SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
----------------------
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934
Date of Report (Date of earliest event reported): July 25, 1997
Block Mortgage Finance, Inc.
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(Exact name of registrant as specified in its charter)
Delaware
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State or other jurisdiction of incorporation)
333-14041 43-1758633
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(Commission File Number) (IRS Employer Identification No.)
4435 Main Street, Suite 500, Kansas City, Missouri 64111
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(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code: (816) 435-5000
Not applicable
- -------------------------------------------------------------------------------
(Former name or former address, if changed since last report)
ITEM 7. FINANCIAL STATEMENTS, PRO FORMA FINANCIAL
INFORMATION AND EXHIBITS
Exhibit 24 Consent of Independent Accountants.
Exhibit 99 Computational Materials Relating to Block Financial
Corporation Series 1997-2.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as
amended, the Registrant has duly caused this report to be signed on its behalf
by the undersigned hereunto duly authorized.
BLOCK MORTGAGE FINANCE, INC., as
Registrant
Date: July 25, 1997 By: /s/ Bret G. Wilson
_________________________________________
Bret G. Wilson, Executive Vice President
<PAGE>
EXHIBIT INDEX
Exhibit No. Description
24 Consent of Independent
Accountants.
99 Computational Materials
Relating to Block Financial
Corporation Series 1997-2.
CONSENT OF INDEPENDENT ACCOUNTANTS
We consent to the incorporation by reference in this Prospectus Supplement of
our report dated February 3, 1997, on our audits of the consolidated financial
statements of MBIA Insurance Corporation and Subsidiaries as of December 31,
1996 and 1995 and for each of the three years in the period ended December 31,
1996. We also consent to the reference to our firm under the caption "Report of
Experts."
Coopers & Lybrand L.L.P.
July 25, 1997
New York, New York
<PAGE>
- -------------------------------------------------------------------
Morgan Stanley DEAN WITTER July 23, 1997
Asset Finance Group
ABS/MBS Capital Markets
- -------------------------------------------------------------------
ABS New Transaction
Computational Materials
$215,000,000
Block Mortgage Finance
Asset Backed Certificates
Series 1997-2
- -------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
$215,000,000 Block Mortgage Finance Asset Backed Certificates
Series 1997-2
Block Financial Corporation
Master Servicer
Companion Mortgage Corporation
Seller
Transaction Highlights
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
Expected Legal Final Payment Window to Price
Class Size Ratings Loan Group Average Life Maturity Date 10% Call(3) Talk
Class(1)(2) (millions) (Moodys/S&P) to 10% Call(3) (months) Benchmark (bps)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
A-1 $45.257 Aaa/AAA Fixed 1.04 years [ ] 26 (8/97 to 9/99) 5.25% of 7/98 +[ ]
A-2 $24.719 Aaa/AAA Fixed 3.00 years [ ] 25 (9/99 to 9/01) 3-Year UST +[ ]
A-3 $12.592 Aaa/AAA Fixed 5.00 years [ ] 24 (9/01 to 8/03) 5-Year UST +[ ]
A-4 $17.238 Aaa/AAA Fixed 8.17 years [ ] 33 (8/03 to 4/06) 6.50% of 8/05 +[ ]
A-5 $11.089 Aaa/AAA Fixed 6.62 years [ ] 69 (8/00 to 4/06) 5.875% of 2/04 +[ ]
A-6 $104.105 Aaa/AAA Floating 2.98 years [ ] 105 (8/97 to 4/06) 1-Month LIBOR +[ ]
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Total $215.000 Aaa/AAA -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) The Class A1 through Class A-5 certificates are backed by a fixed rate pool
of home equity loans and the Class A-6 certificates by an adjustable rate
pool of home equity loans.
(2) Interest on the Class A1 - A-5 certificates is computed based on a 30/360
basis, and on the Class A-6 certificates based on an actual/360 basis.
(3) See "Prepayment Speed" below.
Seller: Companion Mortgage Corporation
Master Servicer: Block Financial Corporation
Trustee: Bankers Trust Company of California, N.A.
Collateral: Fixed and adjustable rate nonconforming home
equity loans secured by first and second
lien mortgages.
Prepayment Speed:
Fixed Rate Certificates: All classes are priced at 100% of the
prepayment assumption ("PPC"). 100% PPC
describes prepayments starting at 3.0% CPR
in month 1, increasing by approximately
1.545% CPR per month to 20% CPR in month 12,
and remaining at 20% CPR thereafter.
Adjustable Rate Certificates: Constant 25% CPR
Expected Pricing Date: July 24-25, 1997
Expected Settlement: July 30, 1997 through DTC, Euroclear or CEDEL
Distribution Dates: The 25th of each month, beginning August
25, 1997
Class A-6 Available Funds Cap: The Class A-6 certificates pay LIBOR
plus a spread capped at the weighted
average coupon on the adjustable rate loans
in a given month, less approximately 0.78%
per annum prior to the 7th payment date,
and less approximately 1.28% per annum
thereafter.
Certificate Insurance Policy: 100% coverage of principal and interest due
to certificates, provided by MBIA Insurance
Corporation.
Option and Auction Call: 10% Clean-up call (10% of pool balance)
followed by a mandatory auction call.
Coupon Step-Up: If 10% clean-up call option is not exercised
then, as an incentive to exercise the call,
(i) the Class A-4 and A-5 pass-through
rates increase by 0.75%, and (ii) the Class
A-6 certificate spread to LIBOR doubles.
Tax Status: REMIC
ERISA Eligibility: The Class A certificates will be ERISA
eligible.
SMMEA Eligibility: None of the Class A Certificates are SMMEA
eligible.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
Average Life Sensitivity to Changes in Prepayment Rates
Fixed Rate Classes: Priced to 10% Optional Call
<S> <C> <C> <C> <C> <C>
---------------------------------------------------------------
Prepayment Speed PPC PPC PPC(1) PPC 150% PPC
0% 75% 100% 200%
---------------------------------------------------------------
Class A-1 @ Price 100/00
---------------------------------------------------------------
Average Life 8.18 1.31 1.04 0.76 0.62
---------------------------------------------------------------
First Prin 8/25/97 8/25/97 8/25/97 8/25/97 8/25/97
---------------------------------------------------------------
Last Prin 4/25/12 4/25/00 9/25/99 1/25/99 9/25/98
---------------------------------------------------------------
Payment Window 177 33 26 18 14
---------------------------------------------------------------
Mod Duration 5.73 1.20 0.97 0.72 0.59
---------------------------------------------------------------
Class A-2 @ Price 100/00
---------------------------------------------------------------
Average Life 14.74 3.99 3.00 2.00 1.49
---------------------------------------------------------------
First Prin 4/25/12 4/25/00 9/25/99 1/25/99 9/25/98
---------------------------------------------------------------
Last Prin 4/25/12 2/25/03 9/25/01 3/25/00 6/25/99
---------------------------------------------------------------
Payment Window 1 35 25 15 10
---------------------------------------------------------------
Mod Duration 9.16 3.39 2.63 1.81 1.38
---------------------------------------------------------------
Class A-3 @ Price 100/00
---------------------------------------------------------------
Average Life 18.34 7.07 5.00 3.15 2.23
---------------------------------------------------------------
First Prin 4/25/12 2/25/03 9/25/01 3/25/00 6/25/99
---------------------------------------------------------------
Last Prin 4/25/20 9/25/06 8/25/03 4/25/01 3/25/00
---------------------------------------------------------------
Payment Window 97 44 24 14 10
---------------------------------------------------------------
Mod Duration 10.08 5.41 4.10 2.75 2.00
---------------------------------------------------------------
Class A-4 @ Price 100/00
---------------------------------------------------------------
Average Life 26.33 10.22 8.17 5.39 3.64
---------------------------------------------------------------
First Prin 4/25/20 9/25/06 8/25/03 4/25/01 3/25/00
---------------------------------------------------------------
Last Prin 10/25/25 11/25/07 4/25/06 8/25/04 10/25/03
---------------------------------------------------------------
Payment Window 67 15 33 41 44
---------------------------------------------------------------
Mod Duration 11.50 7.03 5.98 4.30 3.09
---------------------------------------------------------------
Class A-5 @ Price 100/00
---------------------------------------------------------------
Average Life 11.38 7.17 6.62 5.79 5.18
---------------------------------------------------------------
First Prin 8/25/00 8/25/00 8/25/00 8/25/00 8/25/00
---------------------------------------------------------------
Last Prin 4/25/12 11/25/07 4/25/06 8/25/04 10/25/03
---------------------------------------------------------------
Payment Window 141 88 69 49 39
---------------------------------------------------------------
Mod Duration 7.56 5.43 5.11 4.61 4.21
---------------------------------------------------------------
</TABLE>
Note: (1) Prepayment scenarios are quoted as a percentage of the prepayment
assumption "PPC" (a 100% PPC prepayment assumption has prepayments starting at
3.0% CPR in month 1, increasing by approximately 1.545% CPR per month to 20% CPR
in month 12, and remaining at 20% CPR thereafter), with regard to the fixed rate
group. The fixed rate group assumes 100% PPC.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
Average Life Sensitivity to Changes in Prepayment Rates (cont.)
