<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 10, 1999
GREEN TREE FINANCIAL CORPORATION
--------------------------------
(Exact name of registrant as specified in its charter)
01-08916
Delaware [333-63265/333-75365 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.
(c) Exhibits.
The following is filed herewith. The exhibit numbers correspond with
Item 601(b) of Regulation S-K.
<PAGE>
Exhibit No. Description
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99 Merrill Lynch & Co. Terms Sheet dated June 10, 1999
distributed in connection with Certificates for
Manufactured Housing Contract Senior/Subordinate
Pass-Through Certificates, Series 1999-4, 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/ Joel H. Gottesman
------------------------------
Joel H. Gottesman
Senior Vice President, General Counsel
and Secretary
<PAGE>
INDEX TO EXHIBITS
Exhibit Number Filed Electroncially
- -------------- --------------------
99 Merrill Lynch & Co. Terms Sheet dated
June 10, 1999 distributed in connection with
Certificates for Manufactured Housing Contract
Senior/Subordinate Pass-Through Certificates,
Series 1999-4, issued by Green Tree Financial
Corporation, as Seller and Servicer.
<PAGE>
TERM SHEET DATED June 10, 1999
Green Tree Financial Corporation
Manufactured Housing Contract Senior/Subordinate
Pass-Through Certificates, Series 1999-4
$1,000,000,000 (Approximate)
Subject to Revision
SELLER/SERVICER: Green Tree Financial Corporation ("Green Tree").
TRUSTEE: U.S. Bank National Association, St. Paul, Minnesota.
UNDERWRITERS: Merrill Lynch & Co. (Lead), Lehman Brothers, Banc of America
Securities LLC
Ratings WAL @ Exp. Final
To Call Amount S&P/Fitch 175% MHP Maturity
A-1 $22,000,000 A-1+/F-1+ 0.30 2/00
A-2 $42,000,000 AAA/AAA 1.00 12/00
A-3 $59,000,000 AAA/AAA 2.00 2/02
A-4 $41,500,000 AAA/AAA 3.00 12/02
A-5 $102,000,000 AAA/AAA 5.00 7/06
A-6 $21,500,000 AAA/AAA 7.50 7/07
A-7 $63,000,000 AAA/AAA 9.99 11/11
A-8 $74,000,000 AAA/AAA 15.42 3/16
A-9 $400,000,000 AAA/AAA 6.43 3/16
M-1 $52,500,000 AA/AA 10.00 3/16
M-2 $35,000,000 A/A 10.00 3/16
B-1 $32,500,000 BBB/BBB 5.66 1/07
B-2 $55,000,000 BBB-/BBB+ 12.72 3/16
To Maturity
A-8 $74,000,000 AAA/AAA 16.91 2/24
A-9 $400,000,000 AAA/AAA 6.69 2/24
M-1 $52,500,000 AA/AA 10.47 2/24
M-2 $35,000,000 A/A 10.47 2/24
B-2 $55,000,000 BBB-/BBB+ 16.45 9/29
FOR INFORMATION CONCERNING CERTAIN RISK FACTORS THAT SHOULD BE CONSIDERED BY
PROSPECTIVE INVESTORS, SEE "RISK FACTORS" IN THE PROSPECTUS SUPPLEMENT.
CAPITALIZED TERMS USED HEREIN AND NOT OTHERWISE DEFINED HAVE THE MEANINGS SET
FORTH IN THE PROSPECTUS AND PROSPECTUS SUPPLEMENT.
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CUT-OFF DATE: June 1, 1999 (or the date of origination, if later)
EXP. PRICING: Week of June 7, 1999.
EXP. SETTLEMENT: June 30, 1999.
INTEREST/PRINCIPAL: The 1st day of each month (or if such 1st day is not a
business day, the next succeeding business day),
commencing on August 2, 1999.
OTHER CERTIFICATES: In addition to the Offered Certificates, the Class C
and Class B-3I Certificates will be issued. The Class
B-3I Certificates will be interest-only Certificates
which are retained by an affiliate of Green Tree, and
fully subordinated to the Offered Certificates.
MONEY MARKET
ELIGIBILITY: The Class A-1 Certificates are expected to be eligible
securities for purchase by money market funds under
Rule 2a-7 under the Investment Company Act of 1940, as
amended. A fund should consult with its advisors
regarding the eligibility of the Class A-1
Certificates under Rule 2a-7 and the fund's investment
policies and objectives.
ERISA: Subject to the conditions set forth in the Prospectus
Supplement, the Class A Certificates are ERISA
eligible. No transfer of a Class M or a Class B
Certificate will be permitted to be made to any
benefit plan unless such plan delivers an opinion of
counsel to the Trustee.
