<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): May 5, 1999
GREEN TREE FINANCIAL CORPORATION
--------------------------------
Delaware 01-08916 41-1807858
- --------------------------------------------------------------------------------
(State or other jurisdiction (Commission (IRS employer
of incorporation) file number) identification No.)
1100 Landmark Towers, 345 St. Peter Street, Saint Paul, Minnesota 55102-1639
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(Address of principal executive offices)
Registrant's telephone number, including area code: (651) 293-3400
--------------------------
Not Applicable
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(Former name or former address, if changed since last report)
<PAGE>
Item 1. Changes in Control of Registrant.
--------------------------------
Not applicable.
Item 2. Acquisition or Disposition of Assets.
------------------------------------
Not applicable.
Item 3. Bankruptcy or Receivership.
-------------------------
Not applicable.
Item 4. Changes in Registrant's Certifying Accountant.
----------------------------------------------
Not applicable.
Item 5. Other Events.
------------
Not applicable.
Item 6. Resignations of Registrant's Directors.
--------------------------------------
Not applicable.
Item 7. Financial Statements and Exhibits.
---------------------------------
(a) Financial statements of businesses acquired.
Not applicable.
(b) Pro forma financial information.
Not applicable.
2
<PAGE>
(c) Exhibits.
The following is filed herewith. The exhibit numbers correspond
with Item 601(b) of Regulation S-K.
Exhibit No. Description
----------- -----------
99.1 Computational materials prepared by underwriter
in connection with the $800,000,000
(Approximate) Manufactured Housing Contract
Senior/Subordinate Pass-Through Certificates,
Series 1999-3, issued by Green Tree Financial
Corporation, as Seller and Servicer.
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this Report to be signed on its behalf by the
undersigned hereunto duly authorized.
GREEN TREE FINANCIAL CORPORATION
By: /s/ Scott T. Young
------------------------------------
Scott T. Young
Senior Vice President and Controller
3
<PAGE>
INDEX TO EXHIBITS
Exhibit Number
- --------------
99.1 Computational materials prepared by underwriter in connection with
the $800,000,000 (Approximate) Manufactured Housing Contract
Senior/Subordinate Pass-Through Certificates, Series 1999-3, to be
issued by Green Tree Financial Corporation, as Seller and Servicer.
4
<PAGE>
TERM SHEET DATED May 5, 1999
Green Tree Financial Corporation
Manufactured Housing Contract Senior/Subordinate
Pass-Through Certificates, Series 1999-3
$800,000,000 (Approximate)
Subject to Revision
SELLER/SERVICER: Green Tree Financial Corporation ("Green Tree").
TRUSTEE: U.S. Bank National Association, St. Paul,
Minnesota.
UNDERWRITERS: Merrill Lynch & Co. (Lead), Lehman Brothers,
NationsBanc Montgomery Securities LLC
<TABLE>
<CAPTION>
Ratings WAL @ Exp. Final
To Call Amount S&P/Fitch 175% MHP Maturity
<S> <C> <C> <C> <C>
A-1 $22,300,000 A-1+/F-1+ 0.28 12/99
A-2 $44,000,000 AAA/AAA 1.00 11/00
A-3 $57,500,000 AAA/AAA 2.00 1/02
A-4 $41,000,000 AAA/AAA 3.00 11/02
A-5 $100,200,000 AAA/AAA 5.00 6/06
A-6 $22,000,000 AAA/AAA 7.52 7/07
A-7 $58,500,000 AAA/AAA 9.94 7/11
A-8 $74,500,000 AAA/AAA 15.25 12/15
A-9 $250,000,000 AAA/AAA 6.36 12/15
M-1 $42,000,000 AA/AA 9.97 12/15
M-2 $24,000,000 A/A 9.97 12/15
B-1 $28,000,000 BBB+/BBB 6.00 10/07
B-2 $36,000,000 BBB-/BBB+ 13.30 12/15
To Maturity
A-8 $74,500,000 AAA/AAA 16.74 12/23
A-9 $250,000,000 AAA/AAA 6.63 12/23
M-1 $42,000,000 AA/AA 10.45 12/23
M-2 $24,000,000 A/A 10.45 12/23
B-2 $36,000,000 BBB-/BBB+ 17.87 8/29
</TABLE>
FOR INFORMATION CONCERNING CERTAIN RISK FACTORS THAT SHOULD BE CONSIDERED BY
PROSPECTIVE INVESTORS, SEE "RISK FACTORS" IN THE PROSPECTUS SUPPLEMENT AND
PROSPECTUS. CAPITALIZED TERMS USED HEREIN AND NOT OTHERWISE DEFINED HAVE THE
MEANINGS SET FORTH IN THE PROSPECTUS AND PROSPECTUS SUPPLEMENT.
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CUT-OFF DATE: May 1, 1999 (or the date of origination, if later)
EXP. PRICING: Week of May 3, 1999.
