<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): February 19, 1999
GREEN TREE FINANCIAL CORPORATION
--------------------------------
(Exact name of registrant as specified in its charter)
Delaware 333-63305 41-1807858
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(State or other jurisdiction (Commission (IRS employer
of incorporation) file number) identification No.)
1100 Landmark Towers, 345 St. Peter Street, Saint Paul, Minnesota 55102-1639
----------------------------------------------------------------------------
(Address of principal executive offices)
Registrant's telephone number, including area code: (612) 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 Terms Sheet dated February 19, 1999 distributed
in connection with $1,200,000,000 (approximate)
Certificates for Home Equity Loans, Series
1999-A, issued by Green Tree Financial
Corporation, as Seller and Servicer.
3
<PAGE>
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
4
<PAGE>
INDEX TO EXHIBITS
Exhibit Number Page
- -------------- ----
99.1 Terms Sheet dated February 19, 1999 distributed in
connection with $1,200,000,000 (approximate)
Certificates for Home Equity Loans, Series 1999-A,
issued by Green Tree Financial Corporation, as Seller
and Servicer.
5
<PAGE>
ABS New Transaction
Computational Materials
-----------------------
$1,200,000,000 (approx.)
Green Tree Financial Corporation
[GREEN TREE LOGO]
Certificates for Home Equity Loans Series 1999-A
February 19, 1999
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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 "Computational
Material") are privileged and confidential and are intended for use by the
addressee only. These Computational Materials are 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 superseded by the
applicable prospectus supplement and by any other information 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 Computational Material which may
or may not be stated therein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials and/or the
assumptions upon which they are based reflect present market conditions or
future market performance. These Computational Materials 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 Computational Materials 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 Computational Materials.
Furthermore, unless otherwise provided, the Computational Materials assume no
losses on the underlying assets and no interest shortfall. The specific
characteristics of the securities may differ from those shown in the
Computational Materials due to differences between the actual underlying assets
and the hypothetical assets used in preparing the Computational Materials. The
principal amount and designation of any security described in the Computational
Materials 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, solicitation 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
definitive Computational Materials on any matter discussed in this
communication. A final prospectus and prospectus supplement may be obtained by
contacting the Merrill Lynch Trading Desk at (212) 449-3659.
Please be advised that mortgage-backed and/or 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 risks. 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.
[LOGO OF MERRILL LYNCH] 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>
TERM SHEET DATED February 19, 1999
Green Tree Financial Corporation
Certificates for Home Equity Loans, Series 1999-A
$1,200,000,000 (Approximate)
Subject to Revision
SELLER/SERVICER: Green Tree Financial Corporation ("Green Tree")
TRUSTEE: U.S. Bank Trust National Association
UNDERWRITERS: Merrill Lynch (Lead), Chase Securities (Co), Credit
Suisse First Boston (Co), First Union (Co), and
Lehman Brothers (Co)
OFFERED CERTIFICATES:
<TABLE>
<CAPTION>
Ratings WAL at Exp Final
Amount (S&P/Fitch) 125% Prepayment Model(1) Maturity
------------ ------------ ------------------------ ---------
To Call:
<S> <C> <C> <C> <C>
A-1A ARM $150,000,000 AAA / AAA 2.44 08/05
(Conforming Loans) (Conforming
Loans)
A-1B ARM 150,000,000 AAA / AAA 2.44 08/05
A-1 282,000,000 AAA / AAA 0.90 10/00
A-2 135,000,000 AAA / AAA 2.00 08/01
A-3 131,000,000 AAA / AAA 3.00 12/02
A-4 59,500,000 AAA / AAA 4.45 12/04
A-5 NAS 67,500,000 AAA / AAA 4.50 12/04
A-6 IO (2) 120,000,000 AAA / AAA 1.99 03/01
M-1 72,000,000 AA / AA 7.14 09/06
M-2 61,200,000 A / A 7.49 09/06
B-1 43,800,000 BBB / BBB 3.98 05/04
B-2A 24,000,000 BBB / BBB 0.51 05/00
To Maturity
M-1 $72,000,000 AA / AA 7.30 08/07
M-2 61,200,000 A / A 10.00 06/11
B-1 43,800,000 BBB / BBB 3.98 05/04
B-2A 24,000,000 BBB / BBB 0.51 05/00
</TABLE>
OTHER CERTIFICATES: The B-2 Certificates are not offered hereby. They
will be retained by the Seller or an affiliate
thereof.
- ----------
(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
Contracts, using 125% of the Base Prepayment Assumption. The Base
Prepayment Assumption assumes a conditional prepayment rate of 4% per annum
of the then outstanding principal balance of the Fixed Rate Home Equity
Contracts in the first month of the life of the Fixed Rate Home Equity
Contracts and an additional 1.45% (precisely, 16/11%) per annum in each
month thereafter until the twelfth month. Beginning in the twelfth month
and in each month thereafter, the conditional prepayment rate is 20%. The
Class A-1A ARM and Class A-1B ARM Certificates will be priced, with respect
to the Adjustable Rate Home Equity Contracts, using a constant prepayment
rate of 30% CPR.
(2) Interest will be based on a notional principal amount which will equal
$120,000,000 (or the Class A Principal Balance for such Payment Date, if
less) for the first 24 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.
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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: February 1, 1999 (or the date of origination, if
later), in each case for contracts other than
Subsequent Contracts. For each Subsequent Contract,
the date of purchase by the Trust.
EXP. PRICING: February 23, 1999.
EXP. SETTLEMENT: March 18, 1999.
INTEREST/PRINCIPAL: The 15th day of each month (or if such 15th day is
not a business day, the next succeeding business day)
commencing on April 15, 1999.
ERISA: 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.
COLLATERAL: 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 Contracts" and fixed-
rate closed-end home equity loans (the "Fixed Rate
Home Equity Contracts") together with the Adjustable
Rate Home Equity Contracts(the "Home Equity
Contracts").
ADDITIONAL COLLATERAL: The data set forth below with respect to the Pool is
based solely on the contracts identified for
inclusion in the Pool as of the Cut-off Date
("Original Home Equity Contracts"). Certain
additional contracts will be identified for inclusion
in the Pool prior to the Closing Date ("Additional
Home Equity Contracts"). During a limited period
following the Closing Date, the Trust Fund will
purchase subsequent contracts ("Subsequent Home
Equity Contracts"). It is expected that the
Additional and Subsequent Home Equity Contracts will
have characteristics which are substantially similar
to the original contracts.
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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>
HOME EQUITY CERTIFICATE STRUCTURE
CREDIT ENHANCEMENT: Class A: 18.75% subordination (Class M-1, M-2,
B-1, B-2A and B-2) & Residual (Class C)
Class M-1: 12.75% subordination (Class M-2, B-1,
B-2A and B-2) & Residual (Class C)
Class M-2: 7.65% subordination (Class B-1, B-2A and
B-2) & Residual (Class C)
Class B-1: 4.00% subordination (Class B-2A and B-2)
& Residual (Class C)
Class B-2A: 2.00% subordination (Class B-2) &
Residual (Class C)
Class B-2: Limited Guaranty & Residual (Class C)
DISTRIBUTIONS: The Amount Available will generally consist of
payments made on or in respect of the Home Equity
Contracts, 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.
Class A Certificates are senior to the Class M and
Class B Certificates. Class M Certificates are senior
to the Class B Certificates.
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
Contracts 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 respect of the Class A-1 Certificates in
the case of amounts remaining which had been
allocated to fund the purchase of Subsequent Home
Equity Contracts which are Fixed Rate Home Equity
Contracts, and (ii) to the Class A-1B ARM
Certificates in the case of amounts remaining which
had been allocated to fund the purchase of Subsequent
Home Equity Contracts which are Adjustable Rate Home
Equity Contracts.
LOSSES ON LIQUIDATED
HOME EQUITY CONTRACTS: If Net Liquidation Proceeds from Liquidated Contracts
in the respective collection period are less than the
Scheduled Principal Balance of such Liquidated
Contracts plus accrued and unpaid interest thereon,
the deficiency 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-2A
Certificateholders, then the Class B-1
Certificateholders, then the Class M-2
Certificateholders and then the Class M-1
Certificateholders.
