ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
RMBS NEW ISSUE TERM SHEET
ACE SECURITIES CORP.
(SELLER)
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
ASSET BACKED PASS-THROUGH CERTIFICATES
WELLS FARGO BANK MINNESOTA, N.A.
(MASTER SERVICER)
THE MURRAYHILL COMPANY
(LOSS MITIGATION ADVISOR)
$[735,443,000] (APPROXIMATE)
NOVEMBER 2001
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
The analysis in this report is based on information provided by Ace Securities
Corp. (the "Seller"). Deutsche Banc Alex. Brown Inc. ("DBAB") makes no
representations as to the accuracy or completeness of the information contained
herein. The information contained herein is qualified in its entirety by the
information in the Prospectus and Prospectus Supplement for this transaction.
The information contained herein is preliminary as of the date hereof,
supersedes any previous information delivered to you by DBAB and will be
superseded by the applicable final Prospectus and Prospectus Supplement and any
other information subsequently filed with the Securities and Exchange
Commission. These materials are subject to change, completion, or amendment from
time to time without notice, and DBAB is under no obligation to keep you advised
of such changes. These materials are not intended as an offer or solicitation
with respect to the purchase or sale of any security. Any investment decision
with respect to the securities should be made by you based upon the information
contained in the final Prospectus Supplement and Prospectus relating to the
securities. You should consult your own counsel, accountant, and other advisors
as to the legal, tax, business, financial and related aspects of a purchase of
these securities.
The attached information contains certain tables and other statistical analyses
(the "Computational Materials") which have been prepared by DBAB in reliance
upon information furnished by the Seller. They may not be provided to any third
party other than the addressee's legal, tax, financial and/or accounting
advisors for the purposes of evaluating said material. Numerous assumptions were
used in preparing the Computational Materials which may or may not be reflected
herein. As such, no assurance can be given as to the Computational Materials'
accuracy, appropriateness or completeness in any particular context; nor as to
whether the Computational Materials and/or the assumptions upon which they are
based reflect present market conditions or future market performance. These
Computational Materials should not be construed as either projections or
predictions or as legal, tax, financial or accounting advice. Any weighted
average lives, yields and principal payment periods shown in the Computational
Materials are based on prepayment assumptions, and changes in such prepayment
assumptions may dramatically affect such weighted average lives, yields and
principal payment periods. In addition, it is possible that prepayments on the
underlying assets will occur at rates slower or faster than the rates shown in
the attached Computational Materials. Furthermore, unless otherwise provided,
the Computational Materials assume no losses on the underlying assets and no
interest shortfalls. The specific characteristics of the securities may differ
from those shown in the Computational Materials due to differences between the
actual underlying assets and the hypothetical underlying assets used in
preparing the Computational Materials. The principal amount and designation of
any security described in the Computational Materials are subject to change
prior to issuance. Neither DBAB nor any of its affiliates makes any
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities.
THIS INFORMATION IS FURNISHED TO YOU SOLELY BY DBAB AND NOT BY THE ISSUER OF THE
SECURITIES OR ANY OF ITS AFFILIATES (OTHER THAN DBAB). DBAB IS ACTING AS
UNDERWRITER AND NOT ACTING AS AGENT FOR THE ISSUER IN CONNECTION WITH THE
PROPOSED TRANSACTION.
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
TERM SHEET DATED NOVEMBER 8, 2001
ACE SECURITIES CORP
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
ASSET BACKED PASS-THROUGH CERTIFICATES
$[735,443,000] (APPROXIMATE)
Subject to Revision
DEPOSITOR: Ace Securities Corp.
MASTER SERVICER: Wells Fargo Bank Minnesota, N.A.
SUB-SERVICERS: Wells Fargo Home Mortgage, Inc.,
Meritech Mortgage Services, Inc.
ORIGINATORS: Wells Fargo Home Mortgage, Inc.
New Century Mortgage Corporation
HomeStar Mortgage Services, LLC.
TRUSTEE: First Union National Bank
CUSTODIANS: First Union National Bank
U.S. Bank National Association
PMI INSURER: Mortgage Guaranty Insurance Corporation ("MGIC")
LOSS MITIGATION ADVISOR: The Murrayhill Company
SOLE UNDERWRITER: Deutsche Banc Alex. Brown Inc.
SUMMARY
EST. PRIN. EXPECTED
ESTIMATED WINDOW FINAL EXPECTED RATINGS
APPROX. WAL (YRS) (MOS) DISTRIBUTION MOODY'S S&P FITCH
CLASS SIZE $ TYPE CALL CALL DATE (TO CALL)
----- ------ ---- ---- ---- --------------
A-1 $582,917,000 SEN 2.593 1-82 Sept 2008 Aaa AAA AAA
A-2 $111,874,000 SEN 2.588 1-82 Sept 2008 Aaa AAA AAA
A-IO $184,785,000 (1) IO 1.114 (2) 1-33 (3) Aug 2004 Aaa AAA AAA
M-1 $22,174,000 SUB 4.634 37-82 Sept 2008 Aa2 AA AA
M-2 $11,087,000 SUB 4.509 37-82 Sept 2008 A2 A A
M-3 $7,391,000 SUB 3.661 37-64 Mar 2007 Baa2 BBB BBB
TOTAL $735,443,000
(1) Notional balance according to schedule provided herein.
(2) Modified duration (yrs).
(3) Interest payment window.
PRICING SPEED: 28% CPR
DELIVERY: Book-entry form through DTC/Euroclear/Clearstream
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
TERMS
OFFERED CERTIFICATES: Approximately $[582,917,000] floating rate Class A-1 Certificates, $[111,874,000] floating
rate Class A-2 Certificates, $[184,785,000] Class A-IO Certificates, $[22,174,000] floating
rate Class M-1 Certificates, $[11,087,000] floating rate Class M-2 Certificates and
$[7,391,000] floating rate Class M-3 Certificates. The pass-through rates on the Offered
Certificates (other than the Class A-IO) will be the lesser of (i) One-Month LIBOR plus a
margin and (ii) the Net WAC Pass-Through Rate. The Class M Certificates will be considered
"Subordinate Certificates".
THE MORTGAGE LOANS: The information presented in this Term Sheet is based on balances as of the close of
business on the Cut-off Date Date. The Mortgage Loans consist of fixed and adjustable rate,
fully amortizing and balloon, one-to four-family, first lien residential mortgage loans.
The Mortgage Loans will consist of [6,065] loans, with a principal balance of
$[739,139,652]. The Mortgage Loans will be broken into two groups based on loan balances at
origination. Group I will consist of [5,713] loans with an aggregate principal balance of
[$620,125,240] and has original principal balances that conform to Fannie Mae and Freddie
Mac principal balance limits . Group II will consist of [352] loans with an aggregate
principal balance of [$119,014,412] and predominantly consists of loans that have original
principal balances that do not conform to Freddie Mac principal balance limits.
Approximately [71.92]% of the Group I loans and approximately [79.28]% of the Group II loans
will be covered by mortgage insurance provided by Mortgage Guaranty Insurance Corporation.
DEPOSITOR: Ace Securities Corp.
MASTER SERVICER: Wells Fargo Bank Minnesota, N.A.
SUB-SERVICERS: Wells Fargo Home Mortgage Inc., and Meritech Mortgage Services, Inc.*
*The HomeStar originated Mortgage Loans will be
transferred to Meritech Mortgage Services, Inc.
following the Expected Closing. It is
anticipated that the transfer will occur no
later than December 14, 2001.
TRUSTEE: First Union National Bank
CUSTODIANS: First Union National Bank, U.S. Bank National Association
PMI INSURER: Mortgage Guaranty Insurance Corporation ("MGIC")
LOSS MITIGATION ADVISOR: The Murrayhill Company
CUT-OFF DATE: November 1, 2001
EXPECTED PRICING: Week of November [12], 2001
EXPECTED CLOSING: On or about November [20], 2001
RECORD DATE: The first Record Date for the Offered Certificates will be the Closing Date. For all other
Record Dates, the business day immediately preceding the distribution date for all
certificates other than the Class A-IO. The last day of the previous month for the Class
A-IO.
DISTRIBUTION DATE: The 20th day of each month (or if such 20th day is not a business day, the next succeeding
business day) commencing in December 2001.
DETERMINATION DATE: The Determination Date with respect to any Distribution Date is on the [10th] day of the
month in which the Distribution Date occurs or, if such day is not a business day, on the
immediately preceding business day.
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
DUE PERIOD: The Due Period with respect to any Distribution Date commences on the second day of the month
immediately preceding the month in which the Distribution Date occurs and ends on the first
day of the month in which the Distribution Date occurs.
PREPAYMENT PERIOD: The Prepayment Period with respect to any Distribution Date commences on the Determination
Date in the month prior to the month in which such Distribution Date occurs and ends on the
day prior to the Determination Date in the month in which such Distribution Date occurs
(except that the first Prepayment Period will commence on the Cut-off Date).
INTEREST ACCRUAL PERIOD: Interest will initially accrue on all certificates other than the Class A-IO from the Closing
Date to (but excluding) the first Distribution Date, and thereafter, from the prior
Distribution Date to (but excluding) the current Distribution Date on an actual/360 basis.
These Certificates will initially settle flat (no accrued interest). The Class A-IO will
accrue interest during the calendar month immediately preceding the month in which the
Distribution Date occurs on a 30/360 basis (19 day delay).
PREPAYMENT ASSUMPTION: The Class A and Class M Certificates will be priced assuming a 28% CPR throughout the life
of the collateral.
ADMINISTRATIVE FEES: The Master Servicer, Sub-Servicers, Loss Mitigation Advisor and Custodians will be paid
monthly fees on the outstanding principal balance of the Mortgage Loans. The Mortgage
Insurer will be paid monthly fees on the outstanding principal balance of the insured
Mortgage Loans (approximately [73.11%] of all of the Mortgage Loans). These fees
("Administrative Fees"), including the mortgage insurance premium initially aggregate to a
weighted average cost of approximately [150.18%] basis points for the Mortgage Loans.
OPTIONAL TERMINATION: On any distribution date on which the aggregate outstanding principal balance of the
mortgage loans as of the related determination date is less than sum of 10% of their
aggregate outstanding principal balance as of the Cut-off Date, the owner of a non-offered
subordinate certificate will have the option to purchase from the trust all remaining
mortgage loans causing an early retirement of the certificates; provided, however, that if
the owner of such non-offered subordinate certificate is an affiliate of the Seller, such
owner will not have the option to purchase from the trust all remaining mortgage loans
causing an early retirement of the certificates.
