<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
--------------------
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported): June 17, 1999
GREEN TREE FINANCIAL CORPORATION
--------------------------------
(Exact name of registrant as specified in its charter)
Delaware 333-63305/333-75623 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
- --------------------------------------------------------------------------------
(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 of Lehman Brothers Inc. dated
June 17, 1999 distributed in connection with
$400,000,000 (approximate) Certificates for
Home Equity Loans, Series 1999-B, 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/ Joel H. Gottesman
------------------------------------
Joel H. Gottesman
Senior Vice President, General Counsel
and Secretary
4
<PAGE>
INDEX TO EXHIBITS
Exhibit Number Page
- -------------- ----
99.1 Terms Sheet of Lehman Brothers Inc. dated June 17, 1999
distributed in connection with $400,000,000 (approximate)
Certificates for Home Equity Loans, Series 1999-B, issued by
Green Tree Financial Corporation, as Seller and Servicer.
<PAGE>
Exhibit 99.1
TERM SHEET DATED JUNE 17, 1999
Green Tree Financial Corporation
Home Improvement and Home Equity Loan Trust 1999-B
$400,000,000 (Approximate)
- -------------------------------------------------------------------------------
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).
<PAGE>
TERM SHEET DATED JUNE 17, 1999
Green Tree Financial Corporation
(Seller and Servicer)
Green Tree Home Improvement and Home Equity Loan Trust 1999-B
$400,000,000 (Approximate)
Subject to Revision
<TABLE>
<CAPTION>
Pass-Through Ratings WAL at 100% of
Notes Amount Rate/Tranche Type (S&P/Moody's) Prepay. Model (1) Expected Maturity
----- ------ ----------------- ------------- ----------------- -----------------
<S> <C> <C> <C> <C> <C>
To Call:
- --------
Class A-1 $ 193,400,000 Fixed/Senior AAA / Aaa 3.63 8/10
Class A-2 $ 100,000,000 Fixed/Senior AAA / Aaa 3.96 8/10
Class M-1 $ 34,600,000 Fixed/Mezzanine AA / Aa3 7.65 8/10
Class M-2 $ 23,600,000 Fixed/Mezzanine A / A3 7.65 8/10
Class B-1 $ 22,200,000 Fixed/Subordinate BBB / Baa3 7.65 8/10
Class B-2 $ 26,200,000 Fixed/Subordinate BBB- / Ba1 7.65 8/10
To Maturity:
- ------------
Class A-1 $ 193,400,000 Fixed/Senior AAA / Aaa 3.77 6/17
Class A-2 $ 100,000,000 Fixed/Senior AAA / Aaa 4.25 6/19
Class M-1 $ 34,600,000 Fixed/Mezzanine AA / Aa3 8.28 6/19
Class M-2 $ 23,600,000 Fixed/Mezzanine A / A3 8.28 6/19
Class B-1 $ 22,200,000 Fixed/Subordinate BBB / Baa3 8.28 6/19
Class B-2 $ 26,200,000 Fixed/Subordinate BBB- / Ba1 8.66 6/24
</TABLE>
- --------------------
(1) The Notes will be priced using 100% of a prepayment rate assuming a
conditional prepayment rate of 0% per annum of the then outstanding
principal balance of the Contracts in the first month of the life of
the Contracts and an additional 1.14% (precisely, 16/14%) per annum in
each month thereafter until the fifteenth month. Beginning in the
fifteenth month and in each month thereafter, the conditional
prepayment rate is 16%.
<TABLE>
<S> <C>
ISSUER: Green Tree Home Improvement and Home Equity Loan Trust 1999-B
SELLER/SERVICER: Green Tree Financial Corporation ("Green Tree")
INDENTURE TRUSTEE: U.S. Bank Trust National Association
OWNER TRUSTEE: Wilmington Trust Company
UNDERWRITER: Lehman Brothers
NOTE INSURER (Class A-1 & A-2): Financial Security Assurance Inc.
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this
statement. If you have not received this statement, call your Lehman
Brothers account executive for another copy.
2
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<TABLE>
<S> <C>
CUT-OFF DATE: May 1, 1999
EXPECTED PRICING: Week of June 14, 1999
EXPECTED SETTLEMENT: June 30, 1999 (the actual date of closing, the "Closing Date").
PAYMENT DATE: The 15th day of each month (or if such 15th day is not a business day, the next
succeeding business day) commencing in July 1999.
ERISA: It is expected that the Notes will be ERISA eligible.
TAX STATUS: The Notes will be treated as debt obligations.
OPTIONAL REDEMPTION: 10% optional clean-up call.
COLLATERAL: Fixed-rate, home improvement contracts and promissory notes and fixed rate, closed-end home
equity contracts (the "Contracts") secured by first, second, third, or fourth priority liens
on the related properties and, in general, having a high combined loan-to-value ratio at
origination.
ADDITIONAL COLLATERAL: The data set forth below is based solely on the contracts identified for inclusion as of the
Cut-off Date. Certain additional contracts will be added to the Trust on the Closing Date
("Additional Contracts"). It is expected that the Additional Contracts will have
characteristics that are similar to the Initial Contracts.
CREDIT ENHANCEMENT: Credit enhancement with respect to the Notes will be provided by subordination and, with
respect to the Class A Notes, the Financial Security Assurance Inc. ("FSA") insurance policy.
(a) Subordination: The Class A Notes are senior to the Class M and the Class B Notes. The
-------------
Class M Notes are senior to the Class B Notes.
Class A-1 and Class A-2: 26.65% subordination (Class M-1, M-2, B-1 and B-2 and
Certificates)
Class M-1: 18.00% subordination (Class M-2, B-1 and B-2 and Certificates)
Class M-2: 12.10% subordination (Class B-1 and B-2 and Certificates)
Class B-1: 6.55% subordination (Class B-2 and Certificates)
Class B-2: Limited Guaranty (which will not benefit any other class
directly or indirectly) and Certificates
(b) FSA Insurance Policy: FSA will issue a financial guaranty note insurance policy pursuant
--------------------
to which it will irrevocably and unconditionally guarantee the timely payment of interest and
ultimate payment of principal on the Class A-1 and Class A-2 Notes.