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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>
INTEREST
(Class A, M-1, M-2, B-1): Interest will be distributable first to each Class 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
in each case to the extent of the Amount Available.
Interest will be paid concurrently on each Class of
Class A Certificates at the related Pass-Through Rate
on the then outstanding related Class A 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) $120,000,000 (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
March 2001.
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
Pass-Through Margin;
ii. the Available Funds Pass-Through Rate;
or
iii. 14.00%.
The "Class A-1A Pass-Through Margin" will equal
[___%] per annum through the Payment Date on which
the principal balance of the Home Equity Contracts is
10% or more of the Principal Balance of the Home
Equity Contracts as of the Cut-off Date, and
[2 x the Class A-1A Pass-Through Margin] per annum
on each Payment Date on which the principal balance
of the Home Equity Contracts is less than 10% of the
Principal Balance of the Home Equity Contracts as of
the Cut-off Date. The "Available Funds Pass-Through
Rate" for any Payment Date will be a rate per annum
equal to the weighted average of the Expense Adjusted
Mortgage Rates on the then outstanding Adjustable
Rate Contracts. The "Expense Adjusted Mortgage Rate"
on any Adjustable Rate Contract is equal to the then
applicable Loan Interest Rate thereon, minus the
Expense Fee Rate, which is equal to 0.50% per annum,
which is the sum of the servicing fee and the trustee
fee.
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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>
INTEREST (continued): 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
Pass-Through Margin;
ii. the Available Funds Pass-Through Rate; or
iii. 14.00%.
The "Class A-1B Pass-Through Margin" will equal
[___%] per annum through the Payment Date on which
the principal balance of the Home Equity Contracts is
10% or more of the Principal Balance of the Home
Equity Contracts as of the Cut-off Date, and
[2 x the Class A-1B Pass-Through Margin] per annum
on each Payment Date on which the principal balance
of the Home Equity Contracts is less than 10% of the
Principal Balance of the Home Equity Contracts as of
the Cut-off Date.
The Class A (other than the Class A-1A ARM and
Class A-1B ARM), Class M and Class B Certificates
will bear interest at a fixed Pass-Through Rate.
Interest on the outstanding Class A Principal
Balance, Class M-1 Adjusted Principal Balance,
Class M-2 Adjusted Principal Balance, Class B-1
Adjusted Principal Balance, and Class B-2A Adjusted
Principal Balance 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. Interest on the Class A-1A
and A-1B ARM Certificates 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 Class M-1
Liquidation Loss Principal Amount.
The Class M-1 Principal Balance is the Original
Class M-1 Principal Balance less all amounts
previously distributed on account of principal of
the Class M-1 Certificates.
The Class M-2 Adjusted Principal Balance is the
Class M-2 Principal Balance less any Class M-2
Liquidation Loss Principal Amount. The Class M-2
Principal Balance is the Original Class M-2 Principal
Balance less all amounts previously distributed on
account of principal of the Class M-2 Certificates.
The Class B-1 Adjusted Principal Balance is the
Class B-1 Principal Balance less any Class B-1
Liquidation Loss Principal 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.
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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
(Class A, M-1, M-2, B-1): After the payment of all interest distributable to
Class A, Class M-1, Class M-2, and Class B-1
Certificateholders, principal will be distributed in
the following manner.
CLASS A PRINCIPAL: After payment of all interest distributable to the
Class A, Class M-1, Class M-2, and Class B-1
Certificateholders, and to the extent of the
remaining amount available (A) holders of the
Class A-1A ARM Certificates and the Class A-1B ARM
Certificates will be entitled to receive, as payments
of principal, respectively, the Group I ARM Formula
Principal Distribution Amount and the Group II ARM
formula Principal Distribution Amount and (B), the
Senior Percentage of the Formula Principal
Distribution Amount will be distributed on each
Class of Class A Certificates (other than the
Class A-1A ARM, Class A-1B ARM, and Class A-6 IO
Certificates) 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 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" will
generally be equal to (A) the sum of (i) all
scheduled payments of principal due on each
outstanding Home Equity Contract during the related
Due Period, (ii) the Scheduled Balance of each Home
Equity Contract which, during the related Due Period,
was repurchased by the Company, (iii) all partial
principal prepayments applied and all principal
prepayments in full received during such Due Period
in respect of Home Equity Contracts, (iv) the
scheduled principal balance of each Home Equity
Contract that became a liquidated contract during
such related Due Period and (v) any amount described
in clauses (i) through (iv) above that was not
previously distributed because of an insufficient
amount of funds available if (a) the Payment Date
occurs on or after the Payment Date on which the
Class B-2 Principal Balance has been reduced to zero,
or (b) 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 the
Group I ARM Formula Principal Distribution Amount
and the Group II ARM Formula Principal Distribution
Amount.
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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 "Group I ARM Formula 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 or (B) the sum of
the following: (i) all scheduled payments of
principal due on each outstanding Group I Adjustable
Rate Contract during the related Due Period; (ii) all
partial principal prepayments and principal
prepayments in full received on each Group I
Adjustable Rate Contract during the related Due
Period; (iii) the scheduled principal balance of each
Group I Adjustable Rate Contract that became a
liquidated contract during the related Due Period;
(iv) the scheduled principal balance of each Group I
Adjustable Rate Contract repurchased by the Company
during the related Due Period; and (v) on any Payment
Date which is on or after the Payment Date on which
the Class A-1, A-2, A-3, A-4, and A-5 Certificates
have been paid in full, (a) the Senior Percentage
times (x) a pro rata portion of the sum of the
amounts described in clauses (i) through (v) of the
definition of the Formula Principal Distribution
Amount less (y) the sum of the amounts described in
clauses (i) through (iv) of the definition of the
Group I ARM Formula Principal Distribution Amount and
the amounts described in clasues (i) through (iv) of
the definition of the Group II ARM Formula 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 "Group II ARM Formula 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 or (B) the sum of
the following: (i) all scheduled payments of
principal due on each outstanding Group II Adjustable
Rate Contract during the related Due Period; (ii) all
partial principal prepayments and principal
prepayments in full received on each Group II
Adjustable Rate Contract during the related Due
Period; (iii) the scheduled principal balance of each
Group II Adjustable Rate Contract that became a
liquidated contract during the related Due Period;
(iv) the scheduled principal balance of each Group II
Adjustable Rate Contract repurchased by the Company
during the related Due Period; and (v) on any Payment
Date which is on or after the Payment Date on which
the Class A-1, A-2, A-3, A-4, and A-5 Certificates
have been paid in full, (a) the Senior Percentage
times (x) a pro rata portion the sum of the amounts
described in clauses of (i) through (v) of the
definition of the Formula Principal Distribution
Amount less (y) the sum of the amounts described in
clauses (i) through (iv) of the definition of the
Group II ARM Formula Principal Distribution Amount
and the amounts described in clasues (i) through (iv)
of the definition of the Group II ARM Formula
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.
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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 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
April 1999 - March 2001 0%
April 2001 - March 2003 20%
April 2003 - March 2004 80%
April 2004 - March 2005 100%
April 2005 and thereafter 300%
The Senior Percentage will equal 100% if either of
the following exist:
i) the Payment Date is prior to April 2002
(month 37); or
ii) any 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 Contracts other than the Adjustable Rate
Contracts 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.
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.
[LOGO OF MERRILL LYNCH] 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>
CLASS B-1 PRINCIPAL: The Class B-1 Certificateholders will not receive
principal payments until (i) the Class B Cross-over
Date and (ii) such time as either (a) each Class B
Principal Distribution Test is satisfied or (b) 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, Class B-1
Certificateholders will 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
DISTRIBUTION TESTS: (i) the Average Sixty-Day Delinquency Ratio as of
the given Payment Date and the prior two
Payment Dates must not exceed 10%;
(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 plus the
aggregate amount of Additional Class B-2A
Principal, if any, divided by the Pool
Scheduled Principal Balance of as of the
immediately preceding Payment Date must be
equal to or greater than 15.3%.
