<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): August 25, 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 $600,000,000
(Approximate) Certificates for Home Improvement
Loans, Series 1999-E, 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 $600,000,000 (Approximate) Certificates for Home Improvement
Loans, Series 1999-E, to be issued by Green Tree Financial
Corporation, as Seller and Servicer.
4
<PAGE>
TERM SHEET DATED August 25, 1999
$600,000,000 (Approximate)
- -------------------------------------------------------------------------------
GREEN TREE FINANCIAL CORPORATION
[GREEN TREE LOGO]
- -------------------------------------------------------------------------------
Certificates for Home Improvement Loans, Series 1999-E
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in light of the same
warnings, lack of assurances, and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
descriptions of the securities or underlying assets, the information contained
in the Offering Document).
1
<PAGE>
TERM SHEET DATED August, 1999
Green Tree Financial Corporation
Certificates for Home Improvement Loans, Series 1999-E
$600,000,000 (Approximate)
Subject to Revision
Seller/Servicer Green Tree Financial Corporation ("Green Tree")
Trustee U.S. Bank Trust National Association
Underwriter Lehman Brothers Inc. (Lead),
Chase Securities Inc. (Co),
First Union Capital Markets (Co), and
Merrill Lynch & Co. (Co)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
Amount Ratings (S&P/Fitch) WAL at 100% Prepayment Model(1) Exp. Final Maturity
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
To Call
A-1 $216,000,000 AAA / AAA 0.95 07/2001
A-2 $42,000,000 AAA / AAA 2.05 12/2001
A-3 $124,000,000 AAA / AAA 3.05 10/2003
A-4 $84,500,000 AAA / AAA 5.19 04/2006
M-1 $48,000,000 AA / AA 7.54 09/2007
M-2 $28,500,000 A / A 8.00 09/2007
B-1 $18,000,000 BBB / BBB 3.66 01/2004
B-2 $39,000,000 BBB- / BBB+ 6.56 09/2007
To Maturity
M-1 $48,000,000 AA / AA 7.83 04/2009
M-2 $28,500,000 A / A 12.53 10/2024
B-2 $39,000,000 BBB- / BBB+ 7.52 10/2024
Total Balance $600,000,000
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) The Certificates will be priced assuming a conditional prepayment rate
of 12% per annum of the then outstanding principal balance of the Home
Improvement Loans in the first month of the life of the Home
Improvement Loans and an additional 0.91% (precisely, 10/11%) per annum
in each month thereafter until the twelfth month. Beginning in the
twelfth month and in each month thereafter, the assumed conditional
prepayment rate is 22%.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
2
<PAGE>
Cut-off Date The Trust will be entitled to receive all payments on
the contracts due on or after July 31, 1999, for
loans other than Subsequent Loans. For each
Subsequent Loan, the trust will be entitled to
receive all payments due after the last day of the
calendar month in which the subsequent closing
occurs.
Exp. Pricing Week of August 23, 1999
Exp. Settlement/
Closing Date [September 15, 1999]
Legal Final The Payment Date in August 2030
Payment Date The 15th day of each month (or if such 15th day is
not a business day, the next succeeding business day)
commencing on October 15, 1999.
ERISA Only the Class A Certificates are ERISA eligible.
Tax Status The Trust will be treated as a "real estate mortgage
investment conduit" (a "REMIC") for federal income
tax purposes.
Optional Redemption 10% cleanup call
Additional Collateral The data set forth below with respect to the pool are
based solely on the loans identified for inclusion in
the pool as of the related Cut-off Date ("Initial
Loans"). Certain additional loans will be identified
for inclusion in the pool prior to the Closing Date
("Additional Loans"). During a limited period
following the Closing Date, the Trust will purchase
subsequent loans ("Subsequent Loans"). It is expected
that the Additional Loans and Subsequent Loans will
have characteristics which are substantially similar
to the related group of Initial Loans.
