<PAGE>
EXHIBIT 99.2
ABS New Transaction
REVISED
Computational Materials
-----------------------
$1,200,000,000
Conseco Finance Securitizations Corp.
Certificates for Manufactured Housing Contracts,
Series 2000-4
Conseco Finance Securitizations Corp.
Seller
Conseco Finance Corp.
(formerly Green Tree Financial Corporation)
Servicer
August 1, 2000
[LOGO OF MERRILL LYNCH]
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
TERM SHEET DATED August 1, 2000
Conseco Finance Securitizations Corp.
Certificates for Manufactured Housing Contracts, Series 2000-4
$ 1,200,000,000(Approximate)
Subject to Revision
Seller Conseco Finance Securitizations Corp.
Servicer Conseco Finance Corp., formerly Green Tree Financial
Corporation
Trustee U.S. Bank National Association, St. Paul, MN
Underwriters Merrill Lynch & Co.(Lead),
Banc of America Securities LLC (co)
Credit Suisse First Boston (co),
Lehman Brothers Inc. (co)
OFFERED CERTIFICATES:
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------
Ratings (S&P/ WAL at Exp. Final
Amount Moody's/Fitch) 175% MHP Maturity
------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
To Call
A-1 $ 225,000,000 AAA/Aaa/AAA 0.90 07/2002
A-2 $ 90,000,000 AAA/Aaa/AAA 2.21 03/2003
A-3 $ 125,000,000 AAA/Aaa/AAA 3.13 05/2004
A-4 $ 190,000,000 AAA/Aaa/AAA 4.99 03/2007
A-5 $ 110,000,000 AAA/Aaa/AAA 7.61 06/2009
A-6 $ 310,000,000 AAA/Aaa/AAA 11.71 04/2013
M-1 $ 62,500,000 AA/Aa2/AA 9.14 04/2013
M-2 $ 50,000,000 A/A2/A 9.14 04/2013
B-1 $ 37,500,000 BBB/Baa2/BBB 5.58 01/2008
To Maturity
A-6 $ 310,000,000 AAA/Aaa/AAA 13.62 06/2021
M-1 $ 62,500,000 AA/Aa2/AA 9.79 03/2019
M-2 $ 50,000,000 A/A2/A 9.79 03/2019
------------------------------------------------------------------------------------------------
Total Balance $ 1,200,000,000
------------------------------------------------------------------------------------------------
</TABLE>
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.
2
<PAGE>
CUT-OFF DATE: June 30, 2000 for the Initial Contracts and July 31,
2000 for the Additional Contracts, in each case for
contracts other than Subsequent Contracts. For each
Subsequent Contract, 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 July 31, 2000
EXP. SETTLEMENT/
CLOSING DATE: August 15, 2000
LEGAL FINAL: May 1, 2032
REMITTANCE DATE: The 1/st/ day of each month (or if such 1st day is not
a business day, the next succeeding business day),
commencing in September 2000.
OTHER CERTIFICATES: In addition to the Offered Certificates, the Class B-2,
Class B-3I and Class C Certificates will also be
issued. The Class B-3I Certificates are interest-only
Certificates and the Class C Certificates (Class C
Master and Class C Subsidiary Certificates) are
residual Certificates. The Class B-2, Class B-3I and
Class C Certificates will be retained by an affiliate
of Conseco Finance Corp. and will be fully subordinated
to the Offered Certificates.
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 Pre-
Funding Account is reduced to zero. At such time, the
Class A and Class M-1 Certificates will be "legal
investments" for certain types of institutional
investors to the extent provided in SMMEA. The Class M-
2, Class B-1 and Class 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 PURCHASE/
AUCTION: 20% cleanup call or auction sale subject to certain
requirements if call is not exercised.
THE CONTRACT POOL: On the Closing Date, the Trust expects to purchase (i)
manufactured housing contracts having an aggregate
principal balance of approximately $883,060,222.30 as
of the Cut-off Date (the "Initial Contracts") and (ii)
additional manufactured housing contracts (the
"Additional Contracts").
