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 13, 1998
Block Mortgage Finance, Inc.
(Exact name of registrant as specified in its charter)
Delaware
(State or other jurisdiction of incorporation)
333-14041 43-1758633
(Commission File Number) (IRS Employer Identification No.)
4435 Main Street, Suite 500, Kansas City, Missouri 64111
(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)
<PAGE>
ITEM 7. FINANCIAL STATEMENTS, PRO FORMA FINANCIAL INFORMATION AND
EXHIBITS
Exhibit 99 Computational Materials Relating to Block Financial Corporation
Series 1998-2.
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 16, 1998 By: /s/ Bret G. Wilson
----------------------------
Bret G. Wilson, President
<PAGE>
EXHIBIT INDEX
-------------
Exhibit No. Description
- ----------- -----------
99 Computational Materials Relating to
Block Financial Corporation
Series 1998-2.
MORGAN STANLEY DEAN WITTER July 13, 1998
Asset Finance Group
ABS/MBS Capital Markets
ABS New Transaction
Computational Materials
$251,472,000 (Approximate)
Block Mortgage Finance, Inc.
Asset Backed Certificates
Series 1998-2
- --------------------------------------------------------------------------------
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 no 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>
$251,472,000 Block Mortgage Finance Asset Backed Certificates
Series 1998-2
Block Financial Corporation
Master Servicer
Companion Mortgage Corporation
Seller
Transaction Highlights
<TABLE>
<CAPTION>
- ---------- ----------- --------------- ------------ --------------- ------------- ---------------- ------------ ----------- -------
Expected Average Life Mod Dur to Payment Window Price
Class Ratings to Call/ to Call/Maty<F2> Talk
Class<F1> Size Description (Moody's/ Call/Maty<F2> Maty<F2> (months) Day Count Benchmark (bps)
(millions) S&P) (years) (years)
- ---------- ----------- --------------- ------------ --------------- ------------- ---------------- ------------ ----------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 $50.000 FRM Fixed Seq Aaa/AAA 0.84 / 0.84 0.80 / 0.80 19 / 19 30/360 TBD +[ ]
A-2 $20.000 FRM Fixed Seq Aaa/AAA 2.01 / 2.01 1.83 / 1.83 11 / 11 30/360 TBD +[ ]
A-3 $18.000 FRM Fixed Seq Aaa/AAA 2.99 / 2.99 2.65 / 2.65 16 / 16 30/360 TBD +[ ]
A-4 $22.000 FRM Fixed Seq Aaa/AAA 4.97 / 4.97 4.12 / 4.12 41 / 41 30/360 TBD +[ ]
A-5 $11.464 FRM Fixed Seq Aaa/AAA 7.74 / 10.70 5.87 / 7.35 10 / 93 30/360 TBD +[ ]
A-6 $13.496 FRM NAS Class Aaa/AAA 6.30 / 6.56 5.02 / 5.16 57 / 140 30/360 TBD +[ ]
A-7 $87.384 ARM Floater Aaa/AAA 2.62 / 2.80 2.24 / 2.35 93 / 164 Actual/360 TBD +[ ]
A-8 $29.128 ARM NAS Class Aaa/AAA 2.41 / 2.41 2.17 / 2.17 42 / 42 30/360 TBD +[ ]
+[ ]
- ---------- ----------- --------------- ------------ --------------- ------------- ---------------- ------------ ----------- -------
Total $251.472 Aaa/AAA -- -- -- -- --
- ---------- ----------- --------------- ------------- -------------- ------------- ---------------- ------------ ----------- -------
<FN>
<F1> The Class A1 through Class A-6 certificates are backed by a fixed rate pool of home equity loans and the Class A-7 and A-8
certificates by an adjustable rate pool of home equity loans.
<F2> See "Prepayment Speed" below.
</FN>
</TABLE>
Seller: Companion Mortgage Corporation
Master Servicer: Block Financial Corporation
Trustee: First National Bank of Chicago
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 115% of the
prepayment assumption ("PPC"). 100% PPC describes
prepayments starting at 3% CPR in month 1, increasing by
approximately 1.5454% CPR per month to 20% CPR in month 12,
and remaining at 20% CPR thereafter.
Adjustable Rate
Certificates: Constant 28% CPR
Expected Pricing
Date: July 15-16, 1998
Expected
Settlement: July 22, 1998 through DTC, Euroclear or CEDEL
Distribution
Dates: The 25th of each month, beginning August 25, 1998
Credit
Enhancement: 100% coverage of principal and interest due to certificates,
provided by MBIA Insurance Corporation.
Class A-6 and
A-8 Fixed Rate
NAS Certificates: The Class A-6 and A-8 fixed rate NAS classes are backed by
the fixed rate Group I and adjustable rate Group II loans,
respectively, and pay according to the following schedule of
each certificate's pro-rata share:
<TABLE>
<CAPTION>
Class A-6 Class A-8
<S> <C> <C>
August 1998 - July 2001: 0% August 1998 - February 2000: 0%
August 2001 - July 2003: 45% March 2000 - July 2003: 500%
August 2003 - July 2004: 80% August 2003 - thereafter: all principal
August 2004 - July 2005: 100%
August 2005 - thereafter: 300%
</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 no 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>
Transaction Highlights
(continued)
Class A-7 Available
Funds Cap: The Class A-7 certificates pay LIBOR plus a spread capped at
the weighted average coupon on the adjustable rate loans in
a given month, less approximately 0.75% per annum prior to
the 7th payment date, and less approximately 1.25% per annum
thereafter.
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-5 and A-6
pass-through rates increase by 0.75%, and (ii) the Class A-7
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 no 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>
Block Financial 1998-2 Collateral Description
<TABLE>
<CAPTION>
Fixed Rate Home Equity Loans - Group I ARM Home Equity Loans - Group II
-------------------------------------- --------------------------------
<S> <C> <C>
Aggregate Pool Balance: $134,960,601.41 $117,689,963.77
Number of Loans: 2,600 1,191
Average Outstanding Balance: $51,908 $98,816
Total Original Balance: $135,408,734.52 $117,869,983.81
Average Original Balance: $52,080 $98,967
Lien Position: 82.3% firsts; 17.7% non-firsts 100% firsts
Prepayment Penalty: 68.3% 70.6%
WA Original Loan to Value Ratio: 80.75% (55.44% >80%, min: 10.00% / 84.98% (75.47% >80%, min: 32.00% /
max: 100.00%) max: 100.00%)
WA Junior Loan Ratio<F1>: 28.94% (min: 5.48% / max: 86.35%) N/A
Loan Type: a) 59.7% Fixed Rate a) 73.3% 2-year fixed/6-month ARM
b) 40.3% Balloon b) 18.8% 1-year ARM
c) 2.5% 6-month ARM
d) 2.2% 3-year fixed/6-month ARM
e) 1.8% 3-year fixed/1-year ARM
f) 1.5% Other
Original WA Original Term: 231 months (65.8% <= 180-mo. maty 280 months (44.7% <= 180-mo. maty
34.2% > 360-mo. maty) 55.3% > 360-mo. maty)
Remaining WA Maturity: 227 months (min: 50 / max: 359) 275 months (min: 167 / max: 359)
WA Seasoning: 4 months 5 months
Interest Rate Index: N/A a) 78.4% 6-month LIBOR
b) 19.8% 1-year UST
c) 1.5% 3-yr UST
d) 0.21% 1-month LIBOR
WA Gross Coupon: 11.18% (min: 6.75%/max: 16.04%) 10.09% (current, min: 7.35%/
max: 13.30%)
</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 no 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>
Block Financial 1998-2 Collateral Description
(continued)
<TABLE>
<CAPTION>
Fixed Rate Home Equity Loans - Group I ARM Home Equity Loans - Group II
-------------------------------------- --------------------------------
<S> <C> <C>
WA Gross Margin: N/A a) 6.40% 6-month LIBOR
b) 6.49% 1-year UST
c) 5.10% 3-yr UST
d) 5.10% 1-month LIBOR
Latest Scheduled Maturity: Expected June 1, 2028 Expected June 1, 2028
Property Type: a) 94.96% single family a) 97.28% single family
b) 3.15% 2-4 family b) 1.11% 2-4 family
c) 1.89% other c) 1.60% other
Owner Occupancy: a) 92.77% owner occupied a) 96.88% owner occupied
b) 7.23% investor property b) 3.12% investor property
Geographic Distribution (> 5%): LA (14.41%), GA (10.76%), FL (9.57%), GA (18.55%), FL (9.47%),
IL (8.41%), TN (7.44%), OH (7.34%), OH (9.46%), CO (8.46%), IL (7.14%), TN
IN (5.71%), SC (5.21%) (5.24%)
% Cashout Refinancing: 83.6% 59.9%
WA Initial Periodic Cap: NA 2.51%
WA Periodic Cap: NA 1.23%
WA Months to Roll: NA 17
WA Floor: NA 10.07%
WA Debt-to-Income Ratio: 37.39% 39.27%
<FN>
NOTE: <F1>EXCLUDES FIRST MORTGAGES. DEFINED AS RATIO OF CURRENT PRINCIPAL BALANCE OF THE MORTGAGE LOAN TO THE SUM OF THE
ORIGINAL PRINCIPAL BALANCE OF LOAN AND PRINCIPAL BALANCE AT TIME OF ORIGINATION OF THE LOAN OF ANY SENIOR LIENS.
