XXXXXX XXXXXXX XXXX XXXXXX
--------------------------------------------------------------------------------
MSDWCI MSDWCI SERIES 2001-TOP1 (PRICED) CLASS A1
--------------------------------------------------------------------------------
Class A1
Delay 14
Payment Freq Monthly
Yield Day Count 30/360
Yield Freq SemiAnnual
Yield Table Date 02/15/2001
Cusip N/A
First Payment Date 03/15/2001
Next Payment Date 03/15/2001
Settlement Date 02/23/2001
Interest Freq Monthly
Credit Rating AAA/AAA
Dated Date 02/01/2001
Factor 1.00000000
Current Balance 65,000,000.00
Coupon 6.02000
Market Desc N/A
Original Balance 65,000,000.00
Lead Manager Xxxxxx Xxxxxxx & Co.
Orig Deal Size 1,156,426,170.00
Num of Tranches 22
Deal Age 0
TREASURY CURVE
1 4.9012 2 4.8800 5 5.0510 10 5.1960 30 5.4990
SWAP CURVE
2 yr 61.2500 3 yr 72.0000 5 yr 84.5000 7 yr 93.2500 10 yr 98.7500 20 yr 121.7250 30 yr 92.5000
PREPAY CPR 0 (!YM) CPR 25 (!YM) CPR 50 (!YM) CPR 75 (!YM) CPR 100
--------------------------------------------------------------------------------------------------------------
PRICE / YIELD
99.5208 6.180 6.241 6.276 6.295 6.313
99.5833 6.158 6.219 6.252 6.271 6.283
99.6458 6.137 6.196 6.229 6.247 6.263
99.7083 6.116 6.173 6.205 6.223 6.238
99.7708 6.094 6.151 6.182 6.199 6.213
99.8333 6.073 6.128 6.158 6.175 6.189
99.8958 6.052 6.105 6.135 6.151 6.163
99.9583 6.030 6.083 6.112 6.127 6.138
100.0208 6.009 6.060 6.088 6.103 6.113
100.0833 5.988 6.038 6.065 6.079 6.089
100.1458 5.967 6.015 6.041 6.055 6.064
100.2083 5.946 5.993 6.018 6.031 6.039
100.2708 5.925 5.970 5.995 6.007 6.014
100.3333 5.903 5.948 5.972 5.983 6.990
100.3958 5.882 5.926 5.948 5.959 6.965
100.4583 5.861 5.903 5.925 5.935 6.940
100.5208 5.840 5.881 5.902 5.911 6.916
AVERAGE LIFE 3.40 3.19 3.07 2.99 2.89
FIRST PRIN 03/15/2001 03/15/2001 03/15/2001 03/15/2001 03/15/2001
LAST PRIN 11/15/2005 10/15/2005 10/15/2005 10/15/2005 08/15/2005
PAYMENT WINDOW 57 56 56 56 54
ACCRUAL FACTOR 0.3679 0.3679 0.3679 0.3679 0.3679
MOD DURATION @ 100.0208 2.94 2.76 2.66 2.59 2.51
SPREAD INTERP. @ 100.0208 105 111 113 117 118
Page 1 of 7
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not 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 trading strategy. No representation or warranty can be given
with respect to the accuracy or completeness of the information, or with respect
to the terms of any future offer of securities conforming to the terms hereof.
Any such offer of securities would be made pursuant to a definitive Prospectus
or Private Placement Memorandum, as the case may be, prepared by the issuer
which could contain material information not contained herein and to which the
prospective purchasers are referred. In the event of any such offering, this
information shall be deemed superseded, amended and supplemented in its entirety
by such Prospectus or Private Placement Memorandum. Such Prospectus or Private
Placement Memorandum will contain all material information in respect of any
securities offered thereby and any decision to invest in such securities should
be made solely in reliance upon such Prospectus or Private Placement Memorandum.
Certain assumptions may have been made in this analysis which have resulted in
any returns detailed herein. No representation is made that any returns
indicated will be achieved. Changes to the assumptions may have a material
impact on any returns detailed. Xxxxxx Xxxxxxx & Co. Incorporated disclaims any
and all liability relating to this information, including without limitation any
express or implied representations or warranties for, statements contained in,
and omissions from, this information. Additional information is available upon
request. Xxxxxx Xxxxxxx & Co. Incorporated and others associated with it may
have positions in, and may effect transaction in, securities and instruments of
issuers mentioned herein and may also perform or seek to perform investment
banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and
availability are subject to change without notice. To our readers worldwide: In
addition, please note that this publication has been issued by Xxxxxx Xxxxxxx &
Co. Incorporated, approved by Xxxxxx Xxxxxxx International Limited, a member of
The Securities and Futures Authority, any by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx & Co.