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 Loans during
a period (not longer than 90 days) following the
Closing Date (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 paid to the Class A-1 Certificateholders.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
3
<PAGE>
Credit Enhancement Class A: 22.25% subordination (Class M-1, M-2, B-1
and B-2), and Residual (Class C)
Class M-1: 14.25% subordination (Class M-2, B-1 and
B-2), and Residual (Class C)
Class M-2: 9.50% subordination (Class B-1 and B-2),
and Residual (Class C)
Class B-1: 6.50% subordination (Class B-2), and
Residual (Class C)
Class B-2: Limited Guaranty and Residual (Class C)
Distributions Distributions on each Payment Date will be made from
the "Amount Available" which will generally consist
of payments made on or in respect of the Loans, and
will include amounts otherwise payable to the
Servicer (as long as Green Tree is the Servicer) as
the Monthly Servicing Fee, amounts otherwise payable
to Green Tree as the Guaranty Fee, and amounts
otherwise payable to the Class C Certificateholder.
The Amount Available will generally be applied first
to the distributions to the Class A
Certificateholders, then to the Class M-1
Certificateholders, then to the Class M-2
Certificateholders, then to the Class B-1
Certificateholders, and then to the Class B-2
Certificateholders.
Class A Certificates are senior to Class M and Class
B Certificates. Class M Certificates are senior to
the Class B Certificates.
Interest on the Class A,
M-1, M-2 and B-1
Certificates 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. Interest will
accrue at the applicable Pass-Through Rate for each
Class on the outstanding related Class A Principal
Balance, Class M-1 Adjusted Principal Balance, Class
M-2 Adjusted Principal Balance and Class B-1 Adjusted
Principal Balance, as applicable, from the Settlement
Date, or from the most recent Payment Date on which
interest has been paid, to but excluding the
following Payment Date. Interest will accrue on a
30/360 payment basis for all Certificates.
Interest shortfalls will be carried forward, and will
bear interest at the applicable Pass- Through Rate,
to the extent legally permissible.
The Class M-1 Adjusted Principal Balance is the Class
M-1 Principal Balance less any Liquidation Loss
Amount allocated to the Class M-1 Certificates. The
Class 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 Liquidation Loss
Amount allocated to the Class M-2 Certificates. The
Class M-2 Principal Balance is the Original Class M-2
Principal Balance less all amounts previously
distributed on account of principal of the Class M-2
Certificates.
The Class B-1 Adjusted Principal Balance is the Class
B-1 Principal Balance less any Liquidation Loss
Amount allocated to the Class B-1 Certificates. The
Class B-1 Principal Balance is the Original Class B-1
Principal Balance less all amounts previously
distributed on account of principal of the Class B-1
Certificates.
Principal on the Class A,
M-1, M-2 and B-1
Certificates 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, to the extent of the remaining
Amount Available.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
4
<PAGE>
Class A Principal The Senior Percentage of the Formula Principal
Distribution Amount will be distributed, to the
extent of the Amount Available, 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, and then to the
Class A-4 Certificateholders until the Class A-4
Principal Balance has been reduced to zero.
The "Senior Percentage" will equal 100% if any of the
following exist:
i) the Payment Date is prior to October 2002
(month 37); or
ii) each Class B Principal Distribution Test
(see below) is not satisfied.
Otherwise, the Senior Percentage will equal a
fraction, the numerator of which is the sum of the
Class A Principal Balance and the Class M Principal
Balance for a given Payment Date, and the denominator
of which is the Pool Scheduled Principal Balance for
the immediately preceding Payment Date.
The "Formula Principal Distribution Amount" for a
Payment Date will generally be equal to the sum of
(i) all scheduled payments of principal due on each
outstanding Loan during the related Due Period, (ii)
the Scheduled Principal Balance of each Loan which,
during the related Due Period, was repurchased by
Green Tree, (iii) all partial principal prepayments
applied and all principal prepayments in full
received on each Loan during such Due Period, (iv)
the Scheduled Principal Balance of each Loan 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 the Payment Date occurs on or
after the Payment Date on which the Class B-2
Principal Balance has been reduced to zero, or such
amount was not covered by a Class B-2 Guaranty
Payment and corresponding reduction in the Class B-2
Principal Balance.
Class M-1 Principal Class M-1 Certificateholders will not receive
principal payments 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 payments until the Class A and Class M-1
Principal Balances have been reduced to zero. At that
time the Class M-2 Certificateholders will be
entitled to receive the Senior Percentage of the
Formula Principal Distribution Amount, until the
Class M-2 Principal Balance has been reduced to zero.
