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 9, 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described in, and will be fully superseded by, the preliminary prospectus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 9, 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 ----------------------------------
CLASS SIZE $ TYPE CALL CALL DATE (TO CALL) MOODY'S S&P FITCH
- ----------- ------------------------ ------- -------------- -------------- --------------- ----------- ------------ ----------
A $694,791,000 SEN 2.592 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 $[694,791,000] floating rate Class A 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. 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]. Approximately [73.11]% of the Mortgage 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 17, 2001.
TRUSTEE: First Union National Bank
CUSTODIANS: First Union National Bank and 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 Record Date for the Offered Certificates (other than the Class A-IO) will be the business
day immediately preceding the related Distribution Date. The Record Date for the Class A-IO
Certificates will be the last day of the month immediately preceding the month in which the
Distribution Date occurs.
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") and 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 An Overcollateralization Increase Amount for any Distribution Date is the amount of Net
AMOUNT: Monthly Excess Cashflow actually applied as an accelerated payment of principal to the
extent the required Overcollateralization Amount exceeds the current Overcollateralization
Amount.
OVERCOLLATERALIZATION An Overcollateralization Reduction Amount for any Distribution Date is the amount by which
REDUCTION AMOUNT: the Overcollateralization Amount exceeds the required Overcollateralization Amount after
taking into account all other distributions to be made on the 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
- --------------------------------------------------------------------------------
INITIAL CREDIT ENHANCEMENT The Initial 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 (which includes 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 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 & 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 For any Mortgage Loan for any Distribution Date shall be a per annum rate equal to the RATE:
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 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 Class A-IO 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.
SENIOR INTEREST DISTRIBUTION For the Class A Certificates and the Class A-IO Certificates on any Distribution Date is an
AMOUNT: amount equal to the sum of the Interest Distribution Amount for such Distribution Date for
each such class and the Interest Carry Forward Amount, if any, for such Distribution Date for
each such class.
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.
NET MONTHLY EXCESS CASHFLOW: For any Distribution Date is equal to the sum of (i) any Overcollateralization Reduction
Amount and (ii) the excess of the Available Distribution Amount over the sum of (x) with
respect to the Class A and the Class A-IO Certificates, the Senior Interest Distribution
Amount for such Distribution Date, (y) with respect to the Subordinate Certificates, the
Interest Distribution Amount for such Distribution Date and (z) the amount of principal
required to be distributed to the holders of the Offered Certificates on 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
- --------------------------------------------------------------------------------
- -------------------------------- ----------------------------------------------------------------------------------------------
INTEREST DISTRIBUTIONS: On each Distribution Date, interest shall be payable to the Offered Certificates from the
Available Distribution Amount in the following order of priority:
first, to the holders of the Class A and Class A-IO Certificates, the Senior Interest
Distribution Amount allocable to each class;
second, to the holders of the Class M-1 Certificates, the Interest Distribution Amount
allocable to the Class M-1 Certificates;
third, to the holders of the Class M-2 Certificates, the Interest Distribution Amount
allocable to the Class M-2 Certificates; and
fourth, to the holders of the Class M-3 Certificates, the Interest Distribution Amount
allocable to the Class M-3 Certificates.
In the event that the Available Distribution is insufficient to pay the full amount of the
Senior Interest Distribution Amount or the Interest Distribution Amount, as applicable, to a
class of Offered Certificates, the amount of such shortfall (the "Interest Carry Forward
Amount") together with any Interest Carry Forward Amounts from previous Distribution Dates
will bear interest at the pass-through rate applicable to the affected Offered Certificates
and will be paid to the applicable Offered Certificates on subsequent Distribution Dates to
the extent funds are available therefor.
On any Distribution Date, distributions of the Senior Interest Distribution Amount or the
Interest Distribution Amount, as applicable, for a class of Certificates will be made in
respect of that class of Certificates on a pari passu basis, based on the Certificate
Principal Balance of the Certificates of such class.