Incorporated, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U. K. SECURITIES AND FUTURES AUTHORITY.
XXXXXX XXXXXXX XXXX XXXXXX
--------------------------------------------------------------------------------
MSDWCI MSDWCI SERIES 2001-TOP1 (PRICED) CLASS A2
--------------------------------------------------------------------------------
Class A2
Delay 14
Payment Freq Monthly
Yield Day Count 30/360
Yield Freq SemiAnnual
Yield Table Date 02/07/2001
Cusip N/A
First Payment Date 03/15/2001
Next Payment Date 03/15/2001
Settlement Date 02/23/2001
Interest Freq Monthly
Credit Rating AAA/AAA
Dated Date 02/01/2001
Factor 1.00000000
Current Balance 203,500,000.00
Coupon 6.32000
Market Desc N/A
Original Balance 203,500,000.00
Lead Manager Xxxxxx Xxxxxxx & Co.
Orig Deal Size 1,156,426,170.00
Num of Tranches 22
Deal Age 0
TREASURY CURVE
1 4.9012 2 4.8800 5 5.0510 10 5.1960 30 5.4990
SWAP CURVE
2 yr 61.2500 3 yr 72.0000 5 yr 84.5000 7 yr 93.2500 10 yr 98.7500 20 yr 121.7250 30 yr 92.5000
PREPAY CPR 0 (!YM) CPR 25 (!YM) CPR 50 (!YM) CPR 75 (!YM) CPR 100
--------------------------------------------------------------------------------------------------------------
PRICE / YIELD
99.5011 6.459 4.473 6.478 6.481 6.485
99.5636 6.446 6.459 6.464 6.467 6.470
99.6261 6.432 6.445 6.450 6.453 6.456
99.6886 6.418 6.430 6.436 6.439 6.441
99.7511 6.404 6.416 6.422 6.424 6.427
99.8136 6.391 6.402 6.407 6.410 6.412
99.8761 6.377 6.388 6.393 6.396 6.398
99.9386 6.363 6.374 6.379 6.381 6.383
100.0011 6.350 6.360 6.365 6.367 6.369
100.0636 6.336 6.346 6.351 6.353 6.354
100.1261 6.322 6.332 6.337 6.339 6.340
100.1886 6.309 6.318 6.323 6.325 6.325
100.2511 6.295 6.305 6.309 6.310 6.311
100.3136 6.282 6.291 6.294 6.296 6.296
100.3761 6.268 6.277 6.280 6.282 6.282
100.4386 6.254 6.263 6.266 6.268 6.268
100.5011 6.241 6.249 6.252 6.254 6.253
AVERAGE LIFE 5.70 5.56 5.50 5.46 5.36
FIRST PRIN 03/15/2001 03/15/2001 03/15/2001 03/15/2001 03/15/2001
LAST PRIN 09/15/2009 09/15/2009 09/15/2001 09/15/2001 07/15/2009
PAYMENT WINDOW 103 103 103 103 101
ACCRUAL FACTOR 0.3862 0.3862 0.3862 0.3862 0.3862
MOD DURATION @ 100.0011 4.56 4.45 4.40 4.37 4.30
SPREAD INTERP. @ 100.0011 128 129 130 130 131
Page 2 of 7
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not 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 trading strategy. No representation or warranty can be given
with respect to the accuracy or completeness of the information, or with respect
to the terms of any future offer of securities conforming to the terms hereof.
Any such offer of securities would be made pursuant to a definitive Prospectus
or Private Placement Memorandum, as the case may be, prepared by the issuer
which could contain material information not contained herein and to which the
prospective purchasers are referred. In the event of any such offering, this
information shall be deemed superseded, amended and supplemented in its entirety
by such Prospectus or Private Placement Memorandum. Such Prospectus or Private
Placement Memorandum will contain all material information in respect of any
securities offered thereby and any decision to invest in such securities should
be made solely in reliance upon such Prospectus or Private Placement Memorandum.