LIQUIDATION LOSS INTEREST: Liquidation Loss Interest will be distributable first
to the Class M-1 Certificates, then to the Class M-2
Certificates, then to the Class B-1 Certificates, and
then to the Class B-2A Certificates. Interest on the
outstanding Class M-1 Liquidation Loss Principal
Amount, Class M-2 Liquidation Loss Principal Amount,
Class B-1 Liquidation Loss Principal Amount, and
Class B-2A Liquidation Loss Principal Amount, as
applicable, will accrue from the Payment Date on
which a Liquidation Loss Amount was realized to but
excluding the following Payment Date.
CLASS B-2A INTEREST: After payment of all interest and principal due on
the Class A, Class M-1, Class M-2, and Class B-1
Certificates, the Class B-2A interest will be paid to
the Class B-2A Certificateholders in an amount equal
to the product of (a) the Class B-2A Pass-Through
Rate and (b) the then outstanding Class B-2A Adjusted
Principal Balance.
CLASS B-2A PRINCIPAL: Except to the extent described below, the Class B-2A
Certificateholders will not receive principal
payments until the Class B-1 Principal Balance has
been reduced to zero. After payment of all interest
distributable to the Class A, Class M-1, Class M-2,
Class B-1, and Class B-2A Certificateholders and all
principal distributable to the Class A, Class M-1,
Class M-2 Certificateholders, and Class B-1
Certificateholders, Class B-2A will receive the
Class B Percentage of the Formula Principal
Distribution Amount until the Class B-2A Principal
Balance has been reduced to zero.
[LOGO OF MERRILL LYNCH] 11
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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>
CLASS B-2 INTEREST: After payment of all interest and principal due on
the Class A, Class M-1, Class M-2, Class B-1, and
Class B-2A Certificates, interest will be paid to the
Class B-2 Certificateholders in an amount equal to
the product of (a) the Class B-2 Pass-Through Rate
and (b) the then outstanding Class B-2 Principal
Balance (less the Class B-2 Liquidation Loss
Principal Amount, if any). 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-2A 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 the Class A, the Class M,
the Class B-1 and the Class B-2A Distribution Amounts
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 the 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 INTEREST
CARRYOVER If on any Distribution Date, the Class A-1A ARM 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 Distribution Date had interest been calculated
based on one-month LIBOR plus the Class A-1A Pass-
Through Margin (but in no event exceeding 14%) over
(ii) the amount of interest such Class will receive
on such Distribution Date at the Available Funds
Pass-Through Rate, together with the unpaid portion
of any such excess from prior Distribution 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%). The ratings assigned to
the Class A-1A Certificates do not address the
likelihood of the payment of any Interest Carryover
Amount.
[LOGO OF MERRILL LYNCH] 12
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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>
CLASS A-1B INTEREST
CARRYOVER If on any Distribution Date, the Class A-1B ARM 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 Distribution Date had interest been calculated
based on one-month LIBOR plus the Class A-1B Pass-
Through Margin (but in no event exceeding 14%) over
(ii) the amount of interest such Class will receive
on such Distribution Date at the Available Funds
Pass-Through Rate, together with the unpaid portion
of any such excess from prior Distribution 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%). The ratings assigned to
the Class A-1B Certificates do not address the
likelihood of the payment of any Interest Carryover
Amount.
ADDITIONAL CLASS B-2A
PRINCIPAL: On each Payment Date, 50% of the Amount Available, if
any, after payments to Certificateholders and the
Servicing Fee to Green Tree as Servicer, if any, will
be used to pay principal on the Class B-2A
Certificates until said principal balance equals
zero.
[LOGO OF MERRILL LYNCH] 13
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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>
HOME EQUITY CONTRACTS
The Home Equity Contracts consist of both fixed rate and adjustable rate
closed-end home equity contracts. The adjustable rate closed-end home equity
contracts are subject to interest rate adjustments after an initial six month,
twenty-four month, or thirty-six month period (the "Adjustable Rate Home Equity
Contracts"). All Home Equity Contracts which are not Adjustable Rate Contracts
are referred to herein as "Fixed Rate Home Equity Contracts." The obligations of
the Obligor under each Home Equity Contract are secured by the related real
estate.
The information concerning the Initial Home Equity Contracts presented
below is based on a pool originated through January 31, 1999. Green Tree intends
to acquire and sell Additional Home Equity Contracts to the Trust on the Closing
Date and Subsequent Contracts to the Trust thereafter. Although the
characteristics of the final pool of Home Equity Contracts will differ from the
characteristics of the Initial Home Equity Contracts shown below, Green Tree
does not expect that the characteristics of the Additional and Subsequent Home
Equity Contracts sold to the Trust will vary materially from those of the
Initial Home Equity Contracts herein.
THE INITIAL HOME EQUITY CONTRACT POOL
INITIAL FIXED RATE HOME EQUITY CONTRACTS
Number of Contracts in pool: 7,056
Wgt. Avg. Contract Rate: 11.305%
Range of Rates: 4.75% - 18.95%
Wgt. Avg. Orig. Maturity: 248
Wgt. Avg. Rem. Maturity: 247
Avg. Rem. Princ. Balance: $58,938
Wgt. Avg. CLTV: 89.07%
[LOGO OF MERRILL LYNCH] 14
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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 MORTGAGED PROPERTIES
INITIAL FIXED RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of Fixed Rate
% of Contract Pool Contracts by
Number of by Number of Aggregate Principal Outstanding
State Contracts Contracts Balance Outstanding Principal Balance
- ----- --------- ------------------ ------------------- -----------------
<S> <C> <C> <C> <C>
AL 267 3.78% 13,410,677.31 3.22%
AR 58 0.82 3,511,212.07 0.84
AZ 148 2.10 9,242,448.22 2.22
CA 494 7.00 39,059,907.09 9.39
CO 144 2.04 9,504,973.34 2.29
CT 62 0.88 4,529,426.91 1.09
DC 6 0.09 223,019.61 0.05
DE 30 0.43 2,044,010.37 0.49
FL 274 3.88 14,236,059.01 3.42
GA 247 3.50 14,671,820.50 3.53
IA 147 2.08 8,038,965.44 1.93
ID 27 0.38 1,229,170.64 0.30
IL 323 4.58 19,555,611.33 4.70
IN 249 3.53 12,712,608.17 3.06
KS 103 1.46 5,182,046.37 1.25
KY 148 2.10 7,934,565.96 1.91
LA 198 2.81 10,375,880.44 2.49
MA 76 1.08 5,709,402.54 1.37
MD 163 2.31 8,048,328.44 1.94
ME 6 0.09 399,339.13 0.10
MI 355 5.03 23,164,774.24 5.57
MN 112 1.59 7,225,069.17 1.74
MO 180 2.55 10,282,579.42 2.47
MS 90 1.28 4,484,847.46 1.08
MT 21 0.30 1,260,601.01 0.30
NC 373 5.29 22,152,079.12 5.33
ND 16 0.23 938,715.44 0.23
NE 57 0.81 3,210,895.14 0.77
NH 11 0.16 498,440.53 0.12
NJ 119 1.69 6,210,568.53 1.49
NM 46 0.65 3,572,735.00 0.86
NV 81 1.15 4,641,546.33 1.12
NY 230 3.26 15,216,678.35 3.66
OH 466 6.60 26,487,268.66 6.37
OK 66 0.94 3,541,524.02 0.85
OR 63 0.89 3,506,715.10 0.84
PA 313 4.44 17,898,111.76 4.30
RI 26 0.37 1,564,107.75 0.38
SC 167 2.37 9,381,730.51 2.26
SD 19 0.27 1,082,350.63 0.26
TN 151 2.14 7,821,036.03 1.88
TX 303 4.29 13,622,574.25 3.28
UT 61 0.86 3,013,823.43 0.72
VA 158 2.24 10,280,378.66 2.47
VT 3 0.04 57,811.87 0.01
WA 149 2.11 10,067,336.36 2.42
WI 157 2.23 10,095,036.67 2.43
WV 51 0.72 2,629,192.34 0.63
WY 42 0.60 2,339,676.87 0.56
----- ------ -------------- ------
Total (1) 7,056 100.00% 415,867,677.54 100.00%
</TABLE>
- ----------
(1) Percentages do not add to 100% due to rounding.
