-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, NV5+uC4nW1wUimvw+FuemBE7LuQyBG1rX6o2ZEA+tS51ShcTEjh6E4AEBsfpCA/K 4jaZMP9PKzSXXTTewJLANg== 0000905148-97-000177.txt : 19970203 0000905148-97-000177.hdr.sgml : 19970203 ACCESSION NUMBER: 0000905148-97-000177 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 19970130 ITEM INFORMATION: Other events ITEM INFORMATION: Financial statements and exhibits FILED AS OF DATE: 19970131 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: VANDERBILT MORTGAGE & FINANCE INC CENTRAL INDEX KEY: 0000816512 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] IRS NUMBER: 620997810 STATE OF INCORPORATION: TN FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 8-K SEC ACT: 1934 Act SEC FILE NUMBER: 033-80304 FILM NUMBER: 97516101 BUSINESS ADDRESS: STREET 1: 4726 AIRPORT HIGHWAY CITY: LOUISVILLE STATE: TN ZIP: 37777 BUSINESS PHONE: 4239707200 MAIL ADDRESS: STREET 1: 4726 AIRPORT HIGHWAY CITY: LOUISVILLE STATE: TN ZIP: 37777 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CLAYTON HOMES INC CENTRAL INDEX KEY: 0000719547 STANDARD INDUSTRIAL CLASSIFICATION: MOBILE HOMES [2451] IRS NUMBER: 620794407 STATE OF INCORPORATION: TN FISCAL YEAR END: 0630 FILING VALUES: FORM TYPE: 8-K SEC ACT: 1934 Act SEC FILE NUMBER: 001-08824 FILM NUMBER: 97516102 BUSINESS ADDRESS: STREET 1: 623 MARKET ST CITY: KNOXVILLE STATE: TN ZIP: 37902 BUSINESS PHONE: 6159707200 MAIL ADDRESS: STREET 1: PO BOX 15169 CITY: KNOXVILLE STATE: TN ZIP: 37901 8-K 1 ____________________________________________________________________________ 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): January 30, 1997 VANDERBILT MORTGAGE AND FINANCE, INC. (as seller and servicer under the Pooling and Servicing Agreement, dated as of December 26, 1996, providing for the issuance of the Vanderbilt Mortgage and Finance, Inc., Manufactured Housing Contract Senior/Subordinate Pass-Through Certificates, Series 1997A). CLAYTON HOMES, INC. VANDERBILT MORTGAGE AND FINANCE, INC. -------------------------------------------------------------------- (Exact name of registrant as specified in its charter) 333-14033 Clayton Homes, Inc.: Delaware 33-88238 62-0997810 Vanderbilt: Tennessee - ----------------------------- ------------ _______________ (State or Other Jurisdiction (Commission (I.R.S. Employer of Incorporation) File Number) Identification No.) 4726 Airport Highway Louisville, Tennessee 37777 - ---------------------- ---------- (Address of Principal (Zip Code) Executive Offices) Registrant's telephone number, including area code (423) 970-7200 ----------------- - --------------------------------------------------------------------------- (Former Address: - --------------------------------------------------------------------------- Item 5. Other Events ------------ Filing of Computational Materials. - --------------------------------- In connection with the offering of the Vanderbilt Mortgage and Finance, Inc. (the "Company") Manufactured Housing Contract Senior/Subordinate Pass- Through Certificates, Series 1997A, Prudential Securities Incorporated and Goldman, Sachs & Co., as the underwriters of the Certificates (the "Underwriters") have provided certain materials (the "Computational Materials") for distribution to its potential investors. Although the Company provided the Underwriters with certain information regarding the characteristics of the Contracts in the related portfolio, it did not participate in the preparation of the Computational Materials. For purposes of this Form 8-K, Computational Materials shall mean computer generated tables and/or charts displaying, with respect to any Class or Classes of Certificates, any of the following: yield; average life; duration; expected maturity; interest rate sensitivity; loss sensitivity; cash flow characteristics; background information regarding the Contracts; the proposed structure; decrement tables; or similar information (tabular or otherwise) of a statistical, mathematical, tabular or computational nature. The Computational Materials provided by Prudential Securities Incorporated are attached hereto as Exhibit 99.1 and the Computational Materials provided by Goldman, Sachs & Co. are attached hereto as Exhibit 99.2. Item 7. Financial Statements, Pro Forma Financial ----------------------------------------- Information and Exhibits. ------------------------ (a) Not applicable. (b) Not applicable. (c) Exhibits: 99.1 Computational Materials - Prudential Securities Incorporated 99.2 Computational Materials - Goldman, Sachs & Co. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, the registrants have duly caused this report to be signed on their behalf by the undersigned hereunto duly authorized. VANDERBILT MORTGAGE AND FINANCE, INC. By: /s/ David R. Jordan ---------------------- Name: David R. Jordan Title: Vice President CLAYTON HOMES, INC. By: /s/ Joseph H. Stegmayer ------------------------------ Name: Joseph H. Stegmayer Title: President Dated: January 30, 1997 Exhibit Index ------------- Exhibit Page - ------- ---- 99.1 Computational Materials, Prudential Securities Incorporated 99.2 Computational Materials, Goldman, Sachs & Co. EX-99.1 2 Marketing Memorandum for Vanderbilt Mortgage and Finance, Inc., Manufactured Housing Contract, Senior/Subordinate Pass-Through Certificates, Series 1997A The information provided herein is provided solely by Prudential Securities Incorporated ("PSI") as underwriter for the Vanderbilt Mortgage and Finance, Series 1997A transaction, and not by or as agent for Vanderbilt Mortgage and Finance, Inc. or any of its affiliates (the "Sponsor"). The Sponsor has not prepared, reviewed or participated in the preparation hereof, is not responsible for the accuracy hereof and has not authorized the disemination hereof. The analysis in this report is accurate to the best of PSI's knowledge and is based on information provided by the Sponsor. PSI makes no representations as to the accuracy of such information provided to it by the Sponsor. All assumptions and information in this report reflect PSI's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, PSI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. PSI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, PSI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein shall be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consumated without the purchaser first having received a prospectus and, if required, prospectus supplement. Finally, PSI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and PSI strongly urges you to seek advice from your counsel, accountant and tax advisor. The Certificates are being offered pursuant to a Prospectus which includes a Prospectus Supplement (together, the "Prospectus"). The information contained herein will be superseded by the final Prospectus. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
Vanderbilt Mortgage and Finance, Inc., Series 1997A - ----------------------------------------------------------------------------------- Fixed-Rate Group Class Class Class Class Class Class Class Class I A-1 I A-2 I A-3 I A-4 I A-5 I A-6 I B-1 I B-2 Amount(000): 28,500 24,900 18,200 10,700 12,919 9,233 6,347 4,618 Coupon: 5.518 6.525 6.800 7.075 7.300 7.600 7.500 8.125 1ML+ 8 bps Approx. Price: 100-0 99-31 99-30 99-30+ 99-30 100-0 99-28+ 99-30 Yield(%): N/A 6.585 6.885 7.167 7.403 7.705 7.615 8.253 Spread: 8 40 53 67 80 110 112 165 Avg Life: 1.05 3.05 5.05 7.04 9.64 13.62 6.74 14.70 Avg Life 1.05 3.05 5.05 7.04 9.64 11.83 6.74 11.09 To Call: Mod. Duration 0.985 2.659 4.101 5.322 6.609 8.086 5.038 7.946 (To Maturity) Mod. Duration 0.985 2.659 4.101 5.322 6.609 7.463 5.038 6.971 (To 10% Call) 1st Prin Pymt: 02/97 03/99 03/01 04/03 01/05 10/08 02/97 02/06 Exp Mat: 03/99 03/01 04/03 01/05 10/08 10/13 02/06 08/25 To 10% Call: 03/99 03/01 04/03 01/05 10/08 12/08 02/06 12/08 Stated Mat: 10/07/02 04/07/06 06/07/09 07/07/11 08/07/14 12/7/28 04/07/11 12/7/28 Expected Settlement: <----------------------------- 02/06/97 -------------------------------------> Pymt Delay: 0 days <----------------- 6 days -------------------------------------> Dated Date: 2/6/97 <----------------- 01/01/97 -------------------------------------> 1st Pymt Date: 2/7/97 2/7/97 2/7/97 2/7/97 2/7/97 2/7/97 2/7/97 2/7/97 Ratings: Aaa Aaa Aaa Aaa Aaa Aa3 Baa2 Baa2 (Moody's) Pricing Date: 1/30/97 Prepayment Speed: 185% MHP
Class A1 Pass Through Rate: The Class I A-1 Pass Through Rate will equal the lesser of i) One Month LIBOR plus TBD% and ii) the weighted average gross coupon of the contracts less the 1.25% servicing fee. Credit Enhancement: Subordination: Expected subordination levels are as follows: (subject to change) Class I A-1 - I A-5: Aaa 17.5% Class I A-6: Aa3 9.5% Class I B-1: Baa2 4.0% Corporate Guarantee: The Class I B-2 Certificateholders will have the benefit of a limited guarantee of Clayton Homes, Inc.("CHI") to protect against losses that would otherwise be absorbed by the Class I B-2 Certificateholders. Servicing Fee: For as long as Vanderbilt is the servicer, the servicing fee of 1.25% per annum is subordinate to the Offered Certificates on a monthly basis.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. Vanderbilt Mortgage and Finance, Inc., Series 1997A Cashflow Priority:
PRICING BASE CASE CLASS I B DISTRIBUTION TEST IS MET: 1) Current interest and any previously unreimbursed interest to Classes I A-1 - I A-5; 2) Senior percentage of principal payments sequentially to Classes I A-1, I A-2, I A-3, I A-4, and I A-5 until such class is reduced to zero; 3) Current interest and any previously unreimbursed interest to Class I A-6 Certificates; 4) Senior percentage of principal payments to Class I A-6 until such class is reduced to zero; 5) Current interest and any previously unreimbursed interest to Class I B-1 Certificates; 6) Class I B percentage of principal payments to Class I B-1 until such class is reduced to zero; 7) Current interest and any previously unreimbursed interest to Class I B-2 Certificates; 8) Class I B percentage of principal payments to Class I B-2 until such class is reduced to zero; 9) Excess cashflow to fund any Available Funds shortfall with respect to the Group II Certificates except the Net Funds Cap Carryover Amount; 10) Excess cashflow to the Class II A-1 to build O/C for the Group II Certificates. 11) As long as Vanderbilt is the Servicer, any remainder up to the amount equal to 1/12th of the product of 1.25% and the pool scheduled principal balance to the Servicer; 12) Any remainder to Clayton Homes for any unreimbursed guaranteed payments with respect to Class I B-2; 13) Any remainder to the Class R Certificates. __________________________________________________ | | | | | | | |I A-1|I A-2| I A-3 | I A-4 | I A-5 | I A-6 | | | | | | | | |_____|_____|__________|________|_______|________| |///////////////////| | | |///////////////////| I B-1 | I B-2 | |///////////////////| | | -------------------------------------------------- 5 yrs CLASS I B DISTRIBUTION TEST IS NOT MET: 1) Current interest and any previously unreimbursed interest to Classes I A-1 - I A-5 Certificates; 2) 100% of principal payments sequentially to Classes I A-1, I A-2, I A-3, I A-4, and I A-5 until such class is reduced to zero; 3) Current interest and any previously unreimbursed interest to Clas I A-6 Certificates; 4) 100% of principal payments to Class I A-6 until such Class is reduced to zero; 5) Current interest and any previously unreimbursed interest to Class I B-1 Certificates; 6) 100% of principal payments to Class I B-1 until such Class is reduced to zero; 7) Current interest and any previously unreimbursed interest to Class I B-2 Certificates; 8) 100% of principal payments to Class I B-2 until such Class is reduced to zero; 9) Excess cashflow to fund any Available Funds shortfall with respect to the Group II Certificates except the Net Funds Cap Carryover Amount; 10) Excess cashflow to the Class II A-1 to build O/C for the Group II Certificates. 11) So long as Vanderbilt is the Servicer, any remainder up to the amount equal to 1/12th of the product of 1.25% and the pool scheduled principal balance to the Servicer; 12) Any remainder to Clayton Homes for any unreimbursed guaranteed payments with respect to Class I B-2; 13) Any remainder to the Class R Certificates. _________________________________________________________________ | | | | | | | | | | | | | | | | | | | I A-1 | I A-2 | I A-3 | I A-4 | I A-5 | I A-6 | I B-1 | I B-2 | | | | | | | | | | |_______|_______|_______|_______|_______|_______|_______|_______|
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. Vanderbilt Mortgage and Finance, Inc., Series 1997A
Class B Distribution Test: The Class I B Distribution Test is met if: 1) Remittance Date is on or after Feb 2002 2) Class I B Percentage is at least % (which is 1.75 times the original Class B Percentage) 3) Cumulative Realized Losses do not exceed 7% for year 2001 , 8% for year 2002 , and 9% for year 2003 and beyond of the Original Principal Balance of the Contracts 4) Current Realized Loss Ratio does not exceed 2.75% 5) Average 60 Day Delinquency Ratio does not exceed 5% 6) Average 30 Day Delinquency Ratio does not exceed 7% 7) Class I B-2 Principal Balance must not be less than $2,308,354 (which represents approximately 2% of the Total Original Contract Pool Principal Balance).