Floating Rate Class: Priced to 10% Optional Call
CPR (%)
<S> <C> <C> <C> <C> <C>
--------------------------------------------------------------
0% 18% 25%(1) 32% 40%
--------------------------------------------------------------
Class A-6 @ Price 100/00
--------------------------------------------------------------
Average Life 20.55 4.06 2.98 2.32 1.79
--------------------------------------------------------------
First Prin 8/25/97 8/25/97 8/25/97 8/25/97 8/25/97
--------------------------------------------------------------
Last Prin 10/25/25 11/25/07 4/25/06 7/25/05 12/25/04
--------------------------------------------------------------
Payment Window 339 124 105 96 89
--------------------------------------------------------------
Mod Duration 11.04 3.32 2.54 2.03 1.61
--------------------------------------------------------------
</TABLE>
Note: (1) Class A-6 assumes a constant prepayment speed of 25% CPR.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
Average Life Sensitivity to Changes in Prepayment Rates
Fixed Rate Classes: Priced to Maturity
<S> <C> <C> <C> <C> <C>
---------------------------------------------------------------
Prepayment Speed PPC PPC PPC(1) PPC 150% PPC
0% 75% 100% 200%
---------------------------------------------------------------
Class A-1 @ Price 100/00
---------------------------------------------------------------
Average Life 8.18 1.31 1.04 0.76 0.62
---------------------------------------------------------------
First Prin 8/25/97 8/25/97 8/25/97 8/25/97 8/25/97
--------------------------------------------------------------
Last Prin 4/25/12 4/25/00 9/25/99 1/25/99 9/25/98
---------------------------------------------------------------
Payment Window 177 33 26 18 14
---------------------------------------------------------------
Mod Duration 5.73 1.20 0.97 0.72 0.59
---------------------------------------------------------------
Class A-2 @ Price 100/00
---------------------------------------------------------------
Average Life 14.74 3.99 3.00 2.00 1.49
---------------------------------------------------------------
First Prin 4/25/12 4/25/00 9/25/99 1/25/99 9/25/98
---------------------------------------------------------------
Last Prin 4/25/12 2/25/03 9/25/01 3/25/00 6/25/99
---------------------------------------------------------------
Payment Window 1 35 25 15 10
---------------------------------------------------------------
Mod Duration 9.16 3.39 2.63 1.81 1.38
---------------------------------------------------------------
Class A-3 @ Price 100/00
---------------------------------------------------------------
Average Life 18.34 7.07 5.00 3.15 2.23
---------------------------------------------------------------
First Prin 4/25/12 2/25/03 9/25/01 3/25/00 6/25/99
---------------------------------------------------------------
Last Prin 4/25/20 9/25/06 8/25/03 4/25/01 3/25/00
---------------------------------------------------------------
Payment Window 97 44 24 14 10
---------------------------------------------------------------
Mod Duration 10.08 5.41 4.10 2.75 2.00
---------------------------------------------------------------
Class A-4 @ Price 100/00
---------------------------------------------------------------
Average Life 26.44 12.77 10.04 5.98 3.64
---------------------------------------------------------------
First Prin 4/25/20 9/25/06 8/25/03 4/25/01 3/25/00
---------------------------------------------------------------
Last Prin 10/25/26 10/25/16 8/25/12 9/25/09 6/25/06
---------------------------------------------------------------
Payment Window 79 122 109 102 76
---------------------------------------------------------------
Mod Duration 11.52 8.05 6.82 4.61 3.09
---------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
---------------------------------------------------------------
Class A-5 @ Price 100/00
---------------------------------------------------------------
Average Life 11.38 7.28 6.77 6.05 5.50
---------------------------------------------------------------
First Prin 8/25/00 8/25/00 8/25/00 8/25/00 8/25/00
---------------------------------------------------------------
Last Prin 4/25/12 4/25/12 4/25/12 7/25/09 6/25/06
---------------------------------------------------------------
Payment Window 141 141 141 108 71
---------------------------------------------------------------
Mod Duration 7.56 5.48 5.19 4.76 4.40
---------------------------------------------------------------
</TABLE>
Note: (1) Prepayment scenarios are quoted as a percentage
of the prepayment assumption "PPC" (a 100% PPC prepayment assumption
has prepayments starting at 3.0% CPR in month 1, increasing by approximately
1.545% CPR per month to 20% CPR in month 12, and remaining at 20% CPR
thereafter), with regard to the fixed rate group. The fixed rate group
assumes 100% PPC.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
Average Life Sensitivity to Changes in Prepayment Rates (cont.)
Floating Rate Class: Priced to Maturity
CPR (%)
<S> <C> <C> <C> <C> <C>
------------------------------------------------------------------
0% 18% 25%(1) 32% 40%
------------------------------------------------------------------
Class A-6 @ Price 100/00
------------------------------------------------------------------
Average Life 20.66 4.44 3.13 2.37 1.80
------------------------------------------------------------------
First Prin 8/25/97 8/25/97 8/25/97 8/25/97 8/25/97
------------------------------------------------------------------
Last Prin 4/25/27 7/25/18 11/25/12 3/25/09 6/25/06
------------------------------------------------------------------
Payment Window 357 252 184 140 107
------------------------------------------------------------------
Mod Duration 11.06 3.49 2.62 2.06 1.61
------------------------------------------------------------------
</TABLE>
Note: (1) Class A-6 assumes a constant prepayment speed of 25% CPR.