CREDIT ENHANCEMENT: 1) Mortgage insurance
2) Excess interest
3) Overcollateralization
4) Subordination
MORTGAGE INSURANCE: As of the Cut-off Date, approximately [73.11%] of the Mortgage Loans will be covered by a
lender-paid mortgage insurance policy issued by Mortgage Guaranty Insurance Corporation
("MGIC"). MGIC will provide insurance coverage down to 50% of the value of the related
mortgaged property for the Wells Fargo Home Mortgage, Inc. originated mortgage loans and
down to 60% of the value of the related mortgaged property for the New Century Mortgage
Corporation and HomeStar Mortgage Services, LLC originated mortgage loans, subject to the
exclusions and limitations set forth in the related mortgage insurance policy.
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
OVERCOLLATERALIZATION: Overcollateralization refers to the amount by which the aggregate principal balance of the
Mortgage Loans exceeds the certificate principal balance of the certificates. This excess
(the "Overcollateralization Amount") is intended to protect the certificate holders against
shortfalls in payments on the certificates. The required Overcollateralization Amount for
the Certificates, which will be fully established at issuance, is anticipated to be [0.50]%
of the original pool balance. If, due to losses, the Overcollateralization Amount is
reduced below [0.50]%, excess spread, if any is available, will be applied to first pay
Class A principal, and then Class M principal, in order to maintain the required
Overcollateralization Amount.
OVERCOLLATERALIZATION After the Stepdown Date, the overcollateralization amount will be allowed to be reduced to
STEPDOWN: [1.00]% of the then current balance of the mortgage pool, subject to a floor of
$[3,695,698], but only in the event that a Trigger Event has not occurred.
OVERCOLLATERALIZATION INCREASE On any Distribution Date, any amount of Net Monthly Excess Cashflow actually applied as an
AMOUNT: accelerated payment of principal to the extent the required Overcollateralization Amount
exceeds the current Overcollateralization Amount.
OVERCOLLATERALIZATION With respect to each such Distribution Date, the Group I Principal Distribution Amount and
REDUCTION AMOUNT: the Group II Principal Distribution Amount will each be reduced by an allocated portion of
the amount by which the current Overcollateralization Amount exceeds the required
Overcollateralization Amount
INITIAL CREDIT ENHANCEMENT The Credit Enhancement Percentage for any class and any Distribution Date is the percentage
PERCENTAGE: obtained by dividing (x) the aggregate Certificate Principal Balance of the class or classes
subordinate thereto by (y) the aggregate principal balance of the Mortgage Loans, calculated
after taking into account distributions of principal on the Mortgage Loans and distribution
of the Principal Distribution Amount to the holders of the certificates then entitled to
distributions of principal on the Distribution Date.
INITIAL ENHANCEMENT PERCENTAGE
CLASS RATING PERCENT
----- ------ -------
A-1, A-2, A-IO Aaa / AAA / AAA [6.00]%
M-1 Aa2 / AA / AA [3.00]%
M-2 A2 / A / A [1.50]%
M-3 Baa2 / BBB / BBB [0.50]%
BASIS RISK SHORTFALL: Because the mortgage rates are either fixed rate, based on 6 month LIBOR, or based on 1 year
CMT, and some loans may have delayed first adjustments, and the pass-through rates on the
Offered Certificates are based on one month LIBOR, the limitations of the Net WAC
Pass-Through Rate could result in shortfalls of interest otherwise payable to the Offered
Certificates in certain periods. This may also occur if 6 month LIBOR and 1 month LIBOR
rise quickly since the Mortgage Pool cash flows are constrained by interim caps. If basis
risk interest shortfalls occur, they will be carried forward at their applicable rate and
such shortfalls will be paid on a subordinated basis on the same Distribution Date or in any
subsequent period. Such shortfalls will accrue interest at the related pass-through rate.
STEPDOWN DATE: Is the earlier of (i) the first Distribution Date on which the Certificate Principal
Balances of the Class A Certificates have been reduced to zero and (ii) the later to occur
of (x) the Distribution Date occurring in December 2004 and (y) the first Distribution Date
on which the Credit Enhancement Percentage (calculated for this purpose only after taking
into account distributions of principal on the Mortgage Loans, but prior to any distribution
of the Principal Distribution Amount to the holders of the Certificates then entitled to
distributions of principal on such Distribution Date) is greater than or equal to
approximately [12.00]%.
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
EXPENSE ADJUSTED NET
MORTGAGE RATE: For any Mortgage Loan for any Distribution Date shall be a per annum rate equal to the
applicable Mortgage Rate for such Mortgage Loan as of the first day of the month preceding
the month in which such Distribution Date occurs minus the sum of (i) the Administrative Fees
and (ii) the Mortgage Insurance fees, if any.
AVAILABLE DISTRIBUTION AMOUNT: For any Distribution Date, equal to the sum, net of the Administrative Fees and the
insurance premiums, of an amount equal to (i) the aggregate amount of scheduled monthly
payments on the Mortgage Loans due on the related Due Date and received on or prior to the
related Determination Date, (ii) unscheduled payments in respect of the Mortgage Loans
(including prepayments, insurance proceeds, liquidation proceeds and proceeds from
repurchases of and substitutions for the Mortgage Loans occurring during the Prepayment
Period), (iii) all P&I Advances with respect to the Mortgage Loans received for the
Distribution Date and, (iv) all compensating interest paid by the Master Servicer in respect
of prepayment interest shortfalls for the related period.
NET WAC PASS-THROUGH RATE: With respect to each Class of Offered Certificates and any Distribution Date, a per annum
rate (subject to adjustment based on the actual number of days elapsed in the related
Interest Accrual Period) equal to (i) for each Distribution Date occurring during the first
through the thirty-third month following the Closing Date, the weighted average of the
Expense Adjusted Net Mortgage Rate of the Mortgage Loans adjusted for interest payable to the
Class A-IO Certificates, and (ii) thereafter, the weighted average of the Expense Adjusted
Net Mortgage Rate of the Mortgage Loans.
INTEREST DISTRIBUTIONS: On each Distribution Date, the Class A-IO Certificate shall be entitled to the Interest
Distribution Amount with respect to such class from the Group I Interest Remittance Amount
and the Group II Interest Remittance Amount in proportion to the amount of interest received
or advanced for each such group.
On each Distribution Date, the remaining Group I Interest Remittance Amount will be
distributed in the following order of priority:
FIRST, to the holders of the Class A-1 Certificates, the Senior Interest Distribution
Amount for such class; and
SECOND, to the holders of the Class A-2
Certificates, the Senior Interest
Distribution Amount for such class, to
the extent remaining unpaid after the
distribution of the remaining Group II
Interest Remittance Amount as described
below.
On each Distribution Date, the remaining Group
II Interest Remittance Amount will be
distributed in the following order of priority:
FIRST, to the holders of the Class A-2 Certificates, the Senior Interest Distribution
Amount for such class; and
SECOND, to the holders of the Class A-1
Certificates, the Senior Interest
Distribution Amount for such class, to
the extent remaining unpaid after the
distribution of the remaining Group I
Interest Remittance Amount as described
above.
On each Distribution Date, following the
distributions of interest to the holders of the
Class A-IO and Class A Certificates, any Group
I Interest Remittance Amount and any Group II
Interest Remittance Amount remaining will be
distributed in the following order of priority:
FIRST, to the holders of the Class M-1 Certificates, the Interest Distribution Amount
for such class;
SECOND, to the holders of the Class M-2 Certificates, the Interest Distribution Amount
for such class; and
THIRD, to the holders of the Class M-3
Certificates, the Interest Distribution
Amount for such class.
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
GROUP I INTEREST REMITTANCE For any Distribution Date is that portion of the Available Distribution Amount for such
AMOUNT: Distribution Date that represents interest received or advanced on the Group I Mortgage
Loans.
GROUP II INTEREST REMITTANCE For any Distribution Date is that portion of the Available Distribution Amount for such
AMOUNT: Distribution Date that represents interest received or advanced on the Group II Mortgage
Loans.
SENIOR INTEREST DISTRIBUTION For either class of Class A Certificates and the Class A-IO Certificates on any Distribution
AMOUNT: Date is equal to the sum of the Interest Distribution Amount for such Distribution Date for
such class and the Interest Carry Forward
Amount, if any, for such Distribution Date for
such class.
INTEREST DISTRIBUTION AMOUNT: For the Offered Certificates of any class on any Distribution Date is equal to interest
accrued during the related Interest Accrual Period on the certificate principal balance (or,
with respect to the Class A-IO, the notional balance) of that class immediately prior to
such Distribution Date at the then applicable pass-through rate for such class, and reduced
(to not less than zero), in the case of each such class, by the allocable share, if any, for
such class of prepayment interest shortfalls to the extent not covered by compensating
interest paid by the Master Servicer or Sub-servicers and shortfalls resulting from the
application of the Soldiers' and Sailors' Civil Relief Act of 1940.
CLASS A-IO NOTIONAL BALANCE: For any Distribution Date is equal to the lesser of (i) the notional balance set forth in the
table entitled "IO Notional Balance Schedule" attached hereto and (ii) the aggregate
outstanding principal balance of the Mortgage Loans having Expense Adjusted Net Mortgage
Rates which are equal to or in excess of [6.00]% per annum.
INTEREST CARRY FORWARD AMOUNT: With respect to any Distribution Date, to the extent that the aggregate Interest
Distribution Amount exceeds the sum of the Group I Interest Remittance Amount and the Group
II Interest Remittance Amount, a shortfall in interest distributions on one or more classes
of Offered Certificates will result. With respect to any class of the Offered Certificates
and any Distribution Date an amount, if any, by which the Interest Distribution Amount for
such class of Certificates for the immediately preceding Distribution Date exceeded the
actual amount distributed on such Certificates in respect of interest on such immediately
preceding Distribution Date, together with any Interest Carry Forward Amount with respect to
such Certificates remaining unpaid from the previous Distribution Date plus interest accrued
thereon at the related pass-through rate on such certificates for the most recently ended
Interest Accrual Period.
NET MONTHLY EXCESS CASHFLOW: For any Distribution Date is equal to the sum of (a) any Overcollateralization Reduction
Amount and (b) the excess of (x) the Available Distribution Amount for such Distribution
Date over (y) the sum for such Distribution Date of the Senior Interest Distribution Amounts
payable to the holders of the Class A Certificates and the Interest Distribution Amounts
payable to the holders of the Subordinate Certificates and the sum of the amounts described
in clauses (i) through (iii) of the definition of Group I Principal Distribution Amount and
the amounts described in clauses (i) through (iii) of the definition of Group II Principal
Distribution Amount.