Class B-1 Principal The Class B-1 Certificateholders will not receive
principal payments unless either (i) (a) the Payment
Date occurs in or after October 2002 and (b) each
Class B Principal Distribution Test is satisfied or
(ii) the Class A Principal Balance and the Class M
Principal Balance have each been reduced to zero. At
that time, to the extent of the Amount Available
remaining after payment of all interest distributable
to Class A, Class M-1, Class M-2 and Class B-1
Certificateholders, and all principal distributable
to the Class A, Class M-1, and Class M-2
Certificateholders, the Class B-1 Certificateholders
will be entitled to receive the Class B Percentage of
the Formula Principal Distribution Amounts 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%.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
5
<PAGE>
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 2.5%;
(ii) the average Thirty-Day Delinquency Ratio as
of the given Payment Date and the prior two
Payment Dates must not exceed 5.0%;
(iii) the Cumulative Realized Losses as of the
given Payment Date must not exceed 10.0%;
(iv) the Current Realized Loss Ratio as of the
given Payment Date must not exceed 2.5%; and
(v) the Class B Principal Balance divided by the
Pool Scheduled Principal Balance as of the
immediately preceding Payment Date must be
equal to or greater than 19.0%.
Losses on Liquidated
Loans If net liquidation proceeds from liquidated Loans in
the respective collection period are less than the
Scheduled Principal Balance of such liquidated Loans
plus accrued and unpaid interest thereon, the
deficiency (a "Liquidation Loss Amount") will be
first absorbed by the Class C Certificateholder, then
the Guaranty Fee otherwise payable to Green Tree,
then the Monthly Servicing Fee otherwise payable to
the Servicer (as long as Green Tree is the Servicer),
then the Class B-2 Certificateholders, then the Class
B-1 Certificateholders, then the Class M-2
Certificateholders and then the Class M-1
Certificateholders.
Liquidation Loss
Interest Interest on Liquidation Loss Amounts will be
distributable first to the Class M-1 Certificates,
then to the Class M-2 Certificates and then to the
Class B-1 Certificates. Interest on the outstanding
Class M-1 Liquidation Loss Amount, Class M-2
Liquidation Loss Amount and Class B-1 Liquidation
Loss Amount, as applicable, will accrue from the
Settlement Date, or from the most recent Payment Date
on which interest has been paid, to but excluding the
following Payment Date.
Class B-2 Interest After payment of principal and interest due to the
Class A, Class M-1, Class M-2 and Class B-1
Certificateholders, interest will be paid to the
Class B-2 Certificateholders. The Class B-2 Limited
Guaranty will be available to pay interest to the
Class B-2 Certificateholders if the remaining Amount
Available is not sufficient. Interest will initially
accrue from the Settlement Date and thereafter will
accrue from the most recent Payment Date on which
interest has been paid to, in each case, but
excluding the following Payment Date. Interest will
be computed on a 30/360 basis. Interest shortfalls
will be carried forward, and will bear interest at
the Class B-2 Pass-Through Rate, to the extent
legally permissible.
Class B-2 Principal Except as described below, the Class B-2
Certificateholders will not receive principal
payments until the Class B-1 Principal Balance has
been reduced to zero. At that time, if each Class B
Principal Distribution Test is satisfied (unless the
Class A and Class M Principal Balances have been
reduced to zero), to the extent of the Amount
Available remaining after payment of the Class A, the
Class M and the Class B-1 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.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
6
<PAGE>
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 Green Tree.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
7
<PAGE>
HOME IMPROVEMENT LOANS
The Home Improvement Loans consist of conventional and FHA insured home
improvement contracts and promissory notes. The obligations of the obligor under
each Home Improvement Loan are secured by the related real estate.
The information concerning the Initial Home Improvement Loans presented
below is based on a pool originated through August 6, 1999. Green Tree intends
to acquire and sell Additional Home Improvement Loans to the Trust by the
Closing Date and Subsequent Home Improvement Loans to the Trust thereafter.
Although the characteristics of the final pool of Home Improvement Loans will
differ from the characteristics of the Initial Home Improvement Loans shown
below, Green Tree does not expect that the characteristics of the Additional and
Subsequent Home Improvement Loans sold to the Trust will vary materially from
those of the Initial Home Improvement Loans described herein.