SMMEA: The Class A and the Class M-1 Certificates will not
constitute "mortgage related securities" under the
Secondary Mortgage Market Enhancement Act of 1984
("SMMEA") until such time as the amount in the
Prefunding Account is reduced to zero. At such time,
the Class A and M-1 Certificates will be "legal
investments" for certain types of institutional
investors to the extent provided in SMMEA. The Class
M-2, B-1 and B-2 Certificates are not SMMEA eligible.
TAX STATUS: Two separate REMIC Elections will be made with respect
to the Trust for federal income tax purposes.
OPTIONAL REPURCHASE: Less than 10% of the original pool balance
outstanding.
CREDIT ENHANCEMENT:
Class A 17.50% subordination (Class M-1, M-2, B-1
and B-2) plus Excess Spread (Class B-3I)
Class M-1 12.25% subordination (Class M-2, B-1 and
B-2) plus Excess Spread (Class B-3I)
Class M-2 8.75% subordination (Class B-1 and B-2)
plus Excess Spread (Class B-3I)
Class B-1 5.50% subordination (Class B-2) plus
Excess Spread (Class B-3I)
Class B-2 Limited Guarantee plus Excess Spread
(Class B-3I)
THE CONTRACT POOL: On the Closing Date, the Trust expects to purchase (i)
manufactured housing contracts having an aggregate
principal balance of approximately $504,510,151.52 as
of the Cut-off Date (the "Initial Contracts") and (ii)
additional manufactured housing contracts (the
"Additional Contracts"). An amount will be deposited
into an account (the "Prefunding Account") on the
Closing Date to purchase additional
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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>
contracts prior to 90 days from the Closing Date (the
"Subsequent Contracts") for inclusion in the Contract
Pool. The Subsequent Contracts will represent no more
than 25% of the aggregate Contract Pool.
DISTRIBUTIONS: Certificateholders will be entitled to receive on each
Remittance Date commencing in August 1999, to the
extent that the Amount Available in the Certificate
Account (together with, in the case of the Class B-2
Certificates, the Guarantee Payment, as described
below) is sufficient therefor, distributions allocable
to interest and principal, as described in the
Prospectus Supplement. The Amount Available on each
Remittance Date generally includes the sum of (i)
payments on the Contracts due and received during the
related Due Period, (ii) prepayments and other
unscheduled collections received during the related
Due Period, and (iii) all collections of principal on
the Contracts received during the Due Period in which
such Remittance Date occurs up to and including the
third business day prior to such Remittance Date (but
in no event later than the 25th day of the month prior
to such Remittance Date), minus (iv) with respect to
all Remittance Dates other than the Remittance Date in
August 1999, all collections in respect of principal
on the Contracts received during the related Due
Period up to and including the third business day
prior to the preceding Remittance Date (but in no
event later than the 25th day of the prior month).
The Amount Available in the Certificate Account with
respect to any Distribution Date will be applied first
to the distribution of interest on the Class A, Class
M-1, Class M-2 and Class B-1 Certificates, and then to
the distribution of principal on the Class A, Class
M-1, Class M-2 and Class B-1 Certificates, in the
manner and order of priority described below, and then
to the distribution of interest and principal on the
Class B-2 Certificates.
The "Due Period" with respect to all Remittance Dates
other than the Remittance Date in August 1999, is the
period from and including the 16th day of the second
month preceding such Remittance Date, to and including
the 15th day of the month immediately preceding such
Remittance Date.
With respect to the Remittance Date in August 1999,
the Due Period is the period from and including June
1, 1999 to and including July 15, 1999.
INTEREST ON THE
CLASS A, CLASS M-1,
CLASS M-2 AND CLASS B-1
CERTIFICATES: Interest will be distributable first to each class of
the Class A Certificates, then to the Class M-1
Certificates, then to the Class M-2 Certificates and
then to the Class B-1 Certificates. Interest on the
outstanding Class A Principal Balance, Class M-1
Adjusted Principal Balance, Class M-2 Adjusted
Principal Balance, and Class B-1 Adjusted Principal
Balance, as applicable, will accrue from the
Settlement Date or from the most recent Remittance
Date on which interest has been paid, to but excluding
the following Remittance Date.
Each Class of Certificates will bear interest at a
fixed Pass-Through Rate calculated on a 30/360 basis,
except the Class A-1 Certificates, which will bear
interest at a fixed Pass-Through Rate calculated on an
actual/360 basis.
The "Class M-1 Adjusted Principal Balance" as of any
Remittance Date is the Class M-1 Principal Balance
less any Class M-1 Liquidation Loss Amount. The Class
M-1 Principal Balance is the Original Class M-1
Principal Balance less all amounts previously
distributed on account of principal of the Class M-1
Certificates.
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
The "Class M-2 Adjusted Principal Balance" as of any
Remittance Date is the Class M-2 Principal Balance
less any Class M-2 Liquidation Loss Amount. The Class
M-2 Principal Balance is the Original Class M-2
Principal Balance less all amounts previously
distributed on account of principal of the Class M-2
Certificates.