PRE-FUNDING ACCOUNT: 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 additional contracts (the "Subsequent
Contracts") during a period (not longer than 90 days)
following the Closing Date (the "Pre-Funding Period")
for inclusion in the Contract Pool. The Subsequent
Contracts will not exceed 25% of the total Contract
Pool. 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
3
<PAGE>
Account following the Pre-Funding Period will be paid
to the Class A Certificateholders, as further specified
in the Prospectus, on the next Remittance Date.
CREDIT ENHANCEMENT: Class A 17.50% subordination (Class M-1, Class M-
2, Class B-1, Class B-2 and
overcollateralization) and Excess Spread
Class M-1 12.50% subordination (Class M-2, Class B-
1, Class B-2 and overcollateralization)
and Excess Spread
Class M-2 8.50% subordination (Class B-1, Class B-2
and overcollateralization) and Excess
Spread
Class B-1 5.50% subordination (Class B-2 and
overcollateralization) and Excess Spread
There will be initial overcollateralization of
approximately 0.5% building to 2.0% (as described in
the next succeeding paragraph) of the sum of (i)
aggregate Cut-Off Date principal balance of the
manufactured housing contracts included in the Trust as
of the Closing Date and (ii) the amount on deposit in
the Pre-Funding Account on the Closing Date.
The Certificateholders will be entitled to receive
additional distributions in respect of principal on
each Remittance Date to the extent there is any Amount
Available remaining after payment of all interest and
principal on the Certificates and the Monthly Servicing
Fee to the Servicer for such Remittance Date, until the
overcollateralization amount equals 2.0% of (i) the
aggregate Cut-Off Date principal balance of
manufactured housing contracts included in the Trust as
of the Closing Date and (ii) the amount on deposit in
the Pre-Funding Account on the Closing Date. Such
additional distributions in respect of principal will
be paid in accordance with the distribution priorities
described herein and in the Prospectus and Prospectus
Supplement.
DISTRIBUTIONS: Certificateholders will be entitled to receive on each
Remittance Date commencing in September 2000, to the
extent that the Amount Available in the Certificate
Account, is sufficient therefore, 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 25/th/ day of the month prior to
such Remittance Date), minus (iv) with respect to all
Remittance Dates other than the Remittance Date in
September 2000, 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 Remittance 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.
4
<PAGE>
The "Due Period" with respect to all Remittance
Dates other than the Remittance Date in September
2000, is the period from and including the 16/th/
day of the second month preceding such Remittance
Date, to and including the 15/th/ day of the month
immediately preceding such Remittance Date.
With respect to the Remittance Date in September
2000, the Due Period is the period from and
including July 1, 2000 to and including August 15,
2000.
INTEREST ON THE
CLASS A, CLASS M-1,
CLASS M-2 AND CLASS B-1
CERTIFICATES: Interest will be distributed first to each of the
Class A-1, Class A-2, Class A-3, Class A-4, Class
A-5 and Class A-6 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 Closing 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.
The "Class M-1 Adjusted Principal Balance" as of
any Remittance Date is the Class M-1 Principal
Balance less any Class M-1 Liquidation Loss
Amount. The Class M-1 Principal Balance is the
Original Class M-1 Principal Balance less all
amounts previously distributed on account of
principal of the Class M-1 Certificates.
The "Class M-2 Adjusted Principal Balance" as of
any Remittance Date is the Class M-2 Principal
Balance less any Class M-2 Liquidation Loss
Amount. The Class M-2 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: After the payment of all interest distributable to
the Class A, Class M-1, Class M-2, and Class B-1
Certificateholders, principal will be
distributable in the following manner:
5
<PAGE>
On each Remittance Date, the Class A Percentage of the
Formula Principal Distribution Amount (as defined in
the Prospectus Supplement) will be distributed
sequentially to the Class A-1, Class A-2, Class A-3,
Class A-4, Class A-5 and Class A-6 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 sum of the Class B Principal
Balance and the Overcollateralization Amount, otherwise
zero, all as of such Remittance Date.