</FN>
</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 no 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>
Block Financial 1998-2 Collateral Detail
<TABLE>
<CAPTION>
Fixed Rate Group I
- ------------------------------------------------------------------------------------------------------------------------------------
% of Weighted Weighted
Remaining Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent Average
Principal Mortgage Principal Principal Average Current Original Cashout Full Owner Debt
Balance Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0 - 9,999 21 206,966.19 0.15 13.120 9,856 85.31 95.20 95.18 100.00 40.23
- ------------------------------------------------------------------------------------------------------------------------------------
10,000 - 19,999 331 5,386,011.60 3.99 12.482 16,272 81.60 95.27 94.19 95.37 35.03
- ------------------------------------------------------------------------------------------------------------------------------------
20,000 - 29,999 429 10,797,188.37 8.00 11.899 25,168 79.41 92.62 93.70 90.60 36.18
- ------------------------------------------------------------------------------------------------------------------------------------
30,000 - 39,999 390 13,652,032.44 10.12 11.478 35,005 77.81 87.11 92.50 83.82 35.96
- ------------------------------------------------------------------------------------------------------------------------------------
40,000 - 49,999 359 16,140,857.62 11.96 11.269 44,961 80.04 85.51 90.66 93.33 36.28
- ------------------------------------------------------------------------------------------------------------------------------------
50,000 - 59,999 292 15,990,143.13 11.85 11.169 54,761 81.79 84.13 92.15 92.76 36.65
- ------------------------------------------------------------------------------------------------------------------------------------
60,000 - 69,999 215 13,997,970.70 10.37 10.918 65,107 81.25 86.07 90.01 92.87 37.91
- ------------------------------------------------------------------------------------------------------------------------------------
70,000 - 79,999 172 12,831,537.82 9.51 11.093 74,602 82.73 84.94 92.95 98.22 38.24
- ------------------------------------------------------------------------------------------------------------------------------------
80,000 - 89,999 98 8,312,147.44 6.16 10.699 84,818 81.38 79.32 92.85 94.89 38.60
- ------------------------------------------------------------------------------------------------------------------------------------
90,000 - 99,999 75 7,076,640.36 5.24 10.811 94,355 83.12 69.33 92.19 94.68 40.72
- ------------------------------------------------------------------------------------------------------------------------------------
100,000 - 109,999 64 6,683,012.02 4.95 10.600 104,422 80.49 79.74 81.22 95.44 38.35
- ------------------------------------------------------------------------------------------------------------------------------------
110,000 - 119,999 42 4,826,384.30 3.58 10.750 114,914 83.64 83.25 83.36 88.22 37.25
- ------------------------------------------------------------------------------------------------------------------------------------
120,000 - 129,999 31 3,881,010.56 2.88 11.010 125,194 80.37 61.75 87.00 93.61 39.82
- ------------------------------------------------------------------------------------------------------------------------------------
130,000 - 139,999 18 2,416,014.51 1.79 11.138 134,223 81.75 60.95 88.62 88.98 36.12
- ------------------------------------------------------------------------------------------------------------------------------------
140,000 - 149,999 16 2,318,458.46 1.72 11.129 144,904 78.63 93.82 68.59 81.36 37.67
- ------------------------------------------------------------------------------------------------------------------------------------
150,000 - 159,999 10 1,543,902.60 1.14 11.020 154,390 76.37 90.16 90.01 100.00 39.71
- ------------------------------------------------------------------------------------------------------------------------------------
160,000 - 169,999 5 819,337.32 0.61 11.127 163,867 85.89 60.77 100.00 100.00 48.47
- ------------------------------------------------------------------------------------------------------------------------------------
170,000 - 179,999 8 1,394,065.32 1.03 11.506 174,258 81.51 74.93 87.38 100.00 40.12
- ------------------------------------------------------------------------------------------------------------------------------------
180,000 - 189,999 3 555,956.00 0.41 11.291 185,319 85.01 32.87 100.00 100.00 36.92
- ------------------------------------------------------------------------------------------------------------------------------------
190,000 - 199,999 4 783,318.79 0.58 11.834 195,830 81.31 74.48 100.00 74.48 41.46
- ------------------------------------------------------------------------------------------------------------------------------------
200,000 - 209,999 2 409,190.95 0.30 10.811 204,595 86.67 100.00 100.00 100.00 54.11
- ------------------------------------------------------------------------------------------------------------------------------------
210,000 - 219,999 1 214,577.35 0.16 8.150 214,577 71.67 100.00 100.00 100.00 20.72
- ------------------------------------------------------------------------------------------------------------------------------------
220,000 - 229,999 1 229,275.39 0.17 11.450 229,275 90.00 0.00 100.00 100.00 45.81
- ------------------------------------------------------------------------------------------------------------------------------------
230,000 and greater 13 4,494,602.17 3.33 10.614 345,739 75.80 93.22 82.03 100.00 34.20
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 2,600 134,960,601.41 100.00 11.178 51,908 80.75 83.60 90.41 92.77 37.39
- ------------------------------------------------------------------------------------------------------------------------------------
</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 no 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>
- ------------------------------------------------------------------------------------------------------------------------------------
% of Weighted Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent Average
Mortgage Mortgage Principal Principal Average Current Original Cashout Full Owner Debt
Rates Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
8.000 and less 36 2,412,516.69 1.79 7.667 67,014 60.56 98.76 100.00 100.00 33.59
- ------------------------------------------------------------------------------------------------------------------------------------
8.001 - 8.250 30 2,123,009.86 1.57 8.223 70,767 61.97 100.00 100.00 92.41 33.24
- ------------------------------------------------------------------------------------------------------------------------------------
8.251 - 8.500 16 1,013,915.90 0.75 8.450 63,370 65.47 90.27 100.00 100.00 35.44
- ------------------------------------------------------------------------------------------------------------------------------------
8.501 - 8.750 27 1,589,687.12 1.18 8.688 58,877 70.28 97.55 100.00 89.39 29.22
- ------------------------------------------------------------------------------------------------------------------------------------
8.751 - 9.000 43 3,363,386.02 2.49 8.921 78,218 71.50 93.41 100.00 94.27 34.80
- ------------------------------------------------------------------------------------------------------------------------------------
9.001 - 9.250 37 1,775,224.41 1.32 9.209 47,979 67.34 97.97 100.00 92.38 35.74
- ------------------------------------------------------------------------------------------------------------------------------------
9.251 - 9.500 54 3,112,691.41 2.31 9.467 57,642 74.64 90.93 96.18 82.56 35.10
- ------------------------------------------------------------------------------------------------------------------------------------
9.501 - 9.750 94 6,130,374.98 4.54 9.713 65,217 81.16 89.55 97.31 92.08 35.75
- ------------------------------------------------------------------------------------------------------------------------------------
9.751 - 10.000 96 6,652,915.17 4.93 9.946 69,301 80.03 84.90 96.70 84.26 37.21
- ------------------------------------------------------------------------------------------------------------------------------------
10.001 - 10.250 109 6,473,080.26 4.80 10.201 59,386 80.23 89.92 92.80 90.89 38.04
- ------------------------------------------------------------------------------------------------------------------------------------
10.251 - 10.500 132 8,393,548.78 6.22 10.440 63,587 81.29 83.54 87.64 83.54 37.64
- ------------------------------------------------------------------------------------------------------------------------------------
10.501 - 10.750 122 8,091,259.65 6.00 10.663 66,322 81.72 83.00 83.70 92.46 36.22
- ------------------------------------------------------------------------------------------------------------------------------------
10.751 - 11.000 183 10,558,682.88 7.82 10.905 57,698 82.78 69.13 92.15 90.71 37.62
- ------------------------------------------------------------------------------------------------------------------------------------
11.001 - 11.250 158 8,870,338.67 6.57 11.162 56,141 82.68 77.96 88.54 96.79 36.84
- ------------------------------------------------------------------------------------------------------------------------------------
11.251 - 11.500 174 9,296,465.81 6.89 11.408 53,428 83.78 72.03 92.54 92.37 38.59
- ------------------------------------------------------------------------------------------------------------------------------------
11.501 - 11.750 191 9,922,795.21 7.35 11.657 51,952 82.58 76.82 93.90 93.99 38.13
- ------------------------------------------------------------------------------------------------------------------------------------
11.751 - 12.000 201 9,285,075.45 6.88 11.887 46,194 82.81 82.62 81.60 95.09 38.18
- ------------------------------------------------------------------------------------------------------------------------------------
12.001 - 12.250 156 7,382,963.93 5.47 12.145 47,327 83.74 79.32 91.00 92.01 38.29
- ------------------------------------------------------------------------------------------------------------------------------------
12.251 - 12.500 170 7,278,978.41 5.39 12.409 42,818 83.16 85.61 83.58 98.64 37.56
- ------------------------------------------------------------------------------------------------------------------------------------
12.501 - 12.750 132 5,955,680.77 4.41 12.646 45,119 82.05 88.83 87.45 94.88 38.83
- ------------------------------------------------------------------------------------------------------------------------------------
12.751 - 13.000 115 4,778,322.41 3.54 12.883 41,551 84.22 88.16 89.19 96.08 37.00
- ------------------------------------------------------------------------------------------------------------------------------------
13.001 - 13.250 55 1,859,261.29 1.38 13.155 33,805 82.09 92.78 83.15 100.00 40.80
- ------------------------------------------------------------------------------------------------------------------------------------
13.251 - 13.500 59 2,187,498.94 1.62 13.422 37,076 83.45 95.21 77.84 100.00 42.32
- ------------------------------------------------------------------------------------------------------------------------------------
13.501 - 13.750 63 1,868,553.42 1.38 13.663 29,660 82.02 94.26 97.36 94.24 40.61
- ------------------------------------------------------------------------------------------------------------------------------------
13.751 - 14.000 49 1,426,670.57 1.06 13.911 29,116 84.90 93.66 95.01 100.00 38.71
- ------------------------------------------------------------------------------------------------------------------------------------
14.001 - 14.250 20 701,101.47 0.52 14.142 35,055 83.70 83.34 83.34 100.00 35.61
- ------------------------------------------------------------------------------------------------------------------------------------
14.251 - 14.500 17 744,480.10 0.55 14.442 43,793 72.86 84.18 50.08 100.00 37.23
- ------------------------------------------------------------------------------------------------------------------------------------
14.501 - 14.750 14 561,114.17 0.42 14.611 40,080 76.40 100.00 94.21 100.00 38.84
- ------------------------------------------------------------------------------------------------------------------------------------
14.751 - 15.000 26 509,114.95 0.38 14.960 19,581 88.31 67.78 83.22 91.06 40.43
- ------------------------------------------------------------------------------------------------------------------------------------
Greater than 15.000 21 641,892.71 0.48 15.571 30,566 89.91 100.00 82.31 87.99 40.99
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 2,600 134,960,601.41 100.00 11.178 51,908 80.75 83.60 90.41 92.77 37.39
- ------------------------------------------------------------------------------------------------------------------------------------
</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 no 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>
- ------------------------------------------------------------------------------------------------------------------------------------
Months % of Weighted Weighted
Remaining Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent Average
to Scheduled Mortgage Principal Principal Average Current Original Cashout Full Owner Debt
Maturity Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Less than 50 1 71,028.09 0.05 14.500 71,028 75.74 0.00 100.00 100.00 18.57
- ------------------------------------------------------------------------------------------------------------------------------------
50 to 59 4 74,860.58 0.06 11.369 18,715 86.11 100.00 74.06 74.06 27.12
- ------------------------------------------------------------------------------------------------------------------------------------
60 to 119 59 1,528,836.73 1.13 10.974 25,912 75.13 100.00 97.93 90.99 33.10
- ------------------------------------------------------------------------------------------------------------------------------------
120 to 179 1,808 87,186,612.95 64.60 11.277 48,223 81.15 83.48 89.20 91.84 37.52
- ------------------------------------------------------------------------------------------------------------------------------------
180 to 239 230 10,922,008.52 8.09 11.199 47,487 77.92 96.52 89.52 93.84 36.33
- ------------------------------------------------------------------------------------------------------------------------------------
240 to 299 2 143,910.07 0.11 8.758 71,955 71.47 100.00 100.00 100.00 38.46
- ------------------------------------------------------------------------------------------------------------------------------------