EXP. SETTLEMENT: May 27, 1999.
INTEREST/PRINCIPAL: The 1st day of each month (or if such 1st day is
not a business day, the next succeeding business
day), commencing on July 1, 1999.
OTHER CERTIFICATES: In addition to the Offered
Certificates, the Class C and Class B-3I
Certificates will be issued. The Class B-3I
Certificates will be interest-only Certificates
which are retained by an affiliate of Green Tree,
and fully subordinated to the Offered
Certificates.
MONEY MARKET ELIGIBILITY: The Class A-1 Certificates are expected to
be eligible securities for purchase by money
market funds under Rule 2a-7 under the
Investment Company Act of 1940, as amended.
A fund should consult with its advisors
regarding the eligibility of the Class A-1
Certificates under Rule 2a-7 and the fund's
investment policies and objectives.
ERISA: Subject to the conditions set forth in the
Prospectus Supplement, the Class A Certificates
are ERISA eligible. No transfer of a Class M or a
Class B Certificate will be permitted to be made
to any benefit plan unless such plan delivers an
opinion of counsel to the Trustee.
SMMEA: The Class A and the Class M-1 Certificates will
constitute "mortgage related securities" under the
Secondary Mortgage Market Enhancement Act of 1984
("SMMEA") and will be "legal investments" for
certain types of institutional investors to the
extent provided in that Act. The Class M-2, B-1
and B-2 Certificates are not SMMEA eligible.
TAX STATUS: Two separate REMIC Elections will be made with
respect to the Trust for federal income tax
purposes.
OPTIONAL REPURCHASE: Less than 10% of the original pool balance
outstanding.
CREDIT ENHANCEMENT:
Class A 16.25% subordination (Class M-1, M-2,
B-1 and B-2) plus Excess Spread
(Class B-3I)
Class M-1 11.00% subordination (Class M-2, B-1
and B-2) plus Excess Spread
(Class B-3I)
Class M-2 8.00% subordination (Class B-1 and
B-2) plus Excess Spread (Class B-3I)
Class B-1 4.50% subordination (Class B-2) plus
Excess Spread (Class B-3I)
Class B-2 Limited Guarantee plus Excess Spread
(Class B-3I)
THE CONTRACT POOL: On the Closing Date, the Trust expects to purchase
(i) manufactured housing contracts having an
aggregate principal balance of approximately
$647,819,239.32 as of the Cut-off Date (the
"Initial Contracts") and (ii) additional
manufactured housing contracts (the "Additional
Contracts").
2
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
DISTRIBUTIONS: Certificateholders will be entitled to receive on
each Remittance Date commencing in July 1999, to
the extent that the Amount Available in the
Certificate Account (together with, in the case of
the Class B-2 Certificates, the Guarantee Payment,
as described below) is sufficient therefor,
distributions allocable to interest and principal,
as described in the Prospectus Supplement. The
Amount Available on each Remittance Date generally
includes the sum of (i) payments on the Contracts
due and received during the related Due Period,
(ii) prepayments and other unscheduled collections
received during the related Due Period, and (iii)
all collections of principal on the Contracts
received during the Due Period in which such
Remittance Date occurs up to and including the
third business day prior to such Remittance Date
(but in no event later than the 25th day of the
month prior to such Remittance Date), minus (iv)
with respect to all Remittance Dates other than
the Remittance Date in July 1999, all collections
in respect of principal on the Contracts received
during the related Due Period up to and including
the third business day prior to the preceding
Remittance Date (but in no event later than the
25th day of the prior month).
The Amount Available in the Certificate Account
with respect to any Distribution Date will be
applied first to the distribution of interest on
the Class A, Class M-1, Class M-2 and Class B-1
Certificates, and then to the distribution of
principal on the Class A, Class M-1, Class M-2 and
Class B-1 Certificates, in the manner and order of
priority described below, and then to the
distribution of interest and principal on the
Class B-2 Certificates.
The "Due Period" with respect to all Remittance
Dates other than the Remittance Date in July 1999,
is the period from and including the 16th day of
the second month preceding such Remittance Date,
to and including the 15th day of the month
immediately preceding such Remittance Date.
With respect to the Remittance Date in July 1999,
the Due Period is the period from and including
May 1, 1999 to and including June 15, 1999.
INTEREST ON THE CLASS A,
CLASS M-1, CLASS M-2 AND
CLASS B-1 CERTIFICATES: Interest will be distributable first to each class
of the Class A Certificates, then to the Class M-1
Certificates, then to the Class M-2 Certificates
and then to the Class B-1 Certificates. Interest
on the outstanding Class A Principal Balance,
Class M-1 Adjusted Principal Balance, Class M-2
Adjusted Principal Balance, and Class B-1 Adjusted
Principal Balance, as applicable, will accrue from
the Settlement Date or from the most recent
Remittance Date on which interest has been paid,
to but excluding the following Remittance Date.