- -------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
BLOCK MORTGAGE FINANCE, SERIES 1997-2
Fixed Rate Pool
<S> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Remaining Principal Mortgage Principal Weighted Average Current Original Cashout Full Owner
Balance Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
=< 4,999 1 182.13 0.00 10.05 182 85.77 100.00 100.00 100.00
5,000 - 24,999 817 14,307,223.88 12.90 12.90 17,512 86.24 91.06 97.84 96.94
25,000 - 34,999 385 11,402,072.69 10.28 12.27 29,616 82.80 77.57 96.26 92.90
35,000 - 44,999 294 11,678,789.58 10.53 11.73 39,724 82.16 62.18 95.28 90.25
45,000 - 54,999 231 11,474,260.67 10.35 11.47 49,672 79.69 52.74 93.65 95.63
55,000 - 64,999 180 10,695,608.32 9.64 11.16 59,420 80.34 41.74 91.09 91.68
65,000 - 74,999 134 9,301,957.10 8.39 10.91 69,418 84.12 45.13 84.43 95.70
75,000 - 84,999 95 7,572,561.31 6.83 10.90 79,711 80.89 48.15 88.31 95.56
85,000 - 94,999 50 4,503,315.05 4.06 10.80 90,066 82.41 35.80 94.13 94.10
95,000 - 104,999 46 4,560,428.47 4.11 10.95 99,140 80.89 47.48 78.41 97.89
105,000 - 114,999 32 3,506,393.99 3.16 10.77 109,575 82.22 40.69 93.59 100.00
115,000 - 124,999 30 3,578,983.78 3.23 10.76 119,299 82.32 30.02 93.36 100.00
125,000 - 134,999 21 2,698,085.34 2.43 10.96 128,480 80.22 28.38 85.76 90.47
135,000 - 144,999 8 1,123,555.35 1.01 10.88 140,444 81.54 25.67 100.00 100.00
145,000 - 154,999 17 2,544,863.59 2.29 10.64 149,698 78.98 17.42 93.99 76.54
155,000 - 164,999 13 2,072,638.94 1.87 10.53 159,434 81.12 45.67 92.43 92.52
165,000 - 174,999 4 683,186.29 0.62 9.94 170,797 76.70 25.61 75.41 100.00
175,000 - 184,999 7 1,257,076.46 1.13 10.55 179,582 82.46 42.64 85.89 100.00
185,000 - 194,999 8 1,517,453.57 1.37 10.82 189,682 84.25 37.68 100.00 100.00
205,000 - 214,999 5 1,055,280.30 0.95 10.30 211,056 81.45 - 100.00 100.00
215,000 - 224,999 2 433,019.78 0.39 9.46 216,510 89.72 49.81 100.00 100.00
225,000 - 234,999 4 928,606.09 0.84 11.37 232,152 73.55 49.58 100.00 100.00
235,000 - 244,999 2 476,589.57 0.43 9.82 238,295 84.96 - 100.00 100.00
245,000 - 254,999 2 506,831.76 0.46 11.24 253,416 80.77 50.03 100.00 100.00
255,000 - 264,999 3 776,385.86 0.70 10.56 258,795 78.92 - 100.00 100.00
265,000 - 274,999 1 267,996.84 0.24 10.40 267,997 90.00 - 100.00 100.00
275,000 - 284,999 2 559,000.00 0.50 11.29 279,500 79.93 - 100.00 50.81
285,000 - 294,999 1 293,250.00 0.26 12.38 293,250 85.00 - 100.00 100.00
305,000 - 314,999 1 307,800.00 0.28 10.93 307,800 90.00 - 100.00 100.00
335,000 - 344,999 1 340,000.00 0.31 8.99 340,000 80.00 - 100.00 100.00
465,000 - 474,999 1 472,322.11 0.43 10.75 472,322 75.00 - 100.00 100.00
**Total** 2,398 110,895,718.80 100.00 11.42 46,245 82.15 52.69 92.74 94.45
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
BLOCK MORTGAGE FINANCE, SERIES 1997-2
Fixed Rate Pool
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Mortgage Rates Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
7.501 - 7.750 2 175,217.79 0.16 7.70 87,609 59.83 31.96 68.04 100.00
7.751 - 8.000 2 251,829.76 0.23 8.00 125,915 79.77 - 33.29 100.00
8.001 - 8.250 4 310,059.64 0.28 8.18 77,515 63.26 66.20 100.00 100.00
8.251 - 8.500 11 1,183,954.85 1.07 8.43 107,632 77.24 42.24 100.00 100.00
8.501 - 8.750 16 1,231,650.16 1.11 8.69 76,978 78.80 36.02 94.07 100.00
8.751 - 9.000 63 3,820,835.94 3.45 8.95 60,648 76.08 50.20 84.62 97.72
9.001 - 9.250 25 1,624,140.10 1.46 9.15 64,966 76.79 63.92 88.68 88.39
9.251 - 9.500 82 4,611,244.38 4.16 9.42 56,235 73.60 42.65 96.19 98.64
9.501 - 9.750 46 2,976,785.43 2.68 9.69 64,713 74.65 27.14 94.26 88.59
9.751 - 10.000 195 10,737,473.04 9.68 9.92 55,064 80.97 50.57 86.86 95.50
10.001 - 10.250 93 5,955,027.69 5.37 10.18 64,033 78.05 36.58 94.81 95.91
10.251 - 10.500 57 3,807,516.79 3.43 10.42 66,799 80.38 36.52 93.13 90.99
10.501 - 10.750 110 5,780,996.74 5.21 10.66 52,555 77.21 33.41 93.62 87.16
10.751 - 11.000 117 8,434,167.26 7.61 10.93 72,087 82.74 27.29 92.04 89.75
11.001 - 11.250 89 5,560,427.95 5.01 11.16 62,477 82.60 45.63 90.72 92.80
11.251 - 11.500 164 7,512,197.47 6.77 11.39 45,806 83.13 48.66 97.20 93.30
11.501 - 11.750 128 6,850,104.55 6.18 11.67 53,516 81.95 45.84 88.12 91.73
11.751 - 12.000 138 5,976,267.53 5.39 11.93 43,306 82.07 52.35 88.78 93.26
12.001 - 12.250 142 5,251,591.86 4.74 12.18 36,983 84.41 65.31 92.24 94.13
12.251 - 12.500 82 4,050,089.57 3.65 12.43 49,391 84.63 55.22 96.02 98.84
12.501 - 12.750 52 2,853,733.86 2.57 12.68 54,879 86.39 55.75 89.38 96.97
12.751 - 13.000 75 3,065,498.85 2.76 12.93 40,873 80.03 63.75 93.91 91.39
13.001 - 13.250 33 1,615,681.23 1.46 13.19 48,960 79.62 67.78 96.75 98.64
13.251 - 13.500 74 1,894,731.43 1.71 13.47 25,604 84.05 86.03 100.00 95.09
13.501 - 13.750 38 1,195,551.12 1.08 13.68 31,462 83.40 81.90 96.98 96.98
13.751 - 14.000 175 4,459,805.39 4.02 13.97 25,485 95.15 93.57 99.64 99.64
14.001 - 14.250 140 3,335,220.32 3.01 14.22 23,823 91.89 91.08 98.85 98.73
14.251 - 14.500 61 1,563,218.67 1.41 14.48 25,627 90.25 89.93 100.00 100.00
14.501 - 14.750 23 513,268.43 0.46 14.70 22,316 88.20 85.22 100.00 100.00
14.751 - 15.000 74 2,030,422.40 1.83 14.99 27,438 87.48 82.02 89.98 100.00
15.001 - 15.250 17 431,838.97 0.39 15.20 25,402 82.36 84.44 100.00 100.00
15.251 - 15.500 27 765,713.27 0.69 15.47 28,360 98.47 100.00 100.00 100.00
15.501 - 15.750 13 300,242.65 0.27 15.72 23,096 84.30 100.00 100.00 100.00
15.751 - 16.000 16 335,201.89 0.30 15.98 20,950 104.33 100.00 100.00 100.00
16.001 - 16.250 4 124,820.16 0.11 16.10 31,205 74.40 100.00 100.00 100.00
16.251 - 16.500 8 248,391.68 0.22 16.49 31,049 110.77 85.91 100.00 100.00
16.501 - 16.750 1 44,300.00 0.04 16.53 44,300 99.97 100.00 100.00 100.00
16.751 - 17.000 1 16,500.00 0.01 16.99 16,500 88.84 100.00 100.00 -
**Total** 2,398 110,895,718.80 100.00 11.42 46,245 82.15 52.69 92.74 94.45
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
BLOCK MORTGAGE FINANCE, SERIES 1997-2
Fixed Rate Pool
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Months Remaining to Mortgage Principal Principal Average Current Original Cashout Full Owner
Scheduled Maturity Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
Less than 50 1 51,531.66 0.05 8.50 51,532 84.19 - 100.00 100.00
50 to 59 7 150,791.72 0.14 10.72 21,542 84.60 74.05 100.00 100.00
60 to 119 47 1,120,093.21 1.01 12.02 23,832 78.22 78.82 100.00 100.00
120 to 179 1,659 63,984,026.69 57.70 11.77 38,568 83.74 59.91 98.74 96.68
180 to 239 208 10,231,363.23 9.23 11.37 49,189 80.43 69.58 74.04 94.81
240 to 299 10 424,405.20 0.38 12.60 42,441 56.89 74.45 59.24 100.00
300 to 359 385 29,496,600.11 26.60 10.83 76,615 82.02 27.04 93.09 90.80
360 81 5,436,907.00 4.90 10.52 67,122 70.00 67.94 56.22 85.47