[LOGO OF MERRILL LYNCH] 15
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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>
YEARS OF ORIGINATION OF INITIAL FIXED RATE HOME EQUITY CONTRACTS
% of Fixed Rate
Contracts by
Outstanding
Number of Aggregate Principal Principal
Year of Origination Contracts Balance Outstanding Balance
- ------------------- --------- ------------------- ----------------
1995 12 309,678.33 0.07%
1996 265 6,710,186.82 1.61
1997 45 1,904,639.91 0.46
1998 4,784 281,156,632.76 67.61
1999 1,950 125,786,539.72 30.25
----- -------------- ------
Total (1) 7,056 415,867,677.54 100.00%
- ----------
(1) Percentages do not add to 100% due to rounding.
INITIAL FIXED RATE HOME EQUITY CONTRACT RATES
% of Fixed Rate
Contracts by
Outstanding
Range of Contracts by Number of Aggregate Principal Principal
Contract Rates Contracts Balance Outstanding Balance
- ---------------------- --------- ------------------- ---------------
Less than 9.001 228 23,013,681.41 5.53%
9.001 - 10.000 746 71,845,612.26 17.28
10.001 - 11.000 1,568 128,257,549.63 30.84
11.001 - 12.000 1,266 75,776,567.06 18.22
12.001 - 13.000 1,263 53,660,424.45 12.90
13.001 - 14.000 1,278 41,822,188.02 10.06
14.001 - 15.000 452 14,334,592.66 3.45
15.001 - 16.000 135 3,833,122.72 0.92
16.001 - 17.000 80 2,241,200.50 0.54
Greater than 17.000 40 1,082,738.83 0.26
----- -------------- ------
Total (1) 7,056 415,867,677.54 100.00%
- ----------
(1) Percentages do not add to 100% due to rounding.
[LOGO OF MERRILL LYNCH] 16
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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 INITIAL FIXED RATE HOME EQUITY CONTRACT AMOUNTS
% of Fixed Rate
Contracts by
Outstanding
Original Contract Number of Aggregate Principal Principal
Amount (in Dollars) Contracts Balance Outstanding Balance
- ------------------------ --------- ------------------- ---------------
0.01 - 9,999.99 12 105,780.54 0.03%
10,000.00 - 19,999.99 1,042 15,107,907.14 3.63
20,000.00 - 29,999.99 1,078 25,932,632.66 6.24
30,000.00 - 39,999.99 790 27,034,324.29 6.50
40,000.00 - 49,999.99 759 33,674,104.31 8.10
50,000.00 - 59,999.99 629 34,268,872.33 8.24
60,000.00 - 69,999.99 594 38,272,019.75 9.20
70,000.00 - 79,999.99 497 36,958,179.19 8.89
80,000.00 - 89,999.99 331 27,850,238.61 6.70
90,000.00 - 99,999.99 256 24,199,931.28 5.82
100,000.00 - 109,999.99 221 23,157,686.75 5.57
110,000.00 - 119,999.99 158 18,147,369.88 4.36
120,000.00 - 129,999.99 143 17,806,373.33 4.28
130,000.00 - 139,999.99 125 16,812,569.19 4.04
140,000.00 - 149,999.99 94 13,630,362.48 3.28
150,000.00 - 159,999.99 78 11,975,493.27 2.88
160,000.00 - 169,999.99 55 9,081,514.08 2.18
170,000.00 - 179,999.99 33 5,737,366.86 1.38
180,000.00 - 189,999.99 34 6,250,565.23 1.50
190,000.00 - 199,999.99 25 4,870,898.22 1.17
200,000.00 - 249,999.99 67 14,645,470.38 3.52
250,000.00 - 299,999.99 20 5,389,456.43 1.30
Greater than 300,000.00 15 4,958,561.34 1.19
----- -------------- ------
Total (1) 7,056 415,867,677.54 100.00%
REMAINING MONTHS TO MATURITY OF INITIAL FIXED RATE HOME EQUITY CONTRACTS
% of Fixed Rate
Contracts by
Outstanding
Months Remaining Number of Aggregate Principal Principal
Contracts Contracts Balance Outstanding Balance
- ------------------- --------- ------------------- ---------------
1 - 30 2 17,800.76 0.00%
31 - 60 78 1,507,593.34 0.36
61 - 90 94 2,520,290.05 0.61
91 - 120 425 12,589,792.02 3.03
121 - 150 103 3,296,149.53 0.79
151 - 180 2,528 126,563,491.42 30.43
181 - 210 15 694,407.21 0.17
211 - 240 2,022 123,128,591.39 29.61
241 - 270 5 343,935.07 0.08
271 - 300 924 64,434,427.00 15.49
301 - 330 2 81,724.31 0.02
331 - 360 858 80,689,475.44 19.40
----- -------------- ------
Total (1) 7,056 415,867,677.54 100.00%
- ----------
(1) Percentages do not add to 100% due to rounding.
[LOGO OF MERRILL LYNCH] 17
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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>
LIEN POSITION OF INITIAL FIXED RATE HOME EQUITY CONTRACTS
% of Fixed Rate
Contracts by
Outstanding
Number of Aggregate Principal Principal
Lien Contracts Balance Outstanding Balance
- ------------ --------- ------------------- ---------------
First 4,216 334,358,262.89 80.40%
Second 2,827 81,133,277.12 19.51
Third 13 376,137.53 0.09
-- -------------- ------
7,056 415,867,677.54 100.00%
Total(1)
- ----------
(1) Percentages do not add to 100% due to rounding.
COMBINED LOAN-TO-VALUE RATIO OF INITIAL FIXED RATE HOME EQUITY CONTRACTS
% of Fixed Rate
Contracts by
Outstanding
Number of Aggregate Principal Principal
Combined Loan-to-Value Ratio Contracts Balance Outstanding Balance
- ---------------------------- --------- ------------------- ---------------
0.01 - 10.00 1 28,000.00 0.01%
10.01 - 20.00 19 314,216.63 0.08
20.01 - 30.00 37 877,187.88 0.21
30.01 - 40.00 39 1,347,611.69 0.32
40.01 - 50.00 77 2,878,872.96 0.69
50.01 - 60.00 124 4,867,038.02 1.17
60.01 - 70.00 244 12,106,280.40 2.91
70.01 - 80.00 847 47,108,949.91 11.33
80.01 - 90.00 2,160 129,600,247.81 31.16
90.01 - 100.00 3,404 213,495,693.02 51.34
100.01 - 110.00 101 2,926,417.47 0.70
110.01 - 120.00 2 157,161.75 0.04
120.01 - 130.00 1 160,000.00 0.04
----- -------------- ------
7,056 415,867,677.54 100.00%
- ----------
(1) Percentages do not add to 100% due to rounding.
[LOGO OF MERRILL LYNCH] 18
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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>
GROUP I
THE INITIAL HOME EQUITY CONTRACT POOL
INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
Number of Contracts in pool: 789
Wgt. Avg. Contract Rate: 9.442%
Range of Rates: 5.63% - 13.25%
Wgt. Avg. Orig. Maturity: 360
Wgt. Avg. Rem. Maturity: 358
Avg. Rem. Princ. Balance: $108,338
Wgt. Avg. CLTV: 86.36%
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL GROUP I ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of Adjustable Rate
% of Contract Pool Contracts by
Number of by Number of Aggregate Principal Outstanding
State Contracts Contracts Balance Outstanding Principal Balance
- ----- --------- ------------------ ------------------- --------------------
<S> <C> <C> <C> <C>
AL 21 2.66 1,654,983.24 1.94%
AZ 14 1.77 1,352,825.92 1.58
CA 71 9.00 10,352,181.00 12.11
CO 42 5.32 5,000,044.10 5.85
DC 5 0.63 579,883.28 0.68
DE 1 0.13 61,338.05 0.07
FL 47 5.96 4,404,702.41 5.15
GA 37 4.69 4,004,316.25 4.68
IA 1 0.13 67,411.23 0.08
ID 8 1.01 717,377.13 0.84
IL 13 1.65 1,584,663.89 1.85
IN 39 4.94 3,481,026.74 4.07
KS 5 0.63 480,871.32 0.56
KY 13 1.65 1,089,660.59 1.27
LA 16 2.03 1,662,415.80 1.94
MA 14 1.77 1,721,308.75 2.01
MD 31 3.93 4,462,621.89 5.22
MI 25 3.17 2,765,080.74 3.23
MN 3 0.38 317,830.57 0.37
MO 8 1.01 997,378.61 1.17
MS 5 0.63 444,419.06 0.52
NC 40 5.07 3,909,669.34 4.57
ND 1 0.13 48,475.58 0.06
NE 1 0.13 67,880.72 0.08
NH 4 0.51 384,652.39 0.45
NV 7 0.89 931,986.77 1.09
NY 5 0.63 538,432.46 0.63
OH 78 9.89 6,764,090.65 7.91
OK 3 0.38 216,355.13 0.25
OR 22 2.79 2,610,265.70 3.05
PA 18 2.28 1,782,440.66 2.09
RI 3 0.38 237,979.67 0.28
SC 17 2.15 1,468,426.12 1.72
TN 24 3.04 2,235,563.12 2.62
TX 40 5.07 4,378,747.62 5.12
UT 30 3.80 3,660,776.40 4.28
VA 22 2.79 2,968,724.79 3.47
VT 2 0.25 123,911.81 0.14
WA 39 4.94 4,816,663.48 5.63
WI 13 1.65 1,060,407.75 1.24
WV 1 0.13 71,262.26 0.08
--- ------ ------------- ------
Total (1) 789 100.00 85,479,052.99 100.00%
</TABLE>
- ---------------
* No one State in this category constitutes more than 5% of the Initial
Adjustable Rate Home Equity Contracts Outstanding Principal Balance.