Each Class of Certificates will bear interest at a
fixed Pass-Through Rate calculated on a 30/360
basis, except the Class A-1 Certificates, which
will bear interest at a fixed Pass-Through Rate
calculated on an actual/360 basis.
The "Class M-1 Adjusted Principal Balance" as of
any Remittance Date is the Class M-1 Principal
Balance less any Class M-1 Liquidation Loss
Amount. The Class M-1 Principal Balance is the
Original Class M-1 Principal Balance less all
amounts previously distributed on account of
principal of the Class M-1 Certificates.
The "Class M-2 Adjusted Principal Balance" as of
any Remittance Date is the Class M-2 Principal
Balance less any Class M-2 Liquidation Loss
Amount. The Class M-2
3
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
Principal Balance is the Original Class M-2
Principal Balance less all amounts previously
distributed on account of principal of the Class
M-2 Certificates.
The "Class B-1 Adjusted Principal Balance" as of
any Remittance Date is the Class B-1 Principal
Balance less any Class B-1 Liquidation Loss
Amount. The Class B-1 Principal Balance is the
Original Class B-1 Principal Balance less all
amounts previously distributed on account of
principal of the Class B-1 Certificates.
In the event that, on a particular Remittance
Date, the Amount Available in the Certificate
Account, after payment of interest on each Class
of Certificates that is senior to such Class of
Certificates, is not sufficient to make a full
distribution of interest to the holders of such
Class of Certificates, the amount of interest to
be distributed in respect of such Class will be
allocated among the outstanding Certificates of
such Class pro rata in accordance with their
respective entitlements to interest, and the
amount of the shortfall will be carried forward
and added to the amount such holders will be
entitled to receive on the next Remittance Date.
Any such amount so carried forward will bear
interest at the applicable Remittance Rate, to the
extent legally permissible.
PRINCIPAL ON THE CLASS A,
CLASS M-1, CLASS M-2 AND
CLASS B-1 CERTIFICATES: The Class A Certificates are divided into two
Groups. The Class A Group I is comprised of the
Class A-1, A-2, A-3, A-4, A-5, A-6, A-7, and A-8
Certificates. The Class A Group II is comprised of
the Class A-9 Certificates. The Class A Percentage
will be distributed pro-rata among the Class A
Group I and Class A Group II. The portion of the
Class A Percentage allocable to Class A Group I
will be distributed sequentially to the Class A-1,
A-2, A-3, A-4, A-5, A-6, A-7, and A-8
Certificateholders.
The Class A Percentage for any Remittance Date
will equal a fraction, expressed as a percentage,
the numerator of which is the Class A Principal
Balance as of such Remittance Date, and the
denominator of which is the sum of: (i) the Class
A Principal Balance, (ii) if the Class M-1
Distribution Test is satisfied on such Remittance
Date, the Class M-1 Principal Balance, otherwise
zero, (iii) if the Class M-2 Distribution Test is
satisfied on such Remittance Date, the Class M-2
Principal Balance, otherwise zero, and (iv) if the
Class B Distribution Test is satisfied on such
Remittance Date, the Class B Principal Balance,
otherwise zero, all as of such Remittance Date.
The Class M-1 Certificateholders will be entitled
to receive principal on each Remittance Date on
which (i) the Class A Principal Balance has been
reduced to zero or (ii) the Class M-1 Distribution
Test is satisfied.
The Class M-1 Percentage for any Remittance Date
will equal (a) zero, if the Class A Principal
Balance has not yet been reduced to zero and the
Class M-1 Distribution Test is not satisfied or
(b) a fraction, expressed as a percentage, the
numerator of which is the Class M-1 Principal
Balance as of such Remittance Date, and the
denominator of which is the sum of: (i) the Class
A Principal Balance, if any, (ii) the Class M-1
Principal Balance, (iii) if the Class M-2
Distribution Test is satisfied on such Remittance
Date, the Class M-2 Principal Balance, otherwise
zero and (iv) if the Class B Distribution Test is
satisfied on such Remittance Date, the Class B
Principal Balance, otherwise zero, all as of such
Remittance Date.
4
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
The Class M-1 Distribution Test will be satisfied
if each of the following tests is satisfied: (i)
the Remittance Date occurs in or after July 2003;
(ii) the Average Sixty-Day Delinquency Ratio Test
(as defined in the Agreement) as of such
Remittance Date must not exceed 4.50%; (iii)
Cumulative Realized Losses (as defined in the
Agreement) as of such Remittance Date must not
exceed a certain specified percentage of the
Cut-off Date Pool Principal Balance, depending on
the year in which such Remittance Date occurs;
(iv) the Current Realized Loss Ratio (as defined
in the Agreement) as of such Remittance Date must
not exceed 2.75%; and (v) the sum of the Class M-1
Principal Balance, the Class M-2 Principal
Balance, and the Class B Principal Balance divided
by the Pool Scheduled Principal Balance as of the
immediately preceding Remittance Date must be
equal to or greater than 24.375%.