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. Vanderbilt Mortgage and Finance, Inc., Series 1997A - ----------------------------------------------------------------------------- Adjustable-Rate Certificates
Class Class Class Class II A-1 II B-1 II B-2 II B-3 - -------------------------------------------------------------------------------------- Amount(000): 58,714 9,526 4,082 5,445 Coupon: 5.638 5.888 6.287 6.487 1ML+ 20 bps 1ML+ 45 bps 1ML+ 85 bps 1ML+ 105 bps Approx. Price: 100-00 100-00 100-00 100-00 Spread: 20 45 85 105 Avg Life: 3.75 6.73 9.88 13.52 To Call: 3.64 6.73 9.88 11.78 1st Prin Pymt: 02/97 02/02 11/05 04/08 Exp Mat: 10/12 11/05 04/08 07/13 To 10% Call: 12/08 11/05 04/08 12/08 Stated Mat: 3/7/28 10/07/11 10/07/12 3/7/28 Expected Settlement: 2/6/97 2/6/97 2/6/97 2/6/97 Pymt Delay: 0 Days 0 Days 0 Days 0 Days Dated Date: 2/6/97 2/6/97 2/6/97 2/6/97 1st Pymt Date: 2/7/97 2/7/97 2/7/97 2/7/97 Rating: Aaa Aa3 Baa2 Baa2 (Moody's) Pricing Date: 1/30/97
Prepayment Speed: 200% MHP Group II Pass Through Rate: The Group II Pass Through Rate will equal the lesser of i) One Month LIBOR plus TBD% and ii) the Net Funds Cap as described herein. Net Funds Cap: The difference between the a) collateral WAC and b) the the sum of i) 0.50% (spread cushion) and ii) if the Company is no longer the Servicer, 1.25%. Net Funds Cap Carryover: If on any Payment Date the Group II Certificate interest distribution amount is less than the Group II Pass-Through Rate (which is subject to a maximum equal to the Weighted Average Life Cap of the collateral), the amount of such shortfall and the aggregate of such shortfalls from previous payment dates together with accrued interest at the Pass-Through Rate will be carried forward to the next Payment Date until paid. No interest carryforward will be paid once the Class II B-3 Certificate principal balance has been reduced to zero. Credit Enhancement: Subordination: Expected subordination levels are as follows: (subject to change) Class II A-1: Aaa 24.5% Class II B-1: Aa3 12.25% Class II B-2: Baa2 7.0% Corporate Guarantee: The Class II B-3 Certificateholders will have the benefit of a limited guarantee of Clayton Homes, Inc.("CHI") to protect against losses that would otherwise be absorbed by the Class II B-3 Certificateholders.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. Vanderbilt Mortgage and Finance, Inc., Series 1997A Overcollateralization: The Certificates will be issued with no initial Overcollateralization Amount. Excess Servicing and the Servicing Fee (while Vanderbilt is the Servicer) will be directed to build the Overcollateralization Amount to 4.25% (approx. $_________) of the Cut-off Date Group II Principal Balance. On or after February 7, 2002 and as long as the Class II B Distribution Tests are met, the Required Overcollateralization Amount steps down to 8.50% of the current Group II Scheduled Principal Balance subject to a floor of 0.75% (approx. $_________) of the Group II Cut-off Date Pool Principal Balance. Servicing Fee: For as long as Vanderbilt is the Servicer, the 1.25% Servicing Fee will be subordinated to the Offered Certificates on a monthly basis. Excess Interest: The excess interest on the Contracts represents the first loss piece and is subordinated to the Offered Certificates on a monthly basis.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. Vanderbilt Mortgage and Finance, Inc., Series 1997A Cashflow Priority: PRICING BASE CASE CLASS II B DISTRIBUTION TEST IS MET: 1) Current interest and any previously unreimbursed interest to Class II A-1 Certificates (subject to the Net Funds Cap); 2) Senior percentage of principal payments to Class II A-1 until such class is reduced to zero; 3) Current interest and any previously unreimbursed interest to Class II B-1 Certificates; 4) Class II B percentage of principal payments to Class II B-1 until such class is reduced to zero; 5) Current interest and any previously unreimbursed interest to Class II B-2 Certificates; 6) Class II B percentage of principal payments to Class II B-2 until such class is reduced to zero; 7) Current interest and any previously unreimbursed interest to Class II B-3 Certificates; 8) Class II B percentage of principal payments to Class II B-3 until such class is reduced to zero; 9) Excess cashflow to fund any Available Funds shortfall with respect to the Group I Certificates except the Net Funds Cap Carryover Amount; 10) Excess cashflow to the Class II A-1 to build O/C. 11) So long as Vanderbilt is the Servicer, any remainder up to the amount equal to 1/12th of the product of 1.25% and the pool scheduled principal balance to the Servicer; 12) Any remainder to Clayton Homes for any unreimbursed guaranteed payments with respect to Class II B-3; 13) Any remainder to the Class R Certificates. ______________________________________________________ | | | II A-1 | | | |_____________________________________________________| |/////////////| | | | |/////////////| | | | |/////////////| II B-1 | II B-2 | II B-3 | |/////////////|________________|____________|_________| 5 yrs CLASS B DISTRIBUTION TEST IS NOT MET: 1) Current interest and any previously unreimbursed interest to Classes II A-1 Certificates; 2) 100% of principal payments sequentially to Class II A-1 until such class is reduced to zero; 3) Current interest and any previously unreimbursed interest to Class II B-1 Certificates; 4) 100% of principal payments to Class II B-1 until such Class is reduced to zero; 5) Current interest and any previously unreimbursed interest to Class II B-2 Certificates; 6) 100% of principal payments to Class II B-2 until such Class is reduced to zero; 7) Excess cashflow to fund any Available Funds shortfall with respect to the Group I Certificates except the Net Funds Cap Carryover Amount; 8) Excess cashflow to the Class II A-1 to build O/C. 9) So long as Vanderbilt is the Servicer, any remainder up to the amount equal to 1/12th of the product of 1.25% and the pool scheduled principal balance to the Servicer; 10) Any remainder to Clayton Homes for any unreimbursed guaranteed payments with respect to Class II B-3; 11) Any remainder to the Class R Certificates. _________________________________________________________________ | | | | | | | | | | | II A-1 | II B-1| II B-2| II B-3| | | | | | |_______________________________________|_______|_______|_______|
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. Vanderbilt Mortgage and Finance, Inc., Series 1997A Class II B Distribution Test: The Class II B Distribution Test is met if 1) Remittance Date is on or after Feb 2002 2) Class II B Percentage + O/C is at least 50% (which is 2.00 times the original Class I B Percentage + O/C + 1.0%) 3) Cumulative Realized Losses do not exceed 7% for year 2001 , 8% for year 2002 , and 9% for year 2003 and beyond of the Original Principal Balance of the Contracts 4) Current Realized Loss Ratio does not exceed 2.75% 5) Average 60 Day Delinquency Ratio does not exceed 5% 6) Average 30 Day Delinquency Ratio does not exceed 7% 7) Sum of Class I B-2 Principal Balance + O/C must not be less than $ (which represents approximately 2% of the Total Original Contract Pool Principal Balance). Cleanup Call: The Servicer may call the Certificates at par plus accrued interest after the remaining pool balance of the Certificates is less than 10% of its original balance. Payment Date: The 7th day of each month or, if such day is not a business day, the next succeeding business day, beginning in February, 1997. Interest Accrual: Interest will accrue from the 1st day of the preceding month until the 30th day of the preceding month for the Class I A-2, I A-3, I A-4, I A-5, I A-6, I B-1 and I B-2 certificates. For the Class I A-1 certificates and the Group II Certificates, interest will accrue from the 7th day of the preceeding month until the 6th day of the current month. For the first payment date, interest will accrue from the closing date to the first Payment Date for the class I A-1 certificates and the Group II Certificates.. For the Class I A-1 certificates, and the Group II Certificates, interest is calculated using an actual/360 day count. For the remainder of the certificate classes, interest is calculated using a 30/360 day count. ERISA Considerations: The Class I A-1, I A-2, I A-3, I A-4, and I A-5 Certificates and the Class II A-1 will be ERISA eligible. The Class I A-6 I B-1 and I B-2 Certificates and the Class II B-1, II B-2, and II B-3 are not ERISA eligible. However, investors should consult with their counsel with respect to the consequences under ERISA and the Code of the Plan's acquisition and ownership of such Certificates. SMMEA Considerations: The Class I A-1,I A-2, I A-3, I A-4, I A-5, and I A-6 as well as the Class II A-1 and II B-1 Certificates will constitute "mortgage related securities" under the Secondary Mortgage Market Enhancement Act of 1984 "SMMEA". The Classes I B-1 and I B-2 and Class II B-2 and II B-3 Certificates are not SMMEA eligible.
Group I Group II Type of Collateral: FIXED ARM Number: 3913 2479 Amount: 115,417,699.95 77,767,930.26 Avg Unpaid Balance: 29,495.96 31,370.69 Max Orig Balance: 388,912.35 86,800.40 WAC: 11.438% 9.881% WAC Range: 8.000% - 19.950% 8.000% - 15.250% WAM: 186 201 WA Orig Term: 188 208 WALTV: 87.629 87.790 New: 71.87% 82.80% Used: 28.13% 17.20% Park: 26.66% 25.43% Non-Park: 73.34% 74.57% Single Wide: 55.27% 46.55% Double Wide: 44.73% 53.45%
Prospectus: The Certificates are being offered pursuant to a Prospectus which includes a Prospectus Supplement (together, the "Prospectus")Complete information with respect to the Certificates and the Collateral is contained in the Prospectus. The foregoing is qualified in its entirety by the information appearing in the Prospectus. To the extent that the foregoing is inconsistent with the Prospectus, the Prospectus shall govern in all respects. Sales of the Certificates may not be consumated unless the purchaser has received the Prospectus. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. Vanderbilt Mortgage and Finance, Inc., Series 1997A ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED - -------------------------- ---------------------------------- CURRENT BALANCE: $28,500,000.00 DATED DATE: 02/06/97 CURRENT COUPON: 5.548% VMF7AF FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 TOTAL CLASSES: 9 ORIGINAL BALANCE: $28,500,000.00 BOND IA1 SETTLEMENT DATE: 02/06/97 ASSUMED CONSTANT LIBOR-1M 5.4375 * Pricing Speed
125.00% 150.00% 185.00% 200.00% 250.00% MHP MHP MHP MHP MHP First Payment 0.003 0.003 0.003 0.003 0.003 Average Life 1.350 1.206 1.050 0.995 0.844 Last Payment 2.669 2.419 2.086 2.003 1.669
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED - -------------------------- ---------------------------------- CURRENT BALANCE: $24,900,000.00 DATED DATE: 01/01/97 COUPON: 6.600% VMF7AF FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 TOTAL CLASSES: 9 ORIGINAL BALANCE: $24,900,000.00 BOND IA2 SETTLEMENT DATE: 02/06/97 PREPAYMENT SPEED * Pricing Speed
125.00% 150.00% 185.00% 200.00% 250.00% MHP MHP MHP MHP MHP First Payment 2.669 2.419 2.086 2.003 1.669 Average Life 3.873 3.486 3.050 2.893 2.467 Last Payment 5.169 4.669 4.086 3.919 3.336
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. Vanderbilt Mortgage and Finance, Inc., Series 1997A ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED - -------------------------- ---------------------------------- CURRENT BALANCE: $18,200,000.00 DATED DATE: 01/01/97 COUPON: 6.900% VMF7AF FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 TOTAL CLASSES: 9 ORIGINAL BALANCE: $18,200,000.00 BOND IA3 SETTLEMENT DATE: 02/06/97 PREPAYMENT SPEED * Pricing Speed