300 to 359 496 35,033,344.47 25.96 10.937 70,632 80.94 79.23 93.36 94.84 37.65
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 2,600 134,960,601.41 100.00 11.178 51,908 80.75 83.60 90.41 92.77 37.39
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
% of Weighted Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent Average
Distribution of Mortgage Principal Principal Average Current Original Cashout Full Owner Debt
Loan Purpose Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Refinance - Cashout 2,255 112,829,247.55 83.60 11.151 50,035 79.98 100.00 89.87 93.39 37.31
- ------------------------------------------------------------------------------------------------------------------------------------
Purchase 345 22,131,353.86 16.40 11.314 64,149 84.69 0.00 93.14 89.60 37.79
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 2,600 134,960,601.41 100.00 11.178 51,908 80.75 83.60 90.41 92.77 37.39
- ------------------------------------------------------------------------------------------------------------------------------------
</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 no 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>
- ------------------------------------------------------------------------------------------------------------------------------------
% of Weighted Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent Average
Distribution of Mortgage Principal Principal Average Current Original Cashout Full Owner Debt
Occupancy Status Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Owner Occupied 2,395 125,206,928.40 92.77 11.207 52,278 81.19 84.16 91.61 100.00 37.32
- ------------------------------------------------------------------------------------------------------------------------------------
Non-Owner Occupied 205 9,753,673.01 7.23 10.804 47,579 75.10 76.41 75.02 0.00 38.30
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 2,600 134,960,601.41 100.00 11.178 51,908 80.75 83.60 90.41 92.77 37.39
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
% of Weighted Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent Average
Distribution of Mortgage Principal Principal Average Current Original Cashout Full Owner Debt
Property Types Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Single Family 2,482 128,164,226.56 94.96 11.189 51,637 80.95 84.01 90.88 94.95 37.46
Residence
- ------------------------------------------------------------------------------------------------------------------------------------
2-4 Family 66 4,256,581.98 3.15 11.027 64,494 76.96 72.16 76.09 25.23 37.14
- ------------------------------------------------------------------------------------------------------------------------------------
Manufactured 38 1,857,805.94 1.38 10.635 48,890 78.06 79.94 100.00 98.16 32.35
Housing
- ------------------------------------------------------------------------------------------------------------------------------------
Condo 9 382,161.44 0.28 11.699 42,462 71.31 79.58 100.00 81.47 39.87
- ------------------------------------------------------------------------------------------------------------------------------------
PUD 5 299,825.49 0.22 11.363 59,965 80.86 100.00 23.33 100.00 41.56
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 2,600 134,960,601.41 100.00 11.178 51,908 80.75 83.60 90.41 92.77 37.39
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
% of Weighted Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent Average
Mortgage Principal Principal Average Current Original Cashout Full Owner Debt
Lien Position Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1st Lien 1,764 111,115,964.28 82.33 10.907 62,991 79.70 80.42 90.69 91.50 37.03
- ------------------------------------------------------------------------------------------------------------------------------------
2nd Lien 836 23,844,637.13 17.67 12.439 28,522 85.66 98.43 89.09 98.68 39.07
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 2,600 134,960,601.41 100.00 11.178 51,908 80.75 83.60 90.41 92.77 37.39
- ------------------------------------------------------------------------------------------------------------------------------------
</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 no 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>
- ------------------------------------------------------------------------------------------------------------------------------------
% of Weighted Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent Average
Geographical Mortgage Principal Principal Average Current Original Cashout Full Owner Debt
Distribution Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Louisiana 423 19,449,003.84 14.41 11.815 45,979 78.35 94.93 86.92 95.92 35.85
- ------------------------------------------------------------------------------------------------------------------------------------
Georgia 243 14,522,457.89 10.76 11.327 59,763 80.51 73.45 86.24 91.87 37.48
- ------------------------------------------------------------------------------------------------------------------------------------
Florida 272 12,911,171.48 9.57 10.796 47,468 80.10 72.10 92.85 92.55 38.43
- ------------------------------------------------------------------------------------------------------------------------------------
Illinois 235 11,348,850.44 8.41 11.662 48,293 83.62 86.64 94.83 94.98 40.26
- ------------------------------------------------------------------------------------------------------------------------------------
Tennessee 154 10,039,306.25 7.44 11.017 65,190 82.42 67.04 95.75 89.48 37.21
- ------------------------------------------------------------------------------------------------------------------------------------
Ohio 162 9,910,636.55 7.34 10.743 61,177 80.54 86.25 92.19 87.98 38.90
- ------------------------------------------------------------------------------------------------------------------------------------
Indiana 163 7,709,423.61 5.71 11.008 47,297 83.39 87.17 97.30 94.70 36.10
- ------------------------------------------------------------------------------------------------------------------------------------
South Carolina 124 7,026,445.13 5.21 10.526 56,665 76.53 85.89 83.55 93.56 35.40
- ------------------------------------------------------------------------------------------------------------------------------------
Mississippi 131 6,050,879.12 4.48 11.603 46,190 81.34 90.47 89.02 99.67 36.98
- ------------------------------------------------------------------------------------------------------------------------------------
North Carolina 120 6,021,837.53 4.46 11.220 50,182 80.50 88.42 95.18 93.89 37.68
- ------------------------------------------------------------------------------------------------------------------------------------
Kentucky 109 5,166,900.97 3.83 10.862 47,403 83.50 93.77 92.62 96.33 36.13
- ------------------------------------------------------------------------------------------------------------------------------------
Colorado 104 5,097,117.99 3.78 10.706 49,011 80.23 93.15 99.69 97.99 38.42
- ------------------------------------------------------------------------------------------------------------------------------------
Virginia 70 3,915,713.60 2.90 11.020 55,939 81.64 87.07 95.40 94.35 38.11
- ------------------------------------------------------------------------------------------------------------------------------------
Michigan 46 2,618,238.46 1.94 11.071 56,918 77.89 81.22 65.86 77.52 34.80
- ------------------------------------------------------------------------------------------------------------------------------------
Arizona 42 2,174,122.33 1.61 10.772 51,765 80.11 94.64 87.89 93.35 38.28
- ------------------------------------------------------------------------------------------------------------------------------------
Missouri 41 2,140,807.82 1.59 10.736 52,215 81.50 72.82 100.00 90.88 38.58
- ------------------------------------------------------------------------------------------------------------------------------------
California 35 1,724,840.17 1.28 11.479 49,281 81.48 86.79 70.95 80.08 36.79
- ------------------------------------------------------------------------------------------------------------------------------------
Utah 29 1,363,802.26 1.01 11.111 47,028 86.48 74.22 100.00 100.00 40.33
- ------------------------------------------------------------------------------------------------------------------------------------
Iowa 23 1,330,227.33 0.99 10.822 57,836 85.67 76.75 91.22 95.61 36.70
- ------------------------------------------------------------------------------------------------------------------------------------
Texas 18 1,100,635.98 0.82 11.174 61,146 83.27 54.11 95.80 80.36 37.71
- ------------------------------------------------------------------------------------------------------------------------------------
Connecticut 10 763,222.94 0.57 10.918 76,322 73.47 70.66 37.44 44.80 32.21
- ------------------------------------------------------------------------------------------------------------------------------------
Arkansas 7 659,452.01 0.49 11.135 94,207 78.77 100.00 78.60 69.46 31.10
- ------------------------------------------------------------------------------------------------------------------------------------
Wisconsin 7 452,348.25 0.34 11.333 64,621 84.18 100.00 100.00 93.06 38.35
- ------------------------------------------------------------------------------------------------------------------------------------
Washington 5 397,389.29 0.29 12.127 79,478 70.14 100.00 63.64 100.00 37.77
- ------------------------------------------------------------------------------------------------------------------------------------
Oregon 5 332,731.58 0.25 10.271 66,546 79.30 68.56 68.56 100.00 35.19
- ------------------------------------------------------------------------------------------------------------------------------------
Maryland 9 216,581.52 0.16 14.405 24,065 76.76 64.32 51.48 83.00 37.90
- ------------------------------------------------------------------------------------------------------------------------------------
West Virginia 2 151,594.00 0.11 10.873 75,797 85.79 100.00 100.00 100.00 41.31
- ------------------------------------------------------------------------------------------------------------------------------------
Idaho 3 136,129.43 0.10 10.511 45,376 88.31 100.00 100.00 100.00 40.24
- ------------------------------------------------------------------------------------------------------------------------------------
Pennsylvania 2 79,307.97 0.06 11.043 39,654 83.96 0.00 100.00 100.00 27.48
- ------------------------------------------------------------------------------------------------------------------------------------
Minnesota 2 49,553.50 0.04 12.869 24,777 85.20 100.00 100.00 100.00 42.06
- ------------------------------------------------------------------------------------------------------------------------------------
Nevada 2 39,902.65 0.03 13.870 19,951 96.43 100.00 100.00 100.00 36.04
- ------------------------------------------------------------------------------------------------------------------------------------
New Mexico 1 32,792.28 0.02 12.750 32,792 89.00 100.00 100.00 100.00 52.35
- ------------------------------------------------------------------------------------------------------------------------------------
Kansas 1 27,177.24 0.02 11.000 27,177 89.77 100.00 100.00 100.00 32.83
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 2,600 134,960,601.41 100.00 11.178 51,908 80.75 83.60 90.41 92.77 37.39
- ------------------------------------------------------------------------------------------------------------------------------------
</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 no 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>
- ------------------------------------------------------------------------------------------------------------------------------------
% of Weighted Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent Average
Top 20 Mortgage Principal Principal Average Current Original Cashout Full Owner Debt
Zip Codes Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
70810 5 914,581.24 0.68 11.915 182,916 75.80 100.00 100.00 100.00 33.90
- ------------------------------------------------------------------------------------------------------------------------------------
30680 12 864,882.32 0.64 11.048 72,074 78.76 80.29 92.64 100.00 38.99
- ------------------------------------------------------------------------------------------------------------------------------------
38115 7 678,461.83 0.50 10.501 96,923 82.85 66.41 100.00 33.59 33.41
- ------------------------------------------------------------------------------------------------------------------------------------
30004 3 671,614.09 0.50 10.854 223,871 77.17 100.00 20.25 100.00 36.51
- ------------------------------------------------------------------------------------------------------------------------------------
71360 16 634,610.97 0.47 11.231 39,663 79.00 100.00 90.34 96.94 31.42
- ------------------------------------------------------------------------------------------------------------------------------------
39530 4 610,037.53 0.45 9.924 152,509 85.53 100.00 86.90 100.00 43.48
- ------------------------------------------------------------------------------------------------------------------------------------
70726 14 596,411.21 0.44 11.480 42,601 77.97 100.00 57.59 100.00 32.57
- ------------------------------------------------------------------------------------------------------------------------------------
30032 7 544,923.98 0.40 11.489 77,846 79.92 26.61 100.00 75.20 38.55
- ------------------------------------------------------------------------------------------------------------------------------------
44112 9 517,435.75 0.38 11.558 57,493 81.86 63.31 85.05 64.20 40.08
- ------------------------------------------------------------------------------------------------------------------------------------
29650 5 501,584.53 0.37 9.756 100,317 64.35 70.82 63.06 81.87 32.28
- ------------------------------------------------------------------------------------------------------------------------------------
38141 6 493,859.60 0.37 11.740 82,310 90.00 0.00 100.00 100.00 44.18
- ------------------------------------------------------------------------------------------------------------------------------------
44120 6 485,459.71 0.36 12.337 80,910 77.87 58.03 100.00 91.93 42.55
- ------------------------------------------------------------------------------------------------------------------------------------
71913 3 485,036.75 0.36 11.379 161,679 80.75 100.00 70.91 70.91 31.74