DISTRIBUTIONS: The amount available for payments on the Notes will generally consist of payments made on or
in respect of the Contracts, and will include amounts otherwise payable to the Servicer (as
long as Green Tree is the Servicer) as the Monthly Servicing Fee with respect to the
Contracts, to Green Tree as the Guaranty Fee, and to the Owner Trust Certificateholders.
LOSSES ON LIQUIDATED
CONTRACTS: If Net Liquidation Proceeds from Liquidated Contracts in the respective collection period are
less than the Scheduled Principal Balances of such Liquidated Contracts plus accrued and
unpaid interest thereon, the deficiency will be absorbed by 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 Noteholders, then the Class B-1 Noteholders,
then the Class M-2 Noteholders and then the Class M-1 Noteholders.
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use
or rely on this information if you have not received and reviewed this
statement. If you have not received this statement, call your Lehman Brothers
account executive for another copy.
3
<PAGE>
<TABLE>
<S> <C>
INTEREST
(Class A-1, A-2, M-1, M-2, B-1): Following payment to FSA of the Premium Amount with respect to a Payment Date, interest will
be distributable first to the Class A-1 and Class A-2 Notes, then to the Class M-1 Notes, then
to the Class M-2 Notes and then to the Class B-1 Notes. Interest on the outstanding Class A-1
Principal Balance, Class A-2 Principal Balance, Class M-1 Adjusted Principal Balance, Class M-
2 Adjusted Principal Balance and Class B-1 Adjusted Principal Balance, as applicable, will
initially accrue from the Closing 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 on all Notes 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. Draws previously made under the Insurance
Policy and any other amounts owed to FSA not previously reimbursed will be carried forward for
reimbursement to FSA.
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 Notes.
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 Notes.
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 Notes.
PRINCIPAL
(Class A-1, A-2, M-1, M-2, B-1): After the payment of all interest distributable to Class A-1, Class A-2, Class M-1, Class M-2
and Class B-1 Noteholders, principal will be distributed in the following manner.
CLASS A PRINCIPAL: For purposes of determining the amount of principal due on the Class A Notes, the Contracts
will be divided into two groups. Class A-1 Noteholders will be entitled to receive payments on
the Group I contracts. Class A-2 Noteholders will be entitled to receive payments on the Group
II contracts. Class A-1 Noteholders will be entitled to receive the Class A Percentage of the
related Group Formula Principal Distribution Amount, until the Class A-1 Principal Balance has
been reduced to zero. The Class A-2 Noteholders will be entitled to receive the Class A
Percentage of the related Group Formula Principal Distribution Amount until the Class A-2
Principal Balance has been reduced to zero.
The Class A Percentage for any Payment Date will equal a fraction, expressed as a percentage,
the numerator of which is the Class A Principal Balance as of such Payment Date, and the
denominator of which is the sum of (i) the Class A Principal Balance, (ii) if the Class M-1
Distribution Test is satisfied on such Payment Date, the Class M-1 Adjusted Principal Balance,
otherwise zero, (iii) if the Class M-2 Distribution Test is satisfied on such Payment Date,
the Class M-2 Adjusted Principal Balance, otherwise zero, (iv) if the Class B-1 Distribution
Test is satisfied on such Payment Date, the Class B-1 Adjusted Principal Balance, otherwise
zero, and (v) if the Class B-2 Distribution Test is satisfied on such Payment Date, the Class
B-2 Principal Balance, otherwise zero, all as of such Payment Date.
The related "Group Formula Principal Distribution Amount" with respect to each Group and each
Class A Note will generally be equal to the sum of (i) all scheduled payments of principal due
on each outstanding Contract related to such Group during the related Due Period, (ii) the
Scheduled Balance of each Contract related to such Group which, during the related Due Period,
was repurchased by the Company, (iii) all partial principal prepayments applied and all
principal prepayments in full received
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use
or rely on this information if you have not received and reviewed this
statement. If you have not received this statement, call your Lehman Brothers
account executive for another copy.
4
<PAGE>
<TABLE>
<S> <C>
during such Due Period in respect of Contracts related to such Group, (iv) the scheduled
principal balance of each Contract related to such Group 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.
If either the Class A-1 Notes or the Class A-2 Notes are retired, the remaining Class will be
entitled to receive the Class A Percentage of the Formula Principal Distribution Amount.
The Formula Principal Distribution Amount will generally be equal to the sum of (i) all
scheduled payments of principal due on each outstanding Contract during the related Due
Period, (ii) the Scheduled Balance of each 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 the Contracts, (iv) the
scheduled principal balance of each 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.
CLASS M-1 PRINCIPAL: Class M-1 Noteholders will be entitled to receive the Class M-1 Percentage of the Formula
Principal Distribution Amount on each Payment Date on which (i) the Class A Principal Balance
has been reduced to zero or (ii) the Class M-1 Distribution Test is satisfied, until the Class
M-1 Principal Balance has been reduced to zero.
The Class M-1 Percentage for any Payment Date will equal (a) zero, if the Class A Principal
Balance has not yet been reduced to zero and the Class M-1 Distribution Test is not satisfied
or (b) a fraction, expressed as a percentage, the numerator of which is the Class M-1 Adjusted
Principal Balance as of such Payment Date, and the denominator of which is the sum of (i) the
Class A Principal Balance, if any, (ii) the Class M-1 Adjusted Principal Balance, (iii) if the
Class M-2 Distribution Test is satisfied on such Payment Date, the Class M-2 Adjusted
Principal Balance, otherwise zero, (iv) if the Class B-1 Distribution Test is satisfied on
such Payment Date, the Class B-1 Adjusted Principal Balance, otherwise zero, and (v) if the
Class B-2 Distribution Test is satisfied on such Payment Date, the Class B-2 Principal
Balance, otherwise zero, all as of such Payment Date.