PRINCIPAL DISTRIBUTION AMOUNT: The Principal Distribution Amount for any Distribution Date will be the lesser of:
(a) the excess of the Available Distribution Amount over the sum of (i) the Senior
Interest Distribution Amount for the Class A and Class A-IO Certificates and (ii)
the Interest Distribution Amount for the Subordinate Certificates; and
(b) the sum of:
(i) the principal portion of all scheduled monthly payments on the Mortgage Loans
actually received or advanced on or prior to the related Determination Date;
(ii) the principal portion of all proceeds received in respect of the repurchase of a
Mortgage Loan, or, in the case of a substitution, amounts representing a principal
adjustment 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 net of reimbursements, including
reimbursements to the Trustee, Master Servicer and the Sub-servicers, to the extent
applied as recoveries of principal on the Mortgage Loans;
(iv) the principal portion of any Realized Losses incurred or deemed to have been
incurred on any Mortgage Loans during the Prepayment Period to the extent covered by
Net Monthly Excess Cashflow for the Distribution Date; and
(v) the amount of any Overcollateralization Increase Amount for the Distribution Date;
MINUS
(vi) the amount of any Overcollateralization Reduction Amount for the 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: On each Distribution Date, the Principal Distribution Amount will be distributed to the
holders of the Certificates then entitled to principal distributions. In no event will the
Principal Distribution Amount with respect to any Distribution Date be less than zero or
greater than the then outstanding aggregate Certificate Principal Balance of the Offered
Certificates.
On each Distribution Date prior to the Stepdown Date or on which a Trigger Event is in
effect, the Principal Distribution Amount shall be distributed:
first, to the Class A Certificates, until the Certificate Principal Balance of the
Class A Certificates has been reduced to zero;
second, to the Class M-1 Certificates, until the Certificate Principal Balance of
the Class M-1 Certificates has been reduced to zero;
third, to the Class M-2 Certificates, until the Certificate Principal Balance of the
Class M-2 Certificates has been reduced to zero; and
fourth, to the Class M-3 Certificates, until the Certificate Principal Balance of
the Class M-3 Certificates has been reduced to zero; and
On each Distribution Date on or after the
Stepdown Date and on which a Trigger Event is
not in effect, the holders of each class of
Offered Certificates (other than the Class A-IO
Certificates) shall be entitled to receive
distributions in respect of principal to the
extent of the Principal Distribution Amount in
the following amounts and order of priority:
first, the lesser of (x) the Principal Distribution Amount and (y) the Class A
Principal Distribution Amount, shall be distributed to the holders of the
Class A Certificates, until the Certificate Principal Balance of the Class A
Certificates has been reduced to zero;
second, the lesser of (x) the excess of (i) the Principal Distribution Amount over
(ii) the amount distributed to the holders of the Class A Certificates under
clause first above, and (y) the Class M-1 Principal Distribution Amount, shall
be distributed 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; and
third, the lesser of (x) the excess of (i) the Principal Distribution Amount over
(ii) the sum of the amounts distributed to the holders of the Class A
Certificates under clause first above and to the holders of the Class M-1
Certificates under clause second above, and (y) the Class M-2 Principal
Distribution Amount, shall be distributed 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
fourth, the lesser of (x) the excess of (i) the Principal Distribution Amount over
(ii) the sum of the amounts distributed to the holders of the Class A
Certificates under clause first above, to the holders of the Class M-1
Certificates under clause second above, and to the holders of the Class M-2
Certificates under clause third above and (y) the Class M-3 Principal
Distribution Amount, shall be distributed 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.
- -------------------------------- ----------------------------------------------------------------------------------------------
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 PRINCIPAL The Class A Principal Distribution Amount is an amount equal DISTRIBUTION AMOUNT: to the excess
of (x) the Certificate Principal Balance of the Class A Certificates immediately prior to the
Distribution Date over (y) the lesser of (A) the product of (i) [88.00]% and (ii) the aggregate
principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the
aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period
minus $[3,695,698].
CLASS M-1 PRINCIPAL
DISTRIBUTION AMOUNT: For any Distribution Date is an amount equal to the excess the Class A Certificates after taking
into account payments of (x) the sum of (i) the Certificate Principal Balances of of principal
to the holders of the Class A Certificates 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
DISTRIBUTION AMOUNT: For any Distribution Date is an amount equal to the excess the Class A Certificates after taking
into account payments of (x) the sum of (i) the Certificate Principal Balances of of principal
to the holders of the Class A Certificates on such Distribution Date, (ii) the Certificate
Principal Balance of the Class M-1 Certificates (after taking into account payments of principal
to the holders of the Class M-1 Certificates on such Distribution 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].