THE INITIAL LOANS
-------------------------------------------------
Number of Loans: 15,904
Wgt. Avg. Loan Rate: 12.537%
Range of Rates: 6.00% - 20.99%
Wgt. Avg. Orig. Maturity: 220
Wgt. Avg. Rem. Maturity: 217
Avg. Rem. Princ. Balance: $ 18,778
-------------------------------------------------
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
INITIAL LOANS
<TABLE>
<CAPTION>
Aggregate Principal % of Loans by
Number of Balance Outstanding Principal
State Loans Outstanding Balance
----- --------- ------------------- ---------------------
<S> <C> <C> <C>
CA 1,882 $51,846,843.44 17.36%
NY 1,282 28,094,726.19 9.41%
NJ 1,042 21,184,758.88 7.09%
PA 1,032 19,293,342.11 6.46%
MI 1,030 15,612,336.29 5.23%
Other States* 9,636 162,610,831.14 54.45%
------ --------------- ------
Total 15,904 $298,642,838.05 100.00%
</TABLE>
* No one State in this category constitutes more than 5% of the Outstanding
Principal Balance.
YEARS OF ORIGINATION OF INITIAL LOANS
<TABLE>
<CAPTION>
% of Loans by
Number of Aggregate Principal Outstanding Principal
Year of Origination Loans Balance Outstanding Balance
------------------- --------- ------------------- ---------------------
<S> <C> <C> <C>
1989 1 $10,991.59 *
1990 5 18,725.75 0.01%
1997 8 214,391.55 0.07%
1998 1,922 31,682,537.89 10.61%
1999 13,968 266,716,191.27 89.31%
------ --------------- ------
Total(1) 15,904 $298,642,838.05 100.00%
</TABLE>
* Indicates an amount greater than 0.000% but less than 0.005%.
(1) Percentages may not add to 100% due to rounding.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
8
<PAGE>
DISTRIBUTION OF ORIGINAL LOAN AMOUNTS OF INITIAL LOANS
<TABLE>
<CAPTION>
% of Loans by
Original Loan Number of Aggregate Principal Outstanding Principal
Amount (in Dollars) Loans Balance Outstanding Balance
------------------- --------- ------------------- ---------------------
<S> <C> <C> <C>
Less than 10,000.00 3,906 $25,714,269.49 8.61%
10,000.00 - 14,999.99 3,295 40,147,502.35 13.44%
15,000.00 - 19,999.99 2,741 46,740,497.26 15.65%
20,000.00 - 24,999.99 1,993 43,740,458.79 14.65%
25,000.00 - 29,999.99 1,408 37,854,531.01 12.68%
30,000.00 - 34,999.99 850 27,148,892.04 9.09%
35,000.00 - 39,999.99 587 21,740,223.52 7.28%
40,000.00 - 44,999.99 563 23,691,219.75 7.93%
45,000.00 - 49,999.99 187 8,757,860.32 2.93%
50,000.00 - 54,999.99 235 12,110,208.69 4.06%
55,000.00 - 59,999.99 33 1,881,284.79 0.63%
60,000.00 - 64,999.99 27 1,671,141.09 0.56%
65,000.00 - 69,999.99 15 1,010,921.20 0.34%
70,000.00 - 74,999.99 12 863,462.60 0.29%
75,000.00 - 79,999.99 12 924,632.96 0.31%
80,000.00 - 84,999.99 9 742,188.16 0.25%
85,000.00 - 89,999.99 6 521,994.69 0.17%
90,000.00 - 94,999.99 3 276,747.56 0.09%
95,000.00 - 99,999.99 1 96,687.07 0.03%
100,000.00 - 104,999.99 3 307,500.62 0.10%
105,000.00 - 109,999.99 2 218,749.27 0.07%
115,000.00 - 119,999.99 1 115,117.68 0.04%
120,000.00 - 124,999.99 1 121,962.51 0.04%
125,000.00 - 129,999.99 1 126,160.68 0.04%
130,000.00 - 134,999.99 1 134,679.33 0.05%
135,000.00 - 139,999.99 1 138,335.61 0.05%
145,000.00 - 149,999.99 2 296,669.78 0.10%
150,000.00 - 154,999.99 3 457,593.75 0.15%
170,000.00 - 174,999.99 1 171,126.68 0.06%
175,000.00 - 179,999.99 2 354,513.94 0.12%
180,000.00 - 184,999.99 1 182,752.92 0.06%
190,000.00 - 194,999.99 2 382,951.94 0.13%
------ --------------- ------
Total(1) 15,904 $298,642,838.05 100.00%
</TABLE>
(1) Percentages may not add to 100% due to rounding.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
9
<PAGE>
INITIAL LOAN RATES
<TABLE>
<CAPTION>
% of Loans by
Range of Loans by Number of Aggregate Principal Outstanding Principal
Loan Rates Loans Balance Outstanding Balance
----------------- --------- ------------------- ---------------------
<S> <C> <C> <C>
5.001 - 6.000 1 $9,416.67 *
7.001 - 8.000 17 486,982.32 0.16%
8.001 - 9.000 337 9,840,217.87 3.29%
9.001 - 10.000 1,535 33,783,047.02 11.31%
10.001 - 11.000 2,179 47,712,684.30 15.98%
11.001 - 12.000 2,438 46,870,701.57 15.69%
12.001 - 13.000 2,320 40,755,758.16 13.65%
13.001 - 14.000 3,175 50,793,378.36 17.01%
14.001 - 15.000 2,530 38,492,545.12 12.89%
15.001 - 16.000 830 17,792,495.82 5.96%
16.001 - 17.000 416 9,362,185.58 3.13%
17.001 - 18.000 109 2,416,127.84 0.81%
18.001 - 19.000 14 276,388.93 0.09%
Greater than 19.000 3 50,908.49 0.02%
------ --------------- ------
Total(1) 15,904 $298,642,838.05 100.00%
</TABLE>
* Indicates an amount greater than 0.000% but less than 0.005%.