The Class M-1 Distribution Test will be satisfied if each of the following tests is satisfied:
(i) the Payment Date occurs in or after July 2003; (ii) the Average Sixty-Day Delinquency
Ratio (as defined in the Agreement) as of such Payment Date, must not exceed 10% of the Senior
Subordination Percentage (as defined below); (iii) Cumulative Realized Losses (as defined in
the Agreement) as of such Payment Date must not exceed a certain specified percentage of the
Cut-off Date Pool Principal Balance, depending on the year in which such Payment Date occurs;
and (iv) the sum of the Class M-1 Adjusted Principal Balance, the Class M-2 Adjusted Principal
Balance, the Class B-1 Adjusted Principal Balance and the Class B-2 Principal Balance divided
by the Pool Scheduled Principal Balance as of the immediately preceding Payment Date must be
equal to or greater than 53.30%.
The Senior Subordination Percentage for any Payment Date will equal (a) on any Payment Date on
which the Class A Principal Balance has not been reduced to zero, a fraction, expressed as a
percentage, the numerator of which is the sum of (i) the Class M-1 Adjusted Principal Balance,
if any, (ii) the Class M-2 Adjusted Principal Balance, if any, (iii) the Class B-1 Adjusted
Principal Balance, if any, and (iv) the Class B-2 Principal Balance, if any, and the
denominator of which is the Pool Scheduled Principal Balance of the Loans, (b) on any Payment
Date on which the Class A Principal Balance has been reduced to zero and the Class M-1
Principal Balance has not been reduced to zero, a fraction, expressed as a percentage, the
numerator of which is the sum of (i) the Class M-2 Adjusted
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
5
<PAGE>
<TABLE>
<S> <C>
Principal Balance, if any, (ii) the Class B-1 Adjusted Principal Balance, if any, and (iii)
the Class B-2 Principal Balance, if any, and the denominator of which is the Pool Scheduled
Principal Balance of the Loans, (c) on any Payment Date on which the Class M-1 Principal
Balance has been reduced to zero and the Class M-2 Principal Balance has not been reduced to
zero, a fraction, expressed as a percentage, the numerator of which is the sum of (i) the
Class B-1 Adjusted Principal Balance, if any, and (ii) the Class B-2 Principal Balance, if
any, and the denominator of which is the Pool Scheduled Principal Balance of the Loans, or (d)
on any Payment Date on which the Class M-2 Principal Balance has been reduced to zero and the
Class B-1 Principal Balance has not been reduced to zero, a fraction, expressed as a
percentage, the numerator of which is the Class B-2 Principal Balance, if any, and the
denominator of which is the Pool Scheduled Principal Balance of the Loans.
CLASS M-2 PRINCIPAL: Class M-2 Noteholders will be entitled to receive the Class M-2 Percentage of the Formula
Principal Distribution Amount on each Payment Date on which (i) the Class A Principal Balance
and Class M-1 Principal Balance has been reduced to zero or (ii) the Class M-2 Distribution
Test is satisfied, until the Class M-2 Principal Balance has been reduced to zero.
The Class M-2 Percentage for any Payment Date will equal (a) zero, if the Class A Principal
Balance and Class M-1 Principal Balance have not yet been reduced to zero and the Class M-2
Distribution Test is not satisfied or (b) a fraction, expressed as a percentage, the numerator
of which is the Class M-2 Adjusted Principal Balance as of such Payment Date, and the
denominator of which is the sum of: (i) the Class A Principal Balance, if any, (ii) the Class
M-1 Adjusted Principal Balance, if any, (iii) the Class M-2 Adjusted Principal Balance, (iv)
if the Class B-1 Distribution Test is satisfied on such Payment Date, the Class B-1 Adjusted
Principal Balance, and (v) if the Class B-2 Distribution Test is satisfied on such Payment
Date, the Class B-2 Principal Balance, otherwise zero, all as of such Payment Date.
The Class M-2 Distribution Test will be satisfied if each of the following tests is satisfied:
(i) the Payment Date occurs in or after July 2003; (ii) the Average Sixty-Day Delinquency
Ratio (as defined in the Agreement) as of such Payment Date, must not exceed 10% of the Senior
Subordination Percentage; (iii) Cumulative Realized Losses (as defined in the Agreement) as of
such Payment Date must not exceed a certain specified percentage of the Cut-off Date Pool
Principal Balance, depending on the year in which such Payment Date occurs; and (iv) the sum
of the Class M-2 Adjusted Principal Balance, the Class B-1 Adjusted Principal Balance and the
Class B-2 Principal Balance divided by the Pool Scheduled Principal Balance as of the
immediately preceding Payment Date must be equal to or greater than 36.00%.
CLASS B-1 PRINCIPAL: Class B-1 Noteholders will be entitled to receive the Class B-1 Percentage of the Formula
Principal Distribution Amount on each Payment Date on which (i) the Class A Principal Balance,
Class M-1 Principal Balance and Class M-2 Principal Balance has been reduced to zero or (ii)
the Class B-1 Distribution Test is satisfied, until the Class B-1 Principal Balance has been
reduced to zero.
The Class B-1 Percentage for any Payment Date will equal (a) zero, if the Class A Principal
Balance, Class M-1 Principal Balance and Class M-2 Principal Balance have not yet been reduced
to zero and the Class B-1 Distribution Test is not satisfied or (b) a fraction, expressed as a
percentage, the numerator of which is the Class B-1 Adjusted Principal Balance as of such
Payment Date, and the denominator of which is the sum of (i) the Class A Principal Balance, if
any, (ii) the Class M-1 Adjusted Principal Balance, if any, (iii) the Class M-2 Adjusted
Principal Balance, if any, (iv) the Class B-1 Adjusted Principal Balance, and (v) if the Class
B-2 Distribution Test is satisfied on such Payment Date, the Class B-2 Principal Balance,
otherwise zero, all as of such Payment Date.