**Total** 2,398 110,895,718.80 100.00 11.42 46,245 82.15 52.69 92.74 94.45
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Principal Average Current Original Cashout Full Owner
Loan Purpose Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
Refinance - Cashout 1,628 58,429,310.76 52.69 11.91 35,890 82.92 100.00 89.02 97.07
Refinance - Rate Term 476 29,862,957.79 26.93 11.00 62,737 79.56 - 98.63 89.63
Purchase 294 22,603,450.27 20.38 10.73 76,882 83.58 - 94.58 94.03
**Total** 2,398 110,895,718.80 100.00 11.42 46,245 82.15 52.69 92.74 94.45
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Principal Average Current Original Cashout Full Owner
Occupancy Status Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
Owner Occupied 2,273 104,736,367.30 94.45 11.44 46,078 82.63 54.15 92.81 100.00
Non-Owner Occupied 125 6,159,351.50 5.55 11.08 49,275 74.05 27.80 91.48 -
**Total** 2,398 110,895,718.80 100.00 11.42 46,245 82.15 52.69 92.74 94.45
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
BLOCK MORTGAGE FINANCE, SERIES 1997-2
Fixed Rate Pool
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Principal Average Current Original Cashout Full Owner
Property Types Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
Single Family Residence 2,310 105,788,999.60 95.40 11.44 45,796 82.41 53.35 93.30 95.59
2-4 Family 34 2,565,593.12 2.31 11.22 75,459 73.63 29.92 83.54 50.26
PUD 25 1,346,346.79 1.21 10.56 53,854 81.32 64.06 67.52 100.00
Condo 25 988,479.35 0.89 11.63 39,539 80.36 25.51 94.83 82.78
Manufactured Housing 4 206,300.00 0.19 11.39 51,575 69.52 50.90 74.31 78.04
**Total** 2,398 110,895,718.80 100.00 11.42 46,245 82.15 52.69 92.74 94.45
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Lien Position Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
1st Lien 1,110 76,409,266.77 68.90 10.84 68,837 79.41 34.23 91.81 92.47
2nd Lien 1,288 34,486,452.05 31.10 12.72 26,775 88.21 93.58 94.79 98.81
**Total** 2,398 110,895,718.80 100.00 11.42 46,245 82.15 52.69 92.74 94.45
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Number Aggregate % of Weighted Average Weighted Percent Percent Percent
of Principal Aggregate Average Current Average Cashout Full Owner
Mortgage Balance Principal Coupon Balance Original Refi Doc Occupied
Loans Balance CLTV
===========================================================================================================================
Florida 513 20,785,800.26 18.74 11.55 40,518 81.24 40.48 90.40 94.10
Georgia 251 14,330,394.48 12.92 11.20 57,093 84.85 37.69 88.17 89.40
Colorado 297 14,041,937.54 12.66 11.50 47,279 82.86 68.17 99.88 99.70
Illinois 251 10,368,737.19 9.35 12.04 41,310 85.05 69.93 97.59 95.45
Tennessee 173 8,035,980.70 7.25 11.53 46,451 84.16 39.61 100.00 94.94
North Carolina 148 7,136,297.15 6.44 11.28 48,218 82.42 47.82 100.00 96.13
South Carolina 144 6,473,638.37 5.84 11.42 44,956 84.37 33.21 100.00 98.52
Virginia 137 5,408,320.30 4.88 11.38 39,477 83.40 70.77 98.34 94.79
Indiana 102 3,665,771.28 3.31 11.26 35,939 78.55 74.51 92.32 97.88
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
BLOCK MORTGAGE FINANCE, SERIES 1997-2
Fixed Rate Pool
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Number Aggregate % of Weighted Average Weighted Percent Percent Percent
of Principal Aggregate Average Current Average Cashout Full Owner
Mortgage Balance Principal Coupon Balance Original Refi Doc Occupied
Loans Balance CLTV
===========================================================================================================================
California- 29 2,859,058.38 2.58 10.63 98,588 78.16 47.98 81.20 91.73
Southern
California- 33 2,193,103.41 1.98 11.68 66,458 79.65 35.33 92.52 98.13
Northern
Maryland 47 1,763,558.00 1.59 12.19 37,523 86.57 71.76 91.44 91.68
Ohio 19 1,667,386.51 1.50 11.18 87,757 74.49 28.80 93.92 56.39
Utah 35 1,457,217.37 1.31 12.10 41,635 79.39 74.15 83.71 97.37
Kentucky 23 1,102,315.44 0.99 11.20 47,927 85.35 65.58 100.00 100.00
Pennsylvania 27 1,091,037.26 0.98 10.37 40,409 79.52 80.22 95.77 100.00
New Jersey 24 884,239.59 0.80 9.70 36,843 84.31 84.65 86.68 100.00
New York 12 767,489.96 0.69 10.83 63,957 69.14 83.52 39.97 91.34
Massachusetts 22 744,554.81 0.67 10.19 33,843 79.89 64.73 81.92 86.23
Louisiana 8 521,025.00 0.47 11.44 65,128 75.64 81.05 37.28 100.00
Arizona 8 518,719.91 0.47 10.87 64,840 70.07 29.00 65.48 100.00
Mississippi 12 463,420.68 0.42 12.62 38,618 81.05 52.98 100.00 100.00
Washington 6 451,417.86 0.41 10.68 75,236 73.88 80.11 59.77 100.00
Michigan 6 426,498.85 0.38 10.81 71,083 72.35 100.00 56.94 69.23
Texas 4 414,883.72 0.37 11.64 103,721 79.34 - 100.00 100.00
Missouri 9 408,253.06 0.37 12.03 45,361 82.71 58.99 90.94 100.00
Wisconsin 11 380,926.66 0.34 11.55 34,630 80.66 57.28 75.34 100.00
Maine 7 326,190.47 0.29 9.50 46,599 65.17 89.15 79.49 100.00
Connecticut 5 320,807.78 0.29 9.19 64,162 62.64 83.74 68.83 100.00
Oregon 5 290,350.00 0.26 10.08 58,070 68.17 64.22 52.14 85.74
Nevada 4 239,167.48 0.22 10.95 59,792 82.59 52.88 69.46 100.00
Rhode Island 3 188,000.00 0.17 10.03 62,667 56.18 100.00 25.53 100.00
District of 3 185,500.97 0.17 11.65 61,834 82.07 100.00 68.95 53.42
Columbia
Delaware 2 147,884.89 0.13 11.71 73,942 76.66 100.00 100.00 100.00
New Hampshire 4 133,127.37 0.12 10.94 33,282 71.79 55.31 55.31 55.31
New Mexico 3 132,763.84 0.12 11.40 44,255 58.34 - 100.00 100.00
Iowa 2 117,070.80 0.11 10.89 58,535 74.82 100.00 100.00 100.00
Idaho 2 88,222.54 0.08 12.55 44,111 85.43 100.00 39.92 100.00
Hawaii 1 84,000.00 0.08 10.45 84,000 54.19 100.00 100.00 -
Montana 1 80,000.00 0.07 10.99 80,000 64.00 100.00 - 100.00
Oklahoma 2 66,049.88 0.06 12.25 33,025 70.77 100.00 100.00 100.00
Arkansas 1 60,000.00 0.05 12.15 60,000 88.24 - 100.00 100.00
South Dakota 1 39,349.06 0.04 10.99 39,349 80.00 100.00 100.00 100.00
Wyoming 1 35,250.00 0.03 10.20 35,250 64.09 100.00 100.00 100.00
**Total** 2,398 110,895,718.80 100.00 11.42 46,245 82.15 52.69 92.74 94.45
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
BLOCK MORTGAGE FINANCE, SERIES 1997-2
Fixed Rate Pool
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Number of Aggregate % of Weighted Average Weighted Percent Percent Percent
Calendar Year of Mortgage Principal Aggregate Average Current Average Cashout Full Owner
Origination Loans Balance Principal Coupon Balance Original Refi Doc Occupied
Balance CLTV
1993 1 13,825.26 0.01 10.00 13,825 71.70 - 100.00 100.00
1994 16 1,113,957.67 1.00 9.58 69,622 92.79 81.74 29.89 94.52
1995 27 1,848,574.73 1.67 10.08 68,466 89.78 48.07 65.62 100.00
1996 171 8,449,822.18 7.62 11.19 49,414 83.80 44.95 95.96 97.83
1997 2,183 99,469,538.98 89.70 11.49 45,566 81.75 53.11 93.67 94.05