The Class M-1 Certificateholders will be entitled to
receive principal on each Remittance Date on which (i)
the Class A Principal Balance has been reduced to zero
or (ii) the Class M-1 Distribution Test is satisfied.
The Class M-1 Percentage for any Remittance Date will
equal (a) zero, if the Class A Principal Balance has
not yet been reduced to zero and the Class M-1
Distribution Test is not satisfied or (b) a fraction,
expressed as a percentage, the numerator of which is
the Class M-1 Principal Balance as of such Remittance
Date, and the denominator of which is the sum of: (i)
the Class A Principal Balance, if any, (ii) the
Class M-1 Principal Balance, (iii) if the Class M-2
Distribution Test is satisfied on such Remittance Date,
the Class M-2 Principal Balance, otherwise zero and
(iv) if the Class B Distribution Test is satisfied on
such Remittance Date, the sum of the Class B Principal
Balance and the Overcollateralization Amount, 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 September 2004; (ii)
the Average Sixty-Day Delinquency Ratio Test (as
defined in the Pooling and Servicing Agreement (the
"Agreement")) as of such Remittance Date must not
exceed 5.00%; (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, the Class B
Principal Balance, and the Overcollateralization Amount
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
6
<PAGE>
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 sum of the Class B
Principal Balance and the Overcollateralization Amount,
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 September 2004; (ii)
the Average Sixty-Day Delinquency Ratio Test (as
defined in the Agreement) as of such Remittance Date
must not exceed 5.00%; (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, the Class B Principal Balance, and the
Overcollateralization Amount divided by the Pool
Scheduled Principal Balance as of the immediately
preceding Remittance Date must be equal to or greater
than 18.75%.
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 sum of the Class B Principal Balance and the
Overcollateralization Amount as of such Remittance
Date, and the denominator of which is the sum of: (i)
the Class A Principal Balance, if any, (ii) the
Class M-1 Principal Balance, if any, (iii) the Class M-
2 Principal Balance, if any, and (iv) the sum of the
Class B Principal Balance and the Overcollateralization
Amount, 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 September 2004; (ii) the
Average Sixty-Day Delinquency Ratio Test (as defined in
the Agreement) as of such Remittance Date must not
exceed 5.00%; (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 plus the
Overcollateralization amount divided by the Pool
Scheduled Principal Balance as of the immediately
preceding Remittance Date must be equal to or greater
than 12.75%; and (vi) the Class B Principal Balance
must not be less than $25,000,000.
PURCHASE OPTION;
AUCTION SALE Commencing on the first Remittance Date when the
aggregate scheduled principal balance of the contracts
is less than or equal to 20% of the aggregate Cut-off
Date principal balance of the contracts, the holder of
the Class C Subsidiary Certificate (see "Other
Certificates" herein) will have the right to purchase
all of the outstanding contracts, at a price sufficient
to pay the aggregate unpaid principal balance of the
certificates and all accrued and unpaid interest
thereon.
7
<PAGE>
If the holder of the Class C Subsidiary
Certificate does not exercise this purchase
option, then on the next Remittance Date the
trustee will begin an auction process to
sell the contracts and the other trust
assets at the highest possible price, but
the trustee cannot sell the trust assets and
liquidate the trust unless the proceeds of
such sale are sufficient to pay the
aggregate unpaid principal balance of the
certificates and all accrued and unpaid
interest thereon. If the first auction of
the trust property is not successful because
the highest bid received was not sufficient
to pay the amount set forth in the previous
sentence, then on each Remittance Date
thereafter all of the Amount Available
remaining after payments of interest and
principal due on all Certificates and
payment of the monthly Servicing Fee will be
used to make additional payments of
principal to the Class M-1, Class M-2, Class
B-1 and Class B-2 Certificates pro rata
based on the then outstanding principal
balance of such Certificates. In addition,
the trustee will continue to conduct an
auction of the contracts every third month
thereafter, until an acceptable bid is
received for the trust property. The Class C
Subsidiary Certificateholder's purchase
option will expire upon the trustee's
acceptance of a qualifying bid.
CLASS B-2 INTEREST: Interest on the outstanding Class B-2
Principal Balance will accrue from the
Closing 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 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,
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 on account of principal.