The "Class B-1 Adjusted Principal Balance" as of any
Remittance Date is the Class B-1 Principal Balance
less any Class B-1 Liquidation Loss Amount. The Class
B-1 Principal Balance is the Original Class B-1
Principal Balance less all amounts previously
distributed on account of principal of the Class B-1
Certificates.
In the event that, on a particular Remittance Date,
the Amount Available in the Certificate Account, after
payment of interest on each Class of Certificates that
is senior to such Class of Certificates, is not
sufficient to make a full distribution of interest to
the holders of such Class of Certificates, the amount
of interest to be distributed in respect of such Class
will be allocated among the outstanding Certificates
of such Class pro rata in accordance with their
respective entitlements to interest, and the amount of
the shortfall will be carried forward and added to the
amount such holders will be entitled to receive on the
next Remittance Date. Any such amount so carried
forward will bear interest at the applicable
Remittance Rate, to the extent legally permissible.
PRINCIPAL ON THE
CLASS A, CLASS M-1,
CLASS M-2 AND CLASS B-1
CERTIFICATES: The Class A Certificates are divided into two Groups.
The Class A Group I is comprised of the Class A-1,
A-2, A-3, A-4, A-5, A-6, A-7, and A-8 Certificates.
The Class A Group II is comprised of the Class A-9
Certificates. The Class A Percentage will be
distributed pro-rata among the Class A Group I and
Class A Group II Certificates. The portion of the
Class A Percentage allocable to Class A Group I will
be distributed sequentially to the Class A-1, A-2,
A-3, A-4, A-5, A-6, A-7, and A-8 Certificateholders.
The Class A Percentage for any Remittance Date will
equal a fraction, expressed as a percentage, the
numerator of which is the Class A Principal Balance as
of such Remittance Date, and the denominator of which
is the sum of: (i) the Class A Principal Balance, (ii)
if the Class M-1 Distribution Test is satisfied on
such Remittance Date, the Class M-1 Principal Balance,
otherwise zero, (iii) if the Class M-2 Distribution
Test is satisfied on such Remittance Date, the Class
M-2 Principal Balance, otherwise zero, and (iv) if the
Class B Distribution Test is satisfied on such
Remittance Date, the Class B Principal Balance,
otherwise zero, all as of such Remittance Date.
The Class M-1 Certificateholders will be entitled to
receive principal on each Remittance Date on which (i)
the Class A Principal Balance has been reduced to zero
or (ii) the Class M-1 Distribution Test is satisfied.
The Class M-1 Percentage for any Remittance Date will
equal (a) zero, if the Class A Principal Balance has
not yet been reduced to zero and the Class M-1
Distribution Test is not satisfied or (b) a fraction,
expressed as a percentage, the numerator of which is
the Class M-1 Principal Balance as of such Remittance
Date, and the denominator of which is the sum of: (i)
the Class A Principal Balance, if any, (ii) the Class
M-1 Principal Balance, (iii) if the Class M-2
Distribution Test is satisfied on such Remittance
Date, the Class M-2 Principal Balance, otherwise zero
and (iv) if
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
the Class B Distribution Test is satisfied on such
Remittance Date, the Class B Principal Balance,
otherwise zero, all as of such Remittance Date.
The Class M-1 Distribution Test will be satisfied if
each of the following tests is satisfied: (i) the
Remittance Date occurs in or after August 2003; (ii)
the Average Sixty-Day Delinquency Ratio Test (as
defined in the Agreement) as of such Remittance Date
must not exceed 4.50%; (iii) Cumulative Realized
Losses (as defined in the Agreement) as of such
Remittance Date must not exceed a certain specified
percentage of the Cut-off Date Pool Principal Balance,
depending on the year in which such Remittance Date
occurs; (iv) the Current Realized Loss Ratio (as
defined in the Agreement) as of such Remittance Date
must not exceed 2.75%; and (v) the sum of the Class
M-1 Principal Balance, the Class M-2 Principal
Balance, and the Class B Principal Balance divided by
the Pool Scheduled Principal Balance as of the
immediately preceding Remittance Date must be equal to
or greater than 26.25%.
The Class M-2 Certificateholders will be entitled to
receive principal on each Remittance Date on which (i)
the Class A Principal Balance and Class M-1 Principal
Balance have been reduced to zero or (ii) the Class
M-2 Distribution Test is satisfied.
The Class M-2 Percentage for any Remittance Date will
equal (a) zero, if the Class A Principal Balance and
Class M-1 Principal Balance have not yet been reduced
to zero and the Class M-2 Distribution Test is not
satisfied or (b) a fraction, expressed as a
percentage, the numerator of which is the Class M-2
Principal Balance as of such Remittance Date, and the
denominator of which is the sum of: (i) the Class A
Principal Balance, if any, (ii) the Class M-1
Principal Balance, if any, (iii) the Class M-2
Principal Balance, and (iv) if the Class B
Distribution Test is satisfied on such Remittance
Date, the Class B Principal Balance, otherwise zero,
all as of such Remittance Date.