125.00% 150.00% 185.00% 200.00% 250.00% MHP MHP MHP MHP MHP First Payment 5.169 4.669 4.086 3.919 3.336 Average Life 6.411 5.785 5.047 4.779 4.066 Last Payment 7.669 7.086 6.169 5.836 4.919
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. Vanderbilt Mortgage and Finance, Inc., Series 1997A ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED - -------------------------- ---------------------------------- CURRENT BALANCE: $10,700,000.00 DATED DATE: 01/01/97 COUPON: 7.150% VMF7AF FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 TOTAL CLASSES: 9 ORIGINAL BALANCE: $10,700,000.00 BOND IA4 SETTLEMENT DATE: 02/06/97 PREPAYMENT SPEED * Pricing Speed
125.00% 150.00% 185.00% 200.00% 250.00% MHP MHP MHP MHP MHP First Payment 7.669 7.086 6.169 5.836 4.919 Average Life 8.723 7.939 7.041 6.693 5.625 Last Payment 9.919 9.003 7.919 7.586 6.503
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. Vanderbilt Mortgage and Finance, Inc., Series 1997A ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED - -------------------------- ---------------------------------- CURRENT BALANCE: $12,919,000.00 DATED DATE: 01/01/97 COUPON: 7.400% FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 BOND IA5 SETTLEMENT DATE: 02/06/97 ORIGINAL BALANCE: $12,919,000.00 * Pricing Speed
GP I 125% GP I 150% GP I 185% GP I 200% GP I 250% MHP MHP MHP MHP MHP First Payment 9.919 9.003 7.919 7.586 6.503 Average Life 11.564 10.761 9.639 9.189 7.862 Last Payment 13.253 12.669 11.669 11.253 9.753
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. Vanderbilt Mortgage and Finance, Inc., Series 1997A ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED - -------------------------- ---------------------------------- CURRENT BALANCE: $9,233,000.00 DATED DATE: 01/01/97 COUPON: 7.700% FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 BOND IA6 SETTLEMENT DATE: 02/06/97 ORIGINAL BALANCE: $9,233,000.00 ****** TO 10 % CALL ****** * Pricing Speed
GP I 125% GP I 150% GP I 185% GP I 200% GP I 250% GP II 150% GP II 175% GP II 200% GP II 225% GP II 250% MHP MHP MHP MHP MHP First Payment 13.253 12.669 11.669 11.253 9.753 Average Life 13.334 12.669 11.833 11.335 10.294 Last Payment 13.336 12.669 11.836 11.336 10.336
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. Vanderbilt Mortgage and Finance, Inc., Series 1997A ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP - -------------------------- CURRENT BALANCE: $9,233,000.00 DATED DATE: 01/01/97 COUPON: 7.700% VMF7A FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 TOTAL CLASSES: 8 ORIGINAL BALANCE: $9,233,000.00 BOND IA6 SETTLEMENT DATE: 02/06/97 ****** TO MATURITY ******* PREPAYMENT SPEED PRICING SPEED
185.0% 125.00% 150.00% 185.00% 200.00% 250.00% MHP MHP MHP MHP MHP MHP First Payment 11.669 13.253 12.669 11.669 11.253 9.753 Average Life 13.624 15.414 14.638 13.624 13.205 11.863 Last Payment 16.669 18.003 17.503 16.669 16.253 14.836
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. Vanderbilt Mortgage and Finance, Inc., Series 1997A ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED - -------------------------- ---------------------------------- CURRENT BALANCE: $6,347,000.00 DATED DATE: 01/01/97 COUPON: 7.625% FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 BOND IB1 SETTLEMENT DATE: 02/06/97 ORIGINAL BALANCE: $6,347,000.00
* Pricing Speed
GP I 125% GP I 150% GP I 185% GP I 200% GP I 250% MHP MHP MHP MHP MHP First Payment 5.003 5.003 5.003 5.003 5.003 Average Life 7.140 6.956 6.742 6.663 6.441 Last Payment 9.919 9.503 9.003 8.836 8.253
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. Vanderbilt Mortgage and Finance, Inc., Series 1997A ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED - -------------------------- ---------------------------------- CURRENT BALANCE: $4,618,000.00 DATED DATE: 01/01/97 COUPON: 8.185% FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 BOND IB2 SETTLEMENT DATE: 02/06/97 ORIGINAL BALANCE: $4,618,000.00 ****** TO 10 % CALL ******
* Pricing Speed
GP I 125% GP I 150% GP I 185% GP I 200% GP I 250% GP II 150% GP II 175% GP II 200% GP II 225% GP II 250% MHP MHP MHP MHP MHP First Payment 9.919 9.503 9.003 8.836 8.253 Average Life 12.323 11.779 11.088 10.724 9.880 Last Payment 13.336 12.669 11.836 11.336 10.336
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. Vanderbilt Mortgage and Finance, Inc., Series 1997A ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED - -------------------------- ---------------------------------- CURRENT BALANCE: $4,618,000.00 DATED DATE: 01/01/97 COUPON: 8.185% VMF7A FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 TOTAL CLASSES: 8 ORIGINAL BALANCE: $4,618,000.00 BOND IB2 SETTLEMENT DATE: 02/06/97 ****** TO MATURITY *******
PREPAYMENT SPEED PRICING SPEED
185.0% 125.00% 150.00% 185.00% 200.00% 250.00% MHP MHP MHP MHP MHP MHP First Payment 9.003 9.919 9.503 9.003 8.836 8.253 Average Life 14.698 16.221 15.542 14.698 14.365 13.336 Last Payment 28.419 28.503 28.503 28.419 28.336 28.086
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. Vanderbilt Mortgage and Finance, Inc., Series 1997A ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED - -------------------------- ---------------------------------- CURRENT BALANCE: $58,714,000.00 DATED DATE: 02/06/97 CURRENT COUPON: 5.668% FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 BOND IIA1 SETTLEMENT DATE: 02/06/97 ORIGINAL BALANCE: $58,714,000.00 ****** TO 10 % CALL ******
* Pricing Speed
GP I 125% GP I 150% GP I 185% GP I 200% GP I 250% GP II 150% GP II 175% GP II 200% GP II 225% GP II 250% MHP MHP MHP MHP MHP First Payment 0.003 0.003 0.003 0.003 0.003 Average Life 4.602 4.095 3.641 3.267 2.907 Last Payment 13.336 12.669 11.836 11.336 10.336
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. Vanderbilt Mortgage and Finance, Inc., Series 1997A ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED - -------------------------- ---------------------------------- CURRENT BALANCE: $9,526,000.00 DATED DATE: 02/06/97 CURRENT COUPON: 5.888% FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 BOND IIB1 SETTLEMENT DATE: 02/06/97 ORIGINAL BALANCE: $9,526,000.00
* Pricing Speed
GP I 125% GP I 150% GP I 185% GP I 200% GP I 250% GP II 150% GP II 175% GP II 200% GP II 225% GP II 250% MHP MHP MHP MHP MHP First Payment 5.003 5.003 5.003 5.086 5.086 Average Life 6.926 6.819 6.726 6.598 6.529 Last Payment 9.253 9.003 8.753 8.419 8.253
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. Vanderbilt Mortgage and Finance, Inc., Series 1997A ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED - -------------------------- ---------------------------------- CURRENT BALANCE: $4,082,000.00 DATED DATE: 02/06/97 CURRENT COUPON: 6.258% FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 BOND IIB2 SETTLEMENT DATE: 02/06/97 ORIGINAL BALANCE: $4,082,000.00 * Pricing Speed
GP I 125% GP I 150% GP I 185% GP I 200% GP I 250% GP II 150% GP II 175% GP II 200% GP II 225% GP II 250% MHP MHP MHP MHP MHP First Payment 9.253 9.003 8.753 8.419 8.253 Average Life 10.553 10.200 9.875 9.541 9.274 Last Payment 11.919 11.503 11.169 10.753 10.336
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. Vanderbilt Mortgage and Finance, Inc., Series 1997A ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED - -------------------------- ---------------------------------- CURRENT BALANCE: $5,445,000.00 DATED DATE: 02/06/97 CURRENT COUPON: 6.487% FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 BOND IIB3 SETTLEMENT DATE: 02/06/97 ORIGINAL BALANCE: $5,445,000.00 ****** TO 10 % CALL ****** * Pricing Speed
GP I 125% GP I 150% GP I 185% GP I 200% GP I 250% GP II 150% GP II 175% GP II 200% GP II 225% GP II 250% MHP MHP MHP MHP MHP First Payment 11.919 11.503 11.169 10.753 10.336 Average Life 13.102 12.517 11.781 11.297 10.336 Last Payment 13.336 12.669 11.836 11.336 10.336
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. Vanderbilt Mortgage and Finance, Inc., Series 1997A Revised Available Funds Cap schedule on VMF7A Group II bonds
Available Funds Cap = [ (GWAC on Group II - 50bp O/C Cushion on Group II) X Group II Pool Balance) + O/C Stepdown Amount ] divided by Group II Bond Balance DATE AV FUNDS CAP 1M-LIBOR MARGIN (BP) - -------------------------------------------------- 20797 9.381 5.4375 394 30797 9.456 5.4375 402 40797 9.518 5.4375 408 50797 9.643 5.4375 421 60797 9.709 5.4375 427 70797 9.777 5.4375 434 80797 9.831 5.4375 439 90797 9.856 5.4375 442 100797 9.826 5.4375 439 110797 9.803 5.4375 437 120797 9.799 5.4375 436 10798 9.783 5.4375 435 20798 9.784 5.4375 435 30798 9.790 5.4375 435 40798 9.796 5.4375 436 50798 9.802 5.4375 436 60798 9.808 5.4375 437 70798 9.814 5.4375 438 80798 9.821 5.4375 438 90798 9.828 5.4375 439 100798 9.835 5.4375 440 110798 9.842 5.4375 440 120798 9.849 5.4375 441 10799 9.857 5.4375 442 20799 9.864 5.4375 443 30799 9.872 5.4375 443 40799 9.879 5.4375 444 50799 9.887 5.4375 445 60799 9.895 5.4375 446 70799 9.904 5.4375 447 80799 9.912 5.4375 447 90799 9.920 5.4375 448 100799 9.929 5.4375 449 110799 9.938 5.4375 450 120799 9.947 5.4375 451 10700 9.956 5.4375 452 20700 9.965 5.4375 453 30700 9.975 5.4375 454 40700 9.984 5.4375 455 50700 9.994 5.4375 456 60700 10.004 5.4375 457 70700 10.014 5.4375 458 80700 10.025 5.4375 459 90700 10.035 5.4375 460 100700 10.046 5.4375 461 110700 10.057 5.4375 462 120700 10.068 5.4375 463 10701 10.080 5.4375 464 20701 10.091 5.4375 465 30701 10.103 5.4375 467 40701 10.115 5.4375 468 50701 10.127 5.4375 469 60701 10.140 5.4375 470 70701 10.153 5.4375 472 80701 10.166 5.4375 473 90701 10.179 5.4375 474 100701 10.192 5.4375 475 110701 10.206 5.4375 477 120701 10.220 5.4375 478 10702 10.235 5.4375 480 20702 20.405 5.4375 1497 30702 11.798 5.4375 636 40702 11.803 5.4375 637 50702 11.808 5.4375 637 60702 11.814 5.4375 638 70702 11.819 5.4375 638 80702 11.824 5.4375 639 90702 11.830 5.4375 639 100702 11.835 5.4375 640
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
Revised Available Funds Cap schedule on VMF7A Group II bonds DATE AV FUNDS CAP 1M-LIBOR MARGIN (BP) - ---------------------------------------------- 110702 11.841 5.4375 640 120702 11.846 5.4375 641 10703 11.852 5.4375 641 20703 11.858 5.4375 642 30703 11.864 5.4375 643 40703 11.870 5.4375 643 50703 11.876 5.4375 644 60703 11.883 5.4375 645 70703 11.889 5.4375 645 80703 11.896 5.4375 646 90703 11.902 5.4375 646 100703 11.909 5.4375 647 110703 11.916 5.4375 648 120703 11.923 5.4375 649 10704 11.930 5.4375 649 20704 11.937 5.4375 650 30704 11.945 5.4375 651 40704 11.952 5.4375 651 50704 11.960 5.4375 652 60704 11.968 5.4375 653 70704 11.976 5.4375 654 80704 11.984 5.4375 655 90704 11.992 5.4375 655 100704 12.000 5.4375 656 110704 12.009 5.4375 657 120704 12.001 5.4375 656 10705 12.010 5.4375 657 20705 12.019 5.4375 658 30705 12.028 5.4375 659 40705 12.037 5.4375 660 50705 12.047 5.4375 661 60705 12.057 5.4375 662 70705 12.067 5.4375 663 80705 12.077 5.4375 664 90705 12.087 5.4375 665 100705 12.098 5.4375 666 110705 12.109 5.4375 667 120705 12.120 5.4375 668 10706 12.131 5.4375 669 20706 12.143 5.4375 671 30706 12.155 5.4375 672 40706 12.167 5.4375 673 50706 12.179 5.4375 674 60706 12.192 5.4375 675 70706 12.205 5.4375 677 80706 12.218 5.4375 678 90706 12.232 5.4375 679 100706 12.246 5.4375 681 110706 12.260 5.4375 682 120706 12.275 5.4375 684 10707 12.290 5.4375 685 20707 12.305 5.4375 687 and so on.....