In the event that, on a particular
Remittance Date, the remaining Amount
Available in the Certificate Account is 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: 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.
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 Contracts, the
shortfall amount will be absorbed by the
Class B-3I Certificateholders, then the
Monthly Servicing Fee (as long as Conseco
Finance Corp. is the Servicer), then the
8
<PAGE>
Overcollateralization Amount, 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.
MANUFACTURED HOUSING CONTRACT CHARACTERISTICS
The information presented below relates to the Initial Contracts, which
will represent approximately 71% of the Contract Pool. Although the
characteristics of the Additional Contracts or the Subsequent Contracts will
differ from the characteristics of the Initial Contracts shown below, Conseco
Finance Corp. does not expect that the characteristics of the Additional or
Subsequent Contracts sold to the Trust will vary materially from the information
concerning the Initial Contracts herein.
THE INITIAL CONTRACT POOL AS OF THE CUT-OFF DATE
---------------------------------------------------
Number of Contracts: 19,324
Wgt. Avg. Contract Rate: 11.352%
Range of Rates: 4.500% - 20.250%
Wgt. Avg. Orig. Maturity: 324 months
Wgt. Avg. Rem. Maturity: 323 months
Avg. Current Balance: $45,697.59
Wgt. Avg. LTV: 87.67%
New/Used: 66.16% / 33.84%
Park/Private: 28.14% / 71.86%
Single/Double: 26.49% / 73.51%
Conventional: 50.26%
Land/Home: 49.72%
FHA/VA: 0.02%
----------------------------------------------------
9
<PAGE>
YEARS OF ORIGINATION OF INITIAL CONTRACTS
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------
Number of Aggregate Principal % of Contracts by Outstanding
Origination Contracts as of Balance Outstanding Principal Balance as of the
Year the Cut-Off Date as of the Cut-Off Date Cut-Off Date
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1981 3 $16,466.93 *
1983 1 11,975.09 *
1984 4 64,586.59 0.01
1985 1 1,629.86 *
1986 13 53,494.98 0.01
1987 31 237,265.46 0.03
1988 42 534,350.28 0.06
1989 9 87,708.41 0.01
1990 2 30,170.62 *
1991 11 136,030.54 0.02
1992 17 192,675.61 0.02
1993 1 5,003.49 *
1994 2 65,911.60 0.01
1995 7 96,797.61 0.01
1996 3 91,517.40 0.01
1997 5 61,990.50 0.01
1998 28 1,649,121.93 0.19
1999 1,156 94,282,644.93 10.68
2000 17,988 785,440,880.47 88.95
-------------------------------------------------------------------------------------------------------
Total: 19,324 $883,060,222.30 100.00%
-------------------------------------------------------------------------------------------------------
</TABLE>
* Indicates an amount greater than 0.00% but less than 0.005%.
(1) Percentages may not add to 100% due to rounding.