The Class M-2 Distribution Test will be satisfied if
each of the following tests is satisfied: (i) the
Remittance Date occurs in or after August 2003; (ii)
the Average Sixty-Day Delinquency Ratio Test (as
defined in the Agreement) as of such Remittance Date
must not exceed 4.50%; (iii) Cumulative Realized
Losses (as defined in the Agreement) as of such
Remittance Date must not exceed a certain specified
percentage of the Cut-off Date Pool Principal Balance,
depending on the year in which such Remittance Date
occurs; (iv) the Current Realized Loss Ratio (as
defined in the Agreement) as of such Remittance Date
must not exceed 2.75%; and (v) the sum of the Class
M-2 Principal Balance and the Class B Principal
Balance divided by the Pool Scheduled Principal
Balance as of the immediately preceding Remittance
Date must be equal to or greater than 18.375%.
The Class B-1 Certificateholders will be entitled to
receive principal on each Remittance Date on which (i)
the Class A Principal Balance, the Class M-1 Principal
Balance and the Class M-2 Principal Balance have been
reduced to zero or (ii) the Class B Distribution Test
is satisfied.
The Class B Percentage for any Remittance Date will
equal (a) zero, if the Class A Principal Balance, the
Class M-1 Principal Balance and the Class M-2
Principal Balance have not yet been reduced to zero
and the Class B Distribution Test is not satisfied or
(b) a fraction, expressed as a percentage, the
numerator of which is the Class B Principal Balance as
of such Remittance Date, and the denominator of which
is the sum of: (i) the Class A Principal Balance, if
any, (ii) the Class M-1
[MERRILL LYNCH LOGO] 5
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
Principal Balance, if any, (iii) the Class M-2
Principal Balance, if any, and (iv) the Class B
Principal Balance, all as of such Remittance Date.
The Class B Distribution Test will be satisfied if
each of the following tests is satisfied: (i) the
Remittance Date occurs in or after August 2003; (ii)
the Average Sixty-Day Delinquency Ratio Test (as
defined in the Agreement) as of such Remittance Date
must not exceed 4.50%; (iii) the Cumulative Realized
Losses (as defined in the Agreement) as of such
Remittance Date must not exceed a certain specified
percentage of the Cut-off Date Pool Principal Balance,
depending on the year in which such Remittance Date
occurs; (iv) the Current Realized Loss Ratio (as
defined in the Agreement) as of such Remittance Date
must not exceed 2.75%; (v) the Class B Principal
Balance divided by the Pool Scheduled Principal
Balance as of the immediately preceding Remittance
Date must be equal to or greater than 13.125%; and
(vi) the Class B Principal Balance must not be less
than $20,000,000.
CLASS B-2 INTEREST: Interest on the outstanding Class B-2 Principal
Balance will accrue from the Settlement Date, or from
the most recent Remittance Date on which interest has
been paid to but excluding the following Remittance
Date.
To the extent of (i) the remaining Amount Available,
if any, for a Remittance Date after payment of all
interest and principal then payable on the Class A,
Class M-1, Class M-2 and Class B-1 Certificates, and
(ii) the Guarantee Payment, if any, for such date,
interest will be paid to the Class B-2
Certificateholders on such Remittance Date at the
Class B-2 Remittance Rate on the then outstanding
Class B-2 Principal Balance. The Class B-2 Principal
Balance is the Original Class B-2 Principal Balance
less all amounts previously distributed to the Class
B-2 Certificateholders (including any Guarantee
Payments) on account of principal.
In the event that, on a particular Remittance Date,
the remaining Amount Available in the Certificate
Account plus any amounts actually paid under the
Limited Guarantee are not sufficient to make a full
distribution of interest to the Class B-2
Certificateholders, the amount of the deficiency will
be carried forward as an amount that the Class B-2
Certificateholders are entitled to receive on the next
Remittance Date. Any amount so carried forward will,
to the extent legally permissible, bear interest at
the Class B-2 Remittance Rate.
CLASS B-2 PRINCIPAL: Except for payments of the Class B-2 Liquidation Loss
Amount under the Limited Guarantee, the Class B-2
Certificateholders will be entitled to receive
principal on each Remittance Date on which (i) the
Class B-1 Principal Balance has been reduced to zero
and (ii) the Class B Distribution Test is satisfied;
provided, however, that if the Class A Principal
Balance, the Class M-1 Principal Balance, the Class
M-2 Principal Balance and the Class B-1 Principal
Balance have been reduced to zero, the Class B-2
Certificateholders will nevertheless be entitled to
receive principal. See "Description of the
Certificates--Class B-2 Principal" in the Prospectus
Supplement.