- ------------------------------------------------------------------------------------------------------------------------------------
30339 2 470,933.94 0.35 10.364 235,467 82.91 73.52 100.00 100.00 15.17
- ------------------------------------------------------------------------------------------------------------------------------------
70805 15 461,967.26 0.34 11.846 30,798 79.83 80.13 80.08 63.75 37.51
- ------------------------------------------------------------------------------------------------------------------------------------
71301 12 451,335.73 0.33 11.768 37,611 77.65 100.00 95.58 79.77 40.55
- ------------------------------------------------------------------------------------------------------------------------------------
63033 7 425,246.64 0.32 11.697 60,750 87.79 79.59 100.00 100.00 42.27
- ------------------------------------------------------------------------------------------------------------------------------------
70817 6 421,359.77 0.31 11.525 70,227 84.21 100.00 87.87 100.00 33.39
- ------------------------------------------------------------------------------------------------------------------------------------
80221 5 395,194.71 0.29 10.066 79,039 83.47 100.00 100.00 100.00 42.21
- ------------------------------------------------------------------------------------------------------------------------------------
70815 3 389,271.45 0.29 12.303 129,757 82.50 83.01 100.00 100.00 44.39
- ------------------------------------------------------------------------------------------------------------------------------------
Other 2,453 123,946,392.40 91.84 11.174 50,528 80.81 83.92 90.82 93.20 37.47
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 2,600 134,960,601.41 100.00 11.178 51,908 80.75 83.60 90.41 92.77 37.39
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
% of Weighted Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent Average
Calendar Year Mortgage Principal Principal Average Current Original Cashout Full Owner Debt
of Origination Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1997 511 23,667,484.46 17.54 11.672 46,316 80.97 81.19 92.42 91.34 36.56
- ------------------------------------------------------------------------------------------------------------------------------------
1998 2,089 111,293,116.95 82.46 11.073 53,276 80.71 84.12 89.98 93.08 37.57
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 2,600 134,960,601.41 100.00 11.178 51,908 80.75 83.60 90.41 92.77 37.39
- ------------------------------------------------------------------------------------------------------------------------------------
</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 no 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>
- ------------------------------------------------------------------------------------------------------------------------------------
% of Weighted Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent Average
Date of Mortgage Principal Principal Average Current Original Cashout Full Owner Debt
Origination Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1997-03 2 114,387.40 0.08 11.203 57,194 74.43 100.00 100.00 100.00 43.96
- ------------------------------------------------------------------------------------------------------------------------------------
1997-04 2 146,939.93 0.11 10.958 73,470 87.90 100.00 100.00 100.00 33.09
- ------------------------------------------------------------------------------------------------------------------------------------
1997-05 1 82,502.78 0.06 12.050 82,503 90.00 100.00 100.00 100.00 44.18
- ------------------------------------------------------------------------------------------------------------------------------------
1997-06 10 589,193.13 0.44 11.713 58,919 81.90 76.45 100.00 76.02 32.91
- ------------------------------------------------------------------------------------------------------------------------------------
1997-07 24 896,585.50 0.66 11.537 37,358 81.71 76.84 100.00 100.00 38.74
- ------------------------------------------------------------------------------------------------------------------------------------
1997-08 33 1,411,684.81 1.05 12.086 42,778 82.46 75.33 100.00 98.89 38.71
- ------------------------------------------------------------------------------------------------------------------------------------
1997-09 20 1,024,410.47 0.76 12.087 51,221 86.71 59.32 94.20 100.00 36.91
- ------------------------------------------------------------------------------------------------------------------------------------
1997-10 51 2,034,560.80 1.51 11.259 39,893 80.45 84.39 99.07 90.93 34.80
- ------------------------------------------------------------------------------------------------------------------------------------
1997-11 85 3,717,317.13 2.75 11.925 43,733 79.88 72.19 87.13 87.03 37.66
- ------------------------------------------------------------------------------------------------------------------------------------
1997-12 283 13,649,902.51 10.11 11.608 48,233 80.60 85.42 90.93 91.03 36.22
- ------------------------------------------------------------------------------------------------------------------------------------
1998-01 376 17,762,839.23 13.16 11.392 47,242 80.60 85.45 90.25 92.35 37.59
- ------------------------------------------------------------------------------------------------------------------------------------
1998-02 438 24,010,068.56 17.79 11.147 54,818 80.60 90.24 86.04 91.52 38.35
- ------------------------------------------------------------------------------------------------------------------------------------
1998-03 514 28,962,939.88 21.46 10.893 56,348 80.82 82.73 91.97 93.88 36.82
- ------------------------------------------------------------------------------------------------------------------------------------
1998-04 566 30,572,994.10 22.65 11.035 54,016 81.04 79.58 91.87 94.97 37.97
- ------------------------------------------------------------------------------------------------------------------------------------
1998-05 195 9,984,275.18 7.40 10.964 51,201 79.80 84.91 87.46 90.00 36.60
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 2,600 134,960,601.41 100.00 11.178 51,908 80.75 83.60 90.41 92.77 37.39
- ------------------------------------------------------------------------------------------------------------------------------------
</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 no 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>
- ------------------------------------------------------------------------------------------------------------------------------------
Combined % of Weighted Weighted
Original Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent Average
Loan-to-Value Mortgage Principal Principal Average Current Original Cashout Full Owner Debt
Ratios Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0.001 - 10.000 1 14,911.56 0.01 12.300 14,912 10.00 100.00 100.00 100.00 55.49
- ------------------------------------------------------------------------------------------------------------------------------------
10.001 - 20.000 3 70,142.29 0.05 11.300 23,381 17.24 100.00 67.69 100.00 37.38
- ------------------------------------------------------------------------------------------------------------------------------------
20.001 - 30.000 15 345,840.07 0.26 11.021 23,056 27.54 100.00 94.23 100.00 25.55
- ------------------------------------------------------------------------------------------------------------------------------------
30.001 - 40.000 29 916,731.94 0.68 9.808 31,611 36.45 93.25 87.83 97.34 30.29
- ------------------------------------------------------------------------------------------------------------------------------------
40.001 - 50.000 46 2,136,803.54 1.58 9.781 46,452 45.81 95.82 94.83 96.78 33.67
- ------------------------------------------------------------------------------------------------------------------------------------
50.001 - 60.000 90 4,203,686.66 3.11 10.201 46,708 56.46 96.77 89.05 87.61 33.66
- ------------------------------------------------------------------------------------------------------------------------------------
60.001 - 70.000 258 14,177,208.04 10.50 10.434 54,950 67.05 94.77 83.55 87.81 35.07
- ------------------------------------------------------------------------------------------------------------------------------------
70.001 - 75.000 253 14,310,341.13 10.60 11.137 56,563 74.11 88.96 74.33 83.85 36.10
- ------------------------------------------------------------------------------------------------------------------------------------
75.001 - 80.000 437 23,963,856.92 17.76 10.907 54,837 79.52 83.44 86.81 79.69 37.42
- ------------------------------------------------------------------------------------------------------------------------------------
80.001 - 85.000 458 25,682,554.24 19.03 11.326 56,075 84.61 81.18 93.35 99.49 38.19
- ------------------------------------------------------------------------------------------------------------------------------------
85.001 - 90.000 896 45,984,474.81 34.07 11.521 51,322 89.66 77.71 97.23 99.87 38.74
- ------------------------------------------------------------------------------------------------------------------------------------
90.001 - 95.000 23 1,027,045.34 0.76 12.018 44,654 92.26 63.79 95.14 95.86 38.03
- ------------------------------------------------------------------------------------------------------------------------------------
95.001 - 100.000 91 2,127,004.87 1.58 13.805 23,374 99.34 95.22 99.11 100.00 38.03
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 2,600 134,960,601.41 100.00 11.178 51,908 80.75 83.60 90.41 92.77 37.39
- ------------------------------------------------------------------------------------------------------------------------------------
</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 no 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>
- ------------------------------------------------------------------------------------------------------------------------------------
% of Weighted Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent Average
Junior Loan Mortgage Principal Principal Average Current Original Cashout Full Owner Debt
Ratios (1) Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
5.001 - 10.000 16 242,300.98 1.02 12.957 15,144 87.22 95.90 92.62 100.00 42.46
- ------------------------------------------------------------------------------------------------------------------------------------
10.001 - 15.000 137 2,636,601.76 11.06 12.839 19,245 88.19 89.68 88.35 100.00 38.19
- ------------------------------------------------------------------------------------------------------------------------------------
15.001 - 20.000 161 3,877,329.69 16.26 12.608 24,083 87.91 98.23 88.89 97.36 39.43
- ------------------------------------------------------------------------------------------------------------------------------------
20.001 - 25.000 170 4,319,959.75 18.12 12.437 25,412 87.71 100.00 90.96 100.00 39.08
- ------------------------------------------------------------------------------------------------------------------------------------
25.001 - 30.000 121 3,588,741.18 15.05 12.205 29,659 85.40 100.00 92.85 99.56 39.54
- ------------------------------------------------------------------------------------------------------------------------------------
30.001 - 35.000 72 2,639,131.69 11.07 12.618 36,655 86.56 99.11 90.29 96.75 39.15
- ------------------------------------------------------------------------------------------------------------------------------------
35.001 - 40.000 57 2,095,481.54 8.79 12.253 36,763 84.76 100.00 88.27 98.10 39.23
- ------------------------------------------------------------------------------------------------------------------------------------
40.001 - 45.000 38 1,706,489.87 7.16 12.177 44,908 80.71 100.00 81.46 98.16 37.08
- ------------------------------------------------------------------------------------------------------------------------------------
45.001 - 50.000 21 993,150.15 4.17 12.196 47,293 80.12 100.00 73.30 100.00 41.34
- ------------------------------------------------------------------------------------------------------------------------------------
50.001 - 55.000 17 645,602.27 2.71 12.044 37,977 79.30 100.00 92.27 100.00 37.03
- ------------------------------------------------------------------------------------------------------------------------------------
55.001 - 60.000 8 413,949.08 1.74 12.374 51,744 79.29 100.00 84.66 100.00 41.86
- ------------------------------------------------------------------------------------------------------------------------------------
60.001 - 65.000 7 264,770.52 1.11 12.839 37,824 85.23 100.00 100.00 100.00 41.27
- ------------------------------------------------------------------------------------------------------------------------------------
65.001 - 70.000 6 240,204.93 1.01 12.023 40,034 73.50 100.00 100.00 100.00 33.74
- ------------------------------------------------------------------------------------------------------------------------------------
70.001 - 75.000 2 71,548.71 0.30 12.282 35,774 72.67 100.00 100.00 45.95 45.41
- ------------------------------------------------------------------------------------------------------------------------------------
75.001 - 80.000 2 57,846.72 0.24 11.116 28,923 90.52 100.00 100.00 100.00 30.63
- ------------------------------------------------------------------------------------------------------------------------------------
85.001 - 90.000 1 51,528.29 0.22 12.350 51,528 87.50 100.00 100.00 100.00 37.60
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 836 23,844,637.13 100.00 12.439 28,522 85.66 98.43 89.09 98.68 39.07
- ------------------------------------------------------------------------------------------------------------------------------------
</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 no 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>
- ------------------------------------------------------------------------------------------------------------------------------------
% of Weighted Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent Average
Mortgage Principal Principal Average Current Original Cashout Full Owner Debt
Product Type Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Fixed - 5 Year 4 74,860.58 0.06 11.369 18,715 86.11 100.00 74.06 74.06 27.12
- ------------------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 59 1,528,836.73 1.13 10.974 25,912 75.13 100.00 97.93 90.99 33.10
- ------------------------------------------------------------------------------------------------------------------------------------
Fixed - 15 Year 1,021 32,833,369.31 24.33 11.532 32,158 79.99 97.73 92.89 94.80 35.43