CLASS M-3 PRINCIPAL
DISTRIBUTION AMOUNT: For any Distribution Date is an amount equal to the excess the Class A Certificates after taking
into account payments of (x) the sum of (i) the Certificate Principal Balances of of principal
to the holders of the Class A Certificates on such Distribution Date, (ii) the Certificate
Principal Balance of the Class M-1 Certificates (after taking into account payments of principal
to the holders of the Class M-1 Certificates on such Distribution Date), (iii) the Certificate
Principal Balance of the Class M-2 Certificates (after taking into account payments of principal
to the holders of the Class M-2 Certificates on such Distribution 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].
- ----------------------------- -------------------------------------------------------------------------------------------------
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
- --------------------------------------------------------------------------------
- -------------------------------- ----------------------------------------------------------------------------------------------
TRIGGER EVENT: 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 (which includes 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 principal 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 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
and 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:
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 Offered 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.
ACE SECURITIES CORP. DEUTSCHE BANC ALEX. BROWN@
HOME EQUITY LOAN TRUST, SERIES 2001-HE1
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
(CUT-OFF DATE)
SUMMARY
- ------------------------------------------------------------------------------------------------------------------------------
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: 87.40%
Range: 114 - 360 PUD: 3.72%
Weighted Average Seasoning: 4.60 2-4 Family: 3.67%
Latest Maturity Date: November 2031 Condo: 4.62%
State Concentration (>5%): Manufactured Housing: 0.58%
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%
- ------------------------------------------------------------------------------------------------------------------------------
ORIGINATING INSTITUTION
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
ORIGINATING NUMBER AGGREGATE REMAINING REMAINING
INSTITUTION OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
Wells Fargo 4,871 594,009,301.32 80.36
New Century 653 86,447,666.99 11.70
Home Star 541 58,682,683.62 7.94
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,065 739,139,651.93 100.00
- --------------------------------------------------------------------------------------------------------------------------
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
- --------------------------------------------------------------------------------
COLLATERAL TYPE
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
COLLATERAL NUMBER AGGREGATE REMAINING REMAINING
TYPE OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
Fixed Rate 1,503 141,759,466.59 19.18
ARM 4,562 597,380,185.34 80.82
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,065 739,139,651.93 100.00
- --------------------------------------------------------------------------------------------------------------------------
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 4.22
50,000.01 - 100,000.00 2,162 160,587,946.00 21.66
100,000.01 - 150,000.00 1,392 171,415,086.00 23.12
150,000.01 - 200,000.00 777 134,751,327.00 18.18
200,000.01 - 250,000.00 403 89,771,987.00 12.11
250,000.01 - 300,000.00 242 66,770,196.00 9.01
300,000.01 - 350,000.00 116 37,937,975.00 5.12
350,000.01 - 400,000.00 89 33,738,319.00 4.55
400,000.01 - 450,000.00 19 8,060,981.00 1.09
450,000.01 - 500,000.00 11 5,273,000.00 0.71
500,000.01 - 550,000.00 2 1,077,700.00 0.15
550,000.01 - 600,000.00 1 570,500.00 0.08
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,065 741,259,213.00 100.00