**Total** 2,398 110,895,718.80 100.00 11.42 46,245 82.15 52.69 92.74 94.45
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Combined Original Loan- Mortgage Principal Principal Average Current Original Cashout Full Owner
to-Value Ratios Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
0.000 - 9.999 4 68,571.13 0.06 12.37 17,143 9.25 100.00 100.00 100.00
10.000 - 19.999 16 341,149.13 0.31 13.12 21,322 15.12 75.79 100.00 100.00
20.000 - 29.999 15 431,514.04 0.39 13.15 28,768 23.72 97.08 91.66 100.00
30.000 - 39.999 20 749,058.90 0.68 10.94 37,453 35.24 66.96 91.52 100.00
40.000 - 49.999 29 1,031,331.11 0.93 10.43 35,563 44.48 63.03 77.50 98.84
50.000 - 59.999 60 2,598,346.26 2.34 10.26 43,306 54.57 60.62 81.63 87.83
60.000 - 69.999 142 7,743,813.87 6.98 10.48 54,534 65.07 54.85 81.45 90.02
70.000 - 74.999 143 8,823,914.75 7.96 11.03 61,706 71.90 47.18 84.91 87.31
75.000 - 79.999 218 12,238,327.53 11.04 10.83 56,139 76.94 42.09 87.96 85.93
80.000 - 84.999 400 20,048,861.06 18.08 10.96 50,122 81.13 46.73 93.59 89.69
85.000 - 89.999 540 22,803,005.40 20.56 11.61 42,228 87.39 57.71 98.67 99.35
90.000 - 94.999 479 24,483,966.64 22.08 11.57 51,115 90.36 44.33 96.12 100.00
95.000 - 99.999 168 5,273,847.06 4.76 13.31 31,392 97.73 77.41 92.60 100.00
100.000 - 104.999 110 2,708,942.95 2.44 13.89 24,627 100.01 90.08 97.36 100.00
105.000 - 109.999 9 234,770.76 0.21 15.54 26,086 108.04 100.00 100.00 100.00
110.000 - 114.999 10 318,730.92 0.29 15.04 31,873 111.68 100.00 100.00 100.00
115.000 - 119.999 12 388,638.29 0.35 15.02 32,387 117.57 100.00 100.00 100.00
120.000 - 124.999 20 537,971.75 0.49 15.09 26,899 123.42 88.85 100.00 100.00
125.000 >= 3 70,957.27 0.06 15.66 23,652 125.00 100.00 100.00 100.00
**Total** 2,398 110,895,718.80 100.00 11.42 46,245 82.15 52.69 92.74 94.45
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
BLOCK MORTGAGE FINANCE, SERIES 1997-2
Fixed Rate Pool
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Junior Loan Ratios Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
=< 0.000 1 24,963.08 0.07 13.99 24,963 121.25 - 100.00 100.00
0.001 - 5.000 2 17,112.19 0.05 9.60 8,556 84.61 100.00 100.00 100.00
5.001 - 10.000 43 713,247.46 2.07 13.27 16,587 89.08 97.48 100.00 100.00
10.001 - 15.000 207 3,910,132.76 11.34 12.49 18,890 88.01 92.57 98.04 98.23
15.001 - 20.000 332 7,615,369.00 22.08 12.14 22,938 89.86 91.48 97.22 99.57
20.001 - 25.000 228 5,791,506.75 16.79 13.21 25,401 90.54 89.86 97.39 97.59
25.001 - 30.000 179 4,980,166.81 14.44 13.33 27,822 91.20 92.14 96.91 99.27
30.001 - 35.000 117 4,183,545.69 12.13 13.04 35,757 87.70 97.36 90.29 100.00
35.001 - 40.000 77 2,777,419.87 8.05 12.71 36,070 84.83 98.22 92.14 98.51
40.001 - 45.000 36 1,487,196.69 4.31 12.64 41,311 85.24 100.00 85.60 98.56
45.001 - 50.000 21 848,340.36 2.46 12.23 40,397 82.34 100.00 78.78 97.76
50.001 - 55.000 10 474,265.67 1.38 12.09 47,427 82.85 100.00 79.76 95.01
55.001 - 60.000 10 429,085.77 1.24 12.38 42,909 84.94 100.00 100.00 100.00
60.001 - 65.000 5 197,972.41 0.57 11.88 39,594 77.28 100.00 77.27 100.00
65.001 - 70.000 6 295,533.08 0.86 11.05 49,256 75.70 83.08 100.00 100.00
70.001 - 75.000 10 500,723.11 1.45 11.88 50,072 69.15 91.65 91.62 94.87
80.001 - 85.000 2 149,393.12 0.43 12.02 74,697 81.66 100.00 100.00 100.00
90.001 - 95.000 2 90,478.23 0.26 10.63 45,239 86.54 100.00 100.00 100.00
**Total** 1,288 34,486,452.05 100.00 12.72 26,775 88.21 93.58 94.79 98.81
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Product Type Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
Balloon - 15/30 576 37,170,358.16 33.52 11.13 64,532 83.08 43.77 96.19 95.70
Fixed - 10 Year 47 1,050,293.21 0.95 12.11 22,347 77.77 77.41 100.00 100.00
Fixed - 15 Year 1,177 32,811,215.20 29.59 12.29 27,877 82.84 80.40 93.77 97.02
Fixed - 20 Year 121 4,614,770.23 4.16 12.19 38,139 87.46 65.82 96.25 98.28
Fixed - 25 Year 5 203,915.20 0.18 12.53 40,783 46.87 72.58 100.00 100.00
Fixed - 30 Year 466 34,933,507.11 31.50 10.78 74,965 80.15 33.41 87.35 89.97
Fixed - 5 Year 6 111,659.71 0.10 11.39 18,610 82.71 100.00 100.00 100.00
**Total** 2,398 110,895,718.80 100.00 11.42 46,245 82.15 52.69 92.74 94.45
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
BLOCK MORTGAGE FINANCE, SERIES 1997-2
ARM Pool
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Remaining Mortgage Principal Principal Average Current Original Cashout Full Owner
Principal Balance Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
=< 14,999 1 12,000.00 0.01 12.350 12,000 33.80 100.00 100.00 100.00
15,000 - 24,999 9 201,296.93 0.19 11.581 22,366 68.26 35.02 56.77 55.78
25,000 - 34,999 39 1,183,192.55 1.14 11.178 30,338 68.25 40.14 63.97 72.67
35,000 - 44,999 60 2,400,807.77 2.32 10.963 40,013 70.96 40.99 69.65 74.58
45,000 - 54,999 70 3,514,801.18 3.39 10.559 50,211 71.49 41.63 73.06 78.35
55,000 - 64,999 93 5,580,520.31 5.38 10.319 60,006 76.10 33.16 69.76 87.97
65,000 - 74,999 108 7,607,466.52 7.34 10.266 70,440 76.24 36.95 71.33 87.84
75,000 - 84,999 110 8,759,708.97 8.45 10.260 79,634 78.81 29.07 76.52 90.04
85,000 - 94,999 71 6,372,291.26 6.15 10.425 89,751 79.64 22.76 76.11 94.28
95,000 - 104,999 77 7,635,276.68 7.37 10.278 99,159 79.24 24.47 75.37 92.24
105,000 - 114,999 64 7,013,059.37 6.77 10.254 109,579 79.82 24.95 67.07 95.22
115,000 - 124,999 47 5,589,979.75 5.39 10.313 118,936 80.62 19.37 80.85 97.92
125,000 - 134,999 43 5,572,132.52 5.38 10.416 129,584 80.18 25.83 67.55 97.68
135,000 - 144,999 25 3,503,104.11 3.38 9.903 140,124 81.86 24.05 83.78 100.00
145,000 - 154,999 26 3,917,437.52 3.78 10.141 150,671 82.36 22.91 80.89 96.12
155,000 - 164,999 36 5,757,556.70 5.55 10.232 159,932 82.55 44.60 77.72 100.00
165,000 - 174,999 10 1,702,678.91 1.64 10.099 170,268 80.00 40.16 79.84 90.31
175,000 - 184,999 12 2,153,094.85 2.08 10.035 179,425 78.52 33.18 75.22 91.87
185,000 - 194,999 19 3,595,061.11 3.47 10.091 189,214 78.19 42.24 57.81 100.00
195,000 - 204,999 15 2,984,096.91 2.88 10.348 198,940 73.53 53.58 60.02 93.45
205,000 - 214,999 12 2,515,785.90 2.43 10.233 209,649 78.80 41.73 75.06 91.80
215,000 - 224,999 7 1,528,671.19 1.47 10.014 218,382 83.59 28.61 71.69 100.00
225,000 - 234,999 5 1,139,003.11 1.10 9.787 227,801 71.36 80.11 39.86 80.03
235,000 - 244,999 5 1,186,667.98 1.14 9.547 237,334 83.92 39.88 80.11 100.00
245,000 - 254,999 5 1,246,592.20 1.20 10.047 249,318 78.76 20.05 79.95 100.00
255,000 - 264,999 3 781,765.19 0.75 9.606 260,588 84.77 66.63 66.74 100.00
265,000 - 274,999 10 2,705,209.96 2.61 10.186 270,521 79.61 39.77 30.04 89.86
285,000 - 294,999 1 287,000.00 0.28 10.990 287,000 70.00 - - -
295,000 - 304,999 1 297,941.06 0.29 11.125 297,941 79.79 - 100.00 100.00