- ------------------------------------------------------------------------------------------------------------------------------------
Fixed - 20 Year 230 10,922,008.52 8.09 11.199 47,487 77.92 96.52 89.52 93.84 36.33
- ------------------------------------------------------------------------------------------------------------------------------------
Fixed - 25 Year 2 143,910.07 0.11 8.758 71,955 71.47 100.00 100.00 100.00 38.46
- ------------------------------------------------------------------------------------------------------------------------------------
Fixed - 30 Year 496 35,033,344.47 25.96 10.937 70,632 80.94 79.23 93.36 94.84 37.65
- ------------------------------------------------------------------------------------------------------------------------------------
Balloon - 5/30 1 71,028.09 0.05 14.500 71,028 75.74 0.00 100.00 100.00 18.57
- ------------------------------------------------------------------------------------------------------------------------------------
Balloon - 15/30 787 54,353,243.64 40.27 11.123 69,064 81.85 74.87 86.96 90.05 38.78
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 2,600 134,960,601.41 100.00 11.178 51,908 80.75 83.60 90.41 92.77 37.39
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
% of Weighted Weighted
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent Average
Mortgage Principal Principal Average Current Original Cashout Full Owner Debt
Prepayment Penalty Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
No Prepayment 935 42,803,526.03 31.72 11.454 45,779 81.73 87.55 91.22 94.57 37.97
Penalty
- ------------------------------------------------------------------------------------------------------------------------------------
1 Year 78 4,854,315.28 3.60 11.092 62,235 80.42 81.66 90.92 89.20 37.07
- ------------------------------------------------------------------------------------------------------------------------------------
2 Years 900 51,320,663.38 38.03 10.776 57,023 81.40 79.49 95.53 93.83 37.51
- ------------------------------------------------------------------------------------------------------------------------------------
3 Years 440 24,356,675.33 18.05 11.258 55,356 79.56 79.20 80.59 86.50 36.79
- ------------------------------------------------------------------------------------------------------------------------------------
4 Years 2 108,214.30 0.08 9.233 54,107 67.50 100.00 100.00 100.00 38.04
- ------------------------------------------------------------------------------------------------------------------------------------
5 Years 245 11,517,207.09 8.53 11.832 47,009 77.02 97.19 85.04 96.11 36.14
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 2,600 134,960,601.41 100.00 11.178 51,908 80.75 83.60 90.41 92.77 37.39
- ------------------------------------------------------------------------------------------------------------------------------------
</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 no 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>
Block Financial 1998-2 Collateral Detail
<TABLE>
<CAPTION>
Adjustable Rate Group II
- ------------------------------------------------------------------------------------------------------------------------------------
% of
Remaining # of Aggregate Aggr Weighted Weighted WA Average WA Percent Percent % WA
Principal Mtg Principal Prin Average Average Mos Current Orig Cashout Full Own Debt
Balance Lns Balance Bal Coupon Margin to Roll Balance CLTV Refi Doc Occ Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10,000 - 19,999 1 17,994.05 0.02 11.350 7.875 21 17,994 80.00 100.00 0.00 0.00 37.20
- ------------------------------------------------------------------------------------------------------------------------------------
20,000 - 29,999 1 29,937.25 0.03 9.750 5.000 21 29,937 39.47 100.00 100.00 100.00 32.15
- ------------------------------------------------------------------------------------------------------------------------------------
30,000 - 39,999 30 1,077,229.97 0.92 10.731 6.684 17 35,908 79.89 43.79 87.40 73.18 36.25
- ------------------------------------------------------------------------------------------------------------------------------------
40,000 - 49,999 83 3,786,743.39 3.22 10.627 6.468 19 45,623 80.71 58.55 88.09 79.57 38.41
- ------------------------------------------------------------------------------------------------------------------------------------
50,000 - 59,999 136 7,519,091.00 6.39 10.477 6.407 19 55,287 83.55 53.43 94.18 90.68 38.33
- ------------------------------------------------------------------------------------------------------------------------------------
60,000 - 69,999 146 9,542,922.16 8.11 10.413 6.556 18 65,362 85.52 55.39 95.21 96.64 37.45
- ------------------------------------------------------------------------------------------------------------------------------------
70,000 - 79,999 150 11,276,195.18 9.58 10.314 6.506 17 75,175 85.67 57.23 97.37 98.07 40.23
- ------------------------------------------------------------------------------------------------------------------------------------
80,000 - 89,999 112 9,474,062.10 8.05 9.886 6.272 18 84,590 84.99 61.94 97.29 98.23 36.81
- ------------------------------------------------------------------------------------------------------------------------------------
90,000 - 99,999 92 8,715,057.54 7.41 9.957 6.255 16 94,729 85.37 58.75 94.62 97.88 37.92
- ------------------------------------------------------------------------------------------------------------------------------------
100,000 - 109,999 84 8,801,241.83 7.48 9.914 6.359 18 104,777 86.31 59.60 95.19 97.62 39.92
- ------------------------------------------------------------------------------------------------------------------------------------
110,000 - 119,999 75 8,615,179.95 7.32 10.126 6.385 18 114,869 86.51 65.64 94.60 100.00 41.15
- ------------------------------------------------------------------------------------------------------------------------------------
120,000 - 129,999 58 7,234,564.67 6.15 10.079 6.526 20 124,734 85.90 55.36 98.32 100.00 42.03
- ------------------------------------------------------------------------------------------------------------------------------------
130,000 - 139,999 51 6,882,221.28 5.85 10.099 6.363 17 134,946 85.79 70.47 92.04 100.00 41.68
- ------------------------------------------------------------------------------------------------------------------------------------
140,000 - 149,999 38 5,497,657.52 4.67 9.834 6.236 17 144,675 84.95 73.51 92.11 97.41 39.44
- ------------------------------------------------------------------------------------------------------------------------------------
150,000 - 159,999 20 3,131,612.39 2.66 10.238 6.571 16 156,581 84.74 64.91 100.00 89.96 42.44
- ------------------------------------------------------------------------------------------------------------------------------------
160,000 - 169,999 16 2,617,388.16 2.22 9.960 6.349 17 163,587 86.71 56.26 87.44 100.00 35.05
- ------------------------------------------------------------------------------------------------------------------------------------
170,000 - 179,999 12 2,116,251.13 1.80 9.706 6.272 15 176,354 85.94 50.00 100.00 100.00 36.75
- ------------------------------------------------------------------------------------------------------------------------------------
180,000 - 189,999 14 2,609,952.68 2.22 9.825 6.612 20 186,425 86.75 56.96 92.81 100.00 46.64
- ------------------------------------------------------------------------------------------------------------------------------------
190,000 - 199,999 8 1,563,086.46 1.33 10.038 6.650 14 195,386 78.27 62.42 62.72 100.00 38.73
- ------------------------------------------------------------------------------------------------------------------------------------
200,000 - 209,999 6 1,225,204.04 1.04 9.674 6.476 16 204,201 88.32 66.38 82.96 100.00 40.83
- ------------------------------------------------------------------------------------------------------------------------------------
210,000 - 219,999 9 1,948,377.20 1.66 9.638 6.512 12 216,486 80.28 88.79 88.74 100.00 44.43
- ------------------------------------------------------------------------------------------------------------------------------------
220,000 - 229,999 9 2,026,103.62 1.72 10.354 6.977 13 225,123 87.32 66.69 100.00 100.00 39.23
- ------------------------------------------------------------------------------------------------------------------------------------
230,000 - 239,999 8 1,876,863.41 1.59 10.118 6.164 20 234,608 86.24 62.58 100.00 100.00 41.77
- ------------------------------------------------------------------------------------------------------------------------------------
240,000 - 249,999 5 1,225,485.93 1.04 10.136 6.527 16 245,097 89.01 20.27 100.00 100.00 35.00
- ------------------------------------------------------------------------------------------------------------------------------------
250,000 - 259,999 1 254,369.08 0.22 8.450 6.750 19 254,369 69.86 100.00 100.00 100.00 34.48
- ------------------------------------------------------------------------------------------------------------------------------------
260,000 - 269,999 4 1,064,061.19 0.90 9.301 5.952 11 266,015 84.43 25.11 74.68 100.00 37.21
- ------------------------------------------------------------------------------------------------------------------------------------
270,000 - 279,999 3 834,131.68 0.71 10.268 5.701 18 278,044 81.63 33.39 66.52 100.00 45.79
- ------------------------------------------------------------------------------------------------------------------------------------
280,000 - 289,999 4 1,145,407.21 0.97 9.994 5.847 20 286,352 82.53 25.30 100.00 100.00 41.16
- ------------------------------------------------------------------------------------------------------------------------------------
290,000 - 299,999 3 886,776.61 0.75 10.715 6.900 17 295,592 86.66 33.14 100.00 100.00 40.67
- ------------------------------------------------------------------------------------------------------------------------------------
300,000 and greater 12 4,694,795.09 3.99 9.410 5.960 16 391,233 81.11 74.74 83.04 92.87 32.40
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,191 117,689,963.77 100.00 10.085 6.393 17 98,816 84.98 59.92 93.73 96.88 39.27
- ------------------------------------------------------------------------------------------------------------------------------------
</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 no 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>
- ------------------------------------------------------------------------------------------------------------------------------------
% of WA
# of Aggregate Aggr Weighted Weighted Mos Average WA Percent Percent % WA
Mortgage Mtg Principal Prin Average Average to Current Orig Cashout Full Own Debt
Rates Lns Balance Bal Coupon Margin Roll Balance CLTV Refi Doc Occ Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
8.000 and less 20 2,512,131.35 2.13 7.703 5.038 14 125,607 76.48 76.17 100.00 100.00 35.78
- ------------------------------------------------------------------------------------------------------------------------------------
8.001 - 8.250 18 1,913,555.08 1.63 8.167 5.192 15 106,309 75.65 67.79 100.00 100.00 36.43
- ------------------------------------------------------------------------------------------------------------------------------------
8.251 - 8.500 19 2,119,429.72 1.80 8.456 5.757 17 111,549 77.12 82.91 100.00 93.28 39.98
- ------------------------------------------------------------------------------------------------------------------------------------
8.501 - 8.750 48 5,284,994.58 4.49 8.683 5.933 17 110,104 82.17 85.99 91.59 98.67 39.14
- ------------------------------------------------------------------------------------------------------------------------------------
8.751 - 9.000 57 6,593,548.50 5.60 8.934 5.962 16 115,676 82.60 72.41 93.56 98.41 37.56
- ------------------------------------------------------------------------------------------------------------------------------------
9.001 - 9.250 54 6,267,871.02 5.33 9.185 5.948 19 116,072 84.12 60.67 89.17 99.14 37.81
- ------------------------------------------------------------------------------------------------------------------------------------
9.251 - 9.500 74 8,069,330.23 6.86 9.442 6.125 17 109,045 83.93 79.70 93.13 98.12 37.65
- ------------------------------------------------------------------------------------------------------------------------------------
9.501 - 9.750 120 12,681,615.40 10.78 9.691 6.239 17 105,680 86.39 56.14 94.78 96.74 38.41
- ------------------------------------------------------------------------------------------------------------------------------------
9.751 - 10.000 135 13,573,241.42 11.53 9.926 6.320 17 100,543 86.89 53.68 92.31 96.88 37.68
- ------------------------------------------------------------------------------------------------------------------------------------
10.001 - 10.250 99 9,361,096.86 7.95 10.181 6.377 18 94,557 86.82 57.55 96.60 97.42 39.75
- ------------------------------------------------------------------------------------------------------------------------------------
10.251 - 10.500 106 10,748,904.18 9.13 10.416 6.534 17 101,405 85.80 48.53 95.91 94.47 40.55
- ------------------------------------------------------------------------------------------------------------------------------------
10.501 - 10.750 136 12,396,232.42 10.53 10.662 6.638 18 91,149 86.25 53.99 93.62 97.34 40.63
- ------------------------------------------------------------------------------------------------------------------------------------
10.751 - 11.000 78 6,875,517.88 5.84 10.909 6.792 17 88,148 86.32 53.11 97.80 94.49 42.17
- ------------------------------------------------------------------------------------------------------------------------------------
11.001 - 11.250 61 5,763,143.90 4.90 11.151 6.818 18 94,478 86.46 54.38 90.34 92.99 39.81
- ------------------------------------------------------------------------------------------------------------------------------------
11.251 - 11.500 57 4,529,507.20 3.85 11.409 6.933 19 79,465 86.56 65.17 96.96 97.42 42.51
- ------------------------------------------------------------------------------------------------------------------------------------
11.501 - 11.750 37 3,652,428.22 3.10 11.647 7.355 17 98,714 85.89 40.33 82.61 100.00 40.05
- ------------------------------------------------------------------------------------------------------------------------------------
11.751 - 12.000 35 2,689,143.62 2.28 11.873 7.072 19 76,833 84.53 44.69 89.40 96.55 40.16
- ------------------------------------------------------------------------------------------------------------------------------------