- --------------------------------------------------------------------------------------------------------------------------
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 4.25
50,000.01 - 100,000.00 2,159 160,130,498.88 21.66
100,000.01 - 150,000.00 1,394 171,430,992.89 23.19
150,000.01 - 200,000.00 774 134,062,530.35 18.14
200,000.01 - 250,000.00 401 89,132,426.98 12.06
250,000.01 - 300,000.00 243 66,881,850.01 9.05
300,000.01 - 350,000.00 115 37,533,582.52 5.08
350,000.01 - 400,000.00 89 33,642,014.41 4.55
400,000.01 - 450,000.00 19 8,041,925.09 1.09
450,000.01 - 500,000.00 11 5,254,573.78 0.71
500,000.01 - 550,000.00 2 1,066,605.43 0.14
550,000.01 - 600,000.00 1 568,705.80 0.08
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,065 739,139,651.93 100.00
- --------------------------------------------------------------------------------------------------------------------------
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 0.05
6.500 - 6.999 17 3,064,049.03 0.41
7.000 - 7.499 37 7,118,424.57 0.96
7.500 - 7.999 245 47,294,435.30 6.40
8.000 - 8.499 307 50,270,382.80 6.80
8.500 - 8.999 669 101,417,475.62 13.72
9.000 - 9.499 529 71,655,547.86 9.69
9.500 - 9.999 973 127,801,828.93 17.29
10.000 - 10.499 717 80,972,056.30 10.95
10.500 - 10.999 765 84,723,193.18 11.46
11.000 - 11.499 406 41,483,498.84 5.61
11.500 - 11.999 538 51,523,990.54 6.97
12.000 - 12.499 287 25,042,969.55 3.39
12.500 - 12.999 289 24,421,405.62 3.30
13.000 - 13.499 152 12,553,075.79 1.70
13.500 - 13.999 106 7,962,488.78 1.08
14.000 - 14.499 21 1,197,338.34 0.16
14.500 - 14.999 6 296,146.02 0.04
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,065 739,139,651.93 100.00
- --------------------------------------------------------------------------------------------------------------------------
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 884 180,744,697.73 24.45
Colorado 310 49,182,538.17 6.65
Texas 374 37,088,345.27 5.02
Florida 343 34,510,640.02 4.67
Minnesota 259 31,150,271.11 4.21
Ohio 296 28,822,235.10 3.90
Georgia 231 28,185,648.53 3.81
Arizona 277 27,960,324.40 3.78
Michigan 292 27,536,105.57 3.73
Washington 168 24,569,015.50 3.32
Illinois 208 24,269,522.24 3.28
New Jersey 155 22,911,164.95 3.10
New York 157 17,743,205.09 2.40
Tennessee 200 15,820,609.28 2.14
Massachusetts 95 15,520,703.94 2.10
Maryland 111 14,973,389.81 2.03
Pennsylvania 193 12,847,778.45 1.74
South Carolina 131 11,855,537.28 1.60
Wisconsin 128 10,916,574.90 1.48
North Carolina 92 9,511,192.26 1.29
Connecticut 72 8,976,436.60 1.21
Indiana 116 8,645,649.74 1.17
Oregon 57 7,293,416.83 0.99
Nebraska 84 7,238,179.80 0.98
Nevada 51 7,140,733.83 0.97
Missouri 78 6,265,233.99 0.85
Louisiana 61 5,763,856.52 0.78
Virginia 44 5,578,482.52 0.75
Kentucky 51 5,323,862.93 0.72
Montana 54 4,890,913.00 0.66
Utah 40 4,862,503.86 0.66
New Mexico 45 4,765,417.91 0.64
Mississippi 49 3,609,597.79 0.49
Iowa 44 3,489,715.75 0.47
New Hampshire 30 3,292,867.42 0.45
Oklahoma 44 2,952,920.09 0.40
Idaho 32 2,938,706.23 0.40
Wyoming 30 2,603,771.22 0.35
Rhode Island 26 2,584,854.21 0.35
Alaska 15 1,926,003.47 0.26
Maine 15 1,889,343.19 0.26
Alabama 22 1,615,809.20 0.22
Hawaii 10 1,504,945.61 0.20
Kansas 22 1,478,104.09 0.20
Delaware 9 1,308,170.16 0.18
Arkansas 20 1,305,684.23 0.18
District of Columbia 8 1,130,443.13 0.15
West Virginia 13 1,034,698.48 0.14
Vermont 8 781,563.15 0.11
North Dakota 5 426,702.92 0.06
South Dakota 6 401,564.46 0.05
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,065 739,139,651.93 100.00
- --------------------------------------------------------------------------------------------------------------------------
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 0.02
121 - 180 618 56,046,524.30 7.58
181 - 240 11 790,560.10 0.11
241 - 300 2 102,594.83 0.01
301 - 360 5,430 682,023,997.79 92.27
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,065 739,139,651.93 100.00
- --------------------------------------------------------------------------------------------------------------------------