The Class B-1 Distribution Test will be satisfied if each of the following tests is satisfied:
(i) the Payment Date occurs in or after July 2003; (ii) the Average Sixty-Day Delinquency
Ratio (as defined in the Agreement) as of such Payment Date, must not exceed 10% of the Senior
Subordination Percentage; (iii) Cumulative Realized Losses (as defined in the Agreement) as of
such Payment Date must not exceed a certain specified percentage of the Cut-off Date Pool
Principal Balance, depending
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
6
<PAGE>
<TABLE>
<S> <C>
on the year in which such Payment Date occurs; and (iv) the sum of the Class B-1 Adjusted
Principal Balance and the Class B-2 Principal Balance divided by the Pool Scheduled Principal
Balance as of the immediately preceding Payment Date must be equal to or greater than 24.20%.
CLASS B-2 INTEREST: Interest on the outstanding Class B-2 Principal Balance will initially accrue from the Closing
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 on all Notes will
accrue on a 30/360 basis.
To the extent of (i) Amount Available on a Remittance Date after payment of all interest and
principal then payable on the Class A, Class M-1, Class M-2 and Class B-1 Notes, and (ii) the
Guarantee Payment, if any, for such date, interest will be paid to the Class B-2 Noteholders
at the Class B-2 Remittance Rate on the Class B-2 Principal Balance.
The Class B-2 Principal Balance is the Original Class B-2 Principal Balance less all amounts
previously distributed on account of principal of the Class B-2 Notes.
Interest shortfall will be carried forward, and will bear interest at the Class B-2 Remittance
Rate to the extent legally permissible.
CLASS B-2 PRINCIPAL: Class B-2 Noteholders will be entitled to receive the Class B-2 Percentage of the Formula
Principal Distribution Amount on each Payment Date on which (i) the Class A Principal Balance,
Class M-1 Principal Balance, Class M-2 Principal Balance and Class B-1 Principal Balance has
been reduced to zero or (ii) the Class B-2 Distribution Test is satisfied, until the Class B-2
Principal Balance has been reduced to zero.
The Class B-2 Percentage for any Payment Date will equal (a) zero, if the Class A Principal
Balance, Class M-1 Principal Balance, Class M-2 Principal Balance and Class B-1 Principal
Balance have not yet been reduced to zero and the Class B-2 Distribution Test is not satisfied
or (b) a fraction, expressed as a percentage, the numerator of which is the Class B-2
Principal Balance as of such Payment Date, and the denominator of which is the sum of: (i) the
Class A Principal Balance, if any, (ii) the Class M-1 Adjusted Principal Balance, if any,
(iii) the Class M-2 Adjusted Principal Balance, if any, (iv) the Class B-1 Adjusted Principal
Balance, if any, and (v) the Class B-2 Principal Balance, all as of such Payment Date.
The Class B-2 Distribution Test will be satisfied if each of the following tests is satisfied:
(i) the Payment Date occurs in or after July 2003; (ii) the Average Sixty-Day Delinquency
Ratio (as defined in the Agreement) as of such Payment Date, must not exceed 10% of the Senior
Subordination Percentage; (iii) Cumulative Realized Losses (as defined in the Agreement) as of
such Payment Date must not exceed a certain specified percentage of the Cut-off Date Pool
Principal Balance, depending on the year in which such Payment Date occurs; (iv) the Class B-2
Principal Balance divided by the Pool Scheduled Principal Balance as of the immediately
preceding Payment Date must be equal to or greater than 13.10%; and (v) the Class B-2
Principal Balance must not be less than $2,000,000.
The Company will be obligated under the Limited Guarantee to pay the amount, if any, by which
the Class B-2 Percentage of the Formula Principal Distribution Amount for the Payment Date
exceeds the Class B-2 Remaining Amount Available after payment of interest on the Class B-2
Notes. On each Payment Date, Class B-2 Noteholders will be entitled to receive, pursuant to
the Limited Guarantee, any Class B-2 Liquidation Loss Amount for such Remittance Date
LIQUIDATION
LOSS INTEREST: Liquidation Loss Interest will be distributable first to the Class M-1 Notes, then to the
Class M-2 Notes and then to the Class B-1 Notes. Interest on the outstanding Class M-1
Liquidation Loss Principal Amount, Class M-2 Liquidation Loss Principal Amount and Class B-1
Liquidation Loss Principal Amount, as applicable, will accrue from the Payment Date on which a
Liquidation Loss Principal Amount was incurred for that Class to but excluding the following
Payment Date.
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
7
<PAGE>
INITIAL CONTRACTS
The information concerning the Initial Contracts presented below is
based on a pool originated through May 15, 1999 (the "Initial Contracts"). Green
Tree intends to acquire and sell Additional Contracts to the Trust on the
Closing Date. Although the characteristics of the final pool of Contracts will
differ from the characteristics of the Initial Contracts shown below, Green Tree
does not expect that the characteristics of the Additional Contracts sold to the
Trust will vary materially from those of the Initial Contracts herein.
