EX-99 3 compmat2.txt ADDITIONAL EXHIBITS 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 Any information contained herein will be more fully described in, and will be fully superseded by, the preliminary prospectus supplement, if applicable, and the Final Prospectus.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.