PROPERTY TYPE
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
PROPERTY TYPE OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
Single Family Residence 5,313 646,009,447.69 87.4
Condo 312 34,176,204.46 4.62
PUD 167 27,528,785.34 3.72
2-4 Family 220 27,162,725.69 3.67
Manufactured Housing 53 4,262,488.75 0.58
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,065 739,139,651.93 100.00
- --------------------------------------------------------------------------------------------------------------------------
ORIGINAL LOAN-TO-VALUE RATIO
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
ORIGINAL LOAN-TO-VALUE NUMBER AGGREGATE REMAINING REMAINING
RATIO (%) OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
<= 30.00 48 2,406,942.15 0.33
30.01 - 35.00 32 2,351,379.67 0.32
35.01 - 40.00 39 3,247,063.60 0.44
40.01 - 45.00 48 2,906,415.58 0.39
45.01 - 50.00 99 10,185,933.53 1.38
50.01 - 55.00 103 11,720,615.65 1.59
55.01 - 60.00 173 17,457,781.04 2.36
60.01 - 65.00 284 29,728,551.09 4.02
65.01 - 70.00 411 46,573,440.03 6.30
70.01 - 75.00 657 76,479,597.21 10.35
75.01 - 80.00 1,464 189,965,435.86 25.70
80.01 - 85.00 1,049 126,738,508.28 17.15
85.01 - 90.00 1,206 157,206,496.45 21.27
90.01 - 95.00 451 62,117,491.79 8.40
95.01 - 100.00 1 54,000.00 0.01
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,065 739,139,651.93 100.00
- --------------------------------------------------------------------------------------------------------------------------
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 4,924 576,020,158.40 77.93
Limited 589 82,769,136.57 11.20
Stated Documentation 484 71,443,986.20 9.67
No Documentation 68 8,906,370.76 1.20
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,065 739,139,651.93 100.00
- --------------------------------------------------------------------------------------------------------------------------
FICO SCORE
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
FICO NUMBER AGGREGATE REMAINING REMAINING
SCORE OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
<= 499 232 21,515,754.03 2.91
500 - 519 306 30,822,783.76 4.17
520 - 539 546 57,668,595.30 7.80
540 - 559 686 74,948,854.55 10.14
560 - 579 866 100,674,895.83 13.62
580 - 599 800 100,338,477.93 13.58
600 - 619 766 98,319,030.26 13.30
620 - 639 685 90,842,378.96 12.29
640 - 659 453 61,007,122.39 8.25
660 - 679 271 37,846,355.59 5.12
680 - 699 169 24,331,425.73 3.29
700 - 719 114 15,691,822.75 2.12
720 - 739 76 11,028,232.64 1.49
740 - 759 53 8,297,919.93 1.12
760 - 779 26 3,547,618.77 0.48
780 - 799 13 1,805,181.18 0.24
800 >= 3 453,202.33 0.06
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,065 739,139,651.93 100.00
- --------------------------------------------------------------------------------------------------------------------------
PURPOSE
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
PURPOSE OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
Purchase 2,655 336,965,141.27 45.59
Refinance - Cashout 2,874 336,949,854.26 45.59
Refinance - Rate Term 536 65,224,656.40 8.82
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,065 739,139,651.93 100.00
- --------------------------------------------------------------------------------------------------------------------------
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 5,794 716,474,630.74 96.93
Investment 228 18,129,728.93 2.45
Second Home 43 4,535,292.26 0.61
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,065 739,139,651.93 100.00
- --------------------------------------------------------------------------------------------------------------------------
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 5 1,120,852.08 0.19
2002-05 3 525,929.87 0.09
2002-06 2 226,672.82 0.04
2002-07 3 202,306.84 0.03
2002-09 8 403,817.49 0.07
2002-10 17 1,165,152.71 0.20
2002-11 12 1,119,503.83 0.19
2002-12 18 1,692,967.41 0.28
2003-01 23 3,725,844.58 0.62
2003-02 26 3,123,197.51 0.52