The Class M-2 Certificateholders will be entitled
to receive principal on each Remittance Date on
which (i) the Class A Principal Balance and Class
M-1 Principal Balance have been reduced to zero or
(ii) the Class M-2 Distribution Test is satisfied.
The Class M-2 Percentage for any Remittance Date
will equal (a) zero, if the Class A Principal
Balance and Class M-1 Principal Balance have not
yet been reduced to zero and the Class M-2
Distribution Test is not satisfied or (b) a
fraction, expressed as a percentage, the numerator
of which is the Class M-2 Principal Balance as of
such Remittance Date, and the denominator of which
is the sum of: (i) the Class A Principal Balance,
if any, (ii) the Class M-1 Principal Balance, if
any, (iii) the Class M-2 Principal Balance, and
(iv) if the Class B Distribution Test is satisfied
on such Remittance Date, the Class B Principal
Balance, otherwise zero, all as of such Remittance
Date.
The Class M-2 Distribution Test will be satisfied
if each of the following tests is satisfied: (i)
the Remittance Date occurs in or after July 2003;
(ii) the Average Sixty-Day Delinquency Ratio Test
(as defined in the Agreement) as of such
Remittance Date must not exceed 4.50%; (iii)
Cumulative Realized Losses (as defined in the
Agreement) as of such Remittance Date must not
exceed a certain specified percentage of the
Cut-off Date Pool Principal Balance, depending on
the year in which such Remittance Date occurs;
(iv) the Current Realized Loss Ratio (as defined
in the Agreement) as of such Remittance Date must
not exceed 2.75%; and (v) the sum of the Class M-2
Principal Balance and the Class B Principal
Balance divided by the Pool Scheduled Principal
Balance as of the immediately preceding Remittance
Date must be equal to or greater than 16.50%.
The Class B-1 Certificateholders will be entitled
to receive principal on each Remittance Date on
which (i) the Class A Principal Balance, the Class
M-1 Principal Balance and the Class M-2 Principal
Balance have been reduced to zero or (ii) the
Class B Distribution Test is satisfied.
The Class B Percentage for any Remittance Date
will equal (a) zero, if the Class A Principal
Balance, the Class M-1 Principal Balance and the
Class M-2 Principal Balance have not yet been
reduced to zero and the Class B Distribution Test
is not satisfied or (b) a fraction, expressed as a
percentage, the numerator of which is the Class B
Principal Balance as of such Remittance Date, and
the denominator of which is the sum of: (i) the
Class A Principal Balance, if any, (ii) the Class
M-1 Principal Balance, if any, (iii) the Class M-2
Principal Balance, if any, and (iv) the Class B
Principal Balance, all as of such Remittance Date.
5
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
The Class B Distribution Test will be satisfied if
each of the following tests is satisfied: (i) the
Remittance Date occurs in or after July 2003; (ii)
the Average Sixty-Day Delinquency Ratio Test (as
defined in the Agreement) as of such Remittance
Date must not exceed 4.50%; (iii) the Cumulative
Realized Losses (as defined in the Agreement) as
of such Remittance Date must not exceed a certain
specified percentage of the Cut-off Date Pool
Principal Balance, depending on the year in which
such Remittance Date occurs; (iv) the Current
Realized Loss Ratio (as defined in the Agreement)
as of such Remittance Date must not exceed 2.75%;
(v) the Class B Principal Balance divided by the
Pool Scheduled Principal Balance as of the
immediately preceding Remittance Date must be
equal to or greater than 12.00%; and (vi) the
Class B Principal Balance must not be less than
$16,000,000.
CLASS B-2 INTEREST: Interest on the outstanding Class B-2 Principal
Balance will accrue from the Settlement Date, or
from the most recent Remittance Date on which
interest has been paid to but excluding the
following Remittance Date.
To the extent of (i) the remaining Amount
Available, if any, for a Remittance Date after
payment of all interest and principal then payable
on the Class A, Class M-1, Class M-2 and Class B-1
Certificates, and (ii) the Guarantee Payment, if
any, for such date, interest will be paid to the
Class B-2 Certificateholders on such Remittance
Date at the Class B-2 Remittance Rate on the then
outstanding Class B-2 Principal Balance. The Class
B-2 Principal Balance is the Original Class B-2
Principal Balance less all amounts previously
distributed to the Class B-2 Certificateholders
(including any Guarantee Payments) on account of
principal.
In the event that, on a particular Remittance
Date, the remaining Amount Available in the
Certificate Account plus any amounts actually paid
under the Limited Guarantee are not sufficient to
make a full distribution of interest to the Class
B-2 Certificateholders, the amount of the
deficiency will be carried forward as an amount
that the Class B-2 Certificateholders are entitled
to receive on the next Remittance Date. Any amount
so carried forward will, to the extent legally
permissible, bear interest at the Class B-2
Remittance Rate.