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
BLOCK MORTGAGE FINANCE, SERIES 1997-2
ARM Pool
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Remaining Mortgage Principal Principal Average Current Original Cashout Full Owner
Principal Balance Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
305,000 - 314,999 3 919,341.38 0.89 10.054 306,447 69.70 66.50 33.23 100.00
315,000 - 324,999 1 315,000.00 0.30 8.000 315,000 76.83 - 100.00 100.00
325,000 - 334,999 1 332,000.00 0.32 9.550 332,000 80.00 100.00 100.00 100.00
335,000 - 344,999 2 680,000.00 0.66 9.674 340,000 80.00 - 50.59 100.00
345,000 - 354,999 2 699,900.00 0.68 10.445 349,950 64.10 - 49.99 100.00
355,000 - 364,999 4 1,446,065.12 1.39 10.023 361,516 72.53 - 50.15 100.00
365,000 - 374,999 2 735,100.00 0.71 9.771 367,550 79.99 50.06 100.00 100.00
375,000 - 384,999 1 376,882.79 0.36 11.625 376,883 65.00 - 100.00 100.00
425,000 - 434,999 1 429,982.33 0.41 8.750 429,982 75.00 100.00 - 100.00
485,000 - 494,999 1 488,000.00 0.47 8.600 488,000 80.00 - - 100.00
495,000 - 504,999 1 499,000.00 0.48 10.850 499,000 52.53 100.00 - -
**Total** 1,003 103,665,472.10 100.00 10.248 103,355 78.16 32.40 70.10 92.31
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
BLOCK MORTGAGE FINANCE, SERIES 1997-2
ARM Pool
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Number % of Weighted
of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Mortgage Rates Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
6.501 - 6.750 1 70,000.00 0.07 6.750 70,000 58.33 - - 100.00
7.501 - 7.750 1 98,000.00 0.09 7.750 98,000 52.69 100.00 100.00 100.00
7.751 - 8.000 6 841,100.00 0.81 7.970 140,183 70.44 35.43 84.07 100.00
8.001 - 8.250 6 651,902.40 0.63 8.144 108,650 75.32 43.13 88.53 68.84
8.251 - 8.500 22 2,630,579.69 2.54 8.404 119,572 74.62 23.24 65.79 87.02
8.501 - 8.750 27 3,637,984.18 3.51 8.712 134,740 79.21 32.97 68.53 97.80
8.751 - 9.000 53 6,246,486.14 6.03 8.943 117,858 80.40 26.75 88.20 90.37
9.001 - 9.250 56 6,240,271.99 6.02 9.198 111,433 75.43 38.99 67.35 98.76
9.251 - 9.500 54 5,758,669.77 5.56 9.436 106,642 77.30 32.12 56.09 92.96
9.501 - 9.750 93 10,227,242.07 9.87 9.665 109,970 78.23 38.85 77.20 92.81
9.751 - 10.000 86 10,262,980.84 9.90 9.928 119,337 77.92 28.45 71.41 96.38
10.001 - 10.250 85 8,208,527.21 7.92 10.168 96,571 80.34 23.85 80.09 96.65
10.251 - 10.500 80 8,240,527.30 7.95 10.415 103,007 80.88 26.80 63.14 94.15
10.501 - 10.750 82 8,187,854.72 7.90 10.658 99,852 79.01 42.42 75.66 97.27
10.751 - 11.000 91 9,318,956.20 8.99 10.908 102,406 75.96 35.68 62.09 79.44
11.001 - 11.250 62 6,307,034.08 6.08 11.137 101,726 79.18 32.73 68.17 93.61
11.251 - 11.500 54 4,664,927.42 4.50 11.411 86,388 76.94 33.62 66.62 82.26
11.501 - 11.750 44 4,047,852.28 3.90 11.638 91,997 77.85 25.47 59.74 92.78
11.751 - 12.000 44 3,934,773.89 3.80 11.896 89,427 80.73 19.88 66.59 92.77
12.001 - 12.250 18 1,677,284.79 1.62 12.185 93,182 79.81 35.43 81.37 100.00
12.251 - 12.500 13 582,105.11 0.56 12.390 44,777 75.29 48.47 41.30 57.29
12.501 - 12.750 11 1,083,486.00 1.05 12.660 98,499 74.18 71.75 58.43 100.00
12.751 - 13.000 6 318,935.00 0.31 12.899 53,156 69.63 46.38 48.25 48.25
13.001 - 13.250 1 38,385.77 0.04 13.230 38,386 70.00 - 100.00 100.00
13.251 - 13.500 2 72,482.81 0.07 13.345 36,241 57.07 55.16 55.16 100.00
13.501 - 13.750 1 180,622.47 0.17 13.650 180,622 80.00 - 100.00 100.00
13.751 - 14.000 2 71,500.00 0.07 13.789 35,750 65.00 - 54.55 45.45
14.251 - 14.500 2 65,000.00 0.06 14.370 32,500 65.00 - - 100.00
**Total** 1,003 103,665,472.10 100.00 10.248 103,355 78.16 32.40 70.10 92.31
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
BLOCK MORTGAGE FINANCE, SERIES 1997-2
ARM Pool
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Months Remaining Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
to Scheduled Mortgage Principal Principal Average Current Original Cashout Full Owner
Maturity Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
173 2 191,794.78 0.19 9.664 95,897 87.93 - 100.00 100.00
174 6 398,949.82 0.38 10.663 66,492 82.08 - 100.00 87.78
175 2 232,940.35 0.22 10.870 116,470 86.63 - 100.00 100.00
176 8 850,717.38 0.82 10.309 106,340 89.47 - 100.00 100.00
177 9 803,596.42 0.78 9.398 89,288 86.17 - 100.00 100.00
178 4 271,221.82 0.26 9.744 67,805 89.97 29.40 100.00 100.00
179 2 138,666.65 0.13 10.135 69,333 74.46 - 44.59 100.00
180 8 279,800.00 0.27 10.275 34,975 76.35 67.19 82.24 82.24
236 1 83,698.95 0.08 10.180 83,699 90.00 - 100.00 100.00
337 1 69,509.39 0.07 11.125 69,509 84.97 - 100.00 100.00
339 1 19,864.24 0.02 11.875 19,864 60.61 - 100.00 100.00
342 1 297,941.06 0.29 11.125 297,941 79.79 - 100.00 100.00
349 2 127,977.52 0.12 10.922 63,989 88.08 - 100.00 100.00
350 4 354,117.37 0.34 10.420 88,529 84.39 21.37 78.63 81.77
352 2 294,640.25 0.28 9.919 147,320 86.34 - 100.00 100.00
353 13 1,515,177.60 1.46 10.049 116,552 81.70 35.72 100.00 100.00
354 54 7,070,157.01 6.82 9.806 130,929 82.55 11.93 92.09 98.17
355 25 2,298,023.55 2.22 10.775 91,921 81.23 9.04 97.65 87.88
356 63 6,476,270.78 6.25 10.010 102,798 85.02 12.61 100.00 93.80
357 69 7,243,272.43 6.99 10.295 104,975 84.72 14.88 92.69 97.17
358 51 5,603,948.10 5.41 10.520 109,881 81.56 29.94 82.95 95.94
359 82 9,251,350.96 8.92 10.611 112,821 78.20 28.33 86.42 94.14
360 593 59,791,835.70 57.68 10.226 100,829 75.04 42.58 54.10 89.92
**Total** 1,003 103,665,472.10 100.00 10.248 103,355 78.16 32.40 70.10 92.31
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
BLOCK MORTGAGE FINANCE, SERIES 1997-2
ARM Pool
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Principal Average Current Original Cashout Full Owner
Loan Purpose Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
Purchase 485 49,070,188.99 47.34 10.277 101,176 81.53 - 74.81 94.57
Refinance - Cashout 326 33,586,202.53 32.40 10.245 103,025 73.44 100.00 55.91 87.38
Refinance - Rate Term 192 21,009,080.61 20.27 10.182 109,422 77.81 - 81.76 94.91
**Total** 1,003 103,665,472.10 100.00 10.248 103,355 78.16 32.40 70.10 92.31
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Principal Average Current Original Cashout Full Owner
Occupancy Status Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
Owner Occupied 899 95,693,370.46 92.31 10.229 106,444 78.79 30.67 71.56 100.00
Non-Owner Occupied 104 7,972,101.67 7.69 10.476 76,655 70.48 53.15 52.57 -
**Total** 1,003 103,665,472.10 100.00 10.248 103,355 78.16 32.40 70.10 92.31
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Principal Average Current Original Cashout Full Owner
Property Types Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
Single Family 849 88,946,786.80 85.80 10.238 104,767 78.64 32.12 71.23 94.67