Certain assumptions may have been made in this analysis which have resulted in
any returns detailed herein. No representation is made that any returns
indicated will be achieved. Changes to the assumptions may have a material
impact on any returns detailed. Xxxxxx Xxxxxxx & Co. Incorporated disclaims any
and all liability relating to this information, including without limitation any
express or implied representations or warranties for, statements contained in,
and omissions from, this information. Additional information is available upon
request. Xxxxxx Xxxxxxx & Co. Incorporated and others associated with it may
have positions in, and may effect transaction in, securities and instruments of
issuers mentioned herein and may also perform or seek to perform investment
banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and
availability are subject to change without notice. To our readers worldwide: In
addition, please note that this publication has been issued by Xxxxxx Xxxxxxx &
Co. Incorporated, approved by Xxxxxx Xxxxxxx International Limited, a member of
The Securities and Futures Authority, any by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx & Co.
Incorporated, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U. K. SECURITIES AND FUTURES AUTHORITY.
XXXXXX XXXXXXX XXXX XXXXXX
--------------------------------------------------------------------------------
MSDWCI MSDWCI SERIES 2001-TOP1 (PRICED) CLASS A3
--------------------------------------------------------------------------------
Class A3
Delay 14
Payment Freq Monthly
Yield Day Count 30/360
Yield Freq SemiAnnual
Yield Table Date 02/15/2001
Cusip N/A
First Payment Date 03/15/2001
Next Payment Date 03/15/2001
Settlement Date 02/23/2001
Interest Freq Monthly
Credit Rating AAA
Dated Date 02/01/2001
Factor 1.00000000
Current Balance 138,500,000.00
Coupon 6.46000
Market Desc N/A
Original Balance 138,500,000.00
Lead Manager Xxxxxx Xxxxxxx & Co.
Orig Deal Size 1,156,426,170.00
Num of Tranches 22
Deal Age 0
TREASURY CURVE
1 4.9012 2 4.8800 5 5.0510 10 5.1960 30 5.4990
SWAP CURVE
2 yr 61.2500 3 yr 72.0000 5 yr 84.5000 7 yr 93.2500 10 yr 98.7500 20 yr 121.7250 30 yr 92.5000
PREPAY CPR 0 (!YM) CPR 25 (!YM) CPR 50 (!YM) CPR 75 (!YM) CPR 100
--------------------------------------------------------------------------------------------------------------
XXXXX / YIELD
99.7324 6.551 6.552 6.551 6.551 6.551
99.7949 6.539 6.540 6.539 6.539 6.539
99.8574 6.527 6.528 6.527 6.527 6.526
99.9199 6.515 6.516 6.515 6.515 6.514
99.9824 6.504 6.504 6.503 6.503 6.502
100.0449 6.492 6.492 6.491 6.491 6.490
100.1074 6.480 6.480 6.479 6.479 6.478
100.1699 6.468 6.468 6.467 6.467 6.466
100.2324 6.457 6.456 6.455 6.455 6.453
100.2949 6.445 6.444 6.443 6.443 6.441
100.3574 6.433 6.433 6.431 6.431 6.429
100.4199 6.421 6.421 6.420 6.419 6.417
100.4824 6.410 6.409 6.408 6.407 6.405
100.5449 6.398 6.397 6.396 6.395 6.393
100.6074 6.386 6.385 6.384 6.383 6.381
100.6699 6.373 6.373 6.372 6.371 6.369
100.7324 6.363 6.362 6.360 6.360 6.357
AVERAGE LIFE 6.78 6.67 6.64 6.63 6.52
FIRST PRIN 11/15/2005 10/15/2005 10/15/2005 10/15/2005 08/15/2005
LAST PRIN 09/15/2009 09/15/2009 09/15/2009 09/15/2009 07/15/2009
PAYMENT WINDOW 47 48 48 48 48
ACCRUAL FACTOR 0.3948 0.3948 0.3948 0.3948 0.3948
MOD DURATION @ 100.2324 5.30 5.23 5.21 5.20 5.13
SPREAD INTERP. @ 100.2324 135 136 136 136 136
Page 3 of 7
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not 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 trading strategy. No representation or warranty can be given
with respect to the accuracy or completeness of the information, or with respect
to the terms of any future offer of securities conforming to the terms hereof.