INITIAL CONTRACTS
Number of Contracts: 12,624
Wgt. Avg. Contract Rate: 14.55%
Range of Rates: 6.94% - 20.14%
Wgt. Avg. Orig. Maturity: 232 months
Wgt. Avg. Rem. Maturity: 228 months
Avg. Rem. Princ. Balance: $24,120.84
Wgt Avg. CLTV 118.60%
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
8
<PAGE>
<TABLE>
<CAPTION>
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES OF INITIAL CONTRACTS
% of Initial Contracts
Number of Aggregate Principal by Outstanding
State Contracts Balance Outstanding Principal Balance
<S> <C> <C> <C>
AL 255 $ 5,120,471.82 1.68%
AR 87 1,531,703.83 0.50%
AZ 413 11,124,010.79 3.65%
CA 1,117 32,246,688.31 10.59%
CO 297 7,164,349.74 2.35%
CT 198 4,648,731.81 1.53%
DC 6 110,507.87 0.04%
DE 63 1,317,881.33 0.43%
FL 923 22,748,539.46 7.47%
GA 433 11,105,915.87 3.65%
IA 222 4,350,194.53 1.43%
ID 93 2,007,590.28 0.66%
IL 689 16,010,695.38 5.26%
IN 326 7,669,618.03 2.52%
KS 219 4,131,508.28 1.36%
KY 159 3,911,955.45 1.28%
LA 168 3,695,306.18 1.21%
MA 128 3,206,718.10 1.05%
MD 330 9,101,298.55 2.99%
ME 40 1,074,754.15 0.35%
MI 522 12,020,519.40 3.95%
MN 287 6,130,784.58 2.01%
MO 469 9,683,776.00 3.18%
MS 92 1,917,770.51 0.63%
MT 55 971,405.65 0.32%
NC 295 6,796,744.12 2.23%
ND 37 779,983.27 0.26%
NE 89 1,799,070.50 0.59%
NH 32 782,423.27 0.26%
NJ 318 9,280,675.60 3.05%
NM 114 2,683,166.16 0.88%
NV 232 6,178,596.50 2.03%
NY 643 16,143,858.01 5.30%
OH 493 10,596,490.15 3.48%
OK 115 2,716,506.94 0.89%
OR 129 3,352,733.08 1.10%
PA 534 13,605,769.97 4.47%
RI 37 755,181.40 0.25%
SC 229 5,125,062.81 1.68%
SD 66 1,254,554.48 0.41%
TN 242 5,135,245.27 1.69%
TX 36 785,003.99 0.26%
UT 87 2,118,101.41 0.70%
VA 644 15,719,718.18 5.16%
VT 5 102,128.89 0.03%
WA 368 9,503,376.27 3.12%
WI 181 4,045,821.20 1.33%
WV 41 922,805.65 0.30%
WY 66 1,315,720.50 0.43%
-- ------------ -----
Total: 12,624 $ 304,501,433.52 100.00%
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
9
<PAGE>
CONTRACT RATES OF INITIAL CONTRACTS
<TABLE>
<CAPTION>
% of Initial Contracts
Number of Aggregate Principal by Outstanding
Contract Rates Contracts Balance Outstanding Principal Balance
<S> <C> <C> <C>
Less than 9.001% 64 $ 2,164,175.45 0.71%
9.001%-10.000% 184 6,062,540.38 1.99%
10.001%-11.000% 389 13,639,987.96 4.48%
11.001%-12.000% 575 18,470,850.02 6.07%
12.001%-13.000% 1,170 36,068,858.55 11.85%
13.001%-14.000% 1,643 47,082,818.10 15.46%
14.001%-15.000% 2,216 57,846,030.93 19.00%
15.001%-16.000% 2,495 55,153,474.44 18.11%
16.001%-17.000% 2,272 43,130,211.24 14.16%
17.001%-18.000% 1,195 18,803,076.38 6.18%
18.001%-19.000% 386 5,635,437.01 1.85%
Greater than 19.000% 35 443,973.06 0.15%
-- ---------- -----
Total 12,624 $ 304,501,433.52 100.00%
</TABLE>
YEARS OF ORIGINATION OF INITIAL CONTRACTS
<TABLE>
<CAPTION>
% of Initial Contracts
Number of Aggregate Principal by Outstanding
Year of Origination Contracts Balance Outstanding Principal Balance
<S> <C> <C> <C>
1980 1 $ 14,178.43 *
1990 1 20,938.46 0.01%
1996 1 31,477.69 0.01%
1997 88 2,682,897.02 0.88%
1998 4,504 115,940,916.71 38.08%
1999 8,029 185,811,025.21 61.02%
----- -------------- ------
Total: 12,624 $ 304,501,433.52 100.00%
</TABLE>
- ------------------------------
* Indicates a percentage greater than 0% but less than 0.005%
DISTRIBUTION OF CURRENT BALANCES OF INITIAL CONTRACTS
<TABLE>
<CAPTION>
% of Initial Contracts
Number of Aggregate Principal by Outstanding
Current Balance Contracts Balance Outstanding Principal Balance
<S> <C> <C> <C>
Less than 10,000.00 857 $ 8,128,440.52 2.67%
10,000.00-19,999.99 5,012 77,353,197.86 25.40%
20,000.00-29,999.99 3,418 84,816,862.01 27.85%
30,000.00-39,999.99 1,847 64,157,880.44 21.07%
40,000.00-49,999.99 1,099 48,446,269.16 15.91%
50,000.00-59,999.99 363 19,408,577.55 6.37%
Greater than 59,999.99 28 2,190,205.98 0.72%
-- ------------ -----
Total 12,624 $ 304,501,433.52 100.00%
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
10
<PAGE>
DISTRIBUTION OF ORIGINAL BALANCES OF INITIAL CONTRACTS
<TABLE>
<CAPTION>
% of Initial Contracts
Number of Aggregate Principal by Outstanding
Original Balance Contracts Balance Outstanding Principal Balance
<S> <C> <C> <C>
Less than 10,000.00 140 $ 1,048,604.41 0.34%
10,000.00-19,999.99 5,141 72,797,839.52 23.91%
20,000.00-29,999.99 3,745 88,794,451.52 29.16%
30,000.00-39,999.99 1,972 66,465,597.81 21.83%
40,000.00-49,999.99 1,155 49,866,260.76 16.38%
50,000.00-59,999.99 417 21,797,155.76 7.16%
Greater than 59,999.99 54 3,731,523.74 1.23%
-- ------------ -----
Total 12,624 $ 304,501,433.52 100.00%
REMAINING MONTHS TO MATURITY OF INITIAL CONTRACTS
% of Initial Contracts
Number of Aggregate Principal by Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
1-30 1 3,880.15 *
31-60 144 2,059,663.97 0.68%
61-90 96 1,603,609.49 0.53%
91-120 1,358 25,446,308.90 8.36%
121-150 46 970,140.63 0.32%
151-180 2,920 70,413,011.52 23.12%
181-210 190 4,135,327.92 1.36%
211-240 4,959 105,580,921.09 34.67%
271-300 2,908 94,213,231.40 30.94%
331-360 2 75,338.45 0.02%
- --------- -----
Total 12,624 304,501,433.52 100.00%
</TABLE>
- ------------------------------
* Indicates a percentage greater than 0% but less than 0.005%
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
11
<PAGE>
GROUP I CONTRACTS
The Contracts comprising Group I consist of home improvement contracts
and home equity contracts. The obligations of the obligor under each Group I
Contract are secured by the related real estate. The information concerning the
Group I Contracts presented below is based on a pool originated through May 15,
1999 (the "Group I Contracts").