12.001 - 12.250 16 1,210,921.87 1.03 12.158 7.386 18 75,683 83.52 59.17 92.49 100.00 42.86
- ------------------------------------------------------------------------------------------------------------------------------------
12.251 - 12.500 9 666,513.48 0.57 12.371 7.621 20 74,057 85.02 87.85 82.15 100.00 38.51
- ------------------------------------------------------------------------------------------------------------------------------------
Greater than 12.500 12 780,836.84 0.66 12.868 7.378 18 65,070 70.99 73.92 93.18 80.16 36.64
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,191 117,689,963.77 100.00 10.085 6.393 17 98,816 84.98 59.92 93.73 96.88 39.27
- ------------------------------------------------------------------------------------------------------------------------------------
</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 no 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>
- ------------------------------------------------------------------------------------------------------------------------------------
% of
# of Aggregate Aggr Weighted Weighted WA Average WA Percent Percent % WA
Gross Mtg Principal Prin Average Average Mos Current Orig Cashout Full Own Debt
Margin Lns Balance Bal Coupon Margin to Roll Balance CLTV Refi Doc Occ Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4.500 and less 12 969,715.01 0.82 8.350 4.282 15 80,810 71.38 89.00 96.83 96.83 35.35
- ------------------------------------------------------------------------------------------------------------------------------------
4.501 - 4.750 31 3,474,447.48 2.95 9.289 4.742 25 112,079 83.70 54.22 100.00 96.90 33.93
- ------------------------------------------------------------------------------------------------------------------------------------
4.751 - 5.000 46 4,193,067.49 3.56 9.486 4.947 17 91,154 78.82 64.68 91.67 100.00 37.69
- ------------------------------------------------------------------------------------------------------------------------------------
5.001 - 5.250 37 4,335,713.87 3.68 9.130 5.208 17 117,181 79.63 72.60 97.79 98.75 33.83
- ------------------------------------------------------------------------------------------------------------------------------------
5.251 - 5.500 58 6,853,169.81 5.82 9.469 5.410 15 118,158 78.66 57.22 96.07 96.72 39.57
- ------------------------------------------------------------------------------------------------------------------------------------
5.501 - 5.750 64 6,839,287.89 5.81 9.648 5.717 14 106,864 85.10 60.84 98.43 98.57 38.11
- ------------------------------------------------------------------------------------------------------------------------------------
5.751 - 6.000 138 13,000,397.91 11.05 9.672 5.957 18 94,206 85.51 61.80 96.85 96.12 38.67
- ------------------------------------------------------------------------------------------------------------------------------------
6.001 - 6.250 154 15,428,166.81 13.11 9.914 6.209 18 100,183 87.47 61.33 95.35 97.54 39.32
- ------------------------------------------------------------------------------------------------------------------------------------
6.251 - 6.500 105 10,549,457.92 8.96 9.986 6.396 17 100,471 84.62 54.27 87.89 93.14 41.44
- ------------------------------------------------------------------------------------------------------------------------------------
6.501 - 6.750 188 17,981,485.04 15.28 10.394 6.651 19 95,646 86.50 63.61 95.44 97.05 41.30
- ------------------------------------------------------------------------------------------------------------------------------------
6.751 - 7.000 87 7,881,999.84 6.70 10.493 6.884 17 90,598 83.69 58.23 89.09 93.20 38.56
- ------------------------------------------------------------------------------------------------------------------------------------
7.001 - 7.250 104 10,199,310.55 8.67 10.740 7.140 17 98,070 87.69 61.28 93.74 98.76 40.50
- ------------------------------------------------------------------------------------------------------------------------------------
7.251 - 7.500 48 4,806,553.26 4.08 10.576 7.382 15 100,137 86.59 55.89 95.98 95.86 39.95
- ------------------------------------------------------------------------------------------------------------------------------------
7.501 - 7.750 54 5,093,903.61 4.33 10.825 7.631 16 94,332 87.45 38.29 88.26 100.00 38.08
- ------------------------------------------------------------------------------------------------------------------------------------
7.751 - 8.000 21 1,766,986.62 1.50 11.188 7.871 13 84,142 85.14 49.84 80.26 96.99 41.21
- ------------------------------------------------------------------------------------------------------------------------------------
Greater than 8.000 44 4,316,300.66 3.67 10.983 8.473 16 98,098 85.42 65.07 84.51 97.54 38.99
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,191 117,689,963.77 100.00 10.085 6.393 17 98,816 84.98 59.92 93.73 96.88 39.27
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
% of
Months to # of Aggregate Aggr Weighted Weighted WA Average WA Percent Percent % WA
Next Rate Mtg Principal Prin Average Average Mos Current Orig Cashout Full Own Debt
Adjustment Lns Balance Bal Coupon Margin to Roll Balance CLTV Refi Doc Occ Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 - 6 93 9,303,916.91 7.91 9.910 6.244 4 100,042 84.80 64.79 88.33 96.11 38.82
- ------------------------------------------------------------------------------------------------------------------------------------
7 - 12 138 15,984,756.09 13.58 9.702 6.695 8 115,832 85.87 55.50 89.08 98.88 36.38
- ------------------------------------------------------------------------------------------------------------------------------------
13 - 24 906 87,067,794.62 73.98 10.177 6.395 20 96,101 84.79 60.54 95.23 96.52 40.06
- ------------------------------------------------------------------------------------------------------------------------------------
25 - 36 54 5,333,496.15 4.53 10.042 5.710 31 98,768 85.75 54.47 92.46 97.98 35.92
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,191 117,689,963.77 100.00 10.085 6.393 17 98,816 84.98 59.92 93.73 96.88 39.27
- ------------------------------------------------------------------------------------------------------------------------------------
</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 no 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>
- ------------------------------------------------------------------------------------------------------------------------------------
% of
Months Remainging # of Aggregate Aggr Weighted Weighted WA Average WA Percent Percent % WA
to Scheduled Mtg Principal Prin Average Average Mos Current Orig Cashout Full Own Debt
Maturity Lns Balance Bal Coupon Margin to Roll Balance CLTV Refi Doc Occ Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
120 to 179 540 52,592,202.23 44.69 9.990 6.167 17 97,393 85.83 65.28 99.27 98.51 40.30
- ------------------------------------------------------------------------------------------------------------------------------------
180 to 239 1 53,603.46 0.05 8.750 6.000 20 53,603 90.00 100.00 100.00 100.00 43.72
- ------------------------------------------------------------------------------------------------------------------------------------
300 to 359 650 65,044,158.08 55.27 10.164 6.576 17 100,068 84.29 55.54 89.23 95.56 38.44
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,191 117,689,963.77 100.00 10.085 6.393 17 98,816 84.98 59.92 93.73 96.88 39.27
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
% of
# of Aggregate Aggr Weighted Weighted WA Average WA Percent Percent % WA
Distribution Mtg Principal Prin Average Average Mos Current Orig Cashout Full Own Debt
Loan Purpose Lns Balance Bal Coupon Margin to Roll Balance CLTV Refi Doc Occ Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Refinance - Cashout 700 70,514,223.85 59.92 9.969 6.367 17 100,735 83.83 100.00 94.49 97.47 39.75
- ------------------------------------------------------------------------------------------------------------------------------------
Purchase 491 47,175,739.92 40.08 10.258 6.430 17 96,081 86.69 0.00 92.59 96.00 38.56
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,191 117,689,963.77 100.00 10.085 6.393 17 98,816 84.98 59.92 93.73 96.88 39.27
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
% of
# of Aggregate Aggr Weighted Weighted WA Average WA Percent Percent % WA
Distribution of Mtg Principal Prin Average Average Mos Current Orig Cashout Full Own Debt
Occupancy Status Lns Balance Bal Coupon Margin to Roll Balance CLTV Refi Doc Occ Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
Owner Occupied 1,134 114,015,344.88 96.88 10.076 6.391 17 100,543 85.25 60.28 93.95 100.00 39.31
- ------------------------------------------------------------------------------------------------------------------------------------
Non-Owner Occupied 57 3,674,618.89 3.12 10.358 6.434 17 64,467 76.62 48.64 86.72 0.00 38.20
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,191 117,689,963.77 100.00 10.085 6.393 17 98,816 84.98 59.92 93.73 96.88 39.27
- ------------------------------------------------------------------------------------------------------------------------------------
</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 no 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>
- ------------------------------------------------------------------------------------------------------------------------------------
% of
# of Aggregate Aggr Weighted Weighted WA Average WA Percent Percent % WA
Distribution of Mtg Principal Prin Average Average Mos Current Orig Cashout Full Own Debt
Property Types Lns Balance Bal Coupon Margin to Roll Balance CLTV Refi Doc Occ Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
Single Family
Residence 1,150 114,490,972.77 97.28 10.071 6.381 17 99,557 85.01 60.20 93.83 97.47 39.28
- ------------------------------------------------------------------------------------------------------------------------------------
2-4 Family 18 1,310,929.02 1.11 11.050 7.142 16 72,829 82.65 48.73 96.37 48.03 42.95
- ------------------------------------------------------------------------------------------------------------------------------------
PUD 9 1,100,391.25 0.93 10.302 6.872 16 122,266 86.80 63.94 100.00 94.00 36.49
- ------------------------------------------------------------------------------------------------------------------------------------
Man. Housing 8 449,804.42 0.38 10.358 5.991 22 56,226 82.10 22.42 59.42 100.00 33.74
- ------------------------------------------------------------------------------------------------------------------------------------
Condo 6 337,866.31 0.29 10.170 6.315 17 56,311 81.18 42.99 73.42 90.90 38.00
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,191 117,689,963.77 100.00 10.085 6.393 17 98,816 84.98 59.92 93.73 96.88 39.27
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
% of
# of Aggregate Aggr Weighted Weighted WA Average WA Percent Percent % WA
Mtg Principal Prin Average Average Mos Current Orig Cashout Full Own Debt
Lien Position Lns Balance Bal Coupon Margin to Roll Balance CLTV Refi Doc Occ Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
1st Lien 1,191 117,689,963.77 100.00 10.085 6.393 17 98,816 84.98 59.92 93.73 96.88 39.27
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,191 117,689,963.77 100.00 10.085 6.393 17 98,816 84.98 59.92 93.73 96.88 39.27
- ------------------------------------------------------------------------------------------------------------------------------------
</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 no 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>
- ------------------------------------------------------------------------------------------------------------------------------------
% of
# of Aggregate Aggr Weighted Weighted WA Average WA Percent Percent % WA
Geographical Mtg Principal Prin Average Average Mos Current Orig Cashout Full Own Debt
Distribution Lns Balance Bal Coupon Margin to Roll Balance CLTV Refi Doc Occ Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
Georgia 206 21,837,267.97 18.55 10.277 6.540 17 106,006 85.23 42.53 93.80 96.48 37.68
- ------------------------------------------------------------------------------------------------------------------------------------
Florida 125 11,141,065.89 9.47 10.018 6.129 18 89,129 84.85 45.62 92.99 97.05 40.50
- ------------------------------------------------------------------------------------------------------------------------------------
Ohio 133 11,130,987.16 9.46 10.121 6.498 18 83,692 86.36 76.94 98.42 97.64 39.02
- ------------------------------------------------------------------------------------------------------------------------------------
Colorado 79 9,954,964.43 8.46 9.646 6.277 17 126,012 84.12 82.71 96.67 100.00 40.74
- ------------------------------------------------------------------------------------------------------------------------------------
Illinois 80 8,399,803.89 7.14 10.024 6.221 15 104,998 83.48 79.65 99.39 97.55 40.32
- ------------------------------------------------------------------------------------------------------------------------------------
Tennessee 63 6,161,804.13 5.24 10.404 6.440 20 97,806 86.29 61.06 93.73 99.30 40.94
- ------------------------------------------------------------------------------------------------------------------------------------
Indiana 60 5,065,676.65 4.30 10.214 6.221 17 84,428 86.12 77.06 100.00 98.62 39.55
- ------------------------------------------------------------------------------------------------------------------------------------
Louisiana 47 4,416,610.36 3.75 10.426 7.153 17 93,970 84.19 66.23 70.63 94.06 40.07
- ------------------------------------------------------------------------------------------------------------------------------------
Utah 35 4,140,749.00 3.52 9.538 6.128 18 118,307 84.60 64.14 100.00 97.79 38.47
- ------------------------------------------------------------------------------------------------------------------------------------
Arizona 38 4,115,544.38 3.50 9.783 6.275 17 108,304 83.81 45.18 84.50 100.00 39.75
- ------------------------------------------------------------------------------------------------------------------------------------
Virginia 42 3,929,785.06 3.34 10.441 6.522 18 93,566 85.31 26.90 95.54 82.78 41.51
- ------------------------------------------------------------------------------------------------------------------------------------
Kentucky 47 3,855,572.57 3.28 10.022 6.136 18 82,033 86.35 64.56 100.00 100.00 40.08
- ------------------------------------------------------------------------------------------------------------------------------------