2003-03 217 27,399,267.13 4.59
2003-04 493 62,835,846.89 10.52
2003-05 517 71,332,391.76 11.94
2003-06 580 77,295,128.71 12.94
2003-07 627 81,692,982.59 13.68
2003-08 1,018 143,103,455.79 23.96
2003-09 319 41,584,401.15 6.96
2003-10 140 17,704,609.01 2.96
2003-11 7 686,611.08 0.11
2003-12 7 844,522.50 0.14
2004-01 8 474,735.49 0.08
2004-02 4 262,330.69 0.04
2004-03 44 4,268,404.71 0.71
2004-04 68 7,307,455.41 1.22
2004-05 93 11,389,537.38 1.91
2004-06 90 11,304,981.76 1.89
2004-07 90 10,900,786.53 1.82
2004-08 111 12,298,967.95 2.06
2004-09 10 1,137,440.60 0.19
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 4,562 597,380,185.34 100.00
- --------------------------------------------------------------------------------------------------------------------------
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 0.08
3.750 - 3.999 16 3,180,257.35 0.53
4.000 - 4.249 35 6,073,742.06 1.02
4.250 - 4.499 98 15,594,192.96 2.61
4.500 - 4.749 83 12,928,075.98 2.16
4.750 - 4.999 175 28,874,981.13 4.83
5.000 - 5.249 177 27,755,544.94 4.65
5.250 - 5.499 217 31,680,830.00 5.30
5.500 - 5.749 242 33,288,396.67 5.57
5.750 - 5.999 301 41,149,303.58 6.89
6.000 - 6.249 232 31,950,499.46 5.35
6.250 - 6.499 442 66,550,659.13 11.14
6.500 - 6.749 335 45,113,126.59 7.55
6.750 - 6.999 254 34,636,733.10 5.80
7.000 - 7.249 268 33,344,704.22 5.58
7.250 - 7.499 274 32,016,067.16 5.36
7.500 - 7.749 288 31,363,409.39 5.25
7.750 - 7.999 212 24,533,887.58 4.11
8.000 - 8.249 112 12,226,930.25 2.05
8.250 - 8.499 180 17,881,547.04 2.99
8.500 - 8.749 121 13,295,098.41 2.23
8.750 - 8.999 177 19,451,911.27 3.26
9.000 - 9.249 172 18,492,112.60 3.10
9.250 - 9.499 106 11,360,090.31 1.90
9.500 - 9.749 27 2,734,349.63 0.46
9.750 - 9.999 7 686,259.46 0.11
10.000 - 10.249 7 552,363.85 0.09
10.250 - 10.499 1 99,312.36 0.02
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 4,562 597,380,185.34 100.00
- --------------------------------------------------------------------------------------------------------------------------
INITIAL PERIODIC CAP
- --------------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER AGGREGATE REMAINING REMAINING
INITIAL PERIODIC CAP (%) OF MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------------------------
1 6 1,123,003.56 0.19
1.5 438 64,015,685.34 10.72
2 12 2,122,170.42 0.36
3 4,106 530,119,326.02 88.74
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 4,562 597,380,185.34 100.00
- --------------------------------------------------------------------------------------------------------------------------
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 6 1,061,589.34 0.18
13.000 - 13.499 20 4,080,295.65 0.68
13.500 - 13.999 119 24,563,905.81 4.11
14.000 - 14.499 187 32,917,611.62 5.51
14.500 - 14.999 445 73,266,801.01 12.26
15.000 - 15.499 390 58,176,355.26 9.74
15.500 - 15.999 738 107,213,809.78 17.95
16.000 - 16.499 554 70,748,511.66 11.84
16.500 - 16.999 611 75,071,468.25 12.57
17.000 - 17.499 342 37,441,801.14 6.27
17.500 - 17.999 479 50,738,324.47 8.49
18.000 - 18.499 239 22,711,449.50 3.80
18.500 - 18.999 228 21,637,451.64 3.62
19.000 - 19.499 115 10,255,724.62 1.72
19.500 - 19.999 71 6,264,339.16 1.05
20.000 - 20.499 15 1,083,688.26 0.18
20.500 - 20.999 2 115,075.66 0.02
21.000 - 21.499 1 31,982.51 0.01
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 4,562 597,380,185.34 100.00
- --------------------------------------------------------------------------------------------------------------------------
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 0.06
6.500 - 6.999 11 1,917,684.38 0.32
7.000 - 7.499 25 5,190,110.31 0.87
7.500 - 7.999 150 31,245,475.65 5.23
8.000 - 8.499 208 36,421,587.52 6.10
8.500 - 8.999 488 79,362,463.97 13.29
9.000 - 9.499 410 60,335,700.56 10.10
9.500 - 9.999 745 105,663,703.68 17.69
10.000 - 10.499 554 68,371,848.54 11.45
10.500 - 10.999 589 70,894,624.77 11.87
11.000 - 11.499 307 33,924,417.04 5.68
11.500 - 11.999 433 44,500,169.71 7.45
12.000 - 12.499 230 21,731,118.90 3.64