GROUP I CONTRACTS
Number of Contracts: 10,884
Wgt. Avg. Contract Rate: 14.55%
Range of Rates: 6.94% - 20.14%
Wgt. Avg. Orig. Maturity: 231 months
Wgt. Avg. Rem. Maturity: 228 months
Avg. Rem. Princ. Balance: $24,225.23
Wgt Avg. CLTV: 118.81%
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received or reviewed this statement. If
you have not received this statement, call your Lohman Brothers account
executive for another copy.
12
<PAGE>
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES OF GROUP I CONTRACTS
<TABLE>
<CAPTION>
% of Group I Contracts
Number of Aggregate Principal by Outstanding
State Contracts Balance Outstanding Principal Balance
<S> <C> <C> <C>
AL 228 $ 4,586,785.21 1.74%
AR 85 1,482,185.12 0.56%
AZ 363 9,865,163.42 3.74%
CA 816 23,982,848.94 9.10%
CO 239 5,922,466.47 2.25%
CT 171 4,004,809.75 1.52%
DC 5 90,653.62 0.03%
DE 57 1,158,333.58 0.44%
FL 816 20,390,075.09 7.73%
GA 401 10,172,788.08 3.86%
IA 200 3,930,870.73 1.49%
ID 72 1,651,217.81 0.63%
IL 599 13,991,414.67 5.31%
IN 298 7,157,083.93 2.71%
KS 202 3,746,087.24 1.42%
KY 152 3,769,143.62 1.43%
LA 145 3,313,777.92 1.26%
MA 119 2,986,286.46 1.13%
MD 282 7,588,233.81 2.88%
ME 37 1,006,276.55 0.38%
MI 450 10,644,966.59 4.04%
MN 227 5,101,109.42 1.93%
MO 408 8,566,374.26 3.25%
MS 89 1,880,814.19 0.71%
MT 38 683,282.49 0.26%
NC 279 6,339,229.04 2.40%
ND 26 589,729.87 0.22%
NE 83 1,670,086.40 0.63%
NH 32 782,423.27 0.30%
NJ 271 7,938,299.89 3.01%
NM 97 2,298,736.91 0.87%
NV 190 5,196,115.48 1.97%
NY 570 14,093,979.51 5.35%
OH 423 9,029,731.24 3.42%
OK 107 2,586,542.60 0.98%
OR 109 2,893,902.02 1.10%
PA 449 11,648,221.11 4.42%
RI 33 673,169.95 0.26%
SC 219 4,845,362.42 1.84%
SD 53 1,015,893.67 0.39%
TN 227 4,848,985.13 1.84%
TX 34 738,336.27 0.28%
UT 74 1,844,225.20 0.70%
VA 570 13,611,776.99 5.16%
VT 4 89,856.36 0.03%
WA 289 7,723,797.41 2.93%
WI 153 3,533,887.50 1.34%
WV 36 810,480.44 0.31%
WY 57 1,191,534.72 0.45%
-- ------------ -----
Total: 10,884 $ 263,667,352.37 100.00%
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received or reviewed this statement. If
you have not received this statement, call your Lohman Brothers account
executive for another copy.
13
<PAGE>
CONTRACT RATES OF GROUP I CONTRACTS
<TABLE>
<CAPTION>
% of Group I Contracts
Number of Aggregate Principal by Outstanding
Contract Rates Contracts Balance Outstanding Principal Balance
<S> <C> <C> <C>
Less than 9.001% 56 $ 1,888,786.36 0.72%
9.001%-10.000% 154 4,892,094.15 1.86%
10.001%-11.000% 335 11,273,711.96 4.28%
11.001%-12.000% 491 15,659,953.74 5.94%
12.001%-13.000% 1,018 31,551,293.14 11.97%
13.001%-14.000% 1,480 42,653,809.89 16.18%
14.001%-15.000% 1,977 51,992,859.33 19.72%
15.001%-16.000% 2,088 46,538,938.89 17.65%
16.001%-17.000% 1,893 35,974,619.48 13.64%
17.001%-18.000% 1,021 15,946,924.86 6.05%
18.001%-19.000% 340 4,908,435.70 1.86%
Greater than 19.000% 31 385,924.87 0.15%
-- ---------- -----
Total 10,884 $ 263,667,352.37 100.00%
</TABLE>
YEARS OF ORIGINATION OF GROUP I CONTRACTS
<TABLE>
<CAPTION>
% of Group I Contracts
Number of Aggregate Principal by Outstanding
Year of Origination Contracts Balance Outstanding Principal Balance
<S> <C> <C> <C>
1996 1 $ 31,477.69 0.01%
1997 84 2,532,325.81 0.96%
1998 4,019 104,668,774.76 39.70%
1999 6,780 156,434,774.11 59.33%
----- -------------- ------
Total: 10,884 $ 263,667,352.37 100.00%
</TABLE>
DISTRIBUTION OF CURRENT BALANCES OF GROUP I CONTRACTS
<TABLE>
<CAPTION>
% of Group I Contracts
Number of Aggregate Principal by Outstanding
Current Balance Contracts Balance Outstanding Principal Balance
<S> <C> <C> <C>
Less than 10,000.00 730 $ 6,923,966.37 2.63%
10,000.00-19,999.99 4,236 65,000,923.16 24.65%
20,000.00-29,999.99 2,939 72,998,444.34 27.69%
30,000.00-39,999.99 1,702 59,127,500.31 22.43%
40,000.00-49,999.99 966 42,517,798.62 16.13%
50,000.00-59,999.99 289 15,458,152.00 5.86%
Greater than 59,999.99 22 1,640,567.57 0.62%
-- ------------ -----
Total 10,884 $ 263,667,352.37 100.00%
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received or reviewed this statement. If
you have not received this statement, call your Lohman Brothers account
executive for another copy.