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. Vanderbilt Mortgage and Finance, Inc., Series 1997A _____________________________________________________________________________ - VMF7A GP I (FIXED COLLATERRAL) - $115,417,699.95 - Asset Backed Collateral _____________________________________________________________________________
Cut-off Date: 12/25/96 Number of Contracts: 3,913 Aggregate Unpaid Principal Balance: $115,417,699.95 Aggregate Original Principal Balance: $116,379,582.86 Average Unpaid Principal Balance: $29,495.96 Weighted Average Gross Coupon: 11.438% Gross Coupon Range: 8.000% - 19.950% Weighted Average Maturity: 186.230 Weighted Average Age of Loans in Months: 1.804 Weighted Average Original Term: 188.221 Weighted Average LTV: 87.629 LTV Range: 2.888 - 100.000 Maximum Current Principal Balance: $387,853.28 Minimum Current Principal Balance: $5,084.58 Maximum Original Principal Balance: $388,912.35 Minimum Original Principal Balance: $1,888.00 Average Original Principal Balance: $29,741.78 ________________________________________________________________________
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. Vanderbilt Mortgage and Finance, Inc., Series 1997A
GEOGRAPHIC DISTRIBUTION ______________________________________________________________ Current State # Loans % Pool Balance Alabama 39 .88 $1,013,172 Arkansas 3 .12 $132,811 Arizona 58 2.07 $2,394,280 California 9 .36 $412,092 Colorado 49 1.65 $1,907,144 Connecticut 1 .03 $38,606 Dist of Col 1 .01 $13,827 Delaware 15 .55 $635,403 Florida 169 4.76 $5,492,059 Georgia 81 1.62 $1,868,387 Iowa 6 .16 $183,958 Idaho 2 .08 $90,818 Illinois 7 .17 $193,675 Indiana 18 .41 $474,561 Kansas 1 .02 $21,902 Kentucky 252 5.67 $6,541,638 Louisiana 47 1.19 $1,378,017 Massachsetts 1 .02 $28,211 Maryland 15 .45 $524,359 Michigan 5 .17 $198,265 Minnesota 1 .03 $36,857 Missouri 14 .43 $493,161 Mississippi 34 .74 $853,639 Montana 4 .18 $203,972 North Carolina 842 19.25 $22,217,691 Nebraska 1 .05 $55,426 New Hampshire 1 .02 $26,154 New Jersey 3 .22 $255,702 New Mexico 37 1.10 $1,273,195 Nevada 4 .08 $98,072 New York 23 .73 $841,805 Ohio 41 1.03 $1,188,102 Oklahoma 53 1.56 $1,797,181 Oregon 3 .07 $75,272 Pennsylvania 13 .32 $367,781 South Carolina 250 6.29 $7,258,735 Tennessee 542 13.04 $15,054,857 Texas 962 26.39 $30,458,524 Virginia 294 7.64 $8,819,876 Washington 4 .19 $223,301 Wisconsin 1 .10 $113,291 West Virgina 6 .13 $147,424 Canada 1 .01 $14,496 _____________________________________________________________ Total..... 3,913 100.00% $115,417,700 =============================================================
YEAR OF ORIGINATION ____________________________________________________ Year of # of % of Current Origination Loans Pool Balance 1985 6 .05 $62,022 1986 15 .13 $144,444 1987 12 .13 $148,963 1988 7 .10 $110,090 1989 10 .13 $152,329 1990 19 .27 $316,030 1991 4 .06 $66,267 1992 4 .06 $68,502 1993 5 .08 $87,382 1994 4 .05 $56,120 1995 47 1.58 $1,827,885 1996 3,780 97.37 $112,377,666 ____________________________________________________ Total... 3,913 100.00% $115,417,700 ====================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. Vanderbilt Mortgage and Finance, Inc., Series 1997A
ORIGINAL CONTRACT BALANCES ________________________________________________________________ Total # of Current Original Loan Amount Contracts Balance Balance <= 5,000 1 0.01 12,140 5,000 < Balance <= 10,000 141 1.01 1,163,576 10,000 < Balance <= 15,000 466 5.10 5,884,603 15,000 < Balance <= 20,000 609 8.95 10,325,147 20,000 < Balance <= 25,000 532 10.25 11,825,806 25,000 < Balance <= 30,000 593 14.01 16,171,827 30,000 < Balance <= 35,000 480 13.38 15,441,508 35,000 < Balance <= 40,000 295 9.51 10,974,151 40,000 < Balance <= 45,000 201 7.35 8,479,813 45,000 < Balance <= 50,000 197 8.02 9,257,807 50,000 < Balance <= 55,000 119 5.37 6,195,204 55,000 < Balance <= 60,000 95 4.70 5,425,969 60,000 < Balance <= 65,000 58 3.12 3,605,335 65,000 < Balance <= 70,000 37 2.15 2,483,734 70,000 < Balance <= 75,000 30 1.88 2,169,534 75,000 < Balance <= 80,000 11 0.74 850,947 80,000 < Balance <= 85,000 15 1.07 1,239,255 85,000 < Balance <= 90,000 6 0.46 530,450 90,000 < Balance <= 95,000 3 0.24 276,795 95,000 < Balance <= 100,000 7 0.58 670,204 100,000 < Balance <= 105,000 4 0.35 408,859 105,000 < Balance <= 110,000 3 0.28 322,166 110,000 < Balance <= 115,000 3 0.29 338,029 115,000 < Balance <= 120,000 1 0.10 117,040 120,000 < Balance <= 125,000 1 0.11 122,107 125,000 < Balance <= 130,000 1 0.11 128,999 Balance > 135,000 4 0.86 996,693 ________________________________________________________________ Total... 3,913 100.00% $115,417,700 ================================================================
ORIGINAL LTV RANGE - rounded to 1% Percentage of Aggregate Cut-Off Date Original Number of Unpaid Aggregate Loan-To-Value Mortgage Principal Principal Ratio Loans Balance Balance Less than 61% 246 5,185,965.74 4.49 From 61% to 65.999% 106 2,530,709.54 2.19 From 66% to 70.999% 126 3,973,648.85 3.44 From 71% to 75.999% 146 4,490,888.66 3.89 From 76% to 80.999% 256 7,700,519.75 6.67 From 81% to 85.999% 416 11,867,161.32 10.28 From 86% to 90.999% 960 29,156,402.38 25.26 From 91% to 100.00% 1657 50,512,403.71 43.76 __________________________________________________________________________ Total.................... 3913 $115,417,699.95 100.00% ==========================================================================
GROSS COUPON __________________________________________________________________ Gross Current Coupon # Loans % Pool Balance 7.00% < Gross Coupon <= 8.00% 20 .95 $1,090,755.81 8.00% < Gross Coupon <= 9.00% 110 4.11 $4,741,610.85 9.00% < Gross Coupon <= 10.00% 290 10.05 $11,602,512.30 10.00% < Gross Coupon <= 11.00% 837 23.35 $26,949,791.12 11.00% < Gross Coupon <= 12.00% 1,122 32.66 $37,695,426.28 12.00% < Gross Coupon <= 13.00% 953 20.62 $23,801,465.56 13.00% < Gross Coupon <= 14.00% 391 5.99 $6,911,953.48 14.00% < Gross Coupon <= 15.00% 146 1.76 $2,029,969.33 15.00% < Gross Coupon <= 16.00% 25 .31 $360,226.80 16.00% < Gross Coupon <= 17.00% 4 .04 $49,040.75 17.00% < Gross Coupon <= 18.00% 13 .14 $161,158.41 18.00% < Gross Coupon <= 19.00% 1 .01 $10,320.17 19.00% < Gross Coupon <= 20.00% 1 .01 $13,469.09 __________________________________________________________________ Total..... 3,913 100.00% $115,417,699.95 ==================================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. Vanderbilt Mortgage and Finance, Inc., Series 1997A
REMAINING TERM __________________________________________________________ # of % of Current Remaining Term Loans Pool Balance 20 < Rem Term <= 72 238 2.26 $2,606,653 73 < Rem Term <= 84 375 5.07 $5,847,033 85 < Rem Term <= 120 731 13.23 $15,272,379 121 < Rem Term <= 156 566 12.76 $14,723,491 157 < Rem Term <= 180 686 17.97 $20,741,361 181 < Rem Term <= 240 1,033 35.11 $40,524,293 241 < Rem Term <= 299 158 7.36 $8,494,447 300 < Rem Term <= 360 125 6.20 $7,152,746 Rem Term > 360 1 .05 $55,297 __________________________________________________________ Total..... 3,913 100.00% $115,417,700 ========================================================== THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
Vanderbilt Mortgage and Finance, Inc., Series 1997A _____________________________________________________________________________ - VMF7A GP II (ARMs) - Cut Off Date of Tape is 12/25/96 - ARM - $77,767,930.26 _____________________________________________________________________________ Number of Mortgage Loans: 2,479 Aggregate Unpaid Principal Balance: $77,767,930.26 Aggregate Original Principal Balance: $79,995,810.34 _____________________________________________________________________________ Weighted Average Coupon (Gross): 9.881% Gross Coupon Range: 8.000% - 15.250% Weighted Average Margin (Gross): 3.477% Gross Margin Range: 1.280% - 8.650% Weighted Average Life Cap (Gross): 15.618% Gross Life Cap Range: 13.250% - 21.250% Weighted Average Life Floor (Gross): 3.477% Gross Life Floor Range: 1.280% - 8.650% ________________________________________________________________________________ Average Unpaid Principal Balance: $31,370.69 Average Original Principal Balance: $32,269.39 Maximum Unpaid Principal Balance: $86,546.30 Minimum Unpaid Principal Balance: $4,065.01 Maximum Original Principal Balance: $86,800.40 Minimum Original Principal Balance: $6,375.99 Weighted Avg. Stated Rem. Term (LPD to Mat Date): 201.493 Stated Rem Term Range: 48.000 - 360.000 Weighted Avg. Amortized Rem. Term: 201.197 Amortized Rem Term Range: 30.292 - 360.017 Weighted Average Age (First Pay thru Last Pay): 6.267 Age Range: 4.000 - 146.000 Weighted Average Original Term: 207.758 Original Term Range: 48.000 - 360.000 Weighted Average Original LTV: 87.790 Original LTV Range: 24.597% - 100.000% Weighted Average Periodic Interest Cap: 1.447% Periodic Interest Cap Range: 1.000% - 2.000% Weighted Average Months to Interest Roll: 9.513 Months to Interest Roll Range: 1 - 14 Weighted Average Months to Payment Roll: 10.438 Months to Payment Roll Range: 2 - 15 Weighted Average Interest Roll Frequency: 11.940 Interest Frequency Range: 6 - 12 Weighted Average Payment Roll Frequency: 12.000 Payment Frequency Range: 12 - 12 ________________________________________________________________________________
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. Vanderbilt Mortgage and Finance, Inc., Series 1997A GEOGRAPHIC DISTRIBUTION ____________________________________________________________ Current State # Loans % Pool Balance Alabama 18 .64 $496,095 Arkansas 21 .96 $745,663 Arizona 5 .18 $140,782 California 4 .14 $111,709 Colorado 5 .29 $228,662 Connecticut 3 .18 $137,712 Dist of Col 3 .15 $116,381 Florida 137 5.25 $4,082,027 Georgia 95 2.37 $1,846,590 Indiana 13 .44 $345,920 Kentucky 220 8.00 $6,219,279 Louisiana 50 1.88 $1,460,743 Maryland 3 .16 $127,479 Michigan 2 .08 $60,808 Missouri 8 .43 $331,933 Mississippi 12 .46 $355,660 North Carolina 614 26.33 $20,478,039 New Jersey 2 .05 $39,511 New Mexico 22 1.03 $802,683 New York 9 .52 $400,884 Ohio 10 .43 $338,177 Oklahoma 8 .31 $241,178 Oregon 6 .25 $194,428 Pennsylvania 2 .09 $71,628 Puerto Rico 1 .02 $18,787 South Carolina 379 16.16 $12,570,830 Tennessee 172 6.35 $4,939,172 Texas 544 22.03 $17,132,400 Virginia 108 4.68 $3,640,384 West Virgina 3 .12 $92,384 ___________________________________________________________ Total..... 2,479 100.00% $77,767,930 ===========================================================
YEAR OF ORIGINATION __________________________________________________ Year of # of % of Current Origination Loans Pool Balance 1984 1 .01 $7,228 1985 30 .41 $319,197 1986 46 .68 $528,578 1987 5 .11 $86,547 1988 9 .18 $141,904 1989 14 .24 $186,133 1990 8 .19 $149,411 1991 2 .03 $25,964 1994 5 .09 $73,118 1995 351 14.63 $11,380,686 1996 2,008 83.41 $64,869,166 __________________________________________________ Total... 2,479 100.00% $77,767,930 ==================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
Vanderbilt Mortgage and Finance, Inc., Series 1997A ORIGINAL CONTRACT BALANCES _________________________________________________________________ Total # of Current Original Loan Amount Contracts Balance 5,000 < Balance <= 10,000 38 0.41 321,815 10,000 < Balance <= 15,000 157 2.52 1,963,047 15,000 < Balance <= 20,000 284 5.94 4,616,674 20,000 < Balance <= 25,000 359 9.91 7,706,740 25,000 < Balance <= 30,000 407 13.80 10,728,322 30,000 < Balance <= 35,000 346 14.05 10,928,414 35,000 < Balance <= 40,000 259 12.12 9,427,277 40,000 < Balance <= 45,000 179 9.61 7,475,727 45,000 < Balance <= 50,000 147 8.84 6,872,733 50,000 < Balance <= 55,000 108 7.24 5,630,174 55,000 < Balance <= 60,000 93 6.76 5,256,738 60,000 < Balance <= 65,000 42 3.34 2,599,158 65,000 < Balance <= 70,000 27 2.32 1,804,615 70,000 < Balance <= 75,000 24 2.22 1,724,722 75,000 < Balance <= 80,000 6 0.60 463,299 80,000 < Balance <= 85,000 2 0.21 161,929 85,000 < Balance <= 90,000 1 0.11 86,546 _________________________________________________________________ Total... 2,479 100.00% $77,767,930 =================================================================
ORIGINAL LTV RANGE - rounded to 1% Percentage of Aggregate Cut-Off Date Original Number of Unpaid Aggregate Loan-To-Value Mortgage Principal Principal Ratio Loans Balance Balance Less than 61% 67 1,745,390.43 2.24 From 61% to 65.999% 58 1,719,488.05 2.21 From 66% to 70.999% 61 1,982,582.70 2.55 From 71% to 75.999% 106 3,795,472.59 4.88 From 76% to 80.999% 175 6,152,805.14 7.91 From 81% to 85.999% 279 9,771,125.77 12.56 From 86% to 90.999% 667 22,012,572.77 28.31 From 91% to 100.00% 1066 30,588,492.81 39.33 __________________________________________________________________________ Total.................... 2479 $ 77,767,930.26 100.00% ==========================================================================
GROSS COUPON _________________________________________________________________ Gross Current Coupon # Loans % Pool Balance 7.00% < Gross Coupon <= 8.00% 5 .32 $245,294.09 8.00% < Gross Coupon <= 9.00% 330 18.04 $14,031,973.79 9.00% < Gross Coupon <= 10.00% 1,036 45.84 $35,651,047.80 10.00% < Gross Coupon <= 11.00% 748 27.05 $21,039,059.89 11.00% < Gross Coupon <= 12.00% 261 6.62 $5,145,894.51 12.00% < Gross Coupon <= 13.00% 69 1.64 $1,278,558.43 13.00% < Gross Coupon <= 14.00% 29 .46 $360,087.94 15.00% < Gross Coupon <= 16.00% 1 .02 $16,013.81 _________________________________________________________________ Total..... 2,479 100.00% $77,767,930.26 =================================================================
INDEX CODE _________________________________________________________________________ Total # % Current Loan Feature Loan Pool Balance 1YR CMT 64 .94 $732,886.17 5YR CMT 2,394 98.75 $76,793,231.89 PRIME RATE 21 .31 $241,812.20 ___________________________________________________________________ Total..... 2,479 100.00% $77,767,930.26 ====================================================================