(1) Percentages do not add to 100% due to rounding.
[LOGO OF MERRILL LYNCH] 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>
YEARS OF ORIGINATION OF INITIAL GROUP I ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of Adjustable Rate
Contracts by
Outstanding
Number of Aggregate Principal Principal
Year of Origination Contracts Balance Outstanding Balance
- ------------------- --------- ------------------- --------------------
<S> <C> <C> <C>
1997 1 107,916.08 0.13%
1998 763 82,693,915.51 96.74
1999 25 2,677,221.40 3.13
--- ------------- ------
Total (1) 789 85,479,052.99 100.00%
</TABLE>
- ----------
(1) Percentages do not add to 100% due to rounding.
DISTRIBUTION OF ORIGINAL INITIAL GROUP I
ADJUSTABLE RATE HOME EQUITY CONTRACT AMOUNTS
<TABLE>
<CAPTION>
% of Adjustable Rate
Contracts by
Outstanding
Number of Aggregate Principal Principal
Year of Origination Contracts Balance Outstanding Balance
- ------------------- --------- ------------------- --------------------
<S> <C> <C> <C>
20,000.00 - 29,999.99 1 25,000.00 0.03%
30,000.00 - 39,999.99 12 432,256.15 0.51
40,000.00 - 49,999.99 39 1,773,312.68 2.07
50,000.00 - 59,999.99 55 2,998,150.85 3.51
60,000.00 - 69,999.99 83 5,352,132.97 6.26
70,000.00 - 79,999.99 70 5,222,028.89 6.11
80,000.00 - 89,999.99 55 4,663,851.39 5.46
90,000.00 - 99,999.99 70 6,640,255.04 7.77
100,000.00 - 109,999.99 63 6,549,800.73 7.66
110,000.00 - 119,999.99 61 7,037,063.79 8.23
120,000.00 - 129,999.99 55 6,863,006.09 8.03
130,000.00 - 139,999.99 38 5,134,894.39 6.01
140,000.00 - 149,999.99 36 5,220,875.75 6.11
150,000.00 - 159,999.99 30 4,642,466.05 5.43
160,000.00 - 169,999.99 34 5,564,040.50 6.51
170,000.00 - 179,999.99 21 3,675,372.52 4.30
180,000.00 - 189,999.99 10 1,836,565.05 2.15
190,000.00 - 199,999.99 15 2,918,871.97 3.41
200,000.00 - 239,999.99 41 8,929,108.18 10.45
--- ------------- ------
Total (1) 789 85,479,052.99 100.00%
</TABLE>
- ----------
(1) Percentages do not add to 100% due to rounding.
[LOGO OF MERRILL LYNCH] 20
- --------------------------------------------------------------------------------
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 GROUP I
ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of Adjustable Rate
Contracts by
Outstanding
Number of Aggregate Principal Principal
Months Remaining Contracts Balance Outstanding Balance
- ----------------- --------- ------------------- --------------------
331 - 360 789 85,479,052.99 100.00%
--- ------------- ------
Total(1) 789 85,479,052.99 100.00%
- ----------
(1) Percentages do not add to 100% due to rounding.
INITIAL GROUP I ADJUSTABLE RATE HOME EQUITY CONTRACT RATES
% of Adjustable Rate
Contracts by
Outstanding
Range of Contracts by Number of Aggregate Principal Principal
Contract Rates Contracts Balance Outstanding Balance
- --------------------- --------- ------------------- --------------------
Less than 9.001 275 33,361,386.78 39.03%
9.001 - 10.000 305 32,235,541.98 37.71
10.001 - 11.000 168 16,454,965.84 19.25
11.001 - 12.000 37 3,113,835.10 3.64
12.001 - 13.000 2 178,157.20 0.21
13.001 - 13.250 2 135,166.09 0.16
--- ------------- ------
Total(1) 789 85,479,052.99 100.00%
- ----------
(1) Percentages do not add to 100% due to rounding.
COMBINED LOAN-TO-VALUE RATIO OF INITIAL GROUP I
ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of Adjustable Rate
Contracts by
Outstanding
Combined Loan-to-Value Number of Aggregate Principal Principal
Ratio Contracts Balance Outstanding Balance
- ---------------------- --------- ------------------- --------------------
20.01 - 30.00 1 49,915.34 0.06%
30.01 - 40.00 1 100,000.00 0.12
40.01 - 50.00 6 441,552.11 0.52
50.01 - 60.00 12 947,714.22 1.11
60.01 - 70.00 32 3,016,280.10 3.53
70.01 - 80.00 187 20,504,844.96 23.99
80.01 - 90.00 376 39,759,093.52 46.51
90.01 - 100.00 171 20,267,246.05 23.71
100.01 - 110.00 2 231,336.23 0.27
110.01 - 120.00 1 161,070.46 0.19
--- ------------- ------
Total(1) 789 85,479,052.99 100.00%
- ----------
(1) Percentages do not add to 100% due to rounding.