CLASS B-2 PRINCIPAL: Except for payments of the Class B-2 Liquidation
Loss Amount under the Limited Guarantee, the Class
B-2 Certificateholders will be entitled to receive
principal on each Remittance Date on which (i) the
Class B-1 Principal Balance has been reduced to
zero and (ii) the Class B Distribution Test is
satisfied; provided, however, that if the Class A
Principal Balance, the Class M-1 Principal
Balance, the Class M-2 Principal Balance and the
Class B-1 Principal Balance have been reduced to
zero, the Class B-2 Certificateholders will
nevertheless be entitled to receive principal. See
"Description of the Certificates--Class B-2
Principal" in the Prospectus Supplement.
On each Remittance Date on which the Class B-2
Certificateholders are entitled to receive
principal, the Class B Percentage of the Formula
Principal Distribution Amount will be distributed,
to the extent of the remaining Amount Available
after payment of interest on the Class B-2
Certificates, to the Class B-2 Certificateholders
until the Class B-2 Principal Balance has been
reduced to zero. The Company will be obligated
under the Limited Guarantee to pay the amount, if
any, by which the Class B Percentage of the
Formula Principal Distribution Amount for such
Remittance Date exceeds the remaining Amount
Available after payment of interest on the Class
B-2 Certificates.
6
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
LOSSES ON LIQUIDATED
CONTRACTS: If Net Liquidation Proceeds from Liquidated
Contracts in the respective collection period are
less than the Scheduled Principal Balance of such
Liquidated Contract, the shortfall amount will be
absorbed by the Class B-3I Certificateholders,
then the Monthly Servicing Fee (as long as Green
Tree is the Servicer), then the Class B-2
Certificateholders, then the Class B-1
Certificateholders, then the Class M-2
Certificateholders and then the Class M-1
Certificateholders, since a portion of the Amount
Available equal to such shortfall and otherwise
distributable to them will be paid to the Class A
Certificateholders.
CONTRACT CHARACTERISTICS
The information presented below relates to the Initial Contracts, which will
represent approximately 81% of the Contract Pool. Although the characteristics
of the final pool of Contracts will differ from the characteristics of the
Initial Contracts shown below, Green Tree does not expect that the
characteristics of the Additional Contracts sold to the Trust will vary
materially from the information concerning the Initial Contracts herein.
THE INITIAL CONTRACT POOL
Number of MHCs in pool: 15,314
Wgt. Avg. Contract Rate: 9.273%
Range of Rates: 4.250% - 16.750%
Wgt. Avg. Orig. Maturity: 318.0 months
Wgt. Avg. Rem. Maturity: 315.5 months
Avg. Rem Princ. Balance: $42,302
Wgt. Avg. LTV: 87.99%
New/Used: 76.83% / 23.17%
Park/Private: 27.11% / 72.89%
Single/Double: 28.03% / 71.97%
Land/Home: 36.45%
Land in Lieu: 0.18%
Step Rate: 2.81%
Conventional: 97.19%
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
GEOGRAPHIC DISTRIBUTION OF INITIAL CONTRACT OBLIGORS
<TABLE>
<CAPTION>
Number of Aggregate Principal % of Initial
Contracts Balance Outstanding as Cutoff Date Pool
State as of Cutoff Date of Cutoff Date Principal Balance
- ----- ----------------- ---------------------- -----------------
<S> <C> <C> <C>
Alabama 968 $31,800,595.21 4.91%
Alaska 2 195,446.67 0.03
Arizona 326 15,486,992.68 2.39
Arkansas 387 11,875,206.20 1.83
California 455 19,842,821.73 3.06
Colorado 344 19,248,993.20 2.97
Connecticut 6 161,102.81 0.02
Delaware 75 3,168,098.51 0.49
Florida 888 40,853,603.32 6.32
Georgia 986 38,367,420.66 5.92
Idaho 55 2,855,715.81 0.44
Illinois 199 6,773,835.57 1.05
Indiana 374 16,562,807.27 2.56
Iowa 164 5,729,407.52 0.88
Kansas 215 9,700,310.20 1.50
Kentucky 390 13,106,460.40 2.02
Louisiana 410 14,515,108.48 2.24
Maine 105 4,504,457.01 0.70
Maryland 68 1,950,635.97 0.30
Massachusetts 7 480,297.91 0.07
Michigan 756 40,908,047.73 6.32
Minnesota 206 7,219,804.49 1.11
Mississippi 408 13,686,372.29 2.11
Missouri 461 16,825,131.03 2.60