Residence
PUD 50 6,295,367.17 6.07 10.306 125,907 78.05 31.46 64.27 89.47
2-4 Family 60 5,034,569.46 4.86 10.569 83,909 71.85 48.62 62.03 57.82
Condo 34 2,550,134.90 2.46 9.920 75,004 74.95 12.46 61.65 82.45
Manufactured Housing 10 838,613.80 0.81 9.897 83,861 75.03 31.81 67.63 100.00
**Total** 1,003 103,665,472.10 100.00 10.248 103,355 78.16 32.40 70.10 92.31
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Lien Position Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
1st Lien 1,003 103,665,472.10 100.00 10.248 103,355 78.16 32.40 70.10 92.31
**Total** 1,003 103,665,472.10 100.00 10.248 103,355 78.16 32.40 70.10 92.31
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
BLOCK MORTGAGE FINANCE, SERIES 1997-2
ARM Pool
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Geographical Dist. Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
Georgia 170 17,225,013.24 16.62 10.514 101,324 83.46 3.73 94.38 94.53
Colorado 70 8,901,296.79 8.59 9.929 127,161 82.52 44.57 94.94 100.00
Florida 92 8,772,768.75 8.46 10.280 95,356 79.05 24.76 62.86 91.95
Illinois 71 6,825,274.34 6.58 10.537 96,131 75.25 51.06 66.10 90.26
California-Northern 36 5,224,741.45 5.04 9.763 145,132 77.40 44.60 66.45 89.62
Arizona 43 4,625,140.87 4.46 10.394 107,561 76.60 14.72 72.19 94.23
Massachusetts 32 4,214,451.50 4.07 9.899 131,702 72.50 54.22 38.35 75.87
California-Southern 22 3,424,639.60 3.30 9.421 155,665 77.25 16.68 83.99 99.04
Michigan 36 3,085,600.00 2.98 11.023 85,711 75.07 51.46 57.81 98.16
Virginia 24 2,973,574.92 2.87 10.582 123,899 79.10 51.06 50.08 97.88
Utah 25 2,850,217.74 2.75 9.895 114,009 79.67 47.38 73.01 97.68
Texas 20 2,688,122.23 2.59 10.522 134,406 75.31 18.56 51.87 78.62
Pennsylvania 28 2,645,738.09 2.55 9.955 94,491 80.09 33.86 77.76 95.19
Nevada 21 2,397,184.68 2.31 9.712 114,152 75.94 28.84 77.49 91.19
Maryland 21 2,322,302.02 2.24 10.607 110,586 78.00 53.63 77.20 80.87
Ohio 33 2,313,013.16 2.23 11.152 70,091 79.03 42.15 61.84 93.96
Washington 21 2,217,331.21 2.14 9.796 105,587 73.42 45.04 49.21 90.42
Connecticut 23 2,151,700.33 2.08 9.850 93,552 72.38 38.65 43.48 76.33
Indiana 25 1,668,142.79 1.61 10.746 66,726 77.59 78.91 58.74 95.28
South Carolina 17 1,602,753.55 1.55 9.768 94,280 82.95 4.24 95.76 98.41
New York 19 1,569,220.53 1.51 9.937 82,591 71.36 53.55 45.69 80.24
Minnesota 13 1,294,000.00 1.25 10.973 99,538 69.96 26.56 28.83 92.70
Rhode Island 14 1,273,799.19 1.23 10.032 90,986 73.44 26.06 52.01 82.56
New Hampshire 13 1,238,803.75 1.20 9.936 95,293 77.13 15.58 57.28 100.00
Missouri 17 1,109,845.07 1.07 11.689 65,285 72.70 37.89 42.03 90.92
Kentucky 14 1,085,418.66 1.05 11.055 77,530 72.27 33.64 60.06 92.73
North Carolina 10 1,013,969.21 0.98 9.507 101,397 82.06 3.76 90.24 96.24
Maine 13 960,946.95 0.93 9.785 73,919 69.46 43.86 53.61 77.99
Oregon 6 858,432.33 0.83 9.194 143,072 74.59 76.23 49.91 100.00
Wisconsin 9 749,252.72 0.72 10.594 83,250 77.41 53.65 51.15 91.38
New Mexico 8 649,358.76 0.63 10.644 81,170 73.90 46.47 19.29 82.91
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
BLOCK MORTGAGE FINANCE, SERIES 1997-2
ARM Pool
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Geographical Dist. Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
New Jersey 6 620,800.00 0.60 10.366 103,467 71.82 61.53 27.51 100.00
Tennessee 7 617,006.24 0.60 9.696 88,144 88.02 - 100.00 100.00
Delaware 2 550,000.00 0.53 9.850 275,000 73.38 - 66.18 100.00
Mississippi 4 482,716.56 0.47 10.157 120,679 81.73 14.93 85.07 100.00
West Virginia 6 367,944.90 0.35 10.105 61,324 73.51 36.85 49.98 91.57
Louisiana 3 329,850.00 0.32 10.721 109,950 80.47 66.05 - 100.00
Idaho 3 270,800.00 0.26 9.485 90,267 76.34 26.88 71.20 100.00
Dist. of Columbia 4 258,800.00 0.25 9.518 64,700 76.87 49.38 29.68 88.64
Hawaii 1 153,000.00 0.15 11.150 153,000 60.00 100.00 100.00 100.00
Kansas 1 82,500.00 0.08 9.800 82,500 75.00 - 100.00 100.00
**Total** 1,003 103,665,472.10 100.00 10.248 103,355 78.16 32.40 70.10 92.31
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Calendar Year of Mortgage Principal Principal Average Current Original Cashout Full Owner
Origination Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
1995 3 387,314.69 0.37 11.163 129,105 79.74 - 100.00 100.00
1996 75 8,968,901.36 8.65 9.968 119,585 83.03 11.49 97.71 97.29
1997 925 94,309,256.08 90.97 10.271 101,956 77.69 34.52 67.35 91.80
**Total** 1,003 103,665,472.10 100.00 10.248 103,355 78.16 32.40 70.10 92.31
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
BLOCK MORTGAGE FINANCE, SERIES 1997-2
ARM Pool
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Original Loan- Mortgage Principal Principal Average Current Original Cashout Full Owner
to-Value Ratios Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
10.001 - 20.000 1 31,000.00 0.03 8.350 31,000 16.15 100.00 100.00 100.00
20.001 - 30.000 3 167,500.00 0.16 9.363 55,833 26.81 - 67.16 100.00
30.001 - 40.000 11 534,500.00 0.52 9.936 48,591 37.25 85.59 55.75 82.23
40.001 - 50.000 14 945,022.66 0.91 9.776 67,502 47.20 37.69 53.18 88.26
50.001 - 60.000 33 3,118,046.06 3.01 9.769 94,486 55.32 79.84 45.72 69.71
60.001 - 70.000 180 16,634,797.43 16.05 10.432 92,416 67.13 46.03 51.44 84.16
70.001 - 80.000 487 51,969,970.54 50.13 10.199 106,715 78.22 36.33 61.66 92.10
80.001 - 90.000 258 27,925,815.62 26.94 10.371 108,240 87.84 12.46 97.96 99.72
90.001 - 100.000 16 2,338,819.82 2.26 9.545 146,176 96.20 9.97 100.00 100.00
**Total** 1,003 103,665,472.10 100.00 10.248 103,355 78.16 32.40 70.10 92.31
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Index Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
Treasury - 1 Year 189 20,910,454.01 20.17 10.081 110,637 84.95 8.71 99.21 98.10
Libor - 1 Month 34 3,115,503.46 3.01 9.774 91,632 86.58 4.16 100.00 100.00
Libor - 6 Month 780 79,639,514.66 76.82 10.310 102,102 76.04 39.72 61.28 90.49
**Total** 1,003 103,665,472.10 100.00 10.248 103,355 78.16 32.40 70.10 92.31
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
BLOCK MORTGAGE FINANCE, SERIES 1997-2
ARM Pool
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Principal Average Current Original Cashout Full Owner
Margins Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
2.500 - 2.999 3 209,894.15 0.20 9.260 69,965 89.75 - 100.00 100.00
3.500 - 3.999 1 105,035.44 0.10 8.375 105,035 100.00 - 100.00 100.00
4.000 - 4.499 17 1,212,840.00 1.17 9.231 71,344 57.47 56.07 94.23 95.88
4.500 - 4.999 159 17,724,871.04 17.10 9.948 111,477 76.97 39.94 73.98 98.30
5.000 - 5.499 276 30,432,990.32 29.36 9.952 110,264 77.80 38.54 58.41 96.99
5.500 - 5.999 188 20,001,061.14 19.29 10.115 106,389 77.98 33.47 64.53 84.42
6.000 - 6.499 134 10,900,846.29 10.52 10.463 81,350 76.95 32.94 66.96 81.07