Vanderbilt Mortgage and Finance, Inc., Series 1997A REMAINING TERM __________________________________________________________ # of % of Current Remaining Term Loans Pool Balance 20 < Rem Term <= 72 154 2.41 $1,873,523 73 < Rem Term <= 84 114 2.30 $1,788,338 85 < Rem Term <= 120 247 6.19 $4,810,590 121 < Rem Term <= 156 229 7.18 $5,586,749 157 < Rem Term <= 180 839 32.61 $25,361,369 181 < Rem Term <= 240 739 38.71 $30,105,890 241 < Rem Term <= 299 98 6.37 $4,954,161 299 < Rem Term <= 360 59 4.23 $3,287,309 __________________________________________________________ Total..... 2,479 100.00% $77,767,930 ==========================================================
LOAN SUMMARY STRATIFIED BY LIFE CAP Percentage of Aggregate Cut-Off Date Number of Unpaid Aggregate Gross Mortgage Principal Principal Life Cap Loans Balance Balance 13.000 LIFE CAP <= 13.500 5 194,483.03 0.25 13.500 LIFE CAP <= 14.000 57 2,473,025.20 3.18 14.000 LIFE CAP <= 14.500 132 5,211,870.22 6.70 14.500 LIFE CAP <= 15.000 377 15,440,886.49 19.86 15.000 LIFE CAP <= 15.500 544 19,088,372.65 24.55 15.500 LIFE CAP <= 16.000 453 14,527,443.49 18.68 16.000 LIFE CAP <= 16.500 381 10,490,132.49 13.49 16.500 LIFE CAP <= 17.000 196 4,869,810.40 6.26 17.000 LIFE CAP <= 17.500 106 2,095,101.75 2.69 17.500 LIFE CAP <= 18.000 69 1,208,988.51 1.55 18.000 LIFE CAP <= 18.500 23 424,037.56 0.55 18.500 LIFE CAP <= 19.000 12 184,258.60 0.24 19.000 LIFE CAP <= 19.500 18 265,518.82 0.34 19.500 LIFE CAP <= 20.000 16 246,142.59 0.32 20.000 LIFE CAP <= 20.500 4 57,146.28 0.07 21.000 LIFE CAP <= 21.500 1 16,013.81 0.02 NO LIFE CAP 85 974,698.37 1.25 __________________________________________________________________________ Total................. 2479 $ 77,767,930.26 100.00% ==========================================================================
GROSS MARGIN ___________________________________________________________ Gross # of % of Current Margin Loans Pool Balance 1.0 < Margin <= 2.0 24 1.44 1,122,988.62 2.0 < Margin <= 3.0 612 32.63 25,376,225.16 3.0 < Margin <= 4.0 1,012 40.61 31,579,632.39 4.0 < Margin <= 5.0 583 19.66 15,291,754.69 5.0 < Margin <= 6.0 199 4.61 3,581,742.02 6.0 < Margin <= 7.0 42 0.92 715,268.32 7.0 < Margin <= 8.0 6 0.11 84,305.25 8.0 < Margin <= 9.0 1 0.02 16,013.81 ___________________________________________________________ Total... 2,479 100.00% $77,767,930.26 ===========================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. EX-99.2 3 Marketing Memorandum for Vanderbilt Mortgage and Finance, Inc., Manufactured Housing Contract, Senior/Subordinate Pass-Through Certificates, Series 1997A This material is for your private information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the assets backing any securities discussed herein supersedes all prior information regarding such assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you. This material is furnished to you solely by Goldman, Sachs & Co. and not by the issuer of the securities or any of its affiliates. Goldman, Sachs & Co. is acting as underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. The issuer has not prepared or taken part in the preparation of these materials. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. Vanderbilt Mortgage and Finance, Inc., Series 1997A Fixed-Rate Group
Class Class Class Class Class Class Class Class I A-1 I A-2 I A-3 I A-4 I A-5 I A-6 I B-1 I B-2 Amount(000): (28,500 24,900 18,200 10,700 12,919 9,233 6,347 4,618) Coupon: (TBD TBD TBD TBD TBD TBD TBD TBD) 1ML+___bps Approx. Price: (TBD TBD TBD TBD TBD TBD TBD TBD) Yield: (TBD TBD TBD TBD TBD TBD TBD TBD) Spread: (TBD TBD TBD TBD TBD TBD TBD TBD) Avg Life: (1.05 3.05 5.05 7.04 9.64 13.62 6.74 14.70) Avg Life (1.05 3.05 5.05 7.04 9.64 11.83 6.74 11.09) To Call: Mod. Duration 0.985 2.659 4.101 5.322 6.609 8.086 5.038 7.946 (To Maturity) Mod. Duration 0.985 2.659 4.101 5.322 6.609 7.463 5.038 6.971 (To 10% Call) 1st Prin Pymt: (02/97 03/99 03/01 04/03 01/05 10/08 02/97 02/06) Exp Mat: (03/99 03/01 04/03 01/05 10/08 10/13 02/06 08/25) To 10% Call: (03/99 03/01 04/03 01/05 10/08 12/08 02/06 12/08) Stated Mat: (TBD TBD TBD TBD TBD TBD TBD TBD) Expected Settlement: (<--------------------------------------------------- 02/06/97 --------------------- ---------------------------->) Pymt Delay: (0 days <------------------------------------ 6 days ------------------------ ---------------------------->) Dated Date: (2/6/97 <-------------------------------------- 01/01/97 ---------------------- --------------------------->) 1st Pymt Date: (2/7/97 2/7/97 2/7/97 2/7/97 2/7/97 2/7/97 2/7/97 2/7/97) Ratings: (Moody's) (Aaa Aaa Aaa Aaa Aaa Aa3 Baa2 Baa2) Pricing Date: (1/30/97) Prepayment Speed: (185% MHP)
Class A1 Pass The Class I A-1 Pass Through Rate will equal the lesser of Through Rate: i) One Month LIBOR plus (TBD%) and ii) the weighted average gross coupon of the contracts less the 1.25% servicing fee. Credit Enhancement: Subordination: Expected subordination levels are as follows: (subject to change) Class I A-1 - I A-5: Aaa (17.5%) Class I A-6: Aa3 (9.5%) Class I B-1: Baa2 (4.0%) Corporate Guarantee: The Class I B-2 Certificateholders will have the benefit of a limited guarantee of Clayton Homes, Inc.("CHI") to protect against losses that would otherwise be absorbed by the Class I B-2 Certificateholders. Servicing Fee: For as long as Vanderbilt is the servicer, the servicing fee of 1.25% per annum is subordinate to the Offered Certificates on a monthly basis.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. Vanderbilt Mortgage and Finance, Inc., Series 1997A
Cashflow Priority: PRICING BASE CASE CLASS I B DISTRIBUTION TEST IS MET: 1) Current interest and any previously unreimbursed interest to Classes I A-1 - I A-5; 2) Senior percentage of principal payments sequentially to Classes I A-1, I A-2, I A-3, I A-4, and I A-5 until such class is reduced to zero; 3) Current interest and any previously unreimbursed interest to Class I A-6 Certificates; 4) Senior percentage of principal payments to Class I A-6 until such class is reduced to zero; 5) Current interest and any previously unreimbursed interest to Class I B-1 Certificates; 6) Class I B percentage of principal payments to Class I B-1 until such class is reduced to zero; 7) Current interest and any previously unreimbursed interest to Class I B-2 Certificates; 8) Class I B percentage of principal payments to Class I B-2 until such class is reduced to zero; 9) Excess cashflow to fund any Available Funds shortfall with respect to the Group II Certificates except the Net Funds Cap Carryover Amount; 10) Excess cashflow to the Class II A-1 to build O/C for the Group II Certificates. 11) As long as Vanderbilt is the Servicer, any remainder up to the amount equal to 1/12th of the product of 1.25% and the pool scheduled principal balance to the Servicer; 12) Any remainder to Clayton Homes for any unreimbursed guaranteed payments with respect to Class I B-2; 13) Any remainder to the Class R Certificates.
I A-1 I A-2 I A-3 I A-4 I A-5 I A-6
////////////////////////////// ////////////////////////////// I B-1 I B-2 //////////////////////////////
5 yrs CLASS I B DISTRIBUTION TEST IS NOT MET: 1) Current interest and any previously unreimbursed interest to Classes I A-1 - I A-5 Certificates; 2) 100% of principal payments sequentially to Classes I A-1, I A-2, I A-3, I A-4, and I A-5 until such class is reduced to zero; 3) Current interest and any previously unreimbursed interest to Class I A-6 Certificates; 4) 100% of principal payments to Class I A-6 until such Class is reduced to zero; 5) Current interest and any previously unreimbursed interest to Class I B-1 Certificates; 6) 100% of principal payments to Class I B-1 until such Class is reduced to zero; 7) Current interest and any previously unreimbursed interest to Class I B-2 Certificates; 8) 100% of principal payments to Class I B-2 until such Class is reduced to zero; 9) Excess cashflow to fund any Available Funds shortfall with respect to the Group II Certificates except the Net Funds Cap Carryover Amount; 10) Excess cashflow to the Class II A-1 to build O/C for the Group II Certificates. 11) So long as Vanderbilt is the Servicer, any remainder up to the amount equal to 1/12th of the product of 1.25% and the pool scheduled principal balance to the Servicer; 12) Any remainder to Clayton Homes for any unreimbursed guaranteed payments with respect to Class I B-2; 13) Any remainder to the Class R Certificates. I A-1 I A-2 I A-3 I A-4 I A-5 I A-6 I B-1 I B-2
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN SACHS & CO. INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. Class B Distribution The Class I B Distribution Test is met if: Test: 1) Remittance Date is on or after (Feb 2002) 2) Class I B Percentage is at least ( %) (which is (1.75) times the original Class B Percentage) 3) Cumulative Realized Losses do not exceed (7%) for year (2001), (8%) for year (2002), and (9%) for year (2003) and beyond of the Original Principal Balance of the Contracts 4) Current Realized Loss Ratio does not exceed (2.75%) 5) Average 60 Day Delinquency Ratio does not exceed (5%) 6) Average 30 Day Delinquency Ratio does not exceed (7%) 7) Class I B-2 Principal Balance must not be less than ($2,308,354) (which represents approximately (2%) of the Total Original Contract Pool Principal Balance).
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. Vanderbilt Mortgage and Finance, Inc., Series 1997A - -------------------------------------------------------------------------- Adjustable-Rate Certificates
Class Class Class Class II A-1 II B-1 II B-2 II B-3 Amount(000): (58,714 9,526 4,082 5,445) Coupon: (TBD TBD TBD TBD) 1ML+(TBD)bps + Approx. Price: Yield: Spread Avg Life: (3.75 6.73 9.88 13.52 To Call: (3.64 6.73 9.88 11.78) 1st Prin Pymt: (02/97 02/02 11/05 04/08) Exp Mat: (10/12 11/05 04/08 07/13) To 10% Call: (12/08 11/05 04/08 12/08) Stated Mat: Expected Settlement: (2/6/97 2/6/97 2/6/97 2/6/97 Pymt Delay: 0 Days 0 Days 0 Days 0 Days Dated Date: (2/6/97 2/6/97 2/6/97 2/6/97 1st Pymt Date: (2/7/97 2/7/97 2/7/97 2/7/97 Rating: (Moody's) Aaa Aa3 Baa2 Baa2 Pricing Date: (1/30/97) Prepayment Speed: (200% MHP) Group II Pass The Group II Pass Through Rate will equal the Through Rate lesser of i) One Month LIBOR plus TBD% and ii) the Net Funds Cap as described herein. Net Funds Cap: The difference between the a) collateral WAC and b) the sum of i) 0.50% (spread cushion) and ii) if the Company is no longer the Servicer, 1.25%. Net Funds Cap If on any Payment Date the Group II Certificate Carryover: interest distribution amount is less than the Group II Pass-Through Rate (which is subject to a maximum equal to the Weighted Average Life Cap of the collateral), the amount of such shortfall and the aggregate of such shortfalls from previous payment dates together with accrued interest at the Pass-Through Rate will be carried forward to the next Payment Date until paid. No interest carryforward will be paid once the Class II B-3 Certificate principal balance has been reduced to zero. Credit Enhancement: Subordination: Expected subordination levels are as follows: (subject to change) Class II A-1: Aaa (24.5%) Class II B-1: Aa3 (12.25%) Class II B-2: Baa2 ( 7.0%) Corporate Guarantee: The Class II B-3 Certificateholders will have the benefit of a limited guarantee of Clayton Homes, Inc.("CHI") to protect against losses that would otherwise be absorbed by the Class II B-3 Certificateholders.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. Vanderbilt Mortgage and Finance, Inc., Series 1997A
Overcollateralization: The Certificates will be issued with no initial Overcollateralization Amount. Excess Servicing and the Servicing Fee (while Vanderbilt is the Servicer) will be directed to build the Overcollateralization Amount to 4.25% (approx. $_________) of the Cut-off Date Group II Principal Balance. On or after February 7, 2002 and as long as the Class II B Distribution Tests are met, the Required Overcollateralization Amount steps down to 8.50% of the current Group II Scheduled Principal Balance subject to a floor of 0.75% (approx. $_________) of the Group II Cut-off Date Pool Principal Balance. Servicing Fee: For as long as Vanderbilt is the Servicer, the 1.25% Servicing Fee will be subordinated to the Offered Certificates on a monthly basis. Excess Interest: The excess interest on the Contracts represents the first loss piece and is subordinated to the Offered Certificates on a monthly basis.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. Vanderbilt Mortgage and Finance, Inc., Series 1997A Cashflow Priority: PRICING BASE CASE CLASS II B DISTRIBUTION TEST IS MET:
1) Current interest and any previously unreimbursed interest to Class II A-1 Certificates (subject to the Net Funds Cap); 2) Senior percentage of principal payments to Class II A-1 until such class is reduced to zero; 3) Current interest and any previously unreimbursed interest to Class II B-1 Certificates; 4) Class II B percentage of principal payments to Class II B-1 until such class is reduced to zero; 5) Current interest and any previously unreimbursed interest to Class II B-2 Certificates; 6) Class II B percentage of principal payments to Class II B-2 until such class is reduced to zero; 7) Current interest and any previously unreimbursed interest to Class II B-3 Certificates; 8) Class II B percentage of principal payments to Class II B-3 until such class is reduced to zero; 9) Excess cashflow to fund any Available Funds shortfall with respect to the Group I Certificates except the Net Funds Cap Carryover Amount; 10) Excess cashflow to the Class II A-1 to build O/C. 11) So long as Vanderbilt is the Servicer, any remainder up to the amount equal to 1/12th of the product of 1.25% and the pool scheduled principal balance to the Servicer; 12) Any remainder to Clayton Homes for any unreimbursed guaranteed payments with respect to Class II B-3; 13) Any remainder to the Class R Certificates.