Montana 94 3,992,544.33 0.62
Nebraska 59 2,630,469.27 0.41
Nevada 172 10,224,908.80 1.58
New Hampshire 65 2,958,925.72 0.46
New Jersey 11 341,214.77 0.05
New Mexico 258 12,655,407.82 1.95
New York 176 6,699,494.23 1.03
North Carolina 1,594 77,646,490.80 12.00
North Dakota 46 1,572,340.38 0.24
Ohio 317 14,192,832.38 2.19
Oklahoma 343 12,578,169.95 1.94
Oregon 193 14,407,968.51 2.22
Pennsylvania 184 7,225,815.69 1.12
Rhode Island 1 30,900.00 0.00
South Carolina 746 31,838,866.99 4.91
South Dakota 78 2,563,999.60 0.40
Tennessee 432 17,097,208.78 2.64
Texas 1,298 51,072,555.53 7.89
Utah 68 3,770,074.22 0.58
Vermont 38 1,646,257.99 0.25
Virginia 317 11,246,979.62 1.74
Washington 199 13,808,792.45 2.13
West Virginia 186 5,526,669.16 0.85
Wisconsin 127 3,714,988.92 0.57
Wyoming 57 2,556,690.74 0.39
------ --------------- ------
15,314 $647,819,239.32 100.00%
====== =============== ======
</TABLE>
8
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
YEAR OF ORIGINATION OF INITIAL CONTRACTS
<TABLE>
<CAPTION>
Number of Aggregate Principal Balance % of Initial Cutoff Date
Year of Contracts as of Outstanding as of Pool
Origination Cutoff Date Cutoff Date Principal Balance
- ----------- --------------- --------------------------- ------------------------
<S> <C> <C> <C>
1985 42 $165,653.15 0.03%
1986 17 81,074.58 0.01
1987 999 9,641,410.54 1.49
1990 11 178,772.29 0.03
1994 2 101,789.96 0.02
1996 1 85,273.46 0.01
1997 15 1,215,005.31 0.19
1998 1,119 97,002,553.19 14.97
1999 13,108 539,347,706.84 83.25
------ -------------- -----
15,314 $647,819,239.32 100.00%
====== =============== =======
</TABLE>
DISTRIBUTION OF ORIGINAL INITIAL CONTRACTS AMOUNTS
<TABLE>
<CAPTION>
Aggregate Principal % of Initial Cutoff Date
Number of Contracts as Balance Outstanding Pool
Original Contract Amount ($) of Cutoff Date as of Cutoff Date Principal Balance
- ---------------------------- ---------------------- ------------------- ------------------------
<S> <C> <C> <C>
Less than or equal to 10,000.00 402 $3,110,558.93 0.48%
10,000.01 - 20,000.00 2,343 30,526,404.12 4.71
20,000.01 - 30,000.00 3,048 72,769,227.56 11.23
30,000.01 - 40,000.00 2,886 98,598,617.50 15.21
40,000.01 - 50,000.00 1,891 84,005,433.92 12.97
50,000.01 - 60,000.00 1,420 77,598,488.92 11.98
60,000.01 - 70,000.00 970 62,764,127.85 9.69
70,000.01 - 80,000.00 718 53,729,085.58 8.29
80,000.01 - 90,000.00 569 48,118,881.04 7.43
90,000.01 - 100,000.00 439 41,570,551.68 6.42
100,000.01 - 110,000.00 259 27,074,870.23 4.18
110,000.01 - 120,000.00 143 16,387,086.48 2.53
120,000.01 - 130,000.00 97 12,048,514.58 1.86
130,000.01 - 140,000.00 51 6,891,667.39 1.06
140,000.01 - 150,000.00 36 5,219,332.64 0.81
150,000.01 - 160,000.00 15 2,307,095.12 0.36
160,000.01 - 170,000.00 5 820,538.14 0.13
170,000.01 - 180,000.00 3 516,547.92 0.08
180,000.01 - 190,000.00 7 1,305,676.52 0.20
190,000.01 - 200,000.00 9 1,751,795.46 0.27
Over 200,000.00 3 704,737.74 0.11
------ --------------- ------
15,314 $647,819,239.32 100.00%
====== =============== ======
</TABLE>
9
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
DISTRIBUTION OF ORIGINAL LOAN-TO-VALUE RATIOS OF INITIAL CONTRACTS
<TABLE>
<CAPTION>
Aggregate Principal
Number of Contracts Balance Outstanding % of Initial Cutoff Date
Loan-to-Value Ratio as of Cutoff Date as of Cutoff Date Pool Principal Balance
- ------------------- ------------------- -------------------- ------------------------
<S> <C> <C> <C>
Less than 61.00 565 $18,657,890.74 2.88%
61.00 - 65.99 186 7,796,136.19 1.20
66.00 - 70.99 274 13,478,326.03 2.08
71.00 - 75.99 387 17,272,415.15 2.67
76.00 - 80.99 1,219 50,668,072.37 7.82
81.00 - 85.99 1,229 58,142,071.92 8.98
86.00 - 90.99 5,469 226,834,955.27 35.01
91.00 - 95.99 4,154 183,637,540.43 28.35
96.00 - 100.00 1,831 71,331,831.22 11.01
----- ------------- -----
15,314 $647,819,239.32 100.00%
====== =============== ======
</TABLE>
INITIAL CONTRACT RATES
<TABLE>
<CAPTION>
Aggregate Principal
Number of Contracts Balance Outstanding % of Initial Cutoff Date
Contract Rate as of Cutoff Date as of Cutoff Date Pool Principal Balance