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
GROUP I PRINCIPAL
DISTRIBUTION AMOUNT: The sum of (but will not be less than zero):
(i) the principal portion of all scheduled monthly payments on the Group I Mortgage Loans due
during the related Due Period, whether or not received on or prior to the related
Determination Date;
(ii) the principal portion of all proceeds received in respect of the repurchase of a Group I
Mortgage Loan (or, in the case of a substitution, certain amounts representing a principal
adjustment) as required by the Agreement during the related Prepayment Period;
(iii) the principal portion of all other unscheduled collections, including insurance proceeds,
liquidation proceeds and all full and partial principal prepayments, received during the
related Prepayment Period, to the extent applied as recoveries of principal on the Group I
Mortgage Loans;
(iv) the Class A-1 Allocation Percentage of the principal portion of any Realized Losses incurred
on any of the Mortgage Loans in Group I in the calendar month preceding such Distribution
Date to the extent covered by Net Monthly Excess Cashflow for such Distribution Date; and
(v) the Class A-1 Allocation Percentage of the amount of any Overcollateralization Increase
Amount for such Distribution Date; MINUS
(vi) the Class A-1 Allocation Percentage of the amount of any Overcollateralization Reduction
Amount for such Distribution Date.
GROUP II PRINCIPAL The sum of (but will not be less than zero):
DISTRIBUTION AMOUNT: (i) the principal portion of all scheduled monthly payments on the Group II Mortgage Loans due
during the related Due Period, whether or not received on or prior to the related
Determination Date;
(ii) the principal portion of all proceeds received in respect of the repurchase of a Group II
Mortgage Loan (or, in the case of a substitution, certain amounts representing a principal
adjustment) as required by the Agreement during the related Prepayment Period;
(iii) the principal portion of all other unscheduled collections, including insurance proceeds,
liquidation proceeds and all full and partial principal prepayments, received during the
related Prepayment Period, to the extent applied as recoveries of principal on the Group II
Mortgage Loans;
(iv) the Class A-2 Allocation Percentage of the principal portion of any Realized Losses incurred
on any of the Mortgage Loans in Group II in the calendar month preceding such Distribution
Date to the extent covered by Net Monthly Excess Cashflow for such Distribution Date; and
(v) the Class A-2 Allocation Percentage of the amount of any Overcollateralization Increase
Amount for such Distribution Date; MINUS
(vi) the Class A-2 Allocation Percentage of the amount of any Overcollateralization Reduction
Amount for such Distribution Date.
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
- -------------------------------- ----------------------------------------------------------------------------------------------
PRINCIPAL DISTRIBUTIONS: A. On each Distribution Date (a) prior to the Stepdown Date or (b) on which a Trigger Event
is in effect,
I. The Group I Principal Distribution Amount will be distributed in the following order
of priority:
FIRST, to the holders of the Class A-1 Certificates, until the Certificate Principal
Balance of the Class A-1 Certificates has been reduced to zero; and
SECOND, to the holders of the Class A-2 Certificates, after taking into account the
distribution of the Group II Principal Distribution Amount as described below, until
the Certificate Principal Balance of the Class A-2 Certificates has been reduced to
zero.
II. The Group II Principal Distribution Amount will be distributed in the following
order of priority:
FIRST, to the holders of the Class A-2 Certificates, until the Certificate Principal
Balance of the Class A-2 Certificates has been reduced to zero; and
SECOND, to the holders of the Class A-1 Certificates, after taking into account the
distribution of the Group I Principal Distribution Amount as described above, until
the Certificate Principal Balance of the Class A-1 Certificates has been reduced to
zero.
III. Any Group I Principal Distribution Amount and any Group II Principal Distribution
Amount remaining after the distributions described in A.I. and A.II. above will be
distributed in the following order of priority:
FIRST, to the holders of the Class M-1 Certificates, until the Certificate Principal
Balance of the Class M-1 Certificates has been reduced to zero;
SECOND, to the holders of the Class M-2 Certificates, until the Certificate
Principal Balance of the Class M-2 Certificates has been reduced to zero; and
THIRD, to the holders of the Class M-3 Certificates, until the Certificate Principal
Balance of the Class M-3 Certificates has been reduced to zero.
B. On each Distribution Date on or after the Stepdown Date on which a Trigger Event is not
in effect,
I. The Group I Principal Distribution Amount will be distributed in the following order
of priority:
FIRST, to the holders of the Class A-1 Certificates, up to an amount equal to the
Class A-1 Principal Distribution Amount, until the Certificate Principal Balance of
the Class A-1 Certificates has been reduced to zero;
SECOND, to the extent of the portion, if any, of the Class A-1 Principal
Distribution Amount remaining undistributed pursuant to clause B.I. first above, to
the holders of the Class A-2 Certificates, after taking into account the
distribution of the Group II Principal Distribution Amount as described in B.II.
below, until the Certificate Principal Balance of the Class A-2 Certificates has
been reduced to zero; and
THIRD, to the holders of the Class A-2 Certificates, after taking into account the
distribution of the Group II Principal Distribution Amount as described in B.II.
below and the distribution, if any, described in clause B.I. second above, up to an
amount equal to the Class A-2 Principal Distribution Amount, until the Certificate
Principal Balance of the Class A-2 Certificates has been reduced to zero.
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
PRINCIPAL DISTRIBUTIONS II. The Group II Principal Distribution Amount will be distributed in the following
(CONTINUED): order of priority:
FIRST, to the holders of the Class A-2 Certificates, up to an amount equal to the
Class A-2 Principal Distribution Amount, until the Certificate Principal Balance of
the Class A-2 Certificates has been reduced to zero;
SECOND, to the extent of the portion, if any, of the Class A-2 Principal
Distribution Amount remaining undistributed pursuant to clause B.II. first above, to
the holders of the Class A-1 Certificates, after taking into account the
distribution of the Group I Principal Distribution Amount as described in B.I.
above, until the Certificate Principal Balance of the Class A-1 Certificates has
been reduced to zero; and
THIRD, to the holders of the Class A-1 Certificates, after taking into account the
distribution of the Group I Principal Distribution Amount as described in B.I. above
and the distribution, if any, described in clause B.II. second above, up to an
amount equal to the Class A-1 Principal Distribution Amount, until the Certificate
Principal Balance of the Class A-1 Certificates has been reduced to zero.
III. Any Group I Principal Distribution Amount and any Group II Principal Distribution
Amount remaining after the distributions described in B.I. and B.II. above will be
distributed in the following order of priority:
FIRST, to the holders of the Class M-1 Certificates, up to an amount equal to the
Class M-1 Principal Distribution Amount, until the Certificate Principal Balance of
the Class M-1 Certificates has been reduced to zero;
SECOND, to the holders of the Class M-2 Certificates, up to an amount equal to the
Class M-2 Principal Distribution Amount, until the Certificate Principal Balance of
the Class M-2 Certificates has been reduced to zero; and
THIRD, to the holders of the Class M-3 Certificates, up to an amount equal to the
Class M-3 Principal Distribution Amount, until the Certificate Principal Balance of
the Class M-3 Certificates has been reduced to zero.
The allocation of distributions in respect of principal to the Class A Certificates on each
Distribution Date (a) prior to the Stepdown Date or (b) on which a Trigger Event has
occurred, will have the effect of accelerating the amortization of the Class A Certificates
while, in the absence of Realized Losses, increasing the respective percentage interest in
the principal balance of the Mortgage Loans evidenced by the Subordinate Certificates.
Increasing the respective percentage interest in the Trust of the Subordinate Certificates
relative to that of the Class A Certificates is intended to preserve the availability of the
subordination provided by the Subordinate Certificates.
CLASS A-1 ALLOCATION For any Distribution Date is the percentage equivalent of a fraction, the numerator of which
PERCENTAGE: is (x) the aggregate of the amounts described in clauses (i) through (iii) of the definition
of Group I Principal Distribution Amount above, and the denominator of which is (y) the
aggregate of the amounts described in clauses (i) through (iii) of the definition of Group I
Principal Distribution Amount above and in clauses (i) through (iii) of the definition of
Group II Principal Distribution Amount above.
CLASS A-2 ALLOCATION For any Distribution Date is the percentage equivalent of a fraction, the numerator of which
PERCENTAGE: is (x) the aggregate of the amounts described in clauses (i) through (iii) of the definition
of Group II Principal Distribution Amount above, and the denominator of which is (y) the
aggregate of the amounts described in clauses (i) through (iii) of the definition of Group I
Principal Distribution Amount above and in clauses (i) through (iii) of the definition of
Group II Principal Distribution Amount above.
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
CLASS A-1 PRINCIPAL
DISTRIBUTION AMOUNT: For any Distribution Date is an amount equal to the excess of (x) the Certificate Principal
Balance of the Class A-1 Certificates immediately prior to such Distribution Date over (y)
the lesser of (A) the product of (i) approximately [88.00]% and (ii) the aggregate principal
balance of the Group I Mortgage Loans as of the last day of the related Due Period (after
giving effect to scheduled payments of principal due during the related Due Period, to the
extent received or advanced, and unscheduled collections of principal received during the
related Prepayment Period) and (B) the aggregate principal balance of the Group I Mortgage
Loans as of the last day of the related Due Period (after giving effect to scheduled payments
of principal due during the related Due Period, to the extent received or advanced, and
unscheduled collections of principal received during the related Prepayment Period) minus
approximately $[3,100,626].
CLASS A-2 PRINCIPAL
DISTRIBUTION AMOUNT: For any Distribution Date is an amount equal to the excess of (x) the Certificate Principal
Balance of the Class A-2 Certificates immediately prior to such Distribution Date over (y)
the lesser of (A) the product of (i) approximately [88.00]% and (ii) the aggregate principal
balance of the Group II Mortgage Loans as of the last day of the related Due Period (after
giving effect to scheduled payments of principal due during the related Due Period, to the
extent received or advanced, and unscheduled collections of principal received during the
related Prepayment Period) and (B) the aggregate principal balance of the Group II Mortgage
Loans as of the last day of the related Due Period (after giving effect to scheduled payments
of principal due during the related Due Period, to the extent received or advanced, and
unscheduled collections of principal received during the related Prepayment Period) minus
approximately $[595,072].