14
<PAGE>
DISTRIBUTION OF ORIGINAL BALANCES OF GROUP I CONTRACTS
<TABLE>
<CAPTION>
% of Group I Contracts
Number of Aggregate Principal by Outstanding
Original Balance Contracts Balance Outstanding Principal Balance
<S> <C> <C> <C>
Less than 10,000.00 116 $ 866,515.62 0.33%
10,000.00-19,999.99 4,394 62,040,703.27 23.53%
20,000.00-29,999.99 3,175 75,566,008.51 28.66%
30,000.00-39,999.99 1,792 60,464,878.13 22.93%
40,000.00-49,999.99 1,028 44,295,404.66 16.80%
50,000.00-59,999.99 338 17,668,733.81 6.70%
Greater than 59,999.99 41 2,765,108.37 1.05%
-- ------------ -----
Total 10,884 $ 263,667,352.37 100.00%
</TABLE>
REMAINING MONTHS TO MATURITY OF GROUP I CONTRACTS
<TABLE>
<CAPTION>
% of Group I Contracts
Number of Aggregate Principal by Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
<S> <C> <C> <C>
1-30 1 $ 3,880.15 *
31-60 118 1,684,149.25 0.64%
61-90 87 1,470,745.33 0.56%
91-120 1,177 22,180,305.60 8.41%
121-150 40 860,531.21 0.33%
151-180 2,593 62,800,013.19 23.82%
181-210 167 3,662,310.62 1.39%
211-240 4,129 88,356,702.53 33.51%
271-300 2,570 82,573,376.04 31.32%
331-360 2 75,338.45 0.03%
- --------- -----
Total 10,884 $ 263,667,352.37 100.00%
</TABLE>
- ------------------------------
* Indicates a percentage greater than 0% but less than 0.005%
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 you Lehman Brothers account
executive for another copy.
15
<PAGE>
GROUP II CONTRACTS
The Contracts comprising Group II consist of home improvement contracts
and home equity contracts. The obligations of the obligor under each Group II
Contract are secured by the related real estate. The information concerning the
Group II Contracts presented below is based on a pool originated through May 10,
1999 (the "Initial Group II Contracts"). Green Tree intends to acquire and sell
Additional Group II Contracts to the Trust on the Closing Date. Although the
characteristics of the final pool of Group II Contracts will differ from the
characteristics of the Initial Group II Contracts shown below, Green Tree does
not expect that the characteristics of the Additional Group II Contracts sold to
the Trust will vary materially from those of the Initial Group II Contracts
herein.
INITIAL GROUP II CONTRACTS
Number of Contracts: 1,740
Wgt. Avg. Contract Rate: 14.59%
Range of Rates: 8.75% - 19.69%
Wgt. Avg. Orig. Maturity: 233 months
Wgt. Avg. Rem. Maturity: 231 months
Avg. Rem. Princ. Balance: $23,467.86
Wgt Avg. CLTV: 117.27%
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 you Lehman Brothers account
executive for another copy.
16
<PAGE>
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES OF INITIAL GROUP II CONTRACTS
<TABLE>
<CAPTION>
% of Initial Group II
Number of Aggregate Principal Contracts by Outstanding
State Contracts Balance Outstanding Principal Balance
<S> <C> <C> <C>
AL 27 $ 533,686.61 1.31%
AR 2 49,518.71 0.12%
AZ 50 1,258,847.37 3.08%
CA 301 8,263,839.37 20.24%
CO 58 1,241,883.27 3.04%
CT 27 643,922.06 1.58%
DC 1 19,854.25 0.05%
DE 6 159,547.75 0.39%
FL 107 2,358,464.37 5.78%
GA 32 933,127.79 2.29%
IA 22 419,323.80 1.03%
ID 21 356,372.47 0.87%
IL 90 2,019,280.71 4.95%
IN 28 512,534.10 1.26%
KS 17 385,421.04 0.94%
KY 7 142,811.83 0.35%
LA 23 381,528.26 0.93%
MA 9 220,431.64 0.54%
MD 48 1,513,064.74 3.71%
ME 3 68,477.60 0.17%
MI 72 1,375,552.81 3.37%
MN 60 1,029,675.16 2.52%
MO 61 1,117,401.74 2.74%
MS 3 36,956.32 0.09%
MT 17 288,123.16 0.71%
NC 16 457,515.08 1.12%
ND 11 190,253.40 0.47%
NE 6 128,984.10 0.32%
NJ 47 1,342,375.71 3.29%
NM 17 384,429.25 0.94%
NV 42 982,481.02 2.41%
NY 73 2,049,878.50 5.02%
OH 70 1,566,758.91 3.84%
OK 8 129,964.34 0.32%
OR 20 458,831.06 1.12%
PA 85 1,957,548.86 4.79%
RI 4 82,011.45 0.20%
SC 10 279,700.39 0.68%
SD 13 238,660.81 0.58%
TN 15 286,260.14 0.70%
TX 2 46,667.72 0.11%
UT 13 273,876.21 0.67%
VA 74 2,107,941.19 5.16%
VT 1 12,272.53 0.03%
WA 79 1,779,578.86 4.36%
WI 28 511,933.70 1.25%
WV 5 112,325.21 0.28%
WY 9 124,185.78 0.30%
- ---------- -----
Total: 1,740 $ 40,834,081.15 100.00%
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
17
<PAGE>
CONTRACT RATES OF INITIAL GROUP II CONTRACTS
<TABLE>
<CAPTION>
% of Initial Group II
Number of Aggregate Principal Contracts by Outstanding
Contract Rates Contracts Balance Outstanding Principal Balance
<S> <C> <C> <C>
Less than 9.001% 8 $ 275,389.09 0.67%
9.001%-10.000% 30 1,170,446.23 2.87%
10.001%-11.000% 54 2,366,276.00 5.79%
11.001%-12.000% 84 2,810,896.28 6.88%