On each Remittance Date on which the Class B-2
Certificateholders are entitled to receive principal,
the Class B Percentage of the Formula Principal
Distribution Amount will be distributed, to the extent
of the remaining Amount Available after payment of
interest on the Class B-2 Certificates, to the Class
B-2 Certificateholders until the Class B-2 Principal
Balance has been reduced to zero. Green Tree will be
obligated under the Limited Guarantee to pay the
amount, if any, by which the Class B Percentage of the
Formula Principal Distribution Amount for such
Remittance Date exceeds the remaining Amount Available
after payment of interest on the Class B-2
Certificates.
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
LOSSES ON LIQUIDATED
CONTRACTS: If Net Liquidation Proceeds from Liquidated Contracts
in the respective collection period are less than the
Scheduled Principal Balance of such Liquidated
Contract, the shortfall amount will be absorbed by the
Class B-3I Certificateholders, then the Monthly
Servicing Fee (as long as Green Tree is the Servicer),
then the Class B-2 Certificateholders, then the Class
B-1 Certificateholders, then the Class M-2
Certificateholders and then the Class M-1
Certificateholders, since a portion of the Amount
Available equal to such shortfall and otherwise
distributable to them will be paid to the Class A
Certificateholders.
CONTRACT CHARACTERISTICS
------------------------
The information presented below relates to the Initial Contracts, which will
represent approximately 50% of the Contract Pool. Although the characteristics
of the final pool of Contracts will differ from the characteristics of the
Initial Contracts shown below, Green Tree does not expect that the
characteristics of the Additional Contracts and Subsequent Contracts sold to the
Trust will vary materially from the information concerning the Initial Contracts
herein.
THE INITIAL CONTRACT POOL
Number of MHCs in pool: 12,305
Wgt. Avg. Contract Rate: 9.577%
Range of Rates: 4.750% - 17.250%
Wgt. Avg. Orig. Maturity: 316 months
Wgt. Avg. Rem. Maturity: 316 months
Avg. Rem Princ. Balance: $41,000.42
Wgt. Avg. LTV: 88.55%
New/Used: 76.22% / 23.78%
Park/Private: 30.82% / 69.18%
Single/Double: 31.94% / 68.06%
Land/Home: 22.96%
Land in Lieu: 0.16%
Step Rate: 3.20%
Conventional: 96.80%
[MERRILL LYNCH LOGO] 7
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
GEOGRAPHIC DISTRIBUTION OF INITIAL CONTRACT OBLIGORS
Number of Aggregate Principal % of Initial
Contracts Balance Outstanding as Cutoff Date Pool
State as of Cutoff Date of Cutoff Date Principal Balance
- ----- ----------------- ---------------------- -----------------
AE (Military Base) 1 $17,328.60 *
Alabama 875 31,188,414.08 6.18%
Alaska 1 71,221.69 0.01
Arizona 241 10,569,746.88 2.10
Arkansas 304 10,344,556.85 2.05
California 386 17,158,336.48 3.40
Colorado 261 14,355,719.23 2.85
Connecticut 5 190,252.01 0.04
Delaware 46 2,246,247.20 0.45
District Of Columbia 1 34,269.73 0.01
Florida 713 31,725,092.86 6.29
Georgia 750 31,001,452.91 6.14
Idaho 64 2,817,630.83 0.56
Illinois 175 5,335,004.83 1.06
Indiana 304 12,592,763.53 2.50
Iowa 152 5,436,526.71 1.08
Kansas 182 7,506,233.68 1.49
Kentucky 324 11,011,716.07 2.18
Louisiana 324 11,242,194.06 2.23
Maine 72 2,967,788.51 0.59
Maryland 37 1,182,259.92 0.23
Massachusetts 5 135,081.53 0.03
Michigan 470 20,837,873.72 4.13
Minnesota 259 9,682,702.05 1.92
Mississippi 329 11,407,361.92 2.26
Missouri 324 10,622,034.30 2.11
Montana 92 3,773,464.82 0.75
Nebraska 35 1,208,955.95 0.24
Nevada 111 6,952,931.59 1.38
New Hampshire 66 2,603,932.92 0.52
New Jersey 1 34,040.55 0.01
New Mexico 163 7,140,260.15 1.42
New York 146 4,985,592.53 0.99
North Carolina 1,165 53,242,865.14 10.55
North Dakota 50 1,440,875.66 0.29
Ohio 275 9,607,100.67 1.90