CLASS M-1 PRINCIPAL For any Distribution Date is an amount equal to the excess of (x) the sum of (i) the
DISTRIBUTION AMOUNT: Certificate Principal Balances of the Class A Certificates (after taking into account the
payment of the Class A-1 Principal Distribution Amount and the Class A-2 Principal
Distribution Amount on such Distribution Date) and (ii) the Certificate Principal Balance of
the Class M-1 Certificates immediately prior to such Distribution Date over (y) the lesser of
(A) the product of (i) approximately [94.00]% and (ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled
payments of principal due during the related Due Period, to the extent received or advanced,
and unscheduled collections of principal received during the related Prepayment Period) and
(B) the aggregate principal balance of the Mortgage Loans as of the last day of the related
Due Period (after giving effect to scheduled payments of principal due during the related Due
Period, to the extent received or advanced, and unscheduled collections of principal received
during the related Prepayment Period) minus approximately $[3,695,698].
CLASS M-2 PRINCIPAL For any Distribution Date is an amount equal to the excess of (x) the sum of (i) the
DISTRIBUTION AMOUNT: Certificate Principal Balances of the Class A Certificates (after taking into account the
payment of the Class A-1 Principal Distribution Amount and the Class A-2 Principal
Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the
Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal
Distribution Amount on such date) and (iii) the Certificate Principal Balance of the Class
M-2 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the
product of (i) approximately [97.00]% and (ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled
payments of principal due during the related Due Period, to the extent received or advanced,
and unscheduled collections of principal received during the related Prepayment Period) and
(B) the aggregate principal balance of the Mortgage Loans as of the last day of the related
Due Period (after giving effect to scheduled payments of principal due during the related Due
Period, to the extent received or advanced, and unscheduled collections of principal received
during the related Prepayment Period) minus approximately $[3,695,698].
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
CLASS M-3 PRINCIPAL For any Distribution Date is an amount equal to the excess of (x) the sum of (i) the
DISTRIBUTION AMOUNT: Certificate Principal Balances of the Class A Certificates (after taking into account the
payment of the Class A-1 Principal Distribution Amount and the Class A-2 Principal
Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the
Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal
Distribution Amount on such date), (iii) the Certificate Principal Balance of the Class M-2
Certificates (after taking into account the payment of the Class M-2 Principal Distribution
Amount on such date) and (iv) the Certificate Principal Balance of the Class M-3 Certificates
immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i)
approximately [99.00]% and (ii) the aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period (after giving effect to scheduled payments of
principal due during the related Due Period, to the extent received or advanced, and
unscheduled collections of principal received during the related Prepayment Period) and (B)
the aggregate principal balance of the Mortgage Loans as of the last day of the related Due
Period (after giving effect to scheduled payments of principal due during the related Due
Period, to the extent received or advanced, and unscheduled collections of principal received
during the related Prepayment Period) minus approximately $[3,695,698].
TRIGGER EVENT: With respect to any Distribution Date, a Trigger Event is in effect if the percentage
obtained by dividing (i) the principal amount of Mortgage Loans delinquent 60 days or more by
(ii) the aggregate principal balance of the Mortgage Loans, in each case, as of the last day
of the previous calendar month exceeds the lesser of (x) [50]% of the Credit Enhancement
Percentage and (y) [6.00]%.
CREDIT ENHANCEMENT PERCENTAGE: For any Distribution Date is the percentage obtained by dividing (x) the aggregate
Certificate Principal Balance of the Subordinate Certificates and the Overcollateralization
Amount by (y) the aggregate principal balance of the Mortgage Loans, calculated after taking
into account distributions of principal on the Mortgage Loans and distribution of the Group I
Principal Distribution Amount and the Group II Principal Distribution Amount to the holders
of the Certificates then entitled to distributions of principal on such Distribution Date.
COUPON STEP-UP: After the optional termination date, the margins on the Class A-1 and A-2 coupon will
increase [100]% and the margins on the Class M-1, M-2 and M-3 coupon will increase by [50]%,
subject to the Net WAC Pass-Through Rate.
SERVICING ADVANCES: The Sub-servicers will collect monthly payments of principal and interest on the mortgage
loans and will be obligated to make advances of delinquent monthly principal and interest
payments and then remit such collections and any required delinquency advances to the Master
Servicer. The Master Servicer will be obligated to make any required delinquency advances
if the applicable Sub-servicer fails in its obligation to do so. The Master Servicer and
Sub-servicers are required to advance delinquent payments of principal and interest on the
mortgage loans only to the extent such amounts are deemed recoverable. The Master Servicer
Sub-servicers are entitled to be reimbursed for these advances, and therefore these advances
are not a form of credit enhancement.
SOURCE FOR CALCULATION OF Telerate page [3750].
ONE-MONTH LIBOR:
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
ERISA: Subject to certain conditions, the offered certificates are expected to be ERISA eligible as
of the Closing Date. However, investors should consult with their counsel with respect to the
consequences under ERISA and the Internal Revenue Code of an ERISA Plan's acquisition and
ownership of such Certificates.
SMMEA: The AAA and AA rated Certificates are expected to constitute "mortgage related securities"
for the purposes of the Secondary Mortgage Market Enhancement Act of 1984 ("SMMEA"). Other
classes will not be SMMEA eligible.
TAXATION - REMIC: The Trust will be established as one or more REMICs for federal income tax purposes.
RATINGS: It is a condition to the issuance of the Class A Certificates that they receive ratings of
"AAA" if rated by Standard & Poor's, a division of the McGraw Hill Companies, Inc. ("S&P")
and Fitch Inc ("Fitch") and "Aaa" if rated by Moody's Investors Service, Inc. ("Moody's");
that the Class M-1 Certificates receive a rating of "AA" if rated by S&P and Fitch and "Aa2"
if rated by Moody's; that the M-2 Certificates receive a rating of at least "A" if rated by
S&P and Fitch and "A2" if rated by Moody's; and that the Class M-3 Certificates receive a
rating of at least "BBB" if rated by S&P and Fitch and "Baa2" if rated by Moody's.
FORM OF REGISTRATION: Book-entry form through DTC, Clearstream and Euroclear.
MINIMUM DENOMINATIONS: $25,000 and integral multiples of $1 in excess thereof.
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
DESCRIPTION OF THE COLLATERAL
(AS OF THE CUT-OFF DATE)
SUMMARY - COMBINED POOL
Number of Mortgage Loans: 6,065 Weighted Average FICO Score: 603
Aggregate Principal Balance: $739,139,651.93 Index Type:
Conforming Principal Balance Loans: 83.90% 6 Month LIBOR: 72.57%
Average Principal Balance: $121,869.69 Fixed Rate: 19.18%
Range: $6,986.61 - 1 Year Treasury: 8.25%
$568,705.80
Weighted Average Coupon: 9.959% Weighted Average Initial Periodic Cap: 2.832%
Range: 6.000% - 14.625% Weighted Average Subsequent Periodic Cap: 1.156%
Weighted Average Gross Margin: 6.579% Weighted Average Lifetime Rate Cap: 6.098%
Range: 3.350% - 10.250% Property Type:
Weighted Average Remaining Term: 342 Single Family: 87.39%
Range: 114 - 360 PUD: 3.72%
Weighted Average Seasoning: 4.60 2-4 Family: 1.35%
Latest Maturity Date: November 2031 Condo: 4.63%
State Concentration (>5%): Manufactured Housing: 2.90%
California: 24.45% Occupancy Status:
Colorado: 6.65% Primary: 96.93%
Texas: 5.02% Investment: 2.45%
Weighted Average Current LTV: 79.81% Second Home: 0.61%
Range: 11.91% - 100.00% Documentation Status:
Loans with MGIC MI: 73.11% Full: 77.93%
Originator Concentration: Limited: 11.20%
Wells Fargo Home Mortgage, Inc.: 80.36% Stated: 9.67%
New Century Mortgage Corporation: 11.70% None 1.20%
HomeStar Mortgage Services, LLC.: 7.94% Weighted Average Prepayment Penalty - Term: 31
First Liens: 100.00% Loans with Prepay Penalties: 90.49%
Non-Balloon Loans: 94.65%
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
SUMMARY
GROUP I - CONFORMING MORTGAGE LOANS
Number of Mortgage Loans: 5,713 Weighted Average FICO Score: 599
Aggregate Principal Balance: $620,125,239.56 Index Type:
Conforming Principal Balance Loans: 100% 6 Month LIBOR: 72.07%
Average Principal Balance: $108,546.34 Fixed Rate: 19.79%
Range: $6,986.61 - 1 Year Treasury: 8.15%
$341,189.13
Weighted Average Coupon: 10.110% Weighted Average Initial Periodic Cap: 2.841%
Range: 6.500% - 14.625% Weighted Average Subsequent Periodic Cap: 1.152%
Weighted Average Gross Margin: 6.702% Weighted Average Lifetime Rate Cap: 6.094%
Range: 3.350% - 10.250% Property Type:
Weighted Average Remaining Term: 341 Single Family: 86.91%
Range: 114 - 360 PUD: 3.64%
Weighted Average Seasoning: 4.57 2-4 Family: 1.41%
Latest Maturity Date: November 2031 Condo: 4.88%
State Concentration (>5%): Manufactured Housing: 3.15%