[LOGO OF MERRILL LYNCH] 21
- --------------------------------------------------------------------------------
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>
MONTH OF NEXT RATE ADJUSTMENT OF INITIAL GROUP I
ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of Adjustable Rate
Contracts by
Outstanding
Month of Next Number of Aggregate Principal Principal
Rate Adjustment Contracts Balance Outstanding Balance
- --------------- --------- ------------------- --------------------
1999-02 1 70,270.46 0.08%
1999-03 1 157,779.46 0.18
1999-04 1 81,829.14 0.10
1999-05 1 138,845.73 0.16
1999-06 3 247,516.08 0.29
2000-01 1 89,051.23 0.10
2000-02 1 112,458.36 0.13
2000-03 2 317,022.67 0.37
2000-04 3 250,980.78 0.29
2000-05 2 285,700.61 0.33
2000-06 10 1,284,061.38 1.50
2000-07 20 1,975,538.10 2.31
2000-08 50 5,112,808.60 5.98
2000-09 121 13,384,255.60 15.66
2000-10 176 18,463,743.11 21.60
2000-11 211 24,357,417.07 28.50
2000-12 125 13,170,059.18 15.41
2001-01 32 3,414,575.00 3.99
2001-02 1 37,498.58 0.04
2001-06 1 222,679.25 0.26
2001-07 1 59,284.18 0.07
2001-08 3 316,056.77 0.37
2001-09 4 328,855.53 0.38
2001-10 8 698,520.77 0.82
2001-11 5 333,894.00 0.39
2001-12 4 500,351.35 0.59
2002-01 1 68,000.00 0.08
--- ------------- ----
Total(1) 789 85,479,052.99 100.00%
- ----------
(1) Percentages do not add to 100% due to rounding
LIEN POSITION OF INITIAL GROUP I ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of Adjustable Rate
Contracts by
Outstanding
Number of Aggregate Principal Principal
Lien Contracts Balance Outstanding Balance
- --------------- --------- ------------------- --------------------
First 789 85,479,052.99 100.00%
--- ------------- ------
Total(1) 789 85,479,052.99 100.00%
--- ------------- ------
- ----------
(1) Percentages do not add to 100% due to rounding
[LOGO OF MERRILL LYNCH] 22
- --------------------------------------------------------------------------------
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 GROSS MARGIN OF INITIAL GROUP I
ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of Adjustable Rate
Contracts by
Outstanding
Number of Aggregate Principal Principal
Gross Margin (%) Contracts Balance Outstanding Balance
- ---------------- --------- ------------------- --------------------
4.250 - 4.499 2 270,628.96 0.32%
4.500 - 4.749 1 39,600.00 0.05
4.750 - 4.999 4 450,307.97 0.53
5.000 - 5.249 5 440,410.88 0.52
5.250 - 5.499 17 1,865,500.33 2.18
5.500 - 5.749 28 3,182,327.30 3.72
5.750 - 5.999 88 9,959,857.98 11.65
6.000 - 6.249 85 9,949,978.55 11.64
6.250 - 6.499 91 10,013,087.44 11.71
6.500 - 6.749 94 11,055,247.74 12.93
6.750 - 6.999 114 13,427,092.64 15.71
7.000 - 7.249 77 7,333,942.92 8.58
7.250 - 7.499 30 3,171,535.13 3.71
7.500 - 7.749 23 2,372,568.94 2.78
7.750 - 7.999 43 4,332,296.58 5.07
8.000 - 8.249 34 3,211,422.08 3.76
8.250 - 8.499 17 1,532,814.38 1.79
8.500 - 8.749 22 1,673,383.09 1.96
8.750 - 8.999 1 73,741.08 0.09
9.000 - 9.249 7 700,746.50 0.82
9.250 - 9.499 2 134,107.20 0.16
9.500 - 9.749 2 122,724.71 0.14
9.750 - 10.000 2 165,730.59 0.19
--- ------------- ------
Total(1) 789 85,479,052.99 100.00%
- ----------
(1) Percentages do not add to 100% due to rounding
[LOGO OF MERRILL LYNCH] 23
- --------------------------------------------------------------------------------
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>
MAXIMUM LOAN RATE OF INITIAL GROUP I ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of Adjustable Rate
Contracts by
Outstanding
Number of Aggregate Principal Principal
Maximum Loan Rate Contracts Balance Outstanding Balance
- --------------------- --------- ------------------- --------------------
<S> <C> <C> <C>
Less than 14.000 49 6,138,663.41 7.18%
14.000 - 14.249 4 420,381.03 0.49
14.250 - 14.499 18 2,139,196.76 2.50
14.500 - 14.749 67 8,530,008.25 9.98
14.750 - 14.999 111 12,627,962.73 14.77
15.000 - 15.249 34 4,301,605.64 5.03
15.250 - 15.499 83 9,423,195.29 11.02
15.500 - 15.749 69 7,225,993.25 8.45
15.750 - 15.999 97 9,814,829.59 11.48
16.000 - 16.249 31 3,090,776.68 3.62
16.250 - 16.499 45 5,052,000.96 5.91
16.500 - 16.749 48 4,154,641.79 4.86
16.750 - 16.999 52 4,984,401.01 5.83
17.000 - 17.249 15 1,298,051.37 1.52
17.250 - 17.499 21 1,846,160.36 2.16
17.500 - 17.749 19 1,927,879.70 2.26
17.750 - 17.999 11 1,103,729.31 1.29
18.000 - 18.249 7 667,018.03 0.78
18.250 - 18.499 2 171,776.45 0.20
18.500 - 18.749 1 132,300.00 0.15
18.750 - 18.999 2 129,827.29 0.15
19.250 - 19.499 2 135,166.09 0.16
Greater than 20.000 1 163,488.00 0.19
--- ------------- ------
Total(1) 789 85,479,052.99 100.00%
</TABLE>
- ----------
(1) Percentages do not add to 100% due to rounding
[LOGO OF MERRILL LYNCH] 24
- --------------------------------------------------------------------------------
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>
MINIMUM LOAN RATE OF INITIAL GROUP I ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of Adjustable Rate
Contracts by
Outstanding
Number of Aggregate Principal Principal
Maximum Loan Rate Contracts Balance Outstanding Balance
- --------------------- --------- ------------------- --------------------
<S> <C> <C> <C>
Less than 7.250 3 330,484.39 0.39%
7.250 - 7.499 2 361,107.34 0.42
7.500 - 7.749 3 520,056.27 0.61
7.750 - 7.999 33 4,590,309.95 5.37
8.000 - 8.249 9 1,084,136.46 1.27
8.250 - 8.499 23 2,756,075.41 3.22
8.500 - 8.749 76 9,376,193.44 10.97
8.750 - 8.999 122 13,887,373.28 16.25
9.000 - 9.249 30 3,568,352.54 4.17
9.250 - 9.499 87 9,573,672.47 11.20
9.500 - 9.749 80 8,375,037.20 9.80
9.750 - 9.999 108 10,827,506.48 12.67
10.000 - 10.249 28 2,809,477.91 3.29
10.250 - 10.499 45 5,007,688.98 5.86
10.500 - 10.749 49 4,406,416.26 5.15
10.750 - 10.999 41 3,681,441.35 4.31
11.000 - 11.249 17 1,495,948.95 1.75
11.250 - 11.499 11 811,430.84 0.95
11.500 - 11.749 7 654,629.04 0.77
11.750 - 11.999 9 824,290.61 0.96
12.000 - 12.249 3 301,007.73 0.35
12.250 - 12.499 1 101,250.00 0.12
Greater than 13.000 2 135,166.09 0.16
--- ------------- ------
Total(1) 789 85,479,052.99 100.00%
</TABLE>
- ----------
(1) Percentages do not add to 100% due to rounding
[LOGO OF MERRILL LYNCH] 25
- --------------------------------------------------------------------------------
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>
GROUP II
THE INITIAL HOME EQUITY CONTRACT POOL
INITIAL ADJUSTABLE RATE HOME EQUITY CONTRACTS
Number of Contracts in pool: 671
Wgt. Avg. Contract Rate: 9.342%
Range of Rates: 6.99% - 13.38%
Wgt. Avg. Orig. Maturity: 360
Wgt. Avg. Rem. Maturity: 358
Avg. Rem. Princ. Balance: $126,864
Wgt. Avg. CLTV: 86.52%
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL GROUP II ADJUSTABLE RATE HOME EQUITY CONTRACTS
<TABLE>
<CAPTION>
% of Adjustable Rate
% of Contract Pool Contracts by
Number of by Number of Aggregate Principal Outstanding
State Contracts Contracts Balance Outstanding Principal Balance
- ----- --------- ------------------ ------------------- --------------------
<S> <C> <C> <C> <C>
AL 15 2.24 1,380,349.39 1.62%
AR 3 0.45 186,427.50 0.22
AZ 11 1.64 1,337,219.10 1.57
CA 67 9.99 13,111,040.82 15.40
CO 31 4.62 4,070,182.73 4.78
CT 4 0.60 601,511.91 0.71
DC 4 0.60 496,363.40 0.58
DE 2 0.30 252,604.76 0.30
FL 43 6.41 4,489,657.16 5.27
GA 19 2.83 2,395,850.47 2.81
IA 1 0.15 88,092.76 0.10
ID 4 0.60 588,472.14 0.69
IL 12 1.79 1,646,218.48 1.93
IN 37 5.51 3,486,657.16 4.10
KS 3 0.45 232,915.84 0.27
KY 13 1.94 927,994.49 1.09
LA 11 1.64 1,068,259.07 1.25
MA 9 1.34 1,226,950.56 1.44
MD 44 6.56 8,127,598.44 9.55
MI 15 2.24 1,590,944.70 1.87
MO 5 0.75 493,128.56 0.58
MS 2 0.30 114,966.96 0.14
NC 35 5.22 3,737,201.24 4.39
NH 3 0.45 391,288.94 0.46
NJ 2 0.30 455,866.39 0.54
NM 5 0.75 430,215.73 0.51
NV 4 0.60 398,794.34 0.47
NY 3 0.45 345,027.67 0.41
OH 61 9.09 5,390,045.42 6.33
OK 4 0.60 225,922.15 0.27
OR 27 4.02 3,329,613.44 3.91
PA 12 1.79 1,466,566.24 1.72
RI 4 0.60 762,321.08 0.90
SC 11 1.64 1,063,768.46 1.25
TN 26 3.87 2,675,320.16 3.14
TX 34 5.07 4,142,656.22 4.87
UT 22 3.28 2,809,112.48 3.30
VA 11 1.64 2,349,031.43 2.76
WA 44 6.56 6,473,087.04 7.60
WI 6 0.89 513,756.43 0.60
WV 1 0.15 190,833.24 0.22
WY 1 0.15 61,731.52 0.07
--- ------ ------------- ------
Total(1) 671 100.00 85,125,566.02 100.00%
</TABLE>
- ----------
* No one State in this category constitutes more than 5% of the Initial
Adjustable Rate Home Equity Contracts Outstanding Principal Balance.