Oklahoma 326 13,272,700.22 2.63
Oregon 135 9,624,620.88 1.91
Pennsylvania 176 5,815,452.73 1.15
Rhode Island 1 17,537.41 *
South Carolina 618 27,327,229.63 5.42
South Dakota 88 2,946,769.57 0.58
Tennessee 383 14,235,093.87 2.82
Texas 1,067 44,566,197.26 8.83
Utah 50 3,011,154.73 0.60
Vermont 21 1,043,083.65 0.21
Virginia 212 7,645,173.59 1.52
Washington 161 9,923,136.20 1.97
West Virginia 172 5,458,446.25 1.08
Wisconsin 120 3,669,836.15 0.73
Wyoming 66 3,283,889.22 0.65
-- ------------ ----
Total 12,305 $504,510,151.52 100.00%
====== =============== =======
* Indicates a percentage greater than 0% but less than 0.005%
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
YEAR OF ORIGINATION OF INITIAL CONTRACTS
Number of Aggregate Principal Balance % of Initial Cutoff
Year of Contracts as of Outstanding as of Date Pool
Origination Cutoff Date Cutoff Date Principal Balance
- ----------- ----------- ----------- -----------------
1990 3 $43,593.77 0.01%
1995 1 9,867.79 *
1996 1 10,410.47 *
1997 7 577,693.41 0.11
1998 95 8,283,583.72 1.64
1999 12,198 495,585,002.36 98.23
------ -------------- -----
Total 12,305 $504,510,151.52 100.00%
====== =============== =======
* Indicates a percentage greater than 0% but less than 0.005%
DISTRIBUTION OF ORIGINAL INITIAL CONTRACT AMOUNTS
<TABLE>
<CAPTION>
Aggregate Principal % of Initial Cutoff
Number of Contracts Balance Outstanding Date Pool
Original Contract Amount ($) as of Cutoff Date as of Cutoff Date Principal Balance
- ---------------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Less than 10,000 383 $2,932,141.62 0.58%
Between 10,000 and 19,999 1,609 24,527,386.16 4.86
Between 20,000 and 29,999 2,362 60,050,593.82 11.90
Between 30,000 and 39,999 2,708 94,005,758.70 18.63
Between 40,000 and 49,999 1,775 79,387,788.37 15.74
Between 50,000 and 59,999 1,323 72,615,564.87 14.39
Between 60,000 and 69,999 912 58,856,192.01 11.67
Between 70,000 and 79,999 466 34,736,073.17 6.89
Between 80,000 and 89,999 277 23,431,316.25 4.64
Between 90,000 and 99,999 199 18,877,528.02 3.74
Between 100,000 and 109,999 112 11,676,085.05 2.31
Between 110,000 and 119,999 69 7,927,006.95 1.57
Between 120,000 and 129,999 50 6,202,147.97 1.23
Between 130,000 and 139,999 18 2,423,768.77 0.48
Between 140,000 and 149,999 15 2,192,082.00 0.43
Between 150,000 and 159,999 11 1,695,738.68 0.34
Between 160,000 and 169,999 7 1,150,131.01 0.23
Between 170,000 and 179,999 3 528,097.99 0.10
Between 180,000 and 189,999 1 181,549.50 0.04
Between 190,000 and 199,999 2 388,186.80 0.08
Between 200,000 and 249,999 2 419,515.24 0.08
Over 250,000 1 305,498.57 0.06
- ---------- ----
Total 12,305 $504,510,151.52 100.00%
====== =============== =======
</TABLE>
[MERRILL LYNCH LOGO] 9
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
DISTRIBUTION OF ORIGINAL LOAN-TO-VALUE RATIOS OF INITIAL CONTRACTS
<TABLE>
<CAPTION>
Aggregate Principal
Number of Contracts Balance Outstanding % of Initial Cutoff Date
Loan-to-Value Ratio as of Cutoff Date as of Cutoff Date Pool Principal Balance
- ------------------- ----------------- ----------------- ----------------------
<S> <C> <C> <C>
Less than 61 386 $12,132,371.55 2.40%
61 - 65 102 3,832,442.25 0.76
66 - 70 172 6,506,900.48 1.29
71 - 75 298 13,391,529.46 2.65
76 - 80 1,088 41,880,395.96 8.30
81 - 85 772 33,493,742.42 6.64
86 - 90 4,410 190,244,667.35 37.71
91 - 95 3,796 156,199,989.75 30.96
96 - 100 1,281 46,828,112.30 9.28
----- ------------- ----
Total 12,305 $504,510,151.52 100.00%
====== =============== =======
</TABLE>
INITIAL CONTRACT RATES
<TABLE>
<CAPTION>
Aggregate Principal
Number of Contracts Balance Outstanding % of Initial Cutoff Date
Contract Rate as of Cutoff Date as of Cutoff Date Pool Principal Balance
- ------------- ----------------- ----------------- ----------------------
<S> <C> <C> <C>