California: 19.17% Occupancy Status:
Colorado: 6.52% Primary: 96.74%
Texas: 5.37% Investment: 2.58%
Weighted Average Current LTV: 79.95% Second Home: 0.68%
Range: 11.91% - 100.00% Documentation Status:
Loans with MGIC MI: 71.92% Full: 79.67%
Originator Concentration: Limited: 10.49%
Wells Fargo Home Mortgage, Inc.: 80.13% Stated: 8.72%
New Century Mortgage Corporation: 11.19% None 1.13%
HomeStar Mortgage Services, LLC.: 8.68% Weighted Average Prepayment Penalty - Term: 30
First Liens: 100.00% Loans with Prepay Penalties: 90.85%
Non-Balloon Loans: 94.67%
COLLATERAL TYPE
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
COLLATERAL NUMBER AGGREGATE REMAINING REMAINING
TYPE OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
Fixed Rate 1,445 122,709,871.77 19.79
ARM 4,268 497,415,367.79 80.21
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 5,713 620,125,239.56 100.00
- --------------------------------------------------------------------------------------------------------------------------
PRINCIPAL BALANCE AT ORIGINATION
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE ORIGINAL ORIGINAL
PRINCIPAL BALANCE AT ORIGINATION ($) OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
0.01 - 50,000.00 851 31,304,196.00 5.03
50,000.01 - 100,000.00 2,162 160,587,946.00 25.82
100,000.01 - 150,000.00 1,392 171,415,086.00 27.56
150,000.01 - 200,000.00 777 134,751,327.00 21.67
200,000.01 - 250,000.00 403 89,771,987.00 14.44
250,000.01 - 300,000.00 124 32,752,623.00 5.27
300,000.01 - 350,000.00 4 1,312,000.00 0.21
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 5,713 621,895,165.00 100.00
- --------------------------------------------------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
REMAINING PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
REMAINING PRINCIPAL BALANCE ($) OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
0.01 - 50,000.00 857 31,393,945.79 5.06
50,000.01 - 100,000.00 2,159 160,130,498.88 25.82
100,000.01 - 150,000.00 1,394 171,430,992.89 27.64
150,000.01 - 200,000.00 774 134,062,530.35 21.62
200,000.01 - 250,000.00 401 89,132,426.98 14.37
250,000.01 - 300,000.00 124 32,666,307.36 5.27
300,000.01 - 350,000.00 4 1,308,537.31 0.21
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 5,713 620,125,239.56 100.00
- --------------------------------------------------------------------------------------------------------------------------
MORTGAGE RATE
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
MORTGAGE RATE (%) OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
6.500 - 6.999 15 2,446,916.39 0.39
7.000 - 7.499 29 4,407,253.50 0.71
7.500 - 7.999 198 31,046,591.98 5.01
8.000 - 8.499 267 36,687,686.80 5.92
8.500 - 8.999 597 76,716,395.66 12.37
9.000 - 9.499 487 57,495,280.03 9.27
9.500 - 9.999 909 106,011,527.78 17.10
10.000 - 10.499 695 73,425,717.14 11.84
10.500 - 10.999 732 73,723,811.74 11.89
11.000 - 11.499 398 39,039,968.89 6.30
11.500 - 11.999 529 48,832,810.34 7.87
12.000 - 12.499 285 24,443,813.38 3.94
12.500 - 12.999 288 24,139,969.21 3.89
13.000 - 13.499 151 12,251,523.58 1.98
13.500 - 13.999 106 7,962,488.78 1.28
14.000 - 14.499 21 1,197,338.34 0.19
14.500 - 14.999 6 296,146.02 0.05
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 5,713 620,125,239.56 100.00
- --------------------------------------------------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
STATE
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
STATE OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
California 699 118,883,554.05 19.17
Colorado 285 40,436,425.68 6.52
Texas 364 33,330,786.13 5.37
Florida 338 32,902,971.62 5.31
Minnesota 248 27,224,538.18 4.39
Ohio 290 26,976,866.17 4.35
Michigan 290 26,888,621.94 4.34
Arizona 273 26,397,405.42 4.26
Georgia 219 24,299,036.16 3.92
Washington 159 21,495,408.49 3.47
Illinois 196 20,394,844.09 3.29
New Jersey 144 19,025,015.62 3.07
Tennessee 200 15,820,609.28 2.55
New York 150 15,377,027.60 2.48
Massachusetts 87 12,545,551.05 2.02
Pennsylvania 192 12,349,944.37 1.99
South Carolina 129 11,158,593.71 1.80
Maryland 99 11,083,004.19 1.79
Wisconsin 127 10,591,979.15 1.71
North Carolina 91 9,198,741.39 1.48
Indiana 115 8,366,913.08 1.35
Connecticut 68 7,741,517.17 1.25
Nebraska 84 7,238,179.80 1.17
Oregon 55 6,584,246.68 1.06
Missouri 77 5,811,092.56 0.94
Louisiana 60 5,345,299.33 0.86
Kentucky 51 5,323,862.93 0.86
Nevada 45 5,091,766.72 0.82
Montana 53 4,542,175.36 0.73
Virginia 40 4,364,869.99 0.70
Utah 38 4,218,421.45 0.68
New Mexico 42 3,839,187.43 0.62
Mississippi 49 3,609,597.79 0.58
Iowa 44 3,489,715.75 0.56
New Hampshire 30 3,292,867.42 0.53
Oklahoma 44 2,952,920.09 0.48
Idaho 32 2,938,706.23 0.47
Rhode Island 26 2,584,854.21 0.42
Wyoming 29 2,295,991.14 0.37
Alaska 15 1,926,003.47 0.31
Alabama 22 1,615,809.20 0.26
Maine 14 1,530,320.95 0.25
Hawaii 10 1,504,945.61 0.24
Kansas 22 1,478,104.09 0.24
Delaware 9 1,308,170.16 0.21
Arkansas 20 1,305,684.23 0.21
West Virginia 13 1,034,698.48 0.17
District of Columbia 7 798,563.42 0.13
Vermont 8 781,563.15 0.13
North Dakota 5 426,702.92 0.07
South Dakota 6 401,564.46 0.06
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 5,713 620,125,239.56 100.00
- --------------------------------------------------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
MONTHS REMAINING
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
MONTHS REMAINING OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
61 - 120 4 175,974.91 0.03
121 - 180 595 48,410,496.34 7.81
181 - 240 11 790,560.10 0.13
241 - 300 2 102,594.83 0.02
301 - 360 5,101 570,645,613.38 92.02
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 5,713 620,125,239.56 100.00
- --------------------------------------------------------------------------------------------------------------------------
PROPERTY TYPE
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
PROPERTY TYPE OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
Single Family Residence 4,996 538,967,972.19 86.91
Condo 301 30,273,501.95 4.88
PUD 152 22,598,877.16 3.64
Manufactured Housing 193 19,523,489.56 3.15
2-4 Family 71 8,761,398.70 1.41
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 5,713 620,125,239.56 100.00
- --------------------------------------------------------------------------------------------------------------------------
ORIGINAL LOAN-TO-VALUE RATIO
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
ORIGINAL LOAN-TO-VALUE RATIO (%) OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
<= 30.00 48 2,406,942.15 0.39
30.01 - 35.00 31 2,038,774.82 0.33
35.01 - 40.00 38 2,699,964.34 0.44
40.01 - 45.00 47 2,532,636.84 0.41
45.01 - 50.00 92 7,905,843.13 1.27
50.01 - 55.00 94 8,096,211.29 1.31
55.01 - 60.00 166 15,076,802.19 2.43
60.01 - 65.00 269 25,035,325.91 4.04
65.01 - 70.00 386 37,712,578.74 6.08
70.01 - 75.00 616 62,487,267.68 10.08
75.01 - 80.00 1,366 157,285,123.93 25.36
80.01 - 85.00 1,004 111,207,497.65 17.93
85.01 - 90.00 1,141 135,284,348.38 21.82
90.01 - 95.00 414 50,301,922.51 8.11
95.01 - 100.00 1 54,000.00 0.01
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 5,713 620,125,239.56 100.00
- --------------------------------------------------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
PROGRAM
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
PROGRAM OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
Full Documentation 4,681 494,045,827.05 79.67
Limited 536 65,022,693.04 10.49
Stated Documentation 433 54,053,303.09 8.72
No Documentation 63 7,003,416.38 1.13
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 5,713 620,125,239.56 100.00
- --------------------------------------------------------------------------------------------------------------------------
FICO SCORE
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
FICO SCORE OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
Not Available 226 19,593,649.22 3.16
500 - 519 306 30,822,783.76 4.97
520 - 539 531 52,591,038.08 8.48
540 - 559 666 68,672,701.08 11.07
560 - 579 826 88,073,950.07 14.20
580 - 599 745 81,632,220.99 13.16
600 - 619 713 80,402,015.24 12.97
620 - 639 626 70,166,955.35 11.31
640 - 659 418 48,975,687.32 7.90
660 - 679 247 29,633,634.19 4.78
680 - 699 151 18,252,892.70 2.94
700 - 719 102 11,487,149.71 1.85
720 - 739 70 9,023,064.28 1.46
740 - 759 46 5,741,592.76 0.93
760 - 779 24 2,797,521.30 0.45
780 - 799 13 1,805,181.18 0.29
800 >= 3 453,202.33 0.07
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 5,713 620,125,239.56 100.00
- --------------------------------------------------------------------------------------------------------------------------
PURPOSE
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
PURPOSE OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
Purchase 2,496 283,088,437.39 45.65
Refinance - Cashout 2,709 281,417,376.88 45.38
Refinance - Rate Term 508 55,619,425.29 8.97
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 5,713 620,125,239.56 100.00
- --------------------------------------------------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
OCCUPANCY STATUS
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
OCCUPANCY STATUS OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
Primary 5,449 599,917,833.44 96.74
Investment 222 16,019,390.55 2.58
Second Home 42 4,188,015.57 0.68
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 5,713 620,125,239.56 100.00
- --------------------------------------------------------------------------------------------------------------------------
MONTH YEAR OF NEXT RATE ADJUSTMENT
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
MONTH YEAR OF NEXT RATE ADJUSTMENT OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
2001-12 1 156,789.06 0.03
2002-03 1 93,294.01 0.02
2002-04 3 431,333.56 0.09
2002-05 3 525,929.87 0.11
2002-06 2 226,672.82 0.05