II A-1 II B-1 II B-2 II B-3 5 yrs CLASS B DISTRIBUTION TEST IS NOT MET:
1) Current interest and any previously unreimbursed interest to Classes II A-1 Certificates; 2) 100% of principal payments sequentially to Class II A-1 until such class is reduced to zero; 3) Current interest and any previously unreimbursed interest to Class II B-1 Certificates; 4) 100% of principal payments to Class II B-1 until such Class is reduced to zero; 5) Current interest and any previously unreimbursed interest to Class II B-2 Certificates; 6) 100% of principal payments to Class II B-2 until such Class is reduced to zero; 7) Excess cashflow to fund any Available Funds shortfall with respect to the Group I Certificates except the Net Funds Cap Carryover Amount; 8) Excess cashflow to the Class II A-1 to build O/C. 9) So long as Vanderbilt is the Servicer, any remainder up to the amount equal to 1/12th of the product of 1.25% and the pool scheduled principal balance to the Servicer; 10) Any remainder to Clayton Homes for any unreimbursed guaranteed payments with respect to Class II B-3; 11) Any remainder to the Class R Certificates.
II A-1 II B-1 II B-2 II B-3 THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. Vanderbilt Mortgage and Finance, Inc., Series 1997A
Class II B Distribution Test: The Class II B Distribution Test is met if 1) Remittance Date is on or after (Feb 2002) 2) Class II B Percentage + O/C is at least (50%) (which is (2.00) times the original Class I B Percentage + O/C + 1.0%) 3) Cumulative Realized Losses do not exceed (7%) for year (2001), (8%) for year (2002), and (9%) for year (2003) and beyond of the Original Principal Balance of the Contracts 4) Current Realized Loss Ratio does not exceed (2.75%) 5) Average 60 Day Delinquency Ratio does not exceed (5%) 6) Average 30 Day Delinquency Ratio does not exceed (7%) 7) Sum of Class I B-2 Principal Balance + O/C must not be less than ($ ) (which represents approximately (2%) of the Total Original Contract Pool Principal Balance). Cleanup Call The Servicer may call the Certificates at par plus accrued interest after the remaining pool balance of the Certificates is less than 10% of its original balance. Payment Date: The 7th day of each month or, if such day is not a business day, the next succeeding business day, beginning in February, 1997. Interest Accrual: Interest will accrue from the 1st day of the preceding month until the 30th day of the preceding month for the Class I A-2, I A-3, I A-4, I A-5, I A-6, I B-1 and I B-2 certificates. For the Class I A-1 certificates and the Group II Certificates, interest will accrue from the 7th day of the preceding month until the 6th day of the current month. For the first payment date, interest will accrue from the closing date to the first Payment Date for the class I A-1 certificates and the Group II Certificates.. For the Class I A-1 certificates, and the Group II Certificates, interest is calculated using an actual/360 day count. For the remainder of the certificate classes, interest is calculated using a 30/360 day count. ERISA Considerations: The Class I A-1, I A-2, I A-3, I A-4, and I A-5 Certificates and the Class II A-1 will be ERISA eligible. The Class I A-6 I B-1 and I B-2 Certificates and the Class II B-1, II B-2, and II B-3 are not ERISA eligible. However, investors should consult with their counsel with respect to the consequences under ERISA and the Code of the Plan's acquisition and ownership of such Certificates. SMMEA Considerations: The Class I A-1,I A-2, I A-3, I A-4, I A-5, and I A-6 as well as the Class II A-1 and II B-1 Certificates will constitute "mortgage related securities" under the Secondary Mortgage Market Enhancement Act of 1984 "SMMEA". The Classes I B-1 and I B-2 and Class II B-2 and II B-3 Certificates are not SMMEA eligible.
Group I Group II Type of Collateral: FIXED ARM Number: 3913 2479 Amount: 115,417,699.95 77,767,930.26 Avg Unpaid Balance: 29,495.96 31,370.69 Max Orig Balance: 388,912.35 86,800.40 WAC: 11.438% 9.881% WAC Range: 8.000% - 19.950% 8.000% - 15.250% WAM: 186 201 WA Orig Term: 188 208 WALTV: 87.629 87.790 New: 71.87% 82.80% Used: 28.13% 17.20% Park: 26.66% 25.43% Non-Park: 73.34% 74.57% Single Wide: 55.27% 46.55% Double Wide: 44.73% 53.45%
Prospectus: The Certificates are being offered pursuant to a Prospectus which includes a Prospectus Supplement (together, the "Prospectus")Complete information with respect to the Certificates and the Collateral is contained in the Prospectus. The foregoing is qualified in its entirety by the information appearing in the Prospectus. To the extent that the foregoing is inconsistent with the Prospectus, the Prospectus shall govern in all respects. Sales of the Certificates may not be consummated unless the purchaser has received the Prospectus.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP GOLDMAN, SACHS & CO. CURRENT BALANCE:$28,500,000.00 DATED DATE: 02/06/97 COUPON: 5.548% VMF7AF FIRST PAYMENT: 02/07/97 FACTOR:1.0000000000 TOTAL CLASSES: 9 ORIGINAL BALANCE:$28,500,000.00 BOND IA1 SETTLEMENT DATE: 02/06/97
ASSUMED CONSTANT LIBOR-1M 5.4375
125.00% 150.00% 185.00% 200.00% 250.00% MHP MHP MHP MHP MHP First Payment 0.003 0.003 0.003 0.003 0.003 Average Life 1.350 1.206 1.050 0.995 0.844 Last Payment 2.669 2.419 2.086 2.003 1.669
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP GOLDMAN, SACHS & CO. CURRENT BALANCE: $24,900,000.00 DATED DATE: 01/01/97 COUPON: 6.600% VMF7AF FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 TOTAL CLASSES: 9 ORIGINAL BALANCE: $24,900,000.00 BOND IA2 SETTLEMENT DATE: 02/06/97
PREPAYMENT SPEED
125.00% 150.00% 185.00% 200.00% 250.00% MHP MHP MHP MHP MHP First Payment 2.669 2.419 2.086 2.003 1.669 Average Life 3.873 3.486 3.050 2.893 2.467 Last Payment 5.169 4.669 4.086 3.919 3.336
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP GOLDMAN, SACHS & CO. CURRENT BALANCE: $18,200,000.00 DATED DATE: 01/01/97 COUPON: 6.900% VMF7AF FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 TOTAL CLASSES: 9 ORIGINAL BALANCE: $18,200,000.00 BOND IA3 SETTLEMENT DATE: 02/06/97
PREPAYMENT SPEED 125.00% 150.00% 185.00% 200.00% 250.00% MHP MHP MHP MHP MHP First Payment 5.169 4.669 4.086 3.919 3.336 Average Life 6.411 5.785 5.047 4.779 4.066 Last Payment 7.669 7.086 6.169 5.836 4.919
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP GOLDMAN, SACHS & CO. CURRENT BALANCE: $10,700,000.00 DATED DATE: 01/01/97 COUPON: 7.150% VMF7AF FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 TOTAL CLASSES: 9 ORIGINAL BALANCE: $10,700,000.00 BOND IA4 SETTLEMENT DATE: 02/06/97
PREPAYMENT SPEED 125.00% 150.00% 185.00% 200.00% 250.00% MHP MHP MHP MHP MHP First Payment 7.669 7.086 6.169 5.836 4.919 Average Life 8.723 7.939 7.041 6.693 5.625 Last Payment 9.919 9.003 7.919 7.586 6.503
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP GOLDMAN, SACHS & CO. CURRENT BALANCE: $12,919,000.00 DATED DATE: 01/01/97 COUPON: 7.400% VMF7AF FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 TOTAL CLASSES: 9 ORIGINAL BALANCE: $12,919,000.00 BOND IA5 SETTLEMENT DATE: 02/06/97
PREPAYMENT SPEED GP I 125% GP I 150% GP I 185% GP I 200% GP I 250% GP II 150% GP II 175% GP II 200% GP II 225% GP II 250% MHP MHP MHP MHP MHP First Payment 9.919 9.003 7.919 7.586 6.503 Average Life 11.564 10.761 9.639 9.189 7.862 Last Payment 13.253 12.669 11.669 11.253 9.753
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any Securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP GOLDMAN, SACHS & CO. CURRENT BALANCE: $9,233,000.00 VMF7A DATED DATE: 01/01/97 COUPON: 7.700% FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 BOND IA6 TOTAL CLASSES: 8 ORIGINAL BALANCE: $9,233,000.00 ****** TO 10 % CALL ****** SETTLEMENT DATE: 02/06/97
PREPAYMENT SPEED GP I 125% GP I 150% GP I 185% GP I 200% GP I 250% GP II 150% GP II 175% GP II 200% GP II 225% GP II 250% MHP MHP MHP MHP MHP First Payment 13.253 12.669 11.669 11.253 9.753 Average Life 13.334 12.669 11.833 11.335 10.294 Last Payment 13.336 12.669 11.836 11.336 10.336
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP GOLDMAN, SACHS & CO. CURRENT BALANCE: $9,233,000.00 VMF7A DATED DATE: 01/01/97 COUPON: 7.700% FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 BOND IA6 TOTAL CLASSES: 8 ORIGINAL BALANCE: $9,233,000.00 ****** TO MATURITY ****** SETTLEMENT DATE:02/06/97
PREPAYMENT SPEED PRICING SPEED
185.00% 125.00% 150.00% 185.00% 200.00% 250.00% MHP MHP MHP MHP MHP MHP First Payment 11.669 13.253 12.669 11.669 11.253 9.753 Average Life 13.624 15.414 14.638 13.624 13.205 11.863 Last Payment 16.669 18.003 17.503 16.669 16.253 14.836
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP GOLDMAN, SACHS & CO. CURRENT BALANCE: $6,347,000.00 DATED DATE: 01/01/97 COUPON: 7.625% FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 BOND IB1 ORIGINAL BALANCE: $6,347,000.00 SETTLEMENT DATE: 02/06/97
PREPAYMENT SPEED
GP I 125% GP I 150% GP I 185% GP I 200% GP I 250% GP II 150% GP II 175% GP II 200% GP II 225% GP II 250% MHP MHP MHP MHP MHP First Payment 5.003 5.003 5.003 5.003 5.003 Average Life 7.140 6.956 6.742 6.663 6.441 Last Payment 9.919 9.503 9.003 8.836 8.253
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP GOLDMAN, SACHS & CO. CURRENT BALANCE: $4,618,000.00 DATED DATE: 01/01/97 COUPON: 8.185% FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 BOND IB2 ORIGINAL BALANCE: $4,618,000.00 ****** TO 10 % CALL ****** SETTLEMENT DATE:02/06/97
PREPAYMENT SPEED GP I 125% GP I 150% GP I 185% GP I 200% GP I 250% GP II 150% GP II 175% GP II 200% GP II 225% GP II 250% MHP MHP MHP MHP MHP First Payment 9.919 9.503 9.003 8.836 8.253 Average Life 12.323 11.779 11.088 10.724 9.880 Last Payment 13.336 12.669 11.836 11.336 10.336
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP GOLDMAN, SACHS & CO. CURRENT BALANCE: $4,618,000.00 VMF7A DATED DATE: 01/01/97 COUPON: 8.185% FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 BOND IB2 TOTAL CLASSES: 8 ORIGINAL BALANCE: $4,618,000.00 ****** TO MATURITY ****** SETTLEMENT DATE: 02/06/97
PREPAYMENT SPEED PRICING SPEED
185.00% 125.00% 150.00% 185.00% 200.00% 250.00% MHP MHP MHP MHP MHP MHP First Payment 9.003 9.919 9.503 9.003 8.836 8.253 Average Life 14.698 16.221 15.542 14.698 14.365 13.336 Last Payment 28.419 28.503 28.503 28.419 28.336 28.086
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP GOLDMAN, SACHS & CO. CURRENT BALANCE: $58,714,000.00 DATED DATE: 02/06/97 COUPON: 5.668% FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 BOND IIA1 ORIGINAL BALANCE: $58,714,000.00 ****** TO 10 % CALL ****** SETTLEMENT DATE:02/06/97