California 17 3,313,779.97 2.82 9.527 6.189 14 194,928 85.80 57.49 93.16 97.51 37.88
- ------------------------------------------------------------------------------------------------------------------------------------
South Carolina 31 3,275,352.71 2.78 10.030 6.434 17 105,657 84.31 47.04 72.68 100.00 39.76
- ------------------------------------------------------------------------------------------------------------------------------------
North Carolina 35 3,254,971.36 2.77 9.929 6.219 16 92,999 85.79 43.58 93.71 97.05 38.19
- ------------------------------------------------------------------------------------------------------------------------------------
Michigan 31 2,382,660.62 2.02 10.548 6.750 14 76,860 80.98 74.40 90.86 93.50 37.26
- ------------------------------------------------------------------------------------------------------------------------------------
Mississippi 25 1,820,043.04 1.55 10.515 6.603 21 72,802 85.96 62.83 97.10 100.00 33.67
- ------------------------------------------------------------------------------------------------------------------------------------
Iowa 19 1,770,982.48 1.50 9.998 6.250 17 93,210 86.99 57.51 100.00 100.00 43.86
- ------------------------------------------------------------------------------------------------------------------------------------
Oregon 11 1,492,737.46 1.27 9.515 6.227 16 135,703 81.06 87.45 100.00 71.32 32.73
- ------------------------------------------------------------------------------------------------------------------------------------
Missouri 16 1,104,167.79 0.94 10.093 6.273 16 69,010 83.77 83.07 100.00 100.00 40.43
- ------------------------------------------------------------------------------------------------------------------------------------
Connecticut 9 1,052,385.97 0.89 10.170 6.453 23 116,932 85.69 58.12 78.49 100.00 35.83
- ------------------------------------------------------------------------------------------------------------------------------------
Washington 9 904,391.94 0.77 9.545 5.979 18 100,488 78.45 89.99 100.00 100.00 37.20
- ------------------------------------------------------------------------------------------------------------------------------------
Texas 12 860,487.29 0.73 10.619 7.038 16 71,707 87.03 17.19 89.60 89.60 37.53
- ------------------------------------------------------------------------------------------------------------------------------------
Maryland 4 717,967.15 0.61 10.747 6.631 12 179,492 85.67 33.23 80.92 100.00 43.58
- ------------------------------------------------------------------------------------------------------------------------------------
Wisconsin 5 578,798.73 0.49 10.690 6.567 16 115,760 86.48 100.00 74.90 100.00 41.38
- ------------------------------------------------------------------------------------------------------------------------------------
Idaho 4 347,940.61 0.30 9.963 6.767 19 86,985 90.00 52.16 100.00 100.00 30.79
- ------------------------------------------------------------------------------------------------------------------------------------
New Mexico 2 194,760.34 0.17 11.489 7.230 15 97,380 84.05 100.00 100.00 80.90 40.60
- ------------------------------------------------------------------------------------------------------------------------------------
Minnesota 1 181,493.57 0.15 8.900 5.750 31 181,494 90.00 100.00 100.00 100.00 50.00
- ------------------------------------------------------------------------------------------------------------------------------------
Pennsylvania 3 151,363.68 0.13 10.129 7.373 17 50,455 79.85 0.00 100.00 49.24 38.91
- ------------------------------------------------------------------------------------------------------------------------------------
New Jersey 1 104,397.57 0.09 9.750 7.000 15 104,398 80.00 0.00 100.00 100.00 39.50
- ------------------------------------------------------------------------------------------------------------------------------------
Arkansas 1 31,450.00 0.03 11.790 6.800 23 31,450 85.00 100.00 100.00 100.00 45.10
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,191 117,689,963.77 100.00 10.085 6.393 17 98,816 84.98 59.92 93.73 96.88 39.27
- ------------------------------------------------------------------------------------------------------------------------------------
</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 no 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>
- ------------------------------------------------------------------------------------------------------------------------------------
% of
# of Aggregate Aggr Weighted Weighted WA Average WA Percent Percent % WA
Mtg Principal Prin Average Average Mos Current Orig Cashout Full Own Debt
Top 20 Zip Codes Lns Balance Bal Coupon Margin to Roll Balance CLTV Refi Doc Occ Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
30269 6 887,300.72 0.75 9.323 6.650 9 147,883 84.22 29.66 71.51 100.00 34.30
- ------------------------------------------------------------------------------------------------------------------------------------
30058 7 805,576.05 0.68 10.707 7.126 20 115,082 88.09 52.64 100.00 100.00 36.12
- ------------------------------------------------------------------------------------------------------------------------------------
30038 5 773,454.30 0.66 9.738 6.528 16 154,691 85.83 9.29 100.00 100.00 38.35
- ------------------------------------------------------------------------------------------------------------------------------------
84120 5 603,660.43 0.51 9.960 6.574 21 120,732 89.11 100.00 100.00 100.00 44.69
- ------------------------------------------------------------------------------------------------------------------------------------
30310 9 596,707.56 0.51 10.240 6.283 18 66,301 86.78 21.54 100.00 78.61 37.18
- ------------------------------------------------------------------------------------------------------------------------------------
84095 3 591,715.69 0.50 9.165 5.660 20 197,239 79.69 68.14 100.00 100.00 39.67
- ------------------------------------------------------------------------------------------------------------------------------------
38125 4 538,604.52 0.46 11.148 6.740 18 134,651 87.35 21.47 74.57 100.00 43.68
- ------------------------------------------------------------------------------------------------------------------------------------
70817 3 520,615.86 0.44 9.280 7.531 12 173,539 77.53 100.00 31.97 100.00 40.31
- ------------------------------------------------------------------------------------------------------------------------------------
30350 2 500,810.32 0.43 9.537 5.342 21 250,405 79.33 100.00 100.00 100.00 5.61
- ------------------------------------------------------------------------------------------------------------------------------------
30062 3 500,784.03 0.43 9.935 6.637 14 166,928 82.56 53.35 100.00 100.00 34.17
- ------------------------------------------------------------------------------------------------------------------------------------
30083 5 493,732.31 0.42 9.688 6.449 18 98,746 90.00 28.25 100.00 100.00 43.85
- ------------------------------------------------------------------------------------------------------------------------------------
30087 3 453,279.48 0.39 9.904 6.216 19 151,093 85.70 31.99 100.00 100.00 47.98
- ------------------------------------------------------------------------------------------------------------------------------------
81654 1 452,090.83 0.38 9.500 6.500 13 452,091 78.41 100.00 100.00 100.00 47.17
- ------------------------------------------------------------------------------------------------------------------------------------
30155 1 448,324.12 0.38 9.080 4.750 30 448,324 90.00 0.00 100.00 100.00 6.46
- ------------------------------------------------------------------------------------------------------------------------------------
29928 1 446,832.89 0.38 9.300 6.925 6 446,833 80.00 100.00 0.00 100.00 37.37
- ------------------------------------------------------------------------------------------------------------------------------------
92887 1 436,735.57 0.37 9.700 5.350 17 436,736 89.98 0.00 100.00 100.00 53.48
- ------------------------------------------------------------------------------------------------------------------------------------
45324 3 433,691.11 0.37 8.345 5.374 12 144,564 81.90 100.00 100.00 100.00 35.89
- ------------------------------------------------------------------------------------------------------------------------------------
28173 3 428,704.75 0.36 9.690 5.643 14 142,902 81.72 49.04 100.00 100.00 35.13
- ------------------------------------------------------------------------------------------------------------------------------------
80110 1 425,000.00 0.36 8.650 5.400 20 425,000 77.27 100.00 100.00 100.00 42.15
- ------------------------------------------------------------------------------------------------------------------------------------
60473 2 424,524.77 0.36 10.386 5.670 14 212,262 85.00 32.00 100.00 100.00 40.69
- ------------------------------------------------------------------------------------------------------------------------------------
Other 1,123 106,927,818.46 90.86 10.124 6.407 17 95,216 85.05 60.63 94.21 96.68 39.49
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,191 117,689,963.77 100.00 10.085 6.393 17 98,816 84.98 59.92 93.73 96.88 39.27
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
% of
# of Aggregate Aggr Weighted Weighted WA Average WA Percent Percent % WA
Calendar Year Mtg Principal Prin Average Average Mos Current Orig Cashout Full Own Debt
of Origination Lns Balance Bal Coupon Margin to Roll Balance CLTV Refi Doc Occ Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1997 260 26,158,680.30 22.23 10.284 6.151 14 100,610 84.32 56.36 92.97 96.01 39.23
- ------------------------------------------------------------------------------------------------------------------------------------
1998 931 91,531,283.47 77.77 10.028 6.462 18 98,315 85.16 60.93 93.94 97.13 39.29
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,191 117,689,963.77 100.00 10.085 6.393 17 98,816 84.98 59.92 93.73 96.88 39.27
- ------------------------------------------------------------------------------------------------------------------------------------
</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 no 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>
- ------------------------------------------------------------------------------------------------------------------------------------
% of
# of Aggregate Aggr Weighted Weighted WA Average WA Percent Percent % WA
Mtg Principal Prin Average Average Mos Current Orig Cashout Full Own Debt
Date of Origination Lns Balance Bal Coupon Margin to Roll Balance CLTV Refi Doc Occ Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
1997-05 1 234,618.12 0.20 9.750 5.990 11 234,618 80.00 100.00 100.00 100.00 38.92
- ------------------------------------------------------------------------------------------------------------------------------------
1997-06 4 289,595.19 0.25 10.309 6.266 12 72,399 82.24 83.50 100.00 100.00 31.89
- ------------------------------------------------------------------------------------------------------------------------------------
1997-07 9 1,225,773.05 1.04 10.230 6.520 9 136,197 75.79 78.70 100.00 87.36 43.76
- ------------------------------------------------------------------------------------------------------------------------------------
1997-08 13 1,181,033.63 1.00 9.877 5.732 11 90,849 82.43 85.35 100.00 92.10 32.80
- ------------------------------------------------------------------------------------------------------------------------------------
1997-09 18 1,867,702.79 1.59 10.015 5.775 11 103,761 85.31 37.99 100.00 100.00 30.35
- ------------------------------------------------------------------------------------------------------------------------------------
1997-10 32 3,628,442.60 3.08 9.945 5.961 13 113,389 82.78 65.05 100.00 88.25 39.73
- ------------------------------------------------------------------------------------------------------------------------------------
1997-11 52 5,087,343.12 4.32 10.490 6.275 14 97,834 86.91 49.86 96.70 98.49 43.94
- ------------------------------------------------------------------------------------------------------------------------------------
1997-12 131 12,644,171.80 10.74 10.391 6.215 15 96,520 84.72 52.89 86.77 97.69 38.83
- ------------------------------------------------------------------------------------------------------------------------------------
1998-01 182 17,991,945.13 15.29 10.337 6.500 16 98,857 85.24 57.67 90.36 96.52 38.56
- ------------------------------------------------------------------------------------------------------------------------------------
1998-02 215 21,250,095.16 18.06 9.939 6.506 17 98,838 85.51 67.40 92.84 98.71 39.22
- ------------------------------------------------------------------------------------------------------------------------------------
1998-03 243 24,667,724.41 20.96 9.890 6.389 19 101,513 85.03 62.51 95.79 97.76 39.03
- ------------------------------------------------------------------------------------------------------------------------------------
1998-04 239 23,537,851.42 20.00 9.951 6.438 21 98,485 85.02 58.22 95.73 95.75 40.13
- ------------------------------------------------------------------------------------------------------------------------------------
1998-05 51 4,006,384.61 3.40 10.402 6.635 20 78,557 84.59 48.62 93.79 95.58 39.68
- ------------------------------------------------------------------------------------------------------------------------------------
1998-06 1 77,282.74 0.07 11.050 6.775 23 77,283 90.00 0.00 100.00 100.00 28.96
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,191 117,689,963.77 100.00 10.085 6.393 17 98,816 84.98 59.92 93.73 96.88 39.27
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
% of
Original # of Aggregate Aggr Weighted Weighted WA Average WA Percent Percent % WA
Loan-to-Value Mtg Principal Prin Average Average Mos Current Orig Cashout Full Own Debt
Ratios Lns Balance Bal Coupon Margin to Roll Balance CLTV Refi Doc Occ Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
30.001 - 40.000 2 109,937.25 0.09 9.204 4.927 21 54,969 34.03 100.00 100.00 100.00 24.73
- ------------------------------------------------------------------------------------------------------------------------------------
40.001 - 50.000 3 409,408.02 0.35 10.259 5.540 15 136,469 46.38 100.00 86.46 62.16 44.96
- ------------------------------------------------------------------------------------------------------------------------------------
50.001 - 60.000 13 1,156,517.14 0.98 9.826 5.575 19 88,963 55.76 92.16 57.28 96.29 34.13