10
<PAGE>
GEOGRAPHIC DISTRIBUTION OF INITIAL CONTRACT OBLIGORS
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------
Number of Aggregate Principal % of Contracts by
Contracts as of Balance Outstanding as of Outstanding Principal Balance
States the Cut-Off Date the Cut-Off Date as of the Cut-Off Date
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Alabama 990 $29,961,683.55 3.39%
Arizona 495 28,479,756.10 3.23
Arkansas 344 10,765,992.30 1.22
California 900 45,780,259.07 5.18
Colorado 455 25,910,642.40 2.93
Connecticut 15 470,966.38 0.05
Delaware 106 5,653,276.36 0.64
District Of Columbia 2 144,397.85 0.02
Florida 850 40,320,959.37 4.57
Georgia 751 33,034,591.19 3.74
Idaho 108 6,777,679.15 0.77
Illinois 309 9,769,744.09 1.11
Indiana 859 46,895,853.50 5.31
Iowa 268 8,107,244.79 0.92
Kansas 180 5,671,162.60 0.64
Kentucky 705 35,057,008.76 3.97
Louisiana 355 11,904,552.49 1.35
Maine 210 12,145,829.20 1.38
Maryland 65 2,107,359.76 0.24
Massachusetts 27 1,077,829.43 0.12
Michigan 1,132 55,498,686.23 6.28
Minnesota 256 6,773,608.99 0.77
Mississippi 374 13,452,555.50 1.52
Missouri 448 14,482,289.53 1.64
Montana 133 6,153,435.42 0.70
Nebraska 82 2,557,057.44 0.29
Nevada 259 16,215,910.71 1.84
New Hampshire 193 9,556,184.44 1.08
New Jersey 13 486,280.60 0.06
New Mexico 269 10,970,902.01 1.24
New York 495 23,600,791.59 2.67
North Carolina 1,216 67,201,445.29 7.61
North Dakota 80 2,553,906.16 0.29
Ohio 587 26,567,174.35 3.01
Oklahoma 346 12,033,499.08 1.36
Oregon 261 19,569,244.45 2.22
Pennsylvania 528 23,220,663.64 2.63
Rhode Island 10 238,081.85 0.03
South Carolina 673 25,823,942.39 2.92
South Dakota 186 6,543,954.53 0.74
Tennessee 610 25,642,624.92 2.90
Texas 1,593 65,548,096.68 7.42
Utah 110 6,037,894.69 0.68
Vermont 74 4,359,213.12 0.49
Virginia 355 17,245,644.84 1.95
Washington 459 35,964,742.00 4.07
West Virginia 242 10,070,466.09 1.14
Wisconsin 226 7,807,167.53 0.88
Wyoming 120 6,847,969.89 0.78
-------------------------------------------------------------------------------------------------------------------
Total: 19,324 $883,060,222.30 100.00%
-------------------------------------------------------------------------------------------------------------------
</TABLE>
* Indicates an amount greater than 0.00% but less than 0.005%.
(1) Percentages may not add to 100% due to rounding.
11
<PAGE>
DISTRIBUTION OF ORIGINAL INITIAL CONTRACT AMOUNTS
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------
Number of Aggregate Principal % of Contracts by
Original Contract Contracts as of Balance Outstanding as Outstanding Principal Balance
Amount (in Dollars) the Cut-Off Date of the Cut-Off Date as of the Cut-Off Date
----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
3,090.68 - 9,999.99 851 $6,557,707.90 0.74%
10,000.00 - 19,999.99 3,078 46,303,837.13 5.24
20,000.00 - 29,999.99 3,846 95,282,950.61 10.79
30,000.00 - 39,999.99 2,783 95,995,047.41 10.87
40,000.00 - 49,999.99 1,873 83,531,294.96 9.46
50,000.00 - 59,999.99 1,544 84,731,878.58 9.60
60,000.00 - 69,999.99 1,403 90,845,947.10 10.29
70,000.00 - 79,999.99 1,026 76,812,450.44 8.70
80,000.00 - 89,999.99 899 76,055,930.30 8.61
90,000.00 - 99,999.99 644 60,991,687.02 6.91
100,000.00 - 109,999.99 506 52,910,869.16 5.99
110,000.00 - 119,999.99 352 40,299,262.83 4.56
120,000.00 - 129,999.99 210 26,156,462.10 2.96
130,000.00 - 139,999.99 117 15,706,059.12 1.78
140,000.00 - 149,999.99 81 11,730,401.72 1.33
150,000.00 - 159,999.99 39 6,041,375.71 0.68
160,000.00 - 169,999.99 23 3,763,422.95 0.43
170,000.00 - 179,999.99 20 3,478,652.51 0.39
180,000.00 - 189,999.99 11 2,023,535.22 0.23
190,000.00 - 199,999.99 6 1,175,743.70 0.13
200,000.00 - 209,999.99 3 615,323.19 0.07
210,000.00 - 219,999.99 3 645,046.19 0.07
220,000.00 - 229,999.99 4 901,405.63 0.10
230,000.00 - 239,999.99 1 235,795.54 0.03
260,000.00 - 268,135.28 1 268,135.28 0.03
----------------------------------------------------------------------------------------------------------------
Total: 19,324 $883,060,222.30 100.00%
----------------------------------------------------------------------------------------------------------------
</TABLE>
* Indicates an amount greater than 0.00% but less than 0.005%.