PREPAYMENT SPEED
GP I 125% GP I 150% GP I 185% GP I 200% GP I 250% GP II 150% GP II 175% GP II 200% GP II 225% GP II 250% MHP MHP MHP MHP MHP First Payment 0.003 0.003 0.003 0.003 0.003 Average Life 4.602 4.095 3.641 3.267 2.907 Last Payment 13.336 12.669 11.836 11.336 10.336
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP GOLDMAN, SACHS & CO. CURRENT BALANCE: $9,526,000.00 DATED DATE: 02/06/97 COUPON: 5.888% FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 BOND IIB1 ORIGINAL BALANCE: $9,526,000.00 SETTLEMENT DATE: 02/06/97
PREPAYMENT SPEED
GP I 125% GP I 150% GP I 185% GP I 200% GP I 250% GP II 150% GP II 175% GP II 200% GP II 225% GP II 250% MHP MHP MHP MHP MHP First Payment 5.003 5.003 5.003 5.086 5.086 Average Life 6.926 6.819 6.726 6.598 6.529 Last Payment 9.253 9.003 8.753 8.419 8.253
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP GOLDMAN, SACHS & CO. CURRENT BALANCE: $4,082,000.00 DATED DATE: 02/06/97 COUPON: 6.258% FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 BOND IIB2 ORIGINAL BALANCE: $4,082,000.00 SETTLEMENT DATE: 02/06/97
PREPAYMENT SPEED
GP I 125% GP I 150% GP I 185% GP I 200% GP I 250% GP II 150% GP II 175% GP II 200% GP II 225% GP II 250% MHP MHP MHP MHP MHP First Payment 9.253 9.003 8.753 8.419 8.253 Average Life 10.553 10.200 9.875 9.541 9.274 Last Payment 11.919 11.503 11.169 10.753 10.336
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. ********** PRELIMINARY MARKETING INFORMATION **********
FINANCIAL STRATEGIES GROUP GOLDMAN, SACHS & CO. CURRENT BALANCE: $5,445,000.00 DATED DATE: 02/06/97 COUPON: 6.487% FIRST PAYMENT: 02/07/97 FACTOR: 1.0000000000 BOND IIB3 ORIGINAL BALANCE: $5,445,000.00 ****** TO 10 % CALL ****** SETTLEMENT DATE: 02/06/97
PREPAYMENT SPEED
GP I 125% GP I 150% GP I 185% GP I 200% GP I 250% GP II 150% GP II 175% GP II 200% GP II 225% GP II 250% MHP MHP MHP MHP MHP First Payment 11.919 11.503 11.169 10.753 10.336 Average Life 13.102 12.517 11.781 11.297 10.336 Last Payment 13.336 12.669 11.836 11.336 10.336
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. The preliminary pricing information contained herein is neither an offer to sell nor a solicitation to buy any securities. Moreover, there is no assurance that such information will not change prior to final pricing. Any formal offer or solicitation will be made by a prospectus (or offering memorandum) to be accompanied or followed by a written confirmation. AVAILABLE FUNDS CAP = ((GROSS WAC ON GROUP II - 50BP O/C CUSHION ON GROUP II) X GROUP II POOL BALANCE + O/C STEPDOWN AMOUNT) - ------------------------------------------- GROUP II TOTAL BOND BALANCE ASSUMING 30/360 DAY COUNT
DATE AV FUNDS CAP 1M-LIBOR MARGIN (BP) 2/07/97 9.381 5.4375 394 3/07/97 9.456 5.4375 402 4/07/97 9.518 5.4375 408 5/07/97 9.643 5.4375 421 6/07/97 9.709 5.4375 427 7/07/97 9.777 5.4375 434 8/07/97 9.831 5.4375 439 9/07/97 9.856 5.4375 442 10/07/97 9.826 5.4375 439 11/07/97 9.803 5.4375 437 12/07/97 9.799 5.4375 436 1/07/98 9.783 5.4375 435 2/07/98 9.784 5.4375 435 3/07/98 9.790 5.4375 435 4/07/98 9.796 5.4375 436 5/07/98 9.802 5.4375 436 6/07/98 9.808 5.4375 437 7/07/98 9.814 5.4375 438 8/07/98 9.821 5.4375 438 9/07/98 9.828 5.4375 439 10/07/98 9.835 5.4375 440 11/07/98 9.842 5.4375 440 12/07/98 9.849 5.4375 441 1/07/99 9.857 5.4375 442 2/07/99 9.864 5.4375 443 3/07/99 9.872 5.4375 443 4/07/99 9.879 5.4375 444 5/07/99 9.887 5.4375 445 6/07/99 9.895 5.4375 446 7/07/99 9.904 5.4375 447 8/07/99 9.912 5.4375 447 9/07/99 9.920 5.4375 448 10/07/99 9.929 5.4375 449 11/07/99 9.938 5.4375 450 12/07/99 9.947 5.4375 451 1/07/00 9.956 5.4375 452 2/07/00 9.965 5.4375 453 3/07/00 9.975 5.4375 454 4/07/00 9.984 5.4375 455 5/07/00 9.994 5.4375 456 6/07/00 10.004 5.4375 457 7/07/00 10.014 5.4375 458 8/07/00 10.025 5.4375 459 9/07/00 10.035 5.4375 460 10/07/00 10.046 5.4375 461 11/07/00 10.057 5.4375 462 12/07/00 10.068 5.4375 463 1/07/01 10.080 5.4375 464 2/07/01 10.091 5.4375 465 3/07/01 10.103 5.4375 467 4/07/01 10.115 5.4375 468 5/07/01 10.127 5.4375 469 6/07/01 10.140 5.4375 470 7/07/01 10.153 5.4375 472 8/07/01 10.166 5.4375 473 9/07/01 10.179 5.4375 474 10/07/01 10.192 5.4375 475 11/07/01 10.206 5.4375 477 12/07/01 10.220 5.4375 478 1/07/02 10.235 5.4375 480 2/07/02 20.405 5.4375 1497 3/07/02 11.798 5.4375 636 4/07/02 11.803 5.4375 637 5/07/02 11.808 5.4375 637 6/07/02 11.814 5.4375 638 7/07/02 11.819 5.4375 638 8/07/02 11.824 5.4375 639 9/07/02 11.830 5.4375 639 10/07/02 11.835 5.4375 640
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. __________________________________________________________________________ - VMF7A GP I (FIXED COLLATERRAL) - $115,417,699.95 - Asset Backed Collateral __________________________________________________________________________ Cut-off Date: 12/25/96 Number of Contracts: 3,913 Aggregate Unpaid Principal Balance: $115,417,699.95 Aggregate Original Principal Balance: $116,379,582.86 Average Unpaid Principal Balance: $29,495.96 Weighted Average Gross Coupon: 11.438% Gross Coupon Range: 8.000% - 19.950% Weighted Average Maturity: 186.416 Weighted Average Age of Loans in Months: 1.804 Weighted Average Original Term: 188.221 Weighted Average LTV: 87.629 LTV Range: 2.888 - 100.000 Maximum Current Principal Balance: $387,853.28 Minimum Current Principal Balance: $5,084.58 Maximum Original Principal Balance: $388,912.35 Minimum Original Principal Balance: $1,888.00 Average Original Principal Balance: $29,741.78 _______________________________________________________________________ THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. GEOGRAPHIC DISTRIBUTION
State # of Loans % Pool Current Balance Alabama 39 .88 $1,013,172 Arkansas 3 .12 $132,811 Arizona 58 2.07 $2,394,280 California 9 .36 $412,092 Unknown 1 .01 $14,496 Colorado 49 1.65 $1,907,144 Connecticut 1 .03 $38,606 Dist of Col 1 .01 $13,827 Delaware 15 .55 $635,403 Florida 169 4.76 $5,492,059 Georgia 81 1.62 $1,868,387 Iowa 6 .16 $183,958 Idaho 2 .08 $90,818 Illinois 7 .17 $193,675 Indiana 18 .41 $474,561 Kansas 1 .02 $21,902 Kentucky 252 5.67 $6,541,638 Louisiana 47 1.19 $1,378,017 Massachusetts 1 .02 $28,211 Maryland 15 .45 $524,359 Michigan 5 .17 $198,265 Minnesota 1 .03 $36,857 Missouri 14 .43 $493,161 Mississippi 34 .74 $853,639 Montana 4 .18 $203,972 North Carolina 842 19.25 $22,217,691 Nebraska 1 .05 $55,426 New Hampshire 1 .02 $26,154 New Jersey 3 .22 $255,702 New Mexico 37 1.10 $1,273,195 Nevada 4 .08 $98,072 New York 23 .73 $841,805 Ohio 41 1.03 $1,188,102 Oklahoma 53 1.56 $1,797,181 Oregon 3 .07 $75,272 Pennsylvania 13 .32 $367,781 South Carolina 250 6.29 $7,258,735 Tennessee 542 13.04 $15,054,857 Texas 962 26.39 $30,458,524 Virginia 294 7.64 $8,819,876 Washington 4 .19 $223,301 Wisconsin 1 .10 $113,291 West Virginia 6 .13 $147,424 Total 3,913 100.00% $115,417,700
YEAR OF ORIGINATION
Year of Origination # of Loans % of Pool Current Balance 1985 6 .05 $62,022 1986 15 .13 $144,444 1987 12 .13 $148,963 1988 7 .10 $110,090 1989 10 .13 $152,329 1990 19 .27 $316,030 1991 4 .06 $66,267 1992 4 .06 $68,502 1993 5 .08 $87,382 1994 4 .05 $56,120 1995 47 1.58 $1,827,885 1996 3,780 97.37 $112,377,666 Total 3,913 100.00% $115,417,700
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. ORIGINAL CONTRACT BALANCES - ----------------------------------------------------------------------------
Total # of Current Original Loan Amount Contracts Balance Balance <= 5,000 1 0.01 12,140 5,000 < Balance <= 10,000 141 1.01 1,163,576 10,000 < Balance <= 15,000 466 5.10 5,884,603 15,000 < Balance <= 20,000 609 8.95 10,325,147 20,000 < Balance <= 25,000 532 10.25 11,825,806 25,000 < Balance <= 30,000 593 14.01 16,171,827 30,000 < Balance <= 35,000 480 13.38 15,441,508 35,000 < Balance <= 40,000 295 9.51 10,974,151 40,000 < Balance <= 45,000 201 7.35 8,479,813 45,000 < Balance <= 50,000 197 8.02 9,257,807 50,000 < Balance <= 55,000 119 5.37 6,195,204 55,000 < Balance <= 60,000 95 4.70 5,425,969 60,000 < Balance <= 65,000 58 3.12 3,605,335 65,000 < Balance <= 70,000 37 2.15 2,483,734 70,000 < Balance <= 75,000 30 1.88 2,169,534 75,000 < Balance <= 80,000 11 0.74 850,947 80,000 < Balance <= 85,000 15 1.07 1,239,255 85,000 < Balance <= 90,000 6 0.46 530,450 90,000 < Balance <= 95,000 3 0.24 276,795 95,000 < Balance <= 100,000 7 0.58 670,204 100,000 < Balance <= 105,000 4 0.35 408,859 105,000 < Balance <= 110,000 3 0.28 322,166 110,000 < Balance <= 115,000 3 0.29 338,029 115,000 < Balance <= 120,000 1 0.10 117,040 120,000 < Balance <= 125,000 1 0.11 122,107 125,000 < Balance <= 130,000 1 0.11 128,999 Balance > 135,000 4 0.86 996,693 Total 3,913 100.00% $115,417,700
ORIGINAL LTV RANGE - rounded to 1%
Percentage of Original Number of Aggregate Cut-Off Loan-To-Value Mortgage Unpaid Principal Principal Ratio Loans Balance Balance Less than 61% 246 5,185,965.74 4.49 From 61% to 65.999% 106 2,530,709.54 2.19 From 66% to 70.999% 126 3,973,648.85 3.44 From 71% to 75.999% 146 4,490,888.66 3.89 From 76% to 80.999% 256 7,700,519.75 6.67 From 81% to 85.999% 416 11,867,161.32 10.28 From 86% to 90.999% 960 29,156,402.38 25.26 From 91% to 100.00% 1657 50,512,403.71 43.76 Total 3913 $115,417,699.95 100.00%
GROSS COUPON
Gross Current Coupon # Loans % Pool Balance 7.00% < Gross Coupon <= 8.00% 20 .95 $1,090,755.81 8.00% < Gross Coupon <= 9.00% 110 4.11 $4,741,610.85 9.00% < Gross Coupon <= 10.00% 290 10.05 $11,602,512.30 10.00% < Gross Coupon <= 11.00% 837 23.35 $26,949,791.12 11.00% < Gross Coupon <= 12.00% 1,122 32.66 $37,695,426.28 12.00% < Gross Coupon <= 13.00% 953 20.62 $23,801,465.56 13.00% < Gross Coupon <= 14.00% 391 5.99 $6,911,953.48 14.00% < Gross Coupon <= 15.00% 146 1.76 $2,029,969.33 15.00% < Gross Coupon <= 16.00% 25 .31 $360,226.80 16.00% < Gross Coupon <= 17.00% 4 .04 $49,040.75 17.00% < Gross Coupon <= 18.00% 13 .14 $161,158.41 18.00% < Gross Coupon <= 19.00% 1 .01 $10,320.17 19.00% < Gross Coupon <= 20.00% 1 .01 $13,469.09 Total..... 3,913 100.00% $115,417,699.95
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. REMAINING TERM
# of % of Current Remaining Term Loans Pool Balance 20 < Rem Term <= 72 241 2.29 $2,644,065 73 < Rem Term <= 84 372 5.03 $5,809,621 85 < Rem Term <= 120 782 14.61 $16,867,976 121 < Rem Term <= 156 513 11.34 $13,089,821 157 < Rem Term <= 180 784 20.88 $24,094,742 181 < Rem Term <= 240 935 32.21 $37,170,912 241 < Rem Term <= 299 159 7.37 $8,509,706 299 < Rem Term <= 360 126 6.22 $7,175,560 Rem Term > 360 1 .05 $55,297 Total..... 3,913 100.00% $115,417,700
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY.