0.001 - 5.000 4 $297,005.23 0.06%
5.001 - 6.000 20 1,544,408.93 0.31
6.001 - 7.000 320 26,093,542.03 5.17
7.001 - 8.000 1,130 76,034,025.48 15.07
8.001 - 9.000 2,049 112,274,294.49 22.25
9.001 - 10.000 2,634 111,274,481.94 22.06
10.001 - 11.000 2,206 79,108,727.38 15.68
11.001 - 12.000 1,889 53,726,647.54 10.65
12.001 - 13.000 1,291 31,286,815.25 6.20
13.001 - 14.000 557 10,417,321.75 2.06
14.001 - 15.000 55 923,308.01 0.18
15.001 - 16.000 101 1,056,108.14 0.21
Greater than 16.000 49 473,465.35 0.09
-- ---------- ----
Total 12,305 $504,510,151.52 100.00%
====== =============== =======
</TABLE>
[MERRILL LYNCH LOGO] 10
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL CONTRACTS
<TABLE>
<CAPTION>
Aggregate Principal
Remaining Mos. Number of Contracts Balance Outstanding % of Initial Cutoff Date
To Maturity as of Cutoff Date as of Cutoff Date Pool Principal Balance
- ----------- ----------------- ----------------- ----------------------
<S> <C> <C> <C>
Less than 31 6 $40,740.00 0.01%
31 - 60 229 2,115,448.25 0.42
61 - 90 258 3,682,865.48 0.73
91 - 120 754 12,541,060.78 2.49
121 - 150 275 5,781,173.85 1.15
151 - 180 1,480 35,774,982.20 7.09
181 - 210 65 2,160,846.98 0.43
211 - 240 1,758 55,021,513.23 10.91
241 - 270 22 753,682.72 0.15
271 - 300 1,074 38,900,767.33 7.71
301 - 330 19 889,150.47 0.18
331 - 360 6,365 346,847,920.23 68.75
----- -------------- -----
Total 12,305 $504,510,151.52 100.00%
====== =============== =======
</TABLE>
[MERRILL LYNCH LOGO] 11
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
MHP PREPAYMENT SENSITIVITIES (1)
75% MHP 100% MHP 125% MHP 150% MHP
------- -------- -------- --------
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
To Call
A-1 0.53 7/00 0.44 5/00 0.38 3/00 0.33 2/00
A-2 1.79 2/02 1.49 8/01 1.28 5/01 1.12 2/01
A-3 3.63 4/04 2.99 6/03 2.56 11/02 2.24 6/02
A-4 5.55 11/05 4.57 10/04 3.89 1/04 3.39 6/03
A-5 9.30 3/12 7.77 3/10 6.65 9/08 5.78 7/07
A-6 13.42 9/13 11.44 9/11 9.85 1/10 8.61 10/08
A-7 16.95 6/19 14.72 3/17 12.88 2/15 11.36 5/13
A-8 23.19 11/23 21.06 11/21 18.94 9/19 17.10 11/17
A-9 10.71 11/23 9.32 11/21 8.18 9/19 7.25 11/17
M-1 15.73 11/23 13.79 11/21 12.14 9/19 10.82 11/17
M-2 15.73 11/23 13.79 11/21 12.14 9/19 10.82 11/17
B-1 9.54 3/12 7.97 3/10 6.82 9/08 5.97 8/07
B-2 19.56 11/23 17.43 11/21 15.48 9/19 13.87 11/17
To Maturity
A-8 24.24 5/28 22.35 10/27 20.45 11/26 18.64 8/25
A-9 10.89 5/28 9.55 10/27 8.44 11/26 7.52 8/25
M-1 16.04 5/28 14.17 10/27 12.59 11/26 11.27 8/25
M-2 16.04 5/28 14.17 10/27 12.59 11/26 11.27 8/25
B-2 21.41 9/29 19.88 9/29 18.52 9/29 17.32 9/29
[MERRILL LYNCH LOGO] 12
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
MHP PREPAYMENT SENSITIVITIES (1) (continued)
175% MHP 200% MHP 250% MHP 300% MHP
-------- -------- -------- --------
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
To Call
A-1 0.30 2/00 0.27 1/00 0.23 12/99 0.20 11/99
A-2 1.00 12/00 0.90 10/00 0.75 8/00 0.65 6/00
A-3 2.00 2/02 1.81 11/01 1.52 6/01 1.32 3/01
A-4 3.00 12/02 2.70 8/02 2.27 2/02 1.96 10/01
A-5 5.00 7/06 4.38 8/05 3.51 4/04 2.99 5/03
A-6 7.50 7/07 6.57 8/06 5.12 1/05 4.06 11/03
A-7 9.99 11/11 8.82 6/10 7.00 4/08 5.63 9/06
A-8 15.42 3/16 13.91 8/14 11.51 3/12 9.65 5/10
A-9 6.43 3/16 5.73 8/14 4.66 3/12 3.89 5/10
M-1 10.00 3/16 9.34 8/14 8.32 3/12 7.55 5/10
M-2 10.00 3/16 9.34 8/14 8.32 3/12 7.55 5/10
B-1 5.66 1/07 5.48 9/06 5.21 2/06 5.02 9/05
B-2 12.72 3/16 11.71 8/14 10.19 3/12 9.05 5/10
To Maturity
A-8 16.91 2/24 15.37 8/22 12.77 7/19 10.71 12/16
A-9 6.69 2/24 5.99 8/22 4.88 7/19 4.07 12/16
M-1 10.47 2/24 9.85 8/22 8.85 7/19 8.09 12/16
M-2 10.47 2/24 9.85 8/22 8.85 7/19 8.09 12/16
B-2 16.45 9/29 15.59 9/29 14.02 9/29 12.65 9/29
(1) The following are the assumed characteristics of the Additional Contracts as
of the Cut-off Date:
Remaining Wgt. Avg. Wgt. Avg.
