.00 08/04 1.64 09/03
HE: A-1B ARM 4.29 03/10 3.18 09/07 2.47 12/05 1.98 08/04 1.62 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 11.74 10/11 8.99 11/08 7.13 01/07 5.76 09/05 4.71 09/04
HE: M-2 12.29 10/11 9.38 11/08 7.54 01/07 6.21 09/05 5.21 09/04
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 10.55 10/11 8.01 11/08 6.75 01/07 5.85 09/05 5.12 09/04
To Maturity
HE: M-1 11.91 11/12 9.17 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 10.64 07/29 9.06 07/29 7.96 07/29 7.11 07/29
</TABLE>
* The Certificates (other than the Class A-1A ARM and the Class A-1B ARM
Certificates) will be priced with respect to the Fixed Rate Home Equity Loans,
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 Loans in the first month of
the life of the Fixed Rate Home Equity Loans 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 Class A-1A ARM and Class A-1B ARM Certificates will be priced,
with respect to the Adjustable Rate Home Equity Loans, using a constant
prepayment rate of 30% CPR.
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.
23