12.001%-13.000% 152 4,517,565.41 11.06%
13.001%-14.000% 163 4,429,008.21 10.85%
14.001%-15.000% 239 5,853,171.60 14.33%
15.001%-16.000% 407 8,614,535.55 21.10%
16.001%-17.000% 379 7,155,591.76 17.52%
17.001%-18.000% 174 2,856,151.52 6.99%
18.001%-19.000% 46 727,001.31 1.78%
Greater than 19.000% 4 58,048.19 0.14%
- --------- -----
Total 1,740 $ 40,834,081.15 100.00%
</TABLE>
YEARS OF ORIGINATION OF INITIAL GROUP II CONTRACTS
<TABLE>
<CAPTION>
% of Initial Group II
Number of Aggregate Principal Contracts by Outstanding
Year of Origination Contracts Balance Outstanding Principal Balance
<S> <C> <C> <C>
1980 1 $ 14,178.43 0.03%
1990 1 20,938.46 0.05%
1997 4 150,571.21 0.37%
1998 485 11,272,141.95 27.60%
1999 1,249 29,376,251.10 71.94%
----- ------------- ------
Total: 1,740 $ 40,834,081.15 100.00%
</TABLE>
DISTRIBUTION OF CURRENT BALANCES OF INITIAL GROUP II CONTRACTS
<TABLE>
<CAPTION>
% of Initial Group II
Number of Aggregate Principal Contracts by Outstanding
Current Balance Contracts Balance Outstanding Principal Balance
<S> <C> <C> <C>
Less than 10,000.00 127 $ 1,204,474.15 2.95%
10,000.00-19,999.99 776 12,352,274.70 30.25%
20,000.00-29,999.99 479 11,818,417.67 28.94%
30,000.00-39,999.99 145 5,030,380.13 12.32%
40,000.00-49,999.99 133 5,928,470.54 14.52%
50,000.00-59,999.99 74 3,950,425.55 9.67%
Greater than 59,999.99 6 549,638.41 1.35%
- ---------- -----
1,740 $ 40,834,081.15 100.00%
Total
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
18
<PAGE>
DISTRIBUTION OF ORIGINAL BALANCES OF INITIAL GROUP II CONTRACTS
<TABLE>
<CAPTION>
% of Initial Group II
Number of Aggregate Principal Contracts by Outstanding
Original Balance Contracts Balance Outstanding Principal Balance
<S> <C> <C> <C>
Less than 10,000.00 24 $ 182,088.79 0.45%
10,000.00-19,999.99 747 10,757,136.25 26.34%
20,000.00-29,999.99 570 13,228,443.01 32.40%
30,000.00-39,999.99 180 6,000,719.68 14.70%
40,000.00-49,999.99 127 5,570,856.10 13.64%
50,000.00-59,999.99 79 4,128,421.95 10.11%
Greater than 59,999.99 13 966,415.37 2.37%
-- ---------- -----
Total 1,740 $ 40,834,081.15 100.00%
</TABLE>
REMAINING MONTHS TO MATURITY OF INITIAL GROUP II CONTRACTS
<TABLE>
<CAPTION>
% of Initial Group II
Number of Aggregate Principal Contracts by Outstanding
Months Remaining Contracts Balance Outstanding Principal Balance
<S> <C> <C> <C>
31-60 26 $ 375,514.72 0.92%
61-90 9 132,864.16 0.33%
91-120 181 3,266,003.30 8.00%
121-150 6 109,609.42 0.27%
151-180 327 7,612,998.33 18.64%
181-210 23 473,017.30 1.16%
211-240 830 17,224,218.56 42.18%
271-300 338 11,639,855.36 28.51%
--- ------------- ------
Total 1,740 $ 40,834,081.15 100.00%
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
19
<PAGE>
PREPAYMENT SENSITIVITIES
<TABLE>
<CAPTION>
50% of Prepayment 75% of Prepayment 100% of Prepayment
Assumption (1) Assumption (1) Assumption (1)
WAL/Maturity WAL/Maturity WAL/Maturity
<S> <C> <C> <C>
To Call
A-1 5.85 9/15 4.52 11/12 3.63 8/10
A-2 6.18 9/15 4.85 11/12 3.96 8/10
M-1 11.76 9/15 9.37 11/12 7.65 8/10
M-2 11.76 9/15 9.37 11/12 7.65 8/10
B-1 11.76 9/15 9.37 11/12 7.65 8/10
B-2 11.76 9/15 9.37 11/12 7.65 8/10
To Maturity
A-1 6.00 7/22 4.68 12/19 3.77 6/17
A-2 6.41 5/23 5.12 12/21 4.25 6/19
M-1 12.33 5/23 10.00 12/21 8.28 6/19
M-2 12.33 5/23 10.00 12/21 8.28 6/19
B-1 12.33 5/23 10.00 12/21 8.28 6/19
B-2 12.55 6/24 10.34 6/24 8.66 6/24
<CAPTION>
125% of Prepayment 150% of Prepayment 175% of Prepayment
Assumption (1) Assumption (1) Assumption (1)
WAL/Maturity WAL/Maturity WAL/Maturity
<S> <C> <C> <C>
To Call
A-1 2.82 10/08 2.25 6/07 1.83 1/06
A-2 3.15 10/08 2.57 6/07 2.14 5/06
M-1 6.88 10/08 6.29 6/07 5.79 5/06
M-2 6.88 10/08 6.29 6/07 5.79 5/06
B-1 6.88 10/08 6.29 6/07 5.79 5/06
B-2 6.88 10/08 6.29 6/07 5.79 5/06
To Maturity
A-1 2.91 4/14 2.28 2/11 1.83 1/06
A-2 3.40 8/17 2.75 9/15 2.20 10/13
M-1 7.58 8/17 7.04 9/15 6.61 10/13
M-2 7.58 8/17 7.04 9/15 6.61 10/13
B-1 7.58 8/17 7.04 9/15 6.61 10/13
B-2 7.96 6/24 7.39 6/24 6.92 6/24
</TABLE>
(1) The base prepayment assumption assumes a conditional prepayment rate of 0%
per annum of the then outstanding principal balance of the Contracts in the
first month of the life of the Contracts and an additional 1.14%
(precisely, 16/14%) per annum in each month thereafter until the fifteenth
month. Beginning in the fifteenth month and in each month thereafter, the
conditional prepayment rate is 16%.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
20