(1) Percentages may not add to 100% due to rounding.
12
<PAGE>
CONTRACT RATE OF INITIAL CONTRACTS
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------
Number of Aggregate Principal % of Contracts by Outstanding
Contracts as of Balance Outstanding as of Principal Balance as of the
Contract Rate the Cut-Off Date the Cut-Off Date Cut-Off Date
--------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
4.000 - 4.999 1 $172,822.55 0.02%
5.000 - 5.999 4 501,668.23 0.06
6.000 - 6.999 28 3,027,752.72 0.34
7.000 - 7.999 634 55,718,214.92 6.31
8.000 - 8.999 2,390 207,384,584.67 23.48
9.000 - 9.999 1,354 112,459,518.26 12.74
10.000 - 10.999 948 63,876,528.81 7.23
11.000 - 11.999 1,457 78,453,284.95 8.88
12.000 - 12.999 1,855 78,867,938.82 8.93
13.000 - 13.999 3,262 92,841,380.28 10.51
14.000 - 14.999 2,818 75,291,261.40 8.53
15.000 - 15.999 917 25,257,446.80 2.86
16.000 - 16.999 1,437 38,659,175.93 4.38
17.000 - 17.999 1,622 35,985,883.04 4.08
18.000 - 18.999 546 13,596,924.85 1.54
19.000 - 19.999 45 865,013.62 0.10
20.000 - 20.999 6 100,822.45 0.01
--------------------------------------------------------------------------------------------------------------
Total: 19,324 $883,060,222.30 100.00%
--------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Percentages may not add to 100% due to rounding.
DISTRIBUTION OF ORIGINAL LOAN-TO-VALUE RATIOS OF INITIAL CONTRACTS
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------
Number of Aggregate Principal % of Contracts by Outstanding
Loan to Value Contracts as of Balance Outstanding as of Principal Balance
Ratio the Cut-Off Date the Cut-Off Date as of the Cut-Off Date
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.01 - 5.00 6 $412,376.98 0.05%
5.01 - 10.00 6 472,641.91 0.05
10.01 - 15.00 13 345,114.57 0.04
15.01 - 20.00 16 756,760.99 0.09
20.01 - 25.00 17 415,547.34 0.05
25.01 - 30.00 52 1,652,288.86 0.19
30.01 - 35.00 59 1,822,335.45 0.21
35.01 - 40.00 62 2,153,952.98 0.24
40.01 - 45.00 83 3,073,061.14 0.35
45.01 - 50.00 145 5,767,612.50 0.65
50.01 - 55.00 132 5,655,918.85 0.64
55.01 - 60.00 207 8,237,123.65 0.93
60.01 - 65.00 237 12,548,366.10 1.42
65.01 - 70.00 376 19,110,291.86 2.16
70.01 - 75.00 510 28,873,740.09 3.27
75.01 - 80.00 1,519 75,145,078.72 8.51
80.01 - 85.00 1,349 72,027,341.83 8.16
85.01 - 90.00 4,628 243,551,194.75 27.58
90.01 - 95.00 6,065 284,081,500.08 32.17
95.01 - 100.00 3,842 116,957,973.65 13.24
-----------------------------------------------------------------------------------------------------------------
Total: 19,324 $883,060,222.30 100.00%
-----------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Percentages may not add to 100% due to rounding.