- ------------- ------------------- ------------------- ------------------------
<S> <C> <C> <C>
0.001 - 5.000 6 $585,323.39 0.09%
5.001 - 6.000 59 5,127,914.20 0.79
6.001 - 7.000 983 83,805,434.98 12.94
7.001 - 8.000 1,440 102,242,163.05 15.78
8.001 - 9.000 2,286 131,348,469.27 20.28
9.001 - 10.000 2,966 125,637,658.07 19.39
10.001 - 11.000 2,452 88,161,303.09 13.61
11.001 - 12.000 2,085 58,330,092.02 9.00
12.001 - 13.000 1,498 33,374,159.99 5.15
13.001 - 14.000 1,158 15,626,840.97 2.41
14.001 - 15.000 243 2,302,294.05 0.36
15.001 - 16.000 116 1,083,450.73 0.17
Over 16.000 22 194,135.51 0.03
------ --------------- ------
15,314 $647,819,239.32 100.00%
====== =============== ======
</TABLE>
10
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL CONTRACTS
<TABLE>
<CAPTION>
Aggregate Principal
Remaining Mos. Number of Contracts Balance Outstanding % of Initial Cutoff Date
To Maturity as of Cutoff Date as of Cutoff Date Pool Principal Balance
- -------------- ------------------- ------------------- ------------------------
<S> <C> <C> <C>
Less than 31 110 $342,457.35 0.05%
31 - 60 1,034 8,760,519.57 1.35
61 - 90 328 4,776,690.84 0.74
91 - 120 948 16,986,586.25 2.62
121 - 150 314 6,894,530.16 1.06
151 - 180 1,672 40,925,089.63 6.32
181 - 210 97 3,385,132.18 0.52
211 - 240 1,965 62,083,591.60 9.58
241 - 270 47 2,068,485.59 0.32
271 - 300 1,270 47,271,860.35 7.30
301 - 330 37 1,723,305.47 0.27
331 - 360 7,492 452,600,990.33 69.87
----- -------------- -----
15,314 $647,819,239.32 100.00%
====== =============== ======
</TABLE>
11
[MERRILL LYNCH LOGO]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
MHP PREPAYMENT SENSITIVITIES (1)
<TABLE>
<CAPTION>
75% MHP 100% MHP 125% MHP 150% MHP
------- -------- -------- --------
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
<S> <C> <C> <C> <C>
To Call
A-1 0.50 5/00 0.42 3/00 0.36 2/00 0.32 1/00
A-2 1.77 12/01 1.48 7/01 1.27 4/01 1.12 1/01
A-3 3.59 2/04 2.97 4/03 2.55 9/02 2.24 4/02
A-4 5.50 10/05 4.54 9/04 3.87 11/03 3.37 4/03
A-5 9.35 2/12 7.80 3/10 6.68 9/08 5.79 6/07
A-6 13.54 10/13 11.51 9/11 9.92 2/10 8.65 9/08
A-7 16.97 3/19 14.71 12/16 12.86 11/14 11.32 2/13
A-8 23.05 9/23 20.92 9/21 18.80 7/19 16.95 9/17
A-9 10.63 9/23 9.25 9/21 8.12 7/19 7.19 9/17
M-1 15.57 9/23 13.67 9/21 12.00 7/19 10.73 9/17
M-2 15.57 9/23 13.67 9/21 12.00 7/19 10.73 9/17
B-1 9.89 2/13 8.32 2/11 7.09 6/09 6.27 4/08
B-2 20.30 9/23 18.18 9/21 16.18 7/19 14.55 9/17
To Maturity
A-8 24.07 3/28 22.18 8/27 20.27 8/26 18.45 5/25
A-9 10.81 3/28 9.48 8/27 8.38 8/26 7.46 5/25
M-1 15.87 3/28 14.04 8/27 12.44 8/26 11.18 5/25
M-2 15.87 3/28 14.04 8/27 12.44 8/26 11.18 5/25
B-2 22.56 8/29 21.16 8/29 19.93 8/29 18.78 8/29
</TABLE>
12
[MERRILL LYNCH LOGO]
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
MHP PREPAYMENT SENSITIVITIES (1) (continued)
<TABLE>
<CAPTION>
175% MHP 200% MHP 250% MHP 300% MHP
-------- -------- -------- --------
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
<S> <C> <C> <C> <C>
To Call
A-1 0.28 12/99 0.25 12/99 0.21 11/99 0.19 10/99
A-2 1.00 11/00 0.90 10/00 0.75 7/00 0.65 5/00
A-3 2.00 1/02 1.82 10/01 1.53 5/01 1.33 2/01
A-4 3.00 11/02 2.70 7/02 2.27 1/02 1.97 9/01
A-5 5.00 6/06 4.38 7/05 3.53 3/04 3.00 4/03
A-6 7.52 7/07 6.59 7/06 5.16 1/05 4.11 11/03
A-7 9.94 7/11 8.78 3/10 6.98 2/08 5.63 7/06
A-8 15.25 12/15 13.77 6/14 11.39 1/12 9.56 3/10
A-9 6.36 12/15 5.68 6/14 4.63 1/12 3.86 3/10
M-1 9.97 12/15 9.32 6/14 8.30 1/12 7.54 3/10
M-2 9.97 12/15 9.32 6/14 8.30 1/12 7.54 3/10
B-1 6.00 10/07 5.78 4/07 5.46 8/06 5.24 2/06
B-2 13.30 12/15 12.26 6/14 10.59 1/12 9.34 3/10
To Maturity
A-8 16.74 12/23 15.19 6/22 12.63 5/19 10.61 11/16
A-9 6.63 12/23 5.93 6/22 4.85 5/19 4.05 11/16
M-1 10.45 12/23 9.82 6/22 8.83 5/19 8.08 11/16
M-2 10.45 12/23 9.82 6/22 8.83 5/19 8.08 11/16
B-2 17.87 8/29 17.03 8/29 15.30 8/29 13.70 8/29
</TABLE>
(1) The following are the assumed characteristics of Additional Contracts as of
the Cut-off Date:
<TABLE>
<CAPTION>
Remaining Wgt. Avg. Wgt. Avg.
Months to Aggregate Principal Original Remaining Wgt. Avg.