(1) Percentages do not add to 100% due to rounding.
[LOGO OF MERRILL LYNCH] 26
- --------------------------------------------------------------------------------
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>
YEARS OF ORIGINATION OF INITIAL GROUP II ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of Adjustable Rate
Contracts by
Outstanding
Number of Aggregate Principal Principal
Year of Origination Contracts Balance Outstanding Balance
- ------------------- --------- ------------------- --------------------
1997 2 132,256.80 0.16%
1998 646 82,165,834.22 96.52
1999 23 2,827,475.00 3.32
--- ------------- ------
Total(1) 671 85,125,566.02 100.00%
- ----------
(1) Percentages do not add to 100% due to rounding.
[LOGO OF MERRILL LYNCH] 27
- --------------------------------------------------------------------------------
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 INITIAL GROUP II
ADJUSTABLE RATE HOME EQUITY CONTRACT AMOUNTS
<TABLE>
<CAPTION>
% of Adjustable Rate
Contracts by
Outstanding
Original Contract Number of Aggregate Principal Principal
Amount (in Dollars) Contracts Balance Outstanding Balance
- -------------------- --------- ------------------- --------------------
<S> <C> <C> <C>
20,000.00 - 29,999.99 5 133,813.42 0.16%
30,000.00 - 39,999.99 9 317,103.26 0.37
40,000.00 - 49,999.99 24 1,111,416.36 1.31
50,000.00 - 59,999.99 46 2,537,828.44 2.98
60,000.00 - 69,999.99 65 4,258,006.02 5.00
70,000.00 - 79,999.99 50 3,712,179.84 4.36
80,000.00 - 89,999.99 54 4,553,044.32 5.35
90,000.00 - 99,999.99 44 4,135,982.84 4.86
100,000.00 - 109,999.99 40 4,169,216.91 4.90
110,000.00 - 119,999.99 49 5,605,443.26 6.58
120,000.00 - 129,999.99 42 5,239,851.61 6.16
130,000.00 - 139,999.99 38 5,128,333.92 6.02
140,000.00 - 149,999.99 19 2,761,765.63 3.24
150,000.00 - 159,999.99 22 3,383,267.30 3.97
160,000.00 - 169,999.99 24 3,942,032.21 4.63
170,000.00 - 179,999.99 14 2,425,138.40 2.85
180,000.00 - 189,999.99 12 2,231,388.52 2.62
190,000.00 - 199,999.99 12 2,356,133.21 2.77
200,000.00 - 249,999.99 43 9,770,744.46 11.48
250,000.00 - 299,999.99 42 11,415,179.15 13.41
Greater than 300,000.00 17 5,937,696.94 6.98
--- ------------- ------
Total(1) 671 85,125,566.02 100.00%
</TABLE>
- ----------
(1) Percentages do not add to 100% due to rounding.
[LOGO OF MERRILL LYNCH] 28
- --------------------------------------------------------------------------------
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 GROUP II
ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of Adjustable Rate
Contracts by
Outstanding
Number of Aggregate Principal Principal
Months Remaining Contracts Balance Outstanding Balance
- ---------------- --------- ------------------- --------------------
331 - 360 671 85,125,566.02 100.00%
--- ------------- ------
Total(1) 671 85,125,566.02 100.00%
- ----------
(1) Percentages do not add to 100% due to rounding.
INITIAL GROUP II ADJUSTABLE RATE HOME EQUITY CONTRACT RATES
% of Adjustable
Rate Contracts by
Outstanding
Range of Contracts by Number of Aggregate Principal Principal
Contract Rates Contracts Balance Outstanding Balance
- ------------------------ --------- ------------------- -----------------
Less than 9.001 259 37,434,090.01 43.98%
9.001 - 10.000 274 34,297,190.47 40.29
10.001 - 11.000 104 10,545,985.82 12.39
11.001 - 12.000 31 2,601,402.01 3.06
12.001 - 13.000 2 164,115.09 0.19
Greater than 13.000 1 82,782.62 0.10
--- ------------- ------
Total(1) 671 85,125,566.02 100.00%
- ----------
(1) Percentages do not add to 100% due to rounding.
COMBINED LOAN-TO-VALUE RATIO OF INITIAL GROUP II
ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of Adjustable
Rate Contracts by
Outstanding
Number of Aggregate Principal Principal
Combined Loan-to-Value Ratio Contracts Balance Outstanding Balance
- ---------------------------- --------- ------------------- -----------------
10.01 - 20.00 1 34,906.43 0.04%
20.01 - 30.00 1 59,591.65 0.07
30.01 - 40.00 2 123,456.48 0.15
40.01 - 50.00 5 451,802.47 0.53
50.01 - 60.00 6 804,157.78 0.94
60.01 - 70.00 20 2,306,675.77 2.71
70.01 - 80.00 165 20,078,318.22 23.59
80.01 - 90.00 308 39,286,055.01 46.15
90.01 - 100.00 163 21,980,602.21 25.82
--- ------------- ------
Total(1) 671 85,125,566.02 100.00%
- ----------
(1) Percentages do not add to 100% due to rounding.