13
<PAGE>
REMAINING MONTHS TO MATURITY OF INITIAL CONTRACTS
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------
Number of Contracts Aggregate Principal % of Contracts by Outstanding
Months Remaining as of the Cut-Off Balance Outstanding as of Principal Balance
Date the Cut-Off Date as of the Cut-Off Date
--------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
5 - 30 49 $226,660.04 0.03%
31 - 60 588 5,738,358.24 0.65
61 - 90 334 4,356,816.07 0.49
91 - 120 1,772 27,230,807.81 3.08
121 - 150 244 4,906,544.21 0.56
151 - 180 2,170 48,580,638.74 5.50
181 - 210 6 162,794.88 0.02
211 - 240 2,442 70,341,278.88 7.97
241 - 270 2 103,875.83 0.01
271 - 300 1,955 69,373,441.89 7.86
301 - 330 3 136,465.53 0.02
331 - 360 9,759 651,902,540.18 73.82
--------------------------------------------------------------------------------------------------------------
Total: 19,324 $883,060,222.30 100.00%
--------------------------------------------------------------------------------------------------------------
</TABLE>
* Indicates an amount greater than 0.00% but less than 0.005%.
(1) Percentages may not add to 100% due to rounding
14
<PAGE>
PREPAYMENT SENSITIVITIES
<TABLE>
<CAPTION>
75% MHP 125% MHP 175% MHP 250% MHP 300% MHP
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
----------------- ----------------- ----------------- ----------------- ----------------
<S> <C> <C> <C> <C> <C>
To Call
A-1 1.67 02/2004 1.16 01/2003 0.90 07/2002 0.68 01/2002 0.58 11/2001
A-2 4.17 07/2005 2.87 01/2004 2.21 03/2003 1.67 08/2002 1.43 05/2002
A-3 5.99 10/2007 4.11 07/2005 3.13 05/2004 2.33 05/2003 2.01 01/2003
A-4 9.57 12/2012 6.70 05/2009 4.99 03/2007 3.46 12/2004 2.94 03/2004
A-5 14.00 07/2016 10.07 04/2012 7.61 06/2009 5.13 09/2006 4.08 06/2005
A-6 19.60 05/2021 14.99 09/2016 11.71 04/2013 8.51 01/2010 7.03 07/2008
M-1 15.46 05/2021 11.49 09/2016 9.14 04/2013 7.43 01/2010 6.63 07/2008
M-2 15.46 05/2021 11.49 09/2016 9.14 04/2013 7.43 01/2010 6.63 07/2008
B-1 9.93 09/2013 6.92 11/2009 5.58 01/2008 5.13 02/2007 4.94 09/2006
B-2 18.14 05/2021 13.71 09/2016 10.84 04/2013 8.46 01/2010 7.38 07/2008
To Maturity
A-6 21.41 02/2028 17.08 01/2025 13.62 06/2021 9.96 10/2016 8.26 07/2014
M-1 16.11 07/2027 12.14 09/2022 9.79 03/2019 8.17 01/2016 7.44 07/2014
M-2 16.11 07/2027 12.14 09/2022 9.79 03/2019 8.17 01/2016 7.44 07/2014
B-2 20.13 07/2027 15.58 09/2022 12.72 03/2019 10.43 01/2016 9.41 07/2014
</TABLE>
(1) The following are the assumed characteristics of the Additional and
Subsequent Contracts as of the Cut-off Date.
<TABLE>
<CAPTION>
Additional Contracts
Aggregate Principal Wtd. Avg. Wtd. Avg. Wtd. Avg.
Pool ID Balance Outstanding Original Term Remaining Term Contract Rate
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1 $ 2,315,082.75 109 109 14.640%
2 3,297,431.22 177 177 14.211
3 4,346,505.49 240 240 14.376
4 4,283,207.01 300 300 14.187
5 40,197,551.23 360 360 10.299
-------------------------------------------------------------------------------------------------
Total: $54,439,777.70 324 324 10.852%
-------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Subsequent Contracts
Aggregate Principal Wtd. Avg. Wtd. Avg. Wtd. Avg.
Pool ID Balance Outstanding Original Term Remaining Term Contract Rate
--------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
6 $ 13,289,241.64 109 109 14.640%
7 18,928,204.72 177 177 14.211
8 24,950,193.08 240 240 14.376
9 24,586,841.58 300 300 14.187
10 230,745,518.98 360 360 10.299
--------------------------------------------------------------------------------------------------
Total: $312,500,000.00 324 324 11.352%
--------------------------------------------------------------------------------------------------
</TABLE>
15
<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 nor the issuer of the
securities or 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.
16