Months to Aggregate Principal Original Remaining Wgt. Avg.
Maturity Balance Outstanding Term (months) Term (months) Contract Rate
- -------- ------------------- ------------- ------------- -------------
0 to 120 $14,408,329.90 103 103 11.602%
121 to 180 $32,576,228.27 174 174 11.089
181 to 240 $44,825,744.15 238 238 10.500
241 to 300 $31,085,464.57 299 299 10.487
301 to 360 $272,594,081.58 360 360 9.034
--------------- --- --- -----
TOTAL $395,489,848.48 316 316 9.577%
=============== === === =====
The following are the assumed characteristics of the Subsequent Contracts as of
the Cut-off Date:
Remaining Wgt. Avg. Wgt. Avg.
Months to Aggregate Principal Original Remaining Wgt. Avg.
Maturity Balance Outstanding Term (months) Term (months) Contract Rate
- -------- ------------------- ------------- ------------- -------------
0 to 120 $3,643,160.49 103 103 11.602%
121 to 180 $8,236,931.59 174 174 11.089
181 to 240 $11,334,233.82 238 238 10.500
241 to 300 $7,859,990.51 299 299 10.487
301 to 360 $68,925,683.59 360 360 9.034
-------------- --- --- -----
TOTAL $100,000,000.00 316 316 9.577%
=============== === === =====
[MERRILL LYNCH LOGO] 13
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
The attached tables and other statistical analyses (the "Term Sheet")
are privileged and confidential and are intended for use by the addressee only.
This Term Sheet is furnished to you solely by Merrill Lynch, Pierce, Fenner &
Smith Incorporated ("Merrill Lynch") and not by the issuer of the securities or
any of its affiliates. The issuer of these securities has not prepared or taken
part in the preparation of these materials. Neither Merrill Lynch, the issuer of
the securities nor any of its affiliates makes any representation as to the
accuracy or completeness of the information herein. The information herein is
preliminary, and will be subsequently filed with the Securities and Exchange
Commission. They may not be provided to any third party other than the
addressee's legal, tax, financial and/or accounting advisors for the purposes of
evaluating said material.
Numerous assumptions were used in preparing the Term Sheet which may or
may not be stated therein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Term Sheet in any particular
context; or as to whether the Term Sheet and/or the assumptions upon which it is
based reflect present market conditions or future market performance. This Term
Sheet should not be construed as either projections or predictions or as legal,
tax, financial or accounting advice.
Any yields or weighted average lives shown in the Term Sheet are based
on prepayment assumptions and actual prepayment experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Term Sheet. Furthermore, unless otherwise
provided, the Term Sheet assumes no losses on the underlying assets and no
interest shortfall. The specific characteristics of the securities may differ
from those shown in the Term Sheet due to differences between the actual
underlying assets and the hypothetical assets used in preparing the Term Sheet.
The principal amount and designation of any security described in the Term Sheet
are subject to change prior to issuance.
Although a registration statement (including the prospectus) relating
to the securities discussed in this communication has been filed with the
Securities and Exchange Commission and is effective, the final prospectus
supplement relating to the securities discussed in this communication has not
been filed with the Securities and Exchange Commission. This communication shall
not constitute an offer to sell or the solicitation of an offer to buy nor shall
there be any sale of the securities discussed in this communication in any state
in which such offer, solicitations or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the securities discussed in this communication for final
information on any matter discussed in this communication. All information in
this Term Sheet will be superseded by the information in the final prospectus
and prospectus supplement. A final prospectus and prospectus supplement may be
obtained by contacting the Merrill Lynch Trading Desk at (212) 449-3659.
Please be advised that asset-backed securities may not be appropriate
for all investors. Potential investors must be willing to assume, among other
things, market price volatility, prepayments, yield curve and interest rate
risk. Investors should fully consider the risk of an investment in these
securities.
If you have received this communication in error, please notify the
sending party immediately by telephone and return the original to such party by
mail.
[MERRILL LYNCH LOGO] 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.