2002-07 3 202,306.84 0.04
2002-09 8 403,817.49 0.08
2002-10 16 866,580.62 0.17
2002-11 11 837,205.76 0.17
2002-12 18 1,692,967.41 0.34
2003-01 18 1,828,863.77 0.37
2003-02 25 2,576,098.25 0.52
2003-03 202 22,227,273.34 4.47
2003-04 463 52,571,239.76 10.57
2003-05 476 57,385,396.69 11.54
2003-06 547 66,415,650.13 13.35
2003-07 589 68,743,269.20 13.82
2003-08 937 115,560,459.37 23.23
2003-09 306 37,269,161.93 7.49
2003-10 135 15,947,192.13 3.21
2003-11 7 686,611.08 0.14
2003-12 7 844,522.50 0.17
2004-01 8 474,735.49 0.10
2004-02 4 262,330.69 0.05
2004-03 42 3,663,614.73 0.74
2004-04 64 6,047,194.39 1.22
2004-05 88 9,692,040.21 1.95
2004-06 85 9,557,071.39 1.92
2004-07 84 8,688,685.46 1.75
2004-08 105 10,399,619.24 2.09
2004-09 10 1,137,440.60 0.23
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 4,268 497,415,367.79 100.00
- --------------------------------------------------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
GROSS MARGIN
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
GROSS MARGIN (%) OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
3.250 - 3.499 1 69,678.68 0.01
3.500 - 3.749 2 496,120.18 0.10
3.750 - 3.999 11 1,353,939.52 0.27
4.000 - 4.249 29 3,667,057.66 0.74
4.250 - 4.499 87 12,168,852.50 2.45
4.500 - 4.749 73 9,177,432.75 1.85
4.750 - 4.999 150 20,288,597.84 4.08
5.000 - 5.249 160 21,459,125.77 4.31
5.250 - 5.499 196 24,753,679.44 4.98
5.500 - 5.749 222 25,989,699.86 5.22
5.750 - 5.999 281 34,271,098.77 6.89
6.000 - 6.249 213 25,537,526.91 5.13
6.250 - 6.499 399 51,753,891.57 10.40
6.500 - 6.749 305 35,107,440.12 7.06
6.750 - 6.999 237 28,980,255.45 5.83
7.000 - 7.249 250 27,741,843.55 5.58
7.250 - 7.499 267 29,734,919.11 5.98
7.500 - 7.749 282 29,382,880.25 5.91
7.750 - 7.999 208 23,276,909.36 4.68
8.000 - 8.249 109 11,229,047.32 2.26
8.250 - 8.499 175 16,379,021.18 3.29
8.500 - 8.749 118 12,430,878.65 2.50
8.750 - 8.999 175 18,819,519.15 3.78
9.000 - 9.249 170 17,913,576.59 3.60
9.250 - 9.499 106 11,360,090.31 2.28
9.500 - 9.749 27 2,734,349.63 0.55
9.750 - 9.999 7 686,259.46 0.14
10.000 - 10.249 7 552,363.85 0.11
10.250 - 10.499 1 99,312.36 0.02
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 4,268 497,415,367.79 100.00
- --------------------------------------------------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
MAXIMUM MORTGAGE RATE
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
MAXIMUM MORTGAGE RATE (%) OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
12.500 - 12.999 5 762,338.72 0.15
13.000 - 13.499 16 2,640,736.84 0.53
13.500 - 13.999 94 15,961,526.00 3.21
14.000 - 14.499 160 23,489,208.65 4.72
14.500 - 14.999 389 53,733,752.85 10.80
15.000 - 15.499 350 44,499,235.66 8.95
15.500 - 15.999 677 86,698,739.55 17.43
16.000 - 16.499 529 62,198,182.56 12.50
16.500 - 16.999 578 64,031,952.74 12.87
17.000 - 17.499 335 35,299,913.63 7.10
17.500 - 17.999 467 46,880,661.82 9.42
18.000 - 18.499 237 22,112,293.33 4.45
18.500 - 18.999 227 21,356,015.23 4.29
19.000 - 19.499 115 10,255,724.62 2.06
19.500 - 19.999 71 6,264,339.16 1.26
20.000 - 20.499 15 1,083,688.26 0.22
20.500 - 20.999 2 115,075.66 0.02
21.000 - 21.499 1 31,982.51 0.01
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 4,268 497,415,367.79 100.00
- --------------------------------------------------------------------------------------------------------------------------
MINIMUM MORTGAGE RATE
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
MINIMUM MORTGAGE RATE (%) OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
6.500 - 6.999 9 1,300,551.74 0.26
7.000 - 7.499 20 3,387,374.48 0.68
7.500 - 7.999 120 20,712,726.95 4.16
8.000 - 8.499 178 25,908,849.73 5.21
8.500 - 8.999 427 58,437,770.60 11.75
9.000 - 9.499 371 47,094,294.01 9.47
9.500 - 9.999 690 86,925,982.08 17.48
10.000 - 10.499 533 61,174,663.09 12.30
10.500 - 10.999 558 60,551,174.30 12.17
11.000 - 11.499 300 31,782,529.53 6.39
11.500 - 11.999 424 41,808,989.51 8.41
12.000 - 12.499 228 21,131,962.73 4.25
12.500 - 12.999 213 19,984,721.05 4.02
13.000 - 13.499 114 10,159,002.54 2.04
13.500 - 13.999 68 6,022,577.52 1.21
14.000 - 14.499 14 972,289.95 0.20
14.500 - 14.999 1 59,907.98 0.01
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 4,268 497,415,367.79 100.00
- --------------------------------------------------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
INITIAL PERIODIC CAP
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
INITIAL PERIODIC CAP (%) OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
1 5 763,981.32 0.15
1.5 400 50,592,759.26 10.17
2 10 1,432,651.90 0.29
3 3,853 444,625,975.31 89.39
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 4,268 497,415,367.79 100.00
- --------------------------------------------------------------------------------------------------------------------------
ORIGINATING INSTITUTION
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
ORIGINATING INSTITUTION OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
Wells Fargo 4,583 496,916,219.21 80.13
New Century 604 69,365,602.34 11.19
Home Star 526 53,843,418.01 8.68
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 5,713 620,125,239.56 100.00
- --------------------------------------------------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
SUMMARY
GROUP II - NON-CONFORMING MORTGAGE LOANS
- -------------------------------------------------------------------------------------------------------------------------------
Number of Mortgage Loans: 352 Weighted Average FICO Score: 621
Aggregate Principal Balance: $119,014,412.37 Index Type:
Conforming Principal Balance Loans: 0.00% 6 Month LIBOR: 75.21%
Average Principal Balance: $338,109.13 Fixed Rate: 16.01%
Range: $272,899.65 - $568,705.80 1 Year Treasury: 8.79%
Weighted Average Coupon: 9.172% Weighted Average Initial Periodic Cap: 2.785%
Range: 6.000% - 13.250% Weighted Average Subsequent Periodic Cap: 1.172%
Weighted Average Gross Margin: 5.968% Weighted Average Lifetime Rate Cap: 6.122%
Range: 3.750% - 9.000% Property Type:
Weighted Average Remaining Term: 344 Single Family: 89.88%
Range: 171 - 359 PUD: 4.14%
Weighted Average Seasoning: 4.76 2-4 Family: 1.02%
Latest Maturity Date: October 2031 Condo: 3.34%
State Concentration (>5%): Manufactured Housing: 1.62%
California: 51.98% Occupancy Status:
Colorado: 7.35% Primary: 97.94%
Investment: 1.77%
Weighted Average Current LTV: 79.05% Second Home: 0.29%
Range: 31.26% - 94.92% Documentation Status:
Loans with MGIC MI: 79.28% Full: 68.88%
Originator Concentration: Limited: 14.91%
Wells Fargo Home Mortgage, Inc.: 81.58% Stated: 14.61%
New Century Mortgage Corporation: 14.35% None 1.60%
HomeStar Mortgage Services, LLC.: 4.07% Weighted Average Prepayment Penalty-Term: 31
First Liens: 100.00% Loans with Prepay Penalties: 88.61%
Non-Balloon Loans: 94.52%
- -------------------------------------------------------------------------------------------------------------------------------
COLLATERAL TYPE
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
COLLATERAL NUMBER AGGREGATE REMAINING REMAINING
TYPE OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
Fixed Rate 58 19,049,594.82 16.01
ARM 294 99,964,817.55 83.99
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 352 119,014,412.37 100.00
- --------------------------------------------------------------------------------------------------------------------------
PRINCIPAL BALANCE AT ORIGINATION
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE ORIGINAL ORIGINAL
PRINCIPAL BALANCE AT ORIGINATION ($) OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
250,000.01 - 300,000.00 118 34,017,573.00 28.50
300,000.01 - 350,000.00 112 36,625,975.00 30.68
350,000.01 - 400,000.00 89 33,738,319.00 28.27
400,000.01 - 450,000.00 19 8,060,981.00 6.75
450,000.01 - 500,000.00 11 5,273,000.00 4.42
500,000.01 - 550,000.00 2 1,077,700.00 0.90
550,000.01 - 600,000.00 1 570,500.00 0.48
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 352 119,364,048.00 100.00
- --------------------------------------------------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
REMAINING PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
REMAINING PRINCIPAL BALANCE ($) OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
250,000.01 - 300,000.00 119 34,215,542.65 28.75
300,000.01 - 350,000.00 111 36,225,045.21 30.44
350,000.01 - 400,000.00 89 33,642,014.41 28.27
400,000.01 - 450,000.00 19 8,041,925.09 6.76
450,000.01 - 500,000.00 11 5,254,573.78 4.42
500,000.01 - 550,000.00 2 1,066,605.43 0.90
550,000.01 - 600,000.00 1 568,705.80 0.48
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 352 119,014,412.37 100.00
- --------------------------------------------------------------------------------------------------------------------------
MORTGAGE RATE
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
MORTGAGE RATE (%) OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
6.000 - 6.499 1 341,344.86 0.29
6.500 - 6.999 2 617,132.64 0.52
7.000 - 7.499 8 2,711,171.07 2.28
7.500 - 7.999 47 16,247,843.32 13.65
8.000 - 8.499 40 13,582,696.00 11.41
8.500 - 8.999 72 24,701,079.96 20.75
9.000 - 9.499 42 14,160,267.83 11.90
9.500 - 9.999 64 21,790,301.15 18.31
10.000 - 10.499 22 7,546,339.16 6.34
10.500 - 10.999 33 10,999,381.44 9.24
11.000 - 11.499 8 2,443,529.95 2.05
11.500 - 11.999 9 2,691,180.20 2.26
12.000 - 12.499 2 599,156.17 0.50
12.500 - 12.999 1 281,436.41 0.24
13.000 - 13.499 1 301,552.21 0.25
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 352 119,014,412.37 100.00
- --------------------------------------------------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
STATE
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
STATE OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
California 185 61,861,143.68 51.98
Colorado 25 8,746,112.49 7.35