[LOGO OF MERRILL LYNCH] 29
- --------------------------------------------------------------------------------
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>
MONTH OF NEXT RATE ADJUSTMENT OF INITIAL GROUP II
ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of Adjustable
Rate Contracts by
Outstanding
Month of Next Number of Aggregate Principal Principal
Rate Adjustment Contracts Balance Outstanding Balance
- --------------- --------- ------------------- -----------------
1999-01 1 142,130.06 0.17%
1999-05 1 76,459.92 0.09
1999-09 1 109,602.84 0.13
1999-10 1 22,653.96 0.03
1999-12 1 377,832.42 0.44
2000-01 2 265,555.71 0.31
2000-02 1 138,323.66 0.16
2000-03 1 151,866.39 0.18
2000-04 1 103,604.85 0.12
2000-05 3 662,733.31 0.78
2000-06 12 1,644,423.38 1.93
2000-07 21 2,685,808.38 3.16
2000-08 35 4,612,589.04 5.42
2000-09 105 13,567,286.40 15.94
2000-10 145 19,204,315.74 22.56
2000-11 176 21,621,360.89 25.40
2000-12 123 15,289,629.61 17.96
2001-01 23 2,855,215.00 3.35
2001-02 2 264,915.00 0.31
2001-07 1 37,322.28 0.04
2001-08 2 177,928.91 0.21
2001-09 3 296,071.64 0.35
2001-10 5 461,872.92 0.54
2001-11 2 152,410.90 0.18
2001-12 3 203,652.81 0.24
--- ------------- ------
Total(1) 671 85,125,566.02 100.00%
- ----------
(1) Percentages do not add to 100% due to rounding
LIEN POSITION OF INITIAL GROUP II ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of Adjustable
Rate Contracts by
Outstanding
Number of Aggregate Principal Principal
Lien Contracts Balance Outstanding Balance
- --------------- --------- ------------------- ------------------
First 671 85,125,566.02 100.00%
--- ------------- ------
Total(1) 671 85,125,566.02 100.00%
--- ------------- ------
- ----------
(1) Percentages do not add to 100% due to rounding
[LOGO OF MERRILL LYNCH] 30
- --------------------------------------------------------------------------------
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 GROSS MARGIN OF INITIAL GROUP II
ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of Adjustable
Rate Contracts by
Outstanding
Number of Aggregate Principal Principal
Gross Margin (%) Contracts Balance Outstanding Balance
- ------------------ --------- ------------------- -----------------
4.500 - 4.749 2 296,243.81 0.35%
4.750 - 4.999 5 547,575.11 0.64
5.000 - 5.249 5 540,938.69 0.64
5.250 - 5.499 14 2,224,467.65 2.61
5.500 - 5.749 26 3,274,612.14 3.85
5.750 - 5.999 68 9,176,960.30 10.78
6.000 - 6.249 69 9,229,734.80 10.84
6.250 - 6.499 86 11,307,728.06 13.28
6.500 - 6.749 86 12,106,405.79 14.22
6.750 - 6.999 110 14,824,543.20 17.41
7.000 - 7.249 49 6,139,156.05 7.21
7.250 - 7.499 32 3,542,889.50 4.16
7.500 - 7.749 38 3,964,668.00 4.66
7.750 - 7.999 26 2,486,977.09 2.92
8.000 - 8.249 22 2,092,648.98 2.46
8.250 - 8.499 6 521,227.96 0.61
8.500 - 8.749 15 1,328,753.19 1.56
8.750 - 8.999 6 881,277.58 1.04
9.000 - 9.249 2 188,198.97 0.22
9.250 - 9.499 1 124,169.10 0.15
Greater than 9.750 3 326,390.05 0.38
--- ------------- ------
Total(1) 671 85,125,566.02 100.00%
- ----------
(1) Percentages do not add to 100% due to rounding
[LOGO OF MERRILL LYNCH] 31
- --------------------------------------------------------------------------------
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>
MAXIMUM LOAN RATE OF INITIAL GROUP II
ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of Adjustable
Rate Contracts by
Outstanding
Number of Aggregate Principal Principal
Maximum Loan Rate Contracts Balance Outstanding Balance
- ----------------- --------- ------------------- -----------------
Less than 14.000 29 4,680,851.49 5.50%
14.000 - 14.249 8 1,170,740.59 1.38
14.250 - 14.499 18 2,555,912.43 3.00
14.500 - 14.749 54 8,653,671.33 10.17
14.750 - 14.999 113 14,649,231.80 17.21
15.000 - 15.249 35 4,628,524.29 5.44
15.250 - 15.499 68 8,960,365.65 10.53
15.500 - 15.749 57 7,370,917.00 8.66
15.750 - 15.999 98 12,693,074.84 14.91
16.000 - 16.249 26 3,199,122.67 3.76
16.250 - 16.499 40 4,943,372.95 5.81
16.500 - 16.749 32 3,276,508.27 3.85
16.750 - 16.999 41 3,953,180.25 4.64
17.000 - 17.249 10 974,816.87 1.15
17.250 - 17.499 12 1,144,752.56 1.34
17.500 - 17.749 7 494,311.88 0.58
17.750 - 17.999 5 382,063.51 0.45
18.000 - 18.249 7 470,763.96 0.55
18.250 - 18.499 3 260,263.10 0.31
18.500 - 18.749 3 235,355.76 0.28
18.750 - 18.999 1 67,370.89 0.08
19.500 - 19.749 1 124,169.10 0.15
Greater than 20.000 3 236,224.83 0.28
--- ------------- ------
Total(1) 671 85,125,566.02 100.00%
- ----------
(1) Percentages do not add to 100% due to rounding
[LOGO OF MERRILL LYNCH] 32
- --------------------------------------------------------------------------------
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>
MINIMUM LOAN RATE OF INITIAL GROUP II ADJUSTABLE RATE HOME EQUITY CONTRACTS
% of Adjustable
Rate Contracts by
Outstanding
Number of Aggregate Principal Principal
Minimum Loan Rate Contracts Balance Outstanding Balance
- ----------------- --------- ------------------- -----------------
6.500 - 7.249 3 485,366.63 0.57%
7.250 - 7.499 2 232,907.19 0.27
7.500 - 7.749 3 331,985.61 0.39
7.750 - 7.999 21 3,627,018.80 4.26
8.000 - 8.249 10 1,692,920.83 1.99
8.250 - 8.499 23 3,372,558.33 3.96
8.500 - 8.749 68 10,656,541.05 12.52
8.750 - 8.999 122 15,833,605.33 18.60
9.000 - 9.249 39 5,146,981.34 6.05
9.250 - 9.499 81 9,680,911.63 11.37
9.500 - 9.749 52 6,472,721.67 7.60
9.750 - 9.999 100 13,091,481.20 15.38
10.000 - 10.249 23 2,710,399.38 3.18
10.250 - 10.499 27 2,966,584.70 3.48
10.500 - 10.749 24 2,293,121.29 2.69
10.750 - 10.999 33 3,073,316.40 3.61
11.000 - 11.249 14 1,090,120.34 1.28
11.250 - 11.499 9 902,481.52 1.06
11.500 - 11.749 10 729,667.64 0.86
11.750 - 11.999 3 191,610.89 0.23
12.250 - 12.499 1 39,945.99 0.05
12.500 - 12.749 1 124,169.10 0.15
13.250 - 13.499 2 379,149.16 0.45
--- ------------- ------
671 85,125,566.02 100.00%
- ----------
(1) Percentages do not add to 100% due to rounding
[LOGO OF MERRILL LYNCH] 33
- --------------------------------------------------------------------------------
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>
CPR PREPAYMENT SENSITIVITIES
for POOL CERTIFICATES
<TABLE>
<CAPTION>
75% of 100% of 125% of 150% of 175% of
Prepayment Model* Prepayment Model* Prepayment Model* Prepayment Model* Prepayment Model*
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
----------------- ----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
To Call
A - 1A ARM 4.24 11/09 3.15 05/07 2.44 08/05 1.96 05/04 1.61 06/03
A - 1B ARM 4.24 11/09 3.15 05/07 2.45 08/05 1.96 05/04 1.61 06/03
A - 1 1.31 09/01 1.06 02/01 0.90 10/00 0.79 08/00 0.71 06/00
A - 2 3.16 02/03 2.45 03/02 2.00 08/01 1.70 04/01 1.49 12/00
A - 3 5.32 08/06 3.88 04/04 3.00 12/02 2.48 03/02 2.12 09/01
A - 4 8.36 08/08 6.20 06/06 4.45 12/04 3.34 01/03 2.76 03/02
A - 5 5.63 05/08 5.08 04/06 4.50 12/04 3.84 11/03 3.18 12/02
A - 6 1.99 03/01 1.99 03/01 1.99 03/01 1.99 03/01 1.99 03/01
M - 1 11.62 04/11 8.96 07/08 7.14 09/06 5.81 05/05 4.81 06/04
M - 2 12.08 04/11 9.33 07/08 7.49 09/06 6.16 05/05 5.24 06/04
B - 1 5.58 09/06 4.30 12/04 3.98 05/04 3.80 12/03 3.72 01/04
B - 2a 0.49 04/00 0.50 04/00 0.51 05/00 0.52 05/00 0.53 06/00
B - 2 9.35 04/11 7.22 07/08 6.38 09/06 5.77 05/05 5.18 06/04
To Maturity
M - 1 11.89 09/12 9.20 10/09 7.30 08/07 5.92 01/06 4.85 11/04
M - 2 15.23 03/17 12.37 01/14 10.00 06/11 8.25 05/09 6.92 10/07
B - 1 5.58 09/06 4.30 12/04 3.98 05/04 3.80 12/03 3.72 01/04
</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
Contracts, using 125% of the Base Prepayment Assumption. The Base
Prepayment Assumption assumes a conditional prepayment rate of 4% per annum
of the then outstanding principal balance of the Fixed Rate Home Equity
Contracts in the first month of the life of the Fixed Rate Home Equity
Contracts and an additional 1.45% (precisely, 16/11%) per annum in each
month thereafter until the twelfth month. Beginning in the twelfth month
and in each month thereafter, the conditional prepayment rate is 20%. The
Class A-1A ARM and Class A-1B ARM Certificates will be priced, with respect
to the Adjustable Rate Home Equity Contracts, using a constant prepayment
rate of 30% CPR.
[LOGO OF MERRILL LYNCH] 34
- --------------------------------------------------------------------------------
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.