Maturity Balance Outstanding Term (months) Term (months) Contract Rate
- --------- ------------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
0-120 $7,250,865.26 89 89 12.070%
121-180 11,233,420.80 174 174 10.982
181-240 15,379,413.86 237 237 10.388
241-300 11,590,658.20 297 297 10.330
301-360 106,726,402.57 359 359 8.628
---------------
TOTAL $152,180,760.68
===============
</TABLE>
13
[MERRILL LYNCH LOGO]
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
The attached tables and other statistical analyses (the "Term Sheet") are
privileged and confidential and are intended for use by the addressee only. This
Term Sheet is furnished to you solely by Merrill Lynch, Pierce, Fenner & Smith
Incorporated ("Merrill Lynch") and not by the issuer of the securities or any of
its affiliates. The issuer of these securities has not prepared or taken part in
the preparation of these materials. Neither Merrill Lynch, the issuer of the
securities nor any of its affiliates makes any representation as to the accuracy
or completeness of the information herein. The information herein is
preliminary, and will be subsequently filed with the Securities and Exchange
Commission. They may not be provided to any third party other than the
addressee's legal, tax, financial and/or accounting advisors for the purposes of
evaluating said material.
Numerous assumptions were used in preparing the Term Sheet which may or may
not be stated therein. As such, no assurance can be given as to the accuracy,
appropriateness or completeness of the Term Sheet in any particular context; or
as to whether the Term Sheet and/or the assumptions upon which it is based
reflect present market conditions or future market performance. This Term Sheet
should not be construed as either projections or predictions or as legal, tax,
financial or accounting advice.
Any yields or weighted average lives shown in the Term Sheet are based on
prepayment assumptions and actual prepayment experience may dramatically affect
such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Term Sheet. Furthermore, unless otherwise
provided, the Term Sheet assumes no losses on the underlying assets and no
interest shortfall. The specific characteristics of the securities may differ
from those shown in the Term Sheet due to differences between the actual
underlying assets and the hypothetical assets used in preparing the Term Sheet.
The principal amount and designation of any security described in the Term Sheet
are subject to change prior to issuance.
Although a registration statement (including the prospectus) relating to
the securities discussed in this communication has been filed with the
Securities and Exchange Commission and is effective, the final prospectus
supplement relating to the securities discussed in this communication has not
been filed with the Securities and Exchange Commission. This communication shall
not constitute an offer to sell or the solicitation of an offer to buy nor shall
there be any sale of the securities discussed in this communication in any state
in which such offer, solicitations or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the securities discussed in this communication for final
information on any matter discussed in this communication. All information in
this Term Sheet will be superseded by the information in the final prospectus
and prospectus supplement. A final prospectus and prospectus supplement may be
obtained by contacting the Merrill Lynch Trading Desk at (212) 449-3659.
Please be advised that asset-backed securities may not be appropriate for
all investors. Potential investors must be willing to assume, among other
things, market price volatility, prepayments, yield curve and interest rate
risk. Investors should fully consider the risk of an investment in these
securities.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
14
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Recipients must read the information contained in the attached statement. Do not
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