Minnesota 11 3,925,732.93 3.30
Maryland 12 3,890,385.62 3.27
Georgia 12 3,886,612.37 3.27
New Jersey 11 3,886,149.33 3.27
Illinois 12 3,874,678.15 3.26
Texas 10 3,757,559.14 3.16
Washington 9 3,073,607.01 2.58
Massachusetts 8 2,975,152.89 2.50
New York 7 2,366,177.49 1.99
Nevada 6 2,048,967.11 1.72
Ohio 6 1,845,368.93 1.55
Florida 5 1,607,668.40 1.35
Arizona 4 1,562,918.98 1.31
Connecticut 4 1,234,919.43 1.04
Virginia 4 1,213,612.53 1.02
New Mexico 3 926,230.48 0.78
Oregon 2 709,170.15 0.60
South Carolina 2 696,943.57 0.59
Michigan 2 647,483.63 0.54
Utah 2 644,082.41 0.54
Pennsylvania 1 497,834.08 0.42
Missouri 1 454,141.43 0.38
Louisiana 1 418,557.19 0.35
Maine 1 359,022.24 0.30
Montana 1 348,737.64 0.29
District of Columbia 1 331,879.71 0.28
Wisconsin 1 324,595.75 0.27
North Carolina 1 312,450.87 0.26
Wyoming 1 307,780.08 0.26
Indiana 1 278,736.66 0.23
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 352 119,014,412.37 100.00
- --------------------------------------------------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
MONTHS REMAINING
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
MONTHS REMAINING OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
121 - 180 23 7,636,027.96 6.42
301 - 360 329 111,378,384.41 93.58
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 352 119,014,412.37 100.00
- --------------------------------------------------------------------------------------------------------------------------
PROPERTY TYPE
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
PROPERTY TYPE OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
Single Family Residence 316 106,972,726.77 89.88
PUD 15 4,929,908.18 4.14
Condo 12 3,971,451.24 3.34
Manufactured Housing 6 1,926,777.01 1.62
2-4 Family 3 1,213,549.17 1.02
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 352 119,014,412.37 100.00
- --------------------------------------------------------------------------------------------------------------------------
ORIGINAL LOAN-TO-VALUE RATIO
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
ORIGINAL LOAN-TO-VALUE RATIO (%) OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
30.01 - 35.00 1 312,604.85 0.26
35.01 - 40.00 1 547,099.26 0.46
40.01 - 45.00 1 373,778.74 0.31
45.01 - 50.00 7 2,280,090.40 1.92
50.01 - 55.00 9 3,624,404.36 3.05
55.01 - 60.00 7 2,380,978.85 2.00
60.01 - 65.00 15 4,693,225.18 3.94
65.01 - 70.00 25 8,860,861.29 7.45
70.01 - 75.00 41 13,992,329.53 11.76
75.01 - 80.00 98 32,680,311.93 27.46
80.01 - 85.00 45 15,531,010.63 13.05
85.01 - 90.00 65 21,922,148.07 18.42
90.01 - 95.00 37 11,815,569.28 9.93
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 352 119,014,412.37 100.00
- --------------------------------------------------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
PROGRAM
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
PROGRAM OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
Full Documentation 243 81,974,331.35 68.88
Limited 53 17,746,443.53 14.91
Stated Documentation 51 17,390,683.11 14.61
No Documentation 5 1,902,954.38 1.60
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 352 119,014,412.37 100.00
- --------------------------------------------------------------------------------------------------------------------------
FICO SCORE
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
FICO SCORE OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
Not Available 6 1,922,104.81 1.62
520 - 539 15 5,077,557.22 4.27
540 - 559 20 6,276,153.47 5.27
560 - 579 40 12,600,945.76 10.59
580 - 599 55 18,706,256.94 15.72
600 - 619 53 17,917,015.02 15.05
620 - 639 59 20,675,423.61 17.37
640 - 659 35 12,031,435.07 10.11
660 - 679 24 8,212,721.40 6.90
680 - 699 18 6,078,533.03 5.11
700 - 719 12 4,204,673.04 3.53
720 - 739 6 2,005,168.36 1.68
740 - 759 7 2,556,327.17 2.15
760 - 779 2 750,097.47 0.63
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 352 119,014,412.37 100.00
- --------------------------------------------------------------------------------------------------------------------------
PURPOSE
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
PURPOSE OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 165 55,532,477.38 46.66
Purchase 159 53,876,703.88 45.27
Refinance - Rate Term 28 9,605,231.11 8.07
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 352 119,014,412.37 100.00
- --------------------------------------------------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
OCCUPANCY STATUS
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
OCCUPANCY STATUS OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
Primary 345 116,556,797.30 97.94
Investment 6 2,110,338.38 1.77
Second Home 1 347,276.69 0.29
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 352 119,014,412.37 100.00
- --------------------------------------------------------------------------------------------------------------------------
MONTH YEAR OF NEXT RATE ADJUSTMENT
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
MONTH YEAR OF NEXT RATE ADJUSTMENT OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
2002-04 2 689,518.52 0.69
2002-10 1 298,572.09 0.30
2002-11 1 282,298.07 0.28
2003-01 5 1,896,980.81 1.90
2003-02 1 547,099.26 0.55
2003-03 15 5,171,993.79 5.17
2003-04 30 10,264,607.13 10.27
2003-05 41 13,946,995.07 13.95
2003-06 33 10,879,478.58 10.88
2003-07 38 12,949,713.39 12.95
2003-08 81 27,542,996.42 27.55
2003-09 13 4,315,239.22 4.32
2003-10 5 1,757,416.88 1.76
2004-03 2 604,789.98 0.61
2004-04 4 1,260,261.02 1.26
2004-05 5 1,697,497.17 1.70
2004-06 5 1,747,910.37 1.75
2004-07 6 2,212,101.07 2.21
2004-08 6 1,899,348.71 1.90
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 294 99,964,817.55 100.00
- --------------------------------------------------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
GROSS MARGIN
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
GROSS MARGIN (%) OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
3.750 - 3.999 5 1,826,317.83 1.83
4.000 - 4.249 6 2,406,684.40 2.41
4.250 - 4.499 11 3,425,340.46 3.43
4.500 - 4.749 10 3,750,643.23 3.75
4.750 - 4.999 25 8,586,383.29 8.59
5.000 - 5.249 17 6,296,419.17 6.30
5.250 - 5.499 21 6,927,150.56 6.93
5.500 - 5.749 20 7,298,696.81 7.30
5.750 - 5.999 20 6,878,204.81 6.88
6.000 - 6.249 19 6,412,972.55 6.42
6.250 - 6.499 43 14,796,767.56 14.80
6.500 - 6.749 30 10,005,686.47 10.01
6.750 - 6.999 17 5,656,477.65 5.66
7.000 - 7.249 18 5,602,860.67 5.60
7.250 - 7.499 7 2,281,148.05 2.28
7.500 - 7.749 6 1,980,529.14 1.98
7.750 - 7.999 4 1,256,978.22 1.26
8.000 - 8.249 3 997,882.93 1.00
8.250 - 8.499 5 1,502,525.86 1.50
8.500 - 8.749 3 864,219.76 0.86
8.750 - 8.999 2 632,392.12 0.63
9.000 - 9.249 2 578,536.01 0.58
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 294 99,964,817.55 100.00
- --------------------------------------------------------------------------------------------------------------------------
MAXIMUM MORTGAGE RATE
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
MAXIMUM MORTGAGE RATE (%) OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
12.500 - 12.999 1 299,250.62 0.30
13.000 - 13.499 4 1,439,558.81 1.44
13.500 - 13.999 25 8,602,379.81 8.61
14.000 - 14.499 27 9,428,402.97 9.43
14.500 - 14.999 56 19,533,048.16 19.54
15.000 - 15.499 40 13,677,119.60 13.68
15.500 - 15.999 61 20,515,070.23 20.52
16.000 - 16.499 25 8,550,329.10 8.55
16.500 - 16.999 33 11,039,515.51 11.04
17.000 - 17.499 7 2,141,887.51 2.14
17.500 - 17.999 12 3,857,662.65 3.86
18.000 - 18.499 2 599,156.17 0.60
18.500 - 18.999 1 281,436.41 0.28
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 294 99,964,817.55 100.00
- --------------------------------------------------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
MINIMUM MORTGAGE RATE
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
MINIMUM MORTGAGE RATE (%) OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
6.000 - 6.499 1 341,344.86 0.34
6.500 - 6.999 2 617,132.64 0.62
7.000 - 7.499 5 1,802,735.83 1.80
7.500 - 7.999 30 10,532,748.70 10.54
8.000 - 8.499 30 10,512,737.79 10.52
8.500 - 8.999 61 20,924,693.37 20.93
9.000 - 9.499 39 13,241,406.55 13.25
9.500 - 9.999 55 18,737,721.60 18.74
10.000 - 10.499 21 7,197,185.45 7.20
10.500 - 10.999 31 10,343,450.47 10.35
11.000 - 11.499 7 2,141,887.51 2.14
11.500 - 11.999 9 2,691,180.20 2.69
12.000 - 12.499 2 599,156.17 0.60
12.500 - 12.999 1 281,436.41 0.28
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 294 99,964,817.55 100.00
- --------------------------------------------------------------------------------------------------------------------------
INITIAL PERIODIC CAP
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
INITIAL PERIODIC CAP (%) OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
1 1 359,022.24 0.36
1.5 38 13,422,926.08 13.43
2 2 689,518.52 0.69
3 253 85,493,350.71 85.52
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 294 99,964,817.55 100.00
- --------------------------------------------------------------------------------------------------------------------------
ORIGINATING INSTITUTION
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
ORIGINATING INSTITUTION OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
Wells Fargo 288 97,093,082.11 81.58
New Century 49 17,082,064.65 14.35
Home Star 15 4,839,265.61 4.07
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 352 119,014,412.37 100.00
- --------------------------------------------------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
BOND SUMMARY
(TO CALL)
- ------------------------------------------------------------------------------------------------------------------------------
Bond Class: A-1
CPR 0% 15% 28% 35% 45%
- ------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 (A/360) 2.503 2.503 2.503 2.503 2.503