12.500 - 12.999 214 20,266,157.46 3.39
13.000 - 13.499 114 10,159,002.54 1.70
13.500 - 13.999 68 6,022,577.52 1.01
14.000 - 14.499 14 972,289.95 0.16
14.500 - 14.999 1 59,907.98 0.01
- --------------------------------------------------------------------------------------------------------------------------
TOTAL: 4,562 597,380,185.34 100.00
- --------------------------------------------------------------------------------------------------------------------------
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
CPR 0% 15% 28% 35% 45%
- ------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 (A/360) 2.553 2.553 2.553 2.553 2.553
Ave Life 20.108 5.025 2.592 1.979 1.408
Mod Dur 15.313 4.540 2.459 1.901 1.369
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 26.349 8.632 4.634 3.900 3.519
Mod Dur 18.139 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 26.293 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 25.317 6.699 3.661 3.224 3.100
Mod Dur 15.513 5.765 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
CPR 0% 15% 28% 35% 45%
- ------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 (A/360) 2.554 2.572 2.579 2.581 2.582
Ave Life 20.156 5.411 2.833 2.168 1.544
Mod Dur 15.337 4.800 2.653 2.061 1.490
Window 12/01-6/31 12/01-7/27 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 26.416 9.038 4.887 4.098 3.660
Mod Dur 18.167 7.754 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 26.297 8.469 4.529 3.784 3.317
Mod Dur 17.071 7.194 4.149 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 25.317 6.699 3.661 3.224 3.100
Mod Dur 15.513 5.765 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
(TO CALL)
- --------------------------------------------------------------------------------------------------------------------------------
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 6.691 6.691
2/20/2002 6.649 6.649
3/20/2002 7.313 7.314
4/20/2002 6.561 6.561
5/20/2002 6.732 6.733
6/20/2002 6.468 6.473
7/20/2002 6.633 6.639
8/20/2002 6.369 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 7.037
1/20/2003 6.765 6.771
2/20/2003 6.725 6.731
3/20/2003 7.400 7.407
4/20/2003 6.641 6.647
5/20/2003 6.817 6.824
6/20/2003 6.552 6.564
7/20/2003 6.723 8.596
8/20/2003 6.458 8.446
9/20/2003 6.409 8.397
10/20/2003 6.571 8.626
11/20/2003 6.307 8.297
12/20/2003 7.284 9.340
1/20/2004 7.017 9.679
2/20/2004 6.983 9.716
3/20/2004 7.428 10.350
4/20/2004 6.914 9.648
5/20/2004 7.107 9.933
6/20/2004 6.841 9.589
7/20/2004 7.029 10.797
8/20/2004 6.763 10.480
9/20/2004 8.184 11.902
10/20/2004 8.457 12.300
11/20/2004 8.185 11.904
12/20/2004 8.457 12.301
1/20/2005 8.185 12.578
2/20/2005 8.185 12.649
3/20/2005 9.061 14.009
4/20/2005 8.185 12.654
- ------------------------------------------------------------------------------------------------------------------------------
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 8.457 13.077
06/20/2005 8.185 12.661
07/20/2005 8.457 13.311
08/20/2005 8.185 12.895
09/20/2005 8.185 12.900
10/20/2005 8.458 13.331
11/20/2005 8.185 12.902
12/20/2005 8.458 13.333
1/20/2006 8.185 12.904
2/20/2006 8.185 12.905
3/20/2006 9.062 14.293
4/20/2006 8.185 12.910
5/20/2006 8.458 13.342
6/20/2006 8.185 12.915
7/20/2006 8.458 13.424
8/20/2006 8.185 12.992
9/20/2006 8.185 12.996
10/20/2006 8.458 13.430
11/20/2006 8.185 12.998
12/20/2006 8.458 13.432
1/20/2007 8.185 12.999
2/20/2007 8.185 13.000
3/20/2007 9.062 14.394
4/20/2007 8.185 13.002
5/20/2007 8.458 13.437
6/20/2007 8.185 13.004
7/20/2007 8.458 13.439
8/20/2007 8.185 13.006
9/20/2007 8.185 13.007
10/20/2007 8.458 13.442
11/20/2007 8.185 13.009
12/20/2007 8.458 13.444
1/20/2008 8.185 13.012
2/20/2008 8.185 13.013
3/20/2008 8.750 13.911
4/20/2008 8.185 13.015
5/20/2008 8.458 13.450
6/20/2008 8.185 13.017
7/20/2008 8.458 13.452
8/20/2008 8.186 13.019
9/20/2008 8.186 13.020
- ----------------- ---------------------------------------------- -------------------------------------------------------------
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.