DATE AV FUNDS CAP 1M-LIBOR MARGIN (BP) 2/07/03 9.808 5.4375 437 3/07/03 9.821 5.4375 438 4/07/03 9.833 5.4375 440 5/07/03 9.846 5.4375 441 6/07/03 9.859 5.4375 442 7/07/03 9.873 5.4375 444 8/07/03 9.886 5.4375 445 9/07/03 9.900 5.4375 446 10/07/03 9.914 5.4375 448 11/07/03 9.929 5.4375 449 12/07/03 9.944 5.4375 451 1/07/04 9.959 5.4375 452 2/07/04 9.975 5.4375 454 3/07/04 9.990 5.4375 455 4/07/04 10.007 5.4375 457 5/07/04 10.023 5.4375 459 6/07/04 10.040 5.4375 460 7/07/04 10.058 5.4375 462 8/07/04 10.075 5.4375 464 9/07/04 10.093 5.4375 466 10/07/04 10.112 5.4375 467 11/07/04 10.131 5.4375 469 12/07/04 10.151 5.4375 471 1/07/05 11.930 5.4375 649 2/07/05 12.019 5.4375 658 3/07/05 12.028 5.4375 659 4/07/05 12.037 5.4375 660 5/07/05 12.047 5.4375 661 6/07/05 12.057 5.4375 662 7/07/05 12.067 5.4375 663 8/07/05 12.077 5.4375 664 9/07/05 12.087 5.4375 665 10/07/05 12.098 5.4375 666 11/07/05 12.109 5.4375 667 12/07/05 12.120 5.4375 668 1/07/06 12.131 5.4375 669 2/07/06 12.143 5.4375 671 3/07/06 12.155 5.4375 672 4/07/06 12.167 5.4375 673 5/07/06 12.179 5.4375 674 6/07/06 12.192 5.4375 675 7/07/06 12.205 5.4375 677 8/07/06 12.218 5.4375 678 9/07/06 12.232 5.4375 679 10/07/06 12.246 5.4375 681 11/07/06 12.260 5.4375 682 12/07/06 12.275 5.4375 684 1/07/07 12.290 5.4375 685 2/07/07 12.305 5.4375 687
AND SO ON......... THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. __________________________________________________________________________ - VMF7A GP II (ARMs) - Cut Off Date of Tape is 12/25/96 - ARM - $77,767,930.26 __________________________________________________________________________
Number of Mortgage Loans: 2,479 Aggregate Unpaid Principal Balance: $77,767,930.26 Aggregate Original Principal Balance: $79,995,810.34 Weighted Average Coupon (Gross): 9.881% Gross Coupon Range: 8.000% - 15.250% Weighted Average Margin (Gross): 3.477% Gross Margin Range: 1.280% - 8.650% Weighted Average Life Cap (Gross): 15.422% Gross Life Cap Range: 13.250% - 21.250% Weighted Average Life Floor (Gross): 3.477% Gross Life Floor Range: 1.280% - 8.650% Average Unpaid Principal Balance: $31,370.69 Average Original Principal Balance: $32,269.39 Maximum Unpaid Principal Balance $86,546.30 Minimum Unpaid Principal Balance: $4,065.01 Maximum Original Principal Balance: $86,800.40 Minimum Original Principal Balance: $6,375.99 Weighted Avg. Stated Rem. Term (LPD to Mat Date): 201.491 Stated Rem Term Range: 48.000 - 360.000 Weighted Avg. Amortized Rem. Term: 201.197 Amortized Rem Term Range: 30.292 - 360.017 Weighted Average Age (First Pay thru Last Pay): 6.267 Age Range: 4.000 - 146.000 Weighted Average Original Term: 207.758 Original Term Range: 48.000 - 360.000 Weighted Average Original LTV: 87.790 Original LTV Range: 24.597% - 100.000% Weighted Average Periodic Interest Cap: 1.429% Periodic Interest Cap Range: 1.000% - 2.000% Weighted Average Months to Interest Roll: 9.513 Months to Interest Roll Range: 1 - 14 Weighted Average Months to Payment Roll: 10.438 Months to Payment Roll Range: 2 - 15 Weighted Average Interest Roll Frequency: 11.940 Interest Frequency Range: 6 - 12 Weighted Average Payment Roll Frequency: 12.000 Payment Frequency Range: 12 - 12
___________________________________________________________________________ THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. ORIGINAL CONTRACT BALANCES
# of Total Original Loan Amount Contracts Current Balance 5,000 < Balance <= 10,000 38 0.41 321,815 10,000 < Balance <= 15,000 157 2.52 1,963,047 15,000 < Balance <= 20,000 284 5.94 4,616,674 20,000 < Balance <= 25,000 359 9.91 7,706,740 25,000 < Balance <= 30,000 407 13.80 10,728,322 30,000 < Balance <= 35,000 346 14.05 10,928,414 35,000 < Balance <= 40,000 259 12.12 9,427,277 40,000 < Balance <= 45,000 179 9.61 7,475,727 45,000 < Balance <= 50,000 147 8.84 6,872,733 50,000 < Balance <= 55,000 108 7.24 5,630,174 55,000 < Balance <= 60,000 93 6.76 5,256,738 60,000 < Balance <= 65,000 42 3.34 2,599,158 65,000 < Balance <= 70,000 27 2.32 1,804,615 70,000 < Balance <= 75,000 24 2.22 1,724,722 75,000 < Balance <= 80,000 6 0.60 463,299 80,000 < Balance <= 85,000 2 0.21 161,929 85,000 < Balance <= 90,000 1 0.11 86,546 Total.... 2,479 100.00% $77,767,930
ORIGINAL LTV RANGE - rounded to 1%
Percentage of Cut-Off Date Original Number of Aggregate Aggregate Loan-To-Value Mortgage Unpaid Principal Principal Ratio Loans Balance Balance Less than 61% 67 1,745,390.43 2.24 From 61% to 65.999% 58 1,719,488.05 2.21 From 66% to 70.999% 61 1,982,582.70 2.55 From 71% to 75.999% 106 3,795,472.59 4.88 From 76% to 80.999% 175 6,152,805.14 7.91 From 81% to 85.999% 279 9,771,125.77 12.56 From 86% to 90.999% 667 22,012,572.77 28.31 From 91% to 100.00% 1,066 30,588,492.81 39.33 Total.... 2,479 $77,767,930.26 100.00%
GROSS COUPON
Gross Current Coupon # Loans % Pool Balance 7.00% < Gross Coupon <= 8.00% 5 .32 $245,294.09 8.00% < Gross Coupon <= 9.00% 330 18.04 $14,031,973.79 9.00% < Gross Coupon <= 10.00% 1,036 45.84 $35,651,047.80 10.00% < Gross Coupon <= 11.00% 748 27.05 $21,039,059.89 11.00% < Gross Coupon <= 12.00% 261 6.62 $5,145,894.51 12.00% < Gross Coupon <= 13.00% 69 1.64 $1,278,558.43 13.00% < Gross Coupon <= 14.00% 29 .46 $360,087.94 15.00% < Gross Coupon <= 16.00% 1 .02 $16,013.81 Total..... 2,479 100.00% $77,767,930.26
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. GEOGRAPHIC DISTRIBUTION
Current State # Loans % Pool Balance Alabama 18 .64 $496,095 Arkansas 21 .96 $745,663 Arizona 5 .18 $140,782 California 4 .14 $111,709 Colorado 5 .29 $228,662 Connecticut 3 .18 $137,712 Dist of Col 3 .15 $116,381 Florida 137 5.25 $4,082,027 Georgia 95 2.37 $1,846,590 Indiana 13 .44 $345,920 Kentucky 220 8.00 $6,219,279 Louisiana 50 1.88 $1,460,743 Maryland 3 .16 $127,479 Michigan 2 .08 $60,808 Missouri 8 .43 $331,933 Mississippi 12 .46 $355,660 North Carolina 614 26.33 $20,478,039 New Jersey 2 .05 $39,511 New Mexico 22 1.03 $802,683 New York 9 .52 $400,884 Ohio 10 .43 $338,177 Oklahoma 8 .31 $241,178 Oregon 6 .25 $194,428 Pennsylvania 2 .09 $71,628 Puerto Rico 1 .02 $18,787 South Carolina 379 16.16 $12,570,830 Tennessee 172 6.35 $4,939,172 Texas 544 22.03 $17,132,400 Virginia 108 4.68 $3,640,384 West Virginia 3 .12 $92,384 Total 2,479 100.00% $77,767,930
YEAR OF ORIGINATION
Year of Current Origination # of Loans % of Pool Balance 1984 1 .01 $7,228 1985 30 .41 $319,197 1986 46 .68 $528,578 1987 5 .11 $86,547 1988 9 .18 $141,904 1989 14 .24 $186,133 1990 8 .19 $149,411 1991 2 .03 $25,964 1994 5 .09 $73,118 1995 351 14.63 $11,380,686 1996 2,008 83.41 $64,869,166 Total.... 2,479 100.00% $77,767,930
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY. REMAINING TERM
# of % of Current Remaining Term Loans Pool Balance 20 < Rem Term <= 72 154 2.41 $1,873,523 73 < Rem Term <= 84 114 2.30 $1,788,338 85 < Rem Term <= 120 247 6.19 $4,810,590 121 < Rem Term <= 156 229 7.18 $5,586,749 157 < Rem Term <= 180 839 32.61 $25,361,369 181 < Rem Term <= 240 739 38.71 $30,105,890 241 < Rem Term <= 299 98 6.37 $4,954,161 299 < Rem Term <= 360 59 4.23 $3,287,309 Total..... 2,479 100.00% $77,767,930
LOAN SUMMARY STRATIFIED BY LIFE CAP
Percentage of Cut-Off Date Original Number of Aggregate Aggregate Loan-To-Value Mortgage Unpaid Principal Principal Ratio Loans Balance Balance LIFE CAP = 0.000 85 974,698.37 1.25 13.000 LIFE CAP <= 13.500 5 194,483.03 0.25 13.500 LIFE CAP <= 14.000 57 2,473,025.20 3.18 14.000 LIFE CAP <= 14.500 132 5,211,870.22 6.70 14.500 LIFE CAP <= 15.000 377 15,440,886.49 19.86 15.000 LIFE CAP <= 15.500 544 19,088,372.65 24.55 15.500 LIFE CAP <= 16.000 453 14,527,443.49 18.68 16.000 LIFE CAP <= 16.500 381 10,490,132.49 13.49 16.500 LIFE CAP <= 17.000 196 4,869,810.40 6.26 17.000 LIFE CAP <= 17.500 106 2,095,101.75 2.69 17.500 LIFE CAP <= 18.000 69 1,208,988.51 1.55 18.000 LIFE CAP <= 18.500 23 424,037.56 0.55 18.500 LIFE CAP <= 19.000 12 184,258.60 0.24 19.000 LIFE CAP <= 19.500 18 265,518.82 0.34 19.500 LIFE CAP <= 20.000 16 246,142.59 0.32 20.000 LIFE CAP <= 20.500 4 57,146.28 0.07 21.000 LIFE CAP <= 21.500 1 16,013.81 0.02 Total................. 2,479 $77,767,930.26 100.00%
GROSS MARGIN
# of % of Current Gross Margin Loans Pool Balance 1.0 < Margin <= 2.0 24 1.44 1,122,988.62 2.0 < Margin <= 3.0 612 32.63 25,376,225.16 3.0 < Margin <= 4.0 1,012 40.61 31,579,632.39 4.0 < Margin <= 5.0 582 19.64 15,277,441.84 5.0 < Margin <= 6.0 199 4.61 3,581,742.02 6.0 < Margin <= 7.0 42 0.92 715,268.32 7.0 < Margin <= 8.0 7 0.13 98,618.10 8.0 < Margin <= 9.0 1 0.02 16,013.81 Total... 2,479 100.00% $77,767,930.26
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR GOLDMAN, SACHS & CO. FINANCIAL ADVISOR IMMEDIATELY -----END PRIVACY-ENHANCED MESSAGE-----