Ave Life 20.148 5.027 2.593 1.979 1.408
Mod Dur 15.421 4.552 2.463 1.903 1.370
Window 12/01-6/30 12/01-12/14 12/01-9/08 12/01-2/07 12/01-9/05
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
Bond Class: A-2
CPR 0% 15% 28% 35% 45%
- ------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 (A/360) 2.533 2.533 2.533 2.533 2.533
Ave Life 19.879 5.010 2.588 1.976 1.407
Mod Dur 15.199 4.532 2.457 1.899 1.368
Window 12/01-6/30 12/01-12/14 12/01-9/08 12/01-2/07 12/01-9/05
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
Bond Class: A-IO
CPR 0% 15% 28% 35% 45%
- ------------------------------------------------------------------------------------------------------------------------------
Yield @ 10.904474 (30/360) 5.000 5.000 5.000 5.000 5.000
Ave Life 1.980 1.980 1.980 1.980 1.980
Mod Dur 1.114 1.114 1.114 1.114 1.114
Window 11/02-8/04 11/02-8/04 11/02-8/04 11/02-8/04 11/02-8/04
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
Bond Class: M-1
CPR 0% 15% 28% 35% 45%
- ------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 (A/360) 3.009 3.009 3.009 3.009 3.009
Ave Life 26.348 8.631 4.634 3.900 3.519
Mod Dur 18.138 7.486 4.298 3.672 3.338
Window 4/24-6/30 12/05-12/14 12/04-9/08 1/05-2/07 2/05-9/05
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
Bond Class: M-2
CPR 0% 15% 28% 35% 45%
- ------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 (A/360) 3.515 3.515 3.515 3.515 3.515
Ave Life 26.291 8.436 4.509 3.768 3.306
Mod Dur 17.069 7.173 4.133 3.513 3.116
Window 4/24-6/30 12/05-12/14 12/04-9/08 12/04-2/07 1/05-9/05
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
Bond Class: M-3
CPR 0% 15% 28% 35% 45%
- ------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 (A/360) 4.176 4.176 4.176 4.176 4.176
Ave Life 25.315 6.698 3.661 3.224 3.100
Mod Dur 15.512 5.764 3.369 3.000 2.894
Window 4/24-8/29 12/05-3/12 12/04-3/07 12/04-1/06 12/04-1/05
- ------------------------------------------------------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
BOND SUMMARY
(TO MATURITY)
- ------------------------------------------------------------------------------------------------------------------------------
Bond Class: A-1
CPR 0% 15% 28% 35% 45%
- ------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 (A/360) 2.503 2.519 2.525 2.526 2.527
Ave Life 20.197 5.415 2.834 2.168 1.545
Mod Dur 15.445 4.815 2.658 2.064 1.491
Window 12/01-6/31 12/01-7/27 12/01-2/17 12/01-11/13 12/01-8/10
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
Bond Class: A-2
CPR 0% 15% 28% 35% 45%
- ------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 (A/360) 2.534 2.551 2.557 2.559 2.560
Ave Life 19.924 5.390 2.827 2.164 1.542
Mod Dur 15.221 4.788 2.650 2.059 1.488
Window 12/01-6/31 12/01-5/27 12/01-2/17 12/01-11/13 12/01-8/10
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
Bond Class: A-IO
CPR 0% 15% 28% 35% 45%
- ------------------------------------------------------------------------------------------------------------------------------
Yield @ 10.904474 (30/360) 5.000 5.000 5.000 5.000 5.000
Ave Life 1.980 1.980 1.980 1.980 1.980
Mod Dur 1.114 1.114 1.114 1.114 1.114
Window 11/02-8/04 11/02-8/04 11/02-8/04 11/02-8/04 11/02-8/04
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
Bond Class: M-1
CPR 0% 15% 28% 35% 45%
- ------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 (A/360) 3.009 3.022 3.027 3.026 3.023
Ave Life 26.415 9.037 4.886 4.098 3.660
Mod Dur 18.167 7.753 4.500 3.838 3.462
Window 4/24-1/31 12/05-3/19 12/04-4/11 1/05-2/09 2/05-2/07
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
Bond Class: M-2
CPR 0% 15% 28% 35% 45%
- ------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 (A/360) 3.515 3.517 3.518 3.518 3.517
Ave Life 26.295 8.468 4.529 3.784 3.317
Mod Dur 17.070 7.193 4.148 3.526 3.125
Window 4/24-8/30 12/05-12/15 12/04-4/09 12/04-7/07 1/05-1/06
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
Bond Class: M-3
CPR 0% 15% 28% 35% 45%
- ------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 (A/360) 4.176 4.176 4.176 4.176 4.176
Ave Life 25.315 6.698 3.661 3.224 3.100
Mod Dur 15.512 5.764 3.369 3.000 2.894
Window 4/24-8/29 12/05-3/12 12/04-3/07 12/04-1/06 12/04-1/05
- ------------------------------------------------------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
IO SENSITIVITY TABLE
- --------------------------------------------------------------------------------------------------------------------------------
Bond Class: IO
CPR 50% 55% 57% 58% 59% 60% 61% 62%
- --------------------------------------------------------------------------------------------------------------------------------
Yield @ 10.904474 (30/360) 5.000 5.000 5.000 3.570 2.065 0.482 0.357 -1.488
Ave Life 1.980 1.980 1.980 1.947 1.913 1.880 1.877 1.841
Mod Dur 1.114 1.114 1.114 1.104 1.094 1.085 1.085 1.076
Window 11/02-8/04 11/02-8/04 11/02-8/04 11/02-7/04 11/02-6/04 11/02-5/04 11/02-5/04 11/02-4/04
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------
IO Notional Balance Schedule
IO Coupon 6.00%
Month Payment Date
----- ------------
1 12/20/01 184,785,000
2 1/20/2002 184,785,000
3 2/20/2002 184,785,000
4 3/20/2002 184,785,000
5 4/20/2002 184,785,000
6 5/20/2002 184,785,000
7 6/20/2002 184,785,000
8 7/20/2002 184,785,000
9 8/20/2002 184,785,000
10 9/20/2002 184,785,000
11 10/20/2002 184,785,000
12 11/20/2002 184,785,000
13 12/20/2002 125,655,000
14 1/20/2003 125,655,000
15 2/20/2003 125,655,000
16 3/20/2003 125,655,000
17 4/20/2003 125,655,000
18 5/20/2003 125,655,000
19 6/20/2003 125,655,000
20 7/20/2003 125,655,000
21 8/20/2003 125,655,000
22 9/20/2003 125,655,000
23 10/20/2003 125,655,000
24 11/20/2003 125,655,000
25 12/20/2003 73,915,000
26 1/20/2004 73,915,000
27 2/20/2004 73,915,000
28 3/20/2004 73,915,000
29 4/20/2004 73,915,000
30 5/20/2004 73,915,000
31 6/20/2004 73,915,000
32 7/20/2004 73,915,000
33 8/20/2004 73,915,000
34 & thereafter 9/20/2004 0
- --------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
NET WAC PASS-THROUGH RATE
- ----------------- ---------------------------------------------- -------------------------------------------------------------
Assumes that the 6 M LIBOR stays at 2.09% Assumes that the 6 M LIBOR and 1 year Treasury rate
and the 1 year Treasury rate stays at 1.97% instantaneously increase to a level beyond the
and the collateral is run at 28% CPR to call. highest maximum obtainable rate on the Mortgage
Loans and the collateral is run at 28% CPR to call.
- ----------------- ---------------------------------------------- -------------------------------------------------------------
12/20/2001 6.957 6.957
1/20/2002 6.692 6.692
2/20/2002 6.649 6.650
3/20/2002 7.314 7.314
4/20/2002 6.561 6.562
5/20/2002 6.733 6.735
6/20/2002 6.468 6.474
7/20/2002 6.634 6.639
8/20/2002 6.370 6.375
9/20/2002 6.318 6.324
10/20/2002 6.474 6.480
11/20/2002 6.211 6.217
12/20/2002 7.031 7.038
1/20/2003 6.765 6.772
2/20/2003 6.725 6.732
3/20/2003 7.400 7.407
4/20/2003 6.641 6.648
5/20/2003 6.818 6.826
6/20/2003 6.553 6.564
7/20/2003 6.723 8.644
8/20/2003 6.459 8.446
9/20/2003 6.410 8.398
10/20/2003 6.571 8.626
11/20/2003 6.308 8.297
12/20/2003 7.284 9.340
1/20/2004 7.017 9.697
2/20/2004 6.984 9.716
3/20/2004 7.429 10.350
4/20/2004 6.915 9.648
5/20/2004 7.108 9.936
6/20/2004 6.842 9.590
7/20/2004 7.030 10.816
8/20/2004 6.764 10.481
9/20/2004 8.185 11.903
10/20/2004 8.458 12.300
11/20/2004 8.185 11.905
12/20/2004 8.458 12.302
1/20/2005 8.185 12.596
2/20/2005 8.185 12.649
3/20/2005 9.062 14.010
4/20/2005 8.185 12.655
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
NET WAC PASS-THROUGH RATE (CONTINUED)
- ----------------- ---------------------------------------------- -------------------------------------------------------------
Assumes that the 6 M LIBOR stays at 2.09% Assumes that the 6 M LIBOR and 1 year Treasury rate
and the 1 year Treasury rate stays at 1.97% instantaneously increase to a level beyond the
and the collateral is run at 28% CPR to call. highest maximum obtainable rate on the Mortgage
Loans and the collateral is run at 28% CPR to call.
- ----------------- ---------------------------------------------- -------------------------------------------------------------
05/20/2005 8.458 13.077
06/20/2005 8.185 12.661
07/20/2005 8.458 13.315
08/20/2005 8.186 12.896
09/20/2005 8.186 12.901
10/20/2005 8.458 13.331
11/20/2005 8.186 12.902
12/20/2005 8.459 13.333
1/20/2006 8.186 12.904
2/20/2006 8.186 12.905
3/20/2006 9.063 14.293
4/20/2006 8.186 12.911
5/20/2006 8.459 13.342
6/20/2006 8.186 12.915
7/20/2006 8.459 13.424
8/20/2006 8.186 12.992
9/20/2006 8.186 12.996
10/20/2006 8.459 13.430
11/20/2006 8.186 12.998
12/20/2006 8.459 13.432
1/20/2007 8.186 13.000
2/20/2007 8.186 13.001
3/20/2007 9.063 14.395
4/20/2007 8.186 13.003
5/20/2007 8.459 13.437
6/20/2007 8.186 13.005
7/20/2007 8.459 13.439
8/20/2007 8.186 13.007
9/20/2007 8.186 13.008
10/20/2007 8.459 13.443
11/20/2007 8.187 13.010
12/20/2007 8.459 13.445
1/20/2008 8.187 13.012
2/20/2008 8.187 13.013
3/20/2008 8.751 13.912
4/20/2008 8.187 13.015
5/20/2008 8.460 13.450
6/20/2008 8.187 13.017
7/20/2008 8.460 13.453
8/20/2008 8.187 13.020
9/20/2008 8.187 13.021
- ----------------- ---------------------------------------------- -------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
FOR ADDITIONAL INFORMATION PLEASE CALL:
DEUTSCHE BANC ALEX. BROWN'S ASSET BACKED SECURITIES GROUP
- ---------------------------------------------------------
Nita Cherry 212-469-7773
Michael Commaroto 212-469-3114
Steve Katz 212-469-3116
Paul Mangione 212-469-5786
Ted Hsueh 212-469-6997
Ryan Stark 212-469-8473
Elizabeth Shen 212-469-7869
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary, and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by, the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.