(1) Percentages may not add to 100% due to rounding.
REMAINING MONTHS TO MATURITY OF INITIAL LOANS
<TABLE>
<CAPTION>
% of Loans by
Number of Aggregate Principal Outstanding Principal
Months Remaining Loans Balance Outstanding Balance
---------------- --------- ------------------- ---------------------
<S> <C> <C> <C>
1 - 30 93 $363,678.05 0.12%
31 - 60 1,159 8,228,882.18 2.76%
61 - 90 739 6,190,395.08 2.07%
91 - 120 3,726 47,243,288.50 15.82%
121 - 150 168 2,348,694.43 0.79%
151 - 180 3,739 69,933,239.15 23.42%
181 - 210 312 4,955,761.23 1.66%
211 - 240 1,925 43,218,483.62 14.47%
241 - 270 8 174,623.64 0.06%
271 - 300 4,033 115,751,690.65 38.76%
331 - 360 2 234,101.52 0.08%
------ --------------- ------
Total(1) 15,904 $298,642,838.05 100.00%
</TABLE>
(1) Percentages may not add to 100% due to rounding.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
10
<PAGE>
PREPAYMENT SENSITIVITIES
FOR HOME IMPROVEMENT CONTRACT CERTIFICATES
<TABLE>
<CAPTION>
Percentage of the
Prepayment 50% 75% 100% 125% 150%
Assumption WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
- ------------------ ---------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
To Call
A-1 1.63 12/02 1.20 01/02 0.95 07/01 0.79 03/01 0.68 12/00
A-2 3.62 09/03 2.63 08/02 2.05 12/01 1.68 07/01 1.43 04/01
A-3 5.40 10/06 3.97 01/05 3.05 10/03 2.44 11/02 2.05 04/02
A-4 8.81 10/10 6.66 12/07 5.19 04/06 4.05 11/04 3.22 11/03
M-1 12.59 12/12 9.55 11/09 7.54 09/07 6.09 04/06 4.95 03/05
M-2 13.25 12/12 10.17 11/09 8.00 09/07 6.58 04/06 5.50 03/05
B-1 5.91 09/06 4.34 12/04 3.66 01/04 3.54 10/03 3.45 08/03
B-2 10.66 12/12 8.08 11/09 6.56 09/07 5.72 04/06 5.05 03/05
To Maturity
M-1 12.98 02/15 9.94 11/11 7.83 04/09 6.27 06/07 5.05 01/06
M-2 18.80 10/24 15.37 10/24 12.53 10/24 10.21 10/24 8.41 10/24
B-2 11.74 10/24 9.09 10/24 7.52 10/24 6.70 10/24 6.09 10/24
</TABLE>
* The Certificates will be priced at 100% of the Prepayment Assumption which
assumes a conditional prepayment rate of 12% per annum of the then
outstanding principal balance of the Home Improvement Loans in the first
month of the life of the Loans and an additional 0.91% (precisely, 10/11%)
per annum in each month thereafter until the twelfth month. Beginning in
the twelfth month and in each month thereafter, the conditional prepayment
rate is 22%.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
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