- ------------------------------------------------------------------------------------------------------------------------------------
60.001 - 70.000 55 4,909,426.60 4.17 9.298 5.932 17 89,262 66.96 80.79 77.50 95.17 38.08
- ------------------------------------------------------------------------------------------------------------------------------------
70.001 - 75.000 72 6,030,592.31 5.12 9.966 6.228 17 83,758 74.49 65.64 82.96 85.05 36.90
- ------------------------------------------------------------------------------------------------------------------------------------
75.001 - 80.000 161 16,252,009.86 13.81 9.664 6.034 17 100,944 79.59 68.87 85.71 87.77 37.78
- ------------------------------------------------------------------------------------------------------------------------------------
80.001 - 85.000 283 27,740,677.83 23.57 10.262 6.443 18 98,024 84.81 63.59 91.86 99.00 38.73
- ------------------------------------------------------------------------------------------------------------------------------------
85.001 - 90.000 593 59,959,602.10 50.95 10.213 6.553 17 101,112 89.78 53.23 100.00 99.88 40.34
- ------------------------------------------------------------------------------------------------------------------------------------
90.001 - 95.000 7 881,105.02 0.75 9.266 5.958 14 125,872 93.58 13.75 86.25 100.00 40.21
- ------------------------------------------------------------------------------------------------------------------------------------
95.001 - 100.000 2 240,687.64 0.20 9.637 6.120 7 120,344 100.00 55.93 100.00 100.00 38.57
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,191 117,689,963.77 100.00 10.085 6.393 17 98,816 84.98 59.92 93.73 96.88 39.27
- ------------------------------------------------------------------------------------------------------------------------------------
</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 no 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>
- ------------------------------------------------------------------------------------------------------------------------------------
% of
# of Aggregate Aggr Weighted Weighted WA Average WA Percent Percent % WA
Mtg Principal Prin Average Average Mos Current Orig Cashout Full Own Debt
Product Type Lns Balance Bal Coupon Margin to Roll Balance CLTV Refi Doc Occ Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
ARM - 6 Month 32 2,893,117.43 2.46 9.782 6.373 3 90,410 84.56 81.57 95.86 91.28 37.82
- ------------------------------------------------------------------------------------------------------------------------------------
ARM - 1 Yr
Fix/6 Mo Adj 4 457,162.74 0.39 9.844 6.176 7 114,291 90.67 54.93 100.00 100.00 42.46
- ------------------------------------------------------------------------------------------------------------------------------------
ARM - 2 Yr
Fix/6 Mo Adj 900 86,203,880.42 73.25 10.175 6.397 20 95,782 84.72 60.91 95.18 96.49 39.99
- ------------------------------------------------------------------------------------------------------------------------------------
ARM - 3 Yr
Fix/6 Mo Adj 31 2,559,093.97 2.17 10.465 6.489 32 82,551 84.32 63.69 84.29 100.00 38.08
- ------------------------------------------------------------------------------------------------------------------------------------
ARM - 1 Year 195 22,164,720.48 18.83 9.777 6.540 7 113,665 85.67 54.71 87.77 98.70 37.45
- ------------------------------------------------------------------------------------------------------------------------------------
ARM - 2 Yr
Fix/1 Yr Adj 6 637,586.55 0.54 10.561 6.628 19 106,264 87.44 56.97 100.00 100.00 38.11
- ------------------------------------------------------------------------------------------------------------------------------------
ARM - 3 Yr
Fix/1 Yr Adj 17 2,096,941.10 1.78 9.567 4.772 30 123,349 88.05 36.34 100.00 97.37 31.31
- ------------------------------------------------------------------------------------------------------------------------------------
ARM - 3 Year 6 677,461.08 0.58 9.919 5.672 31 112,910 84.04 75.72 100.00 92.23 42.03
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,191 117,689,963.77 100.00 10.085 6.393 17 98,816 84.98 59.92 93.73 96.88 39.27
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
% of
# of Aggregate Aggr Weighted Weighted WA Average WA Percent Percent % WA
Mtg Principal Prin Average Average Mos Current Orig Cashout Full Own Debt
Index Type Lns Balance Bal Coupon Margin to Roll Balance CLTV Refi Doc Occ Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
Treasury - 1 Year 207 23,353,193.99 19.84 9.803 6.492 9 112,817 85.81 54.81 88.39 98.76 37.52
- ------------------------------------------------------------------------------------------------------------------------------------
Treasury - 3 Year 12 1,792,663.39 1.52 9.772 5.098 30 149,389 87.13 44.15 100.00 93.99 32.50
- ------------------------------------------------------------------------------------------------------------------------------------
Libor - 1 Month 3 250,572.08 0.21 9.115 5.096 5 83,524 83.08 34.52 100.00 100.00 33.96
- ------------------------------------------------------------------------------------------------------------------------------------
Libor - 6 Month 969 92,293,534.31 78.42 10.165 6.396 19 95,246 84.73 61.58 94.94 96.45 39.86
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,191 117,689,963.77 100.00 10.085 6.393 17 98,816 84.98 59.92 93.73 96.88 39.27
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
% of
# of Aggregate Aggr Weighted Weighted WA Average WA Percent Percent % WA
Mtg Principal Prin Average Average Mos Current Orig Cashout Full Own Debt
Balloon Lns Balance Bal Coupon Margin to Roll Balance CLTV Refi Doc Occ Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
Balloon 535 52,241,837.80 44.39 9.993 6.176 17 97,648 85.85 65.32 99.27 98.50 40.30
- ------------------------------------------------------------------------------------------------------------------------------------
Non-Balloon 656 65,448,125.97 55.61 10.159 6.566 17 99,768 84.28 55.60 89.30 95.59 38.46
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,191 117,689,963.77 100.00 10.085 6.393 17 98,816 84.98 59.92 93.73 96.88 39.27
- ------------------------------------------------------------------------------------------------------------------------------------
</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 no 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>
- ------------------------------------------------------------------------------------------------------------------------------------
% of
# of Aggregate Aggr Weighted Weighted WA Average WA Percent Percent % WA
Mtg Principal Prin Average Average Mos Current Orig Cashout Full Own Debt
Prepayment Penalty Lns Balance Bal Coupon Margin to Roll Balance CLTV Refi Doc Occ Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
No Prepayment
Penalty 333 34,661,405.82 29.45 9.966 6.319 16 104,088 84.15 70.63 94.83 96.85 39.40
- ------------------------------------------------------------------------------------------------------------------------------------
1 Year 97 12,498,786.75 10.62 9.778 6.681 13 128,853 85.25 49.61 83.18 98.48 37.43
- ------------------------------------------------------------------------------------------------------------------------------------
2 Years 598 56,892,582.83 48.34 10.109 6.267 18 95,138 85.62 56.54 96.79 97.50 39.42
- ------------------------------------------------------------------------------------------------------------------------------------
3 Years 138 11,461,946.05 9.74 10.561 6.747 20 83,058 84.18 54.28 86.61 93.37 40.11
- ------------------------------------------------------------------------------------------------------------------------------------
5 Years 25 2,175,242.32 1.85 10.620 7.328 17 87,010 84.04 66.49 94.17 90.48 39.64
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,191 117,689,963.77 100.00 10.085 6.393 17 98,816 84.98 59.92 93.73 96.88 39.27
- ------------------------------------------------------------------------------------------------------------------------------------
</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 no 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>
Average Life Sensitivity to Changes in Prepayment Rates
Scenario I II III IV V VI
Fixed 0% PPC 50% PPC 100% PPC 115% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 25% CPR 28% CPR 35% CPR 50% CPR
Priced to 10% Optional Call
Scenario I II III IV V VI
Class A-1
@ Price 100/00
Yield 6.4448 6.2202 6.0351 5.988 5.8814 5.7381
Average Life 7.2724 1.5323 0.9291 0.8447 0.7008 0.5703
Mod Duration 5.2214 1.3989 0.8727 0.7964 0.6651 0.5445
First Prin 8/25/98 8/25/98 8/25/98 8/25/98 8/25/98 8/25/98
Last Prin 9/25/12 11/25/01 4/25/00 2/25/00 10/25/99 7/25/99
Payment Window 170 40 21 19 15 12
Class A-2
@ Price 100/00
Yield 6.257 6.1896 6.1015 6.0754 6.019 5.9432
Average Life 14.6425 4.3619 2.2875 2.0051 1.5834 1.2342
Mod Duration 9.3685 3.7112 2.0742 1.8342 1.4681 1.1572
First Prin 9/25/12 11/25/01 4/25/00 2/25/00 10/25/99 7/25/99
Last Prin 3/25/13 1/25/04 5/25/01 12/25/00 6/25/00 12/25/99
Payment Window 7 27 14 11 9 6
Class A-3
@ Price 100/00
Yield 6.3078 6.2775 6.2145 6.195 6.1496 6.0869
Average Life 14.675 7.1166 3.4625 2.9901 2.2686 1.703
Mod Duration 9.3505 5.5652 3.0256 2.6513 2.0573 1.5723
First Prin 3/25/13 1/25/04 5/25/01 12/25/00 6/25/00 12/25/99
Last Prin 3/25/13 11/25/07 10/25/02 3/25/02 4/25/01 6/25/00
Payment Window 1 47 18 16 11 7
Class A-4
@ Price 100/00
Yield 6.4765 6.4649 6.4277 6.4128 6.3794 6.3251
Average Life 19.2395 12.3363 6.0029 4.9662 3.5977 2.4884
Mod Duration 10.6322 8.2515 4.8074 4.1176 3.1161 2.2335
First Prin 3/25/13 11/25/07 10/25/02 3/25/02 4/25/01 6/25/00
Last Prin 1/25/24 2/25/13 5/25/07 7/25/05 5/25/03 10/25/01
Payment Window 131 64 56 41 26 17
Class A-5
@ Price 100/00
Yield 6.7778 6.7653 6.7458 6.7385 6.717 6.6786
Average Life 26.8691 14.5917 8.8417 7.7392 5.6634 3.836
Mod Duration 12.1171 9.0479 6.4807 5.8655 4.5743 3.2834
First Prin 1/25/24 2/25/13 5/25/07 7/25/05 5/25/03 10/25/01
Last Prin 9/25/25 2/25/13 5/25/07 4/25/06 6/25/04 8/25/02
Payment Window 21 1 1 10 14 11
- --------------------------------------------------------------------------------
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 no 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>
Priced to 10% Optional Call
(continued)
Class A-6
@ Price 100/00
Yield 6.35 6.334 6.3234 6.3199 6.3074 6.2807
Average Life 11.4858 8.0489 6.6553 6.3015 5.3001 3.9743
Mod Duration 7.8261 6.0285 5.2322 5.0156 4.366 3.4188
First Prin 8/25/01 8/25/01 8/25/01 8/25/01 8/25/01 8/25/01
Last Prin 3/25/13 2/25/13 5/25/07 4/25/06 6/25/04 8/25/02
Payment Window 140 139 70 57 35 13
Class A-7
@ Price 100/00
Yield 5.846 5.846 5.846 5.846 5.8459 5.8458
Average Life 18.446 5.6133 3.0656 2.6237 1.8635 0.867
Mod Duration 10.427 4.2519 2.5698 2.2427 1.6506 0.8174
First Prin 8/25/98 8/25/98 8/25/98 8/25/98 8/25/98 8/25/98
Last Prin 9/25/25 2/25/13 5/25/07 4/25/06 6/25/04 8/25/02
Payment Window 326 175 106 93 71 49
Class A-8
@ Price 100/00
Yield 6.1784 6.0672 6.044 6.0408 6.0368 6.0475
Average Life 11.9362 2.8509 2.4572 2.4107 2.3544 2.511
Mod Duration 8.0477 2.526 2.21 2.1723 2.1266 2.2521
First Prin 3/25/00 3/25/00 3/25/00 3/25/00 3/25/00 3/25/00
Last Prin 2/25/13 10/25/03 8/25/03 8/25/03 8/25/03 8/25/02
Payment Window 156 44 42 42 42 30
- --------------------------------------------------------------------------------
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 no 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>
Average Life Sensitivity to Changes in Prepayment Rates
Priced to Maturity
Scenario I II III IV V VI
Class A-1
@ Price 100/00
Yield 6.4448 6.2202 6.0351 5.988 5.8814 5.7381
Average Life 7.2724 1.5323 0.9291 0.8447 0.7008 0.5703
Mod Duration 5.2214 1.3989 0.8727 0.7964 0.6651 0.5445
First Prin 8/25/98 8/25/98 8/25/98 8/25/98 8/25/98 8/25/98
Last Prin 9/25/12 11/25/01 4/25/00 2/25/00 10/25/99 7/25/99
Payment Window 170 40 21 19 15 12
Class A-2
@ Price 100/00
Yield 6.257 6.1896 6.1015 6.0754 6.019 5.9432
Average Life 14.6425 4.3619 2.2875 2.0051 1.5834 1.2342
Mod Duration 9.3685 3.7112 2.0742 1.8342 1.4681 1.1572
First Prin 9/25/12 11/25/01 4/25/00 2/25/00 10/25/99 7/25/99
Last Prin 3/25/13 1/25/04 5/25/01 12/25/00 6/25/00 12/25/99
Payment Window 7 27 14 11 9 6
Class A-3
@ Price 100/00
Yield 6.3078 6.2775 6.2145 6.195 6.1496 6.0869
Average Life 14.675 7.1166 3.4625 2.9901 2.2686 1.703
Mod Duration 9.3505 5.5652 3.0256 2.6513 2.0573 1.5723
First Prin 3/25/13 1/25/04 5/25/01 12/25/00 6/25/00 12/25/99
Last Prin 3/25/13 11/25/07 10/25/02 3/25/02 4/25/01 6/25/00
Payment Window 1 47 18 16 11 7
Class A-4
@ Price 100/00
Yield 6.4765 6.4649 6.4279 6.4128 6.3794 6.3251
Average Life 19.2395 12.3507 6.0173 4.9662 3.5977 2.4884
Mod Duration 10.6322 8.257 4.8153 4.1176 3.1161 2.2335
First Prin 3/25/13 11/25/07 10/25/02 3/25/02 4/25/01 6/25/00
Last Prin 1/25/24 3/25/13 11/25/07 7/25/05 5/25/03 10/25/01
Payment Window 131 65 62 41 26 17
Class A-5
@ Price 100/00
Yield 6.7842 6.8181 6.906 6.909 6.8612 6.7276
Average Life 27.5113 16.6188 12.1277 10.7018 7.2602 4.0984
Mod Duration 12.2199 9.6876 8.021 7.3539 5.4932 3.4717
First Prin 1/25/24 3/25/13 11/25/07 7/25/05 5/25/03 10/25/01
Last Prin 9/25/27 7/25/22 4/25/13 3/25/13 9/25/10 5/25/04
Payment Window 45 113 66 93 89 32
- --------------------------------------------------------------------------------
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 no 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>
Priced to Maturity
(continued)
Class A-6
@ Price 100/00
Yield 6.35 6.3341 6.3358 6.344 6.3971 6.4938
Average Life 11.4858 8.0504 6.8032 6.5597 6.1021 5.5312
Mod Duration 7.8261 6.0292 5.3114 5.1634 4.8736 4.4926
First Prin 8/25/01 8/25/01 8/25/01 8/25/01 8/25/01 8/25/01
Last Prin 3/25/13 3/25/13 3/25/13 3/25/13 7/25/10 6/25/07
Payment Window 140 140 140 140 108 71
Class A-7
@ Price 100/00
Yield 5.8467 5.8482 5.8534 5.8542 5.856 5.8552
Average Life 18.6569 5.75 3.2642 2.8035 2.0059 0.924
Mod Duration 10.4675 4.3029 2.6759 2.3458 1.7432 0.8599
First Prin 8/25/98 8/25/98 8/25/98 8/25/98 8/25/98 8/25/98
Last Prin 1/25/28 5/25/20 2/25/13 3/25/12 2/25/09 3/25/05
Payment Window 354 262 175 164 127 80
Class A-8
@ Price 100/00
Yield 6.1784 6.0672 6.044 6.0408 6.0368 6.0482
Average Life 11.9362 2.8509 2.4572 2.4107 2.3544 2.5226
Mod Duration 8.0477 2.526 2.21 2.1723 2.1266 2.2608
First Prin 3/25/00 3/25/00 3/25/00 3/25/00 3/25/00 3/25/00
Last Prin 2/25/13 10/25/03 8/25/03 8/25/03 8/25/03 8/25/03
Payment Window 156 44 42 42 42 42
- --------------------------------------------------------------------------------
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
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