6.500 - 6.999 125 12,772,287.01 12.32 10.651 102,178 80.67 18.76 85.41 92.50
7.000 - 7.499 51 5,009,686.12 4.83 11.176 98,229 80.63 14.61 86.29 95.80
7.500 - 7.999 42 4,716,975.61 4.55 11.360 112,309 83.02 13.70 91.26 92.45
8.000 - 8.499 5 359,976.77 0.35 11.609 71,995 82.17 11.11 100.00 100.00
8.500 - 8.999 1 38,385.77 0.04 13.230 38,386 70.00 - 100.00 100.00
9.500 - 9.999 1 180,622.47 0.17 13.650 180,622 80.00 - 100.00 100.00
**Total** 1,003 103,665,472.10 100.00 10.248 103,355 78.16 32.40 70.10 92.31
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
BLOCK MORTGAGE FINANCE, SERIES 1997-2
ARM Pool
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Distribution of Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Maximum Mortgage Principal Principal Average Current Original Cashout Full Owner
Mortgage Rates Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
12.501 - 13.000 1 70,000.00 0.07 6.750 70,000 58.33 - - 100.00
13.501 - 14.000 6 783,000.00 0.76 7.951 130,500 68.31 50.57 82.89 100.00
14.001 - 14.500 20 2,357,558.84 2.27 8.342 117,878 73.25 37.86 62.05 79.87
14.501 - 15.000 51 7,026,355.63 6.78 8.830 137,772 77.59 40.85 73.21 97.76
15.001 - 15.500 89 9,834,402.86 9.49 9.238 110,499 73.94 42.74 52.76 94.38
15.501 - 16.000 159 18,305,650.41 17.66 9.653 115,130 77.16 37.51 70.99 90.38
16.001 - 16.500 151 15,354,845.37 14.81 10.068 101,688 79.34 28.15 69.34 96.17
16.501 - 17.000 175 18,069,531.07 17.43 10.526 103,254 78.18 37.77 71.09 89.95
17.001 - 17.500 129 11,827,252.09 11.41 10.898 91,684 80.89 30.07 70.64 89.40
17.501 - 18.000 108 9,880,113.51 9.53 11.301 91,483 80.14 18.35 67.59 92.70
18.001 - 18.500 58 4,969,727.74 4.79 11.627 85,685 79.87 17.64 85.70 92.07
18.501 - 19.000 42 4,197,225.79 4.05 12.027 99,934 79.27 22.05 85.34 94.91
19.001 - 19.500 8 634,300.58 0.61 12.371 79,288 81.86 6.30 94.88 100.00
19.501 - 20.000 2 71,500.00 0.07 13.789 35,750 65.00 - 54.55 45.45
20.001 - 20.500 3 103,385.77 0.10 13.947 34,462 66.86 - 37.13 100.00
20.501 - 21.000 1 180,622.47 0.17 13.650 180,622 80.00 - 100.00 100.00
**Total** 1,003 103,665,472.10 100.00 10.248 103,355 78.16 32.40 70.10 92.31
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Distribution of Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Periodic Mortgage Principal Principal Average Current Original Cashout Full Owner
Rate Caps Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
1 769 78,435,145.27 75.66 10.324 101,996 75.96 40.33 60.69 90.34
1.5 8 834,230.56 0.80 9.815 104,279 75.66 - 100.00 100.00
2 226 24,396,096.30 23.53 10.017 107,947 85.29 8.00 99.32 98.37
**Total** 1,003 103,665,472.10 100.00 10.248 103,355 78.16 32.40 70.10 92.31
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
BLOCK MORTGAGE FINANCE, SERIES 1997-2
ARM Pool
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Distribution of Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Next Mortgage Principal Principal Average Current Original Cashout Full Owner
Rate Change Date Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
1997-08 3 206,867.69 0.20 10.761 68,956 86.91 - 100.00 61.86
1997-09 14 1,124,618.89 1.08 9.543 80,330 84.53 14.38 93.27 69.49
1997-10 13 1,470,749.96 1.42 9.963 113,135 85.05 17.33 84.88 95.25
1997-11 7 677,757.86 0.65 9.888 96,823 86.84 - 100.00 100.00
1997-12 23 2,562,194.46 2.47 9.803 111,400 81.49 39.31 93.46 96.97
1998-01 104 12,919,496.22 12.46 9.768 124,226 79.34 22.65 66.93 88.16
1998-02 15 1,307,621.14 1.26 10.515 87,175 85.21 15.89 100.00 100.00
1998-03 50 5,371,173.99 5.18 10.092 107,423 86.11 9.87 100.00 98.19
1998-04 37 3,732,219.51 3.60 9.929 100,871 86.72 4.19 100.00 97.54
1998-05 17 1,968,437.10 1.90 10.029 115,790 85.43 4.05 100.00 100.00
1998-06 18 1,705,801.17 1.65 10.034 94,767 84.46 - 100.00 94.46
1998-07 11 1,048,325.00 1.01 10.497 95,302 86.88 - 84.26 100.00
1998-08 1 69,509.39 0.07 11.125 69,509 84.97 - 100.00 100.00
1998-09 1 25,445.03 0.02 10.250 25,445 75.00 - 100.00 -
1999-01 5 659,286.06 0.64 10.640 131,857 75.77 - 100.00 100.00
1999-02 7 659,820.69 0.64 11.397 94,260 79.97 - 100.00 77.93
1999-03 5 498,577.41 0.48 11.591 99,715 83.16 9.78 100.00 100.00
1999-04 29 2,829,282.46 2.73 10.750 97,561 81.80 24.97 89.13 98.46
1999-05 32 3,562,465.19 3.44 10.747 111,327 80.00 47.76 73.17 95.02
1999-06 52 5,928,248.52 5.72 10.934 114,005 76.05 30.88 83.88 93.76
1999-07 521 50,261,182.35 48.48 10.292 96,471 74.76 44.63 55.79 91.35
1999-08 1 52,800.00 0.05 10.650 52,800 60.00 100.00 - 100.00
1999-12 2 412,783.30 0.40 10.858 206,392 79.68 - 100.00 100.00
2000-01 6 961,012.29 0.93 9.561 160,169 78.62 44.74 55.26 100.00
2000-02 5 640,750.94 0.62 10.801 128,150 76.82 - 91.58 91.58
2000-03 6 744,989.16 0.72 9.611 124,165 84.80 20.30 100.00 100.00
2000-05 1 49,981.18 0.05 10.750 49,981 69.44 100.00 100.00 -
2000-06 2 260,387.67 0.25 10.160 130,194 74.44 80.65 19.35 100.00
2000-07 15 1,953,687.50 1.88 10.319 130,246 75.09 33.27 53.52 80.78
**Total** 1,003 103,665,472.10 100.00 10.248 103,355 78.16 32.40 70.10 92.31
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To our Readers Worldwide: In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
BLOCK MORTGAGE FINANCE, SERIES 1997-2
ARM Pool
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Product Type Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
ARM - 2 Year/ 652 64,451,662.68 62.17 10.422 98,852 75.59 41.54 62.00 92.11
6 Month
ARM - 1 Year 209 22,077,942.10 21.30 10.019 105,636 85.46 8.15 99.25 98.20
ARM - 6 Month 103 12,017,320.89 11.59 9.760 116,673 78.63 29.34 60.57 83.48
ARM - 3 Year/ 25 3,183,471.83 3.07 10.157 127,339 75.31 42.09 49.67 84.94
6 Month
ARM - 3 Year/ 13 1,909,629.60 1.84 10.228 146,895 81.98 7.92 100.00 100.00
1 Year
ARM - 18 Month/ 1 25,445.03 0.02 10.250 25,445 75.00 - 100.00 -
6 Month
**Total** 1,003 103,665,472.10 100.00 10.248 103,355 78.16 32.40 70.10 92.31
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% of Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Balloon Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
Balloon 31 2,740,425.31 2.64 10.016 88,401 87.12 2.91 100.00 98.22
Non-Balloon 972 100,925,046.80 97.36 10.254 103,832 77.91 33.20 69.28 92.15
**Total** 1,003 103,665,472.10 100.00 10.248 103,355 78.16 32.40 70.10 92.31
</TABLE>
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This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Block Financial Corporation with respect to the expected
characteristics of the pool of home equity loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the home equity loans will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
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<PAGE>