Any such offer of securities would be made pursuant to a definitive Prospectus
or Private Placement Memorandum, as the case may be, prepared by the issuer
which could contain material information not contained herein and to which the
prospective purchasers are referred. In the event of any such offering, this
information shall be deemed superseded, amended and supplemented in its entirety
by such Prospectus or Private Placement Memorandum. Such Prospectus or Private
Placement Memorandum will contain all material information in respect of any
securities offered thereby and any decision to invest in such securities should
be made solely in reliance upon such Prospectus or Private Placement Memorandum.
Certain assumptions may have been made in this analysis which have resulted in
any returns detailed herein. No representation is made that any returns
indicated will be achieved. Changes to the assumptions may have a material
impact on any returns detailed. Xxxxxx Xxxxxxx & Co. Incorporated disclaims any
and all liability relating to this information, including without limitation any
express or implied representations or warranties for, statements contained in,
and omissions from, this information. Additional information is available upon
request. Xxxxxx Xxxxxxx & Co. Incorporated and others associated with it may
have positions in, and may effect transaction in, securities and instruments of
issuers mentioned herein and may also perform or seek to perform investment
banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and
availability are subject to change without notice. To our readers worldwide: In
addition, please note that this publication has been issued by Xxxxxx Xxxxxxx &
Co. Incorporated, approved by Xxxxxx Xxxxxxx International Limited, a member of
The Securities and Futures Authority, any by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx & Co.
Incorporated, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U. K. SECURITIES AND FUTURES AUTHORITY.
XXXXXX XXXXXXX XXXX XXXXXX
--------------------------------------------------------------------------------
MSDWCI MSDWCI SERIES 2001-TOP1 (PRICED) CLASS A4
--------------------------------------------------------------------------------
Class A4
Delay 14
Payment Freq Monthly
Yield Day Count 30/360
Yield Freq SemiAnnual
Yield Table Date 02/15/2001
Cusip N/A
First Payment Date 03/15/2001
Next Payment Date 03/15/2001
Settlement Date 02/23/2001
Interest Freq Monthly
Credit Rating AAA
Dated Date 02/01/2001
Factor 1.00000000
Current Balance 575,962,000.00
Coupon 6.66000
Market Desc N/A
Original Balance 575,962,000.00
Lead Manager Xxxxxx Xxxxxxx & Co.
Orig Deal Size 1,156,426,170.00
Num of Tranches 22
Deal Age 0
TREASURY CURVE
1 4.9012 2 4.8800 5 5.0510 10 5.1960 30 5.4990
SWAP CURVE
2 yr 61.2500 3 yr 72.0000 5 yr 84.5000 7 yr 93.2500 10 yr 98.7500 20 yr 121.7250 30 yr 92.5000
PREPAY CPR 0 (!YM) CPR 25 (!YM) CPR 50 (!YM) CPR 75 (!YM) CPR 100
--------------------------------------------------------------------------------------------------------------
XXXXX / YIELD
100.0461 6.709 6.709 6.709 6.709 6.708
100.1086 6.700 6.700 6.700 6.700 6.699
100.1711 6.691 6.691 6.691 6.691 6.690
100.2336 6.682 6.682 6.682 6.682 6.681
100.2961 6.673 6.673 6.673 6.673 6.672
100.3586 6.664 6.664 6.664 6.664 6.663
100.4211 6.655 6.655 6.655 6.655 6.654
100.4836 6.646 6.646 6.646 6.646 6.645
100.5461 6.637 6.637 6.637 6.637 6.636
100.6086 6.628 6.628 6.628 6.628 6.626
100.6711 6.619 6.619 6.619 6.619 6.617
100.7336 6.610 6.610 6.610 6.610 6.608
100.7961 6.601 6.601 6.601 6.601 6.599
100.8586 6.592 6.592 6.592 6.592 6.590
100.9211 6.584 6.583 6.583 6.583 6.581
100.9836 6.575 6.574 6.574 6.574 6.572
100.0461 6.566 6.566 6.565 6.565 6.563
AVERAGE LIFE 9.65 9.64 9.63 9.61 9.47
FIRST PRIN 09/15/2009 09/15/2009 09/15/2009 09/15/2009 07/15/2009
LAST PRIN 01/15/2011 01/15/2011 01/15/2011 01/15/2011 12/15/2010
PAYMENT WINDOW 17 17 17 17 18
ACCRUAL FACTOR 0.4070 0.4070 0.4070 0.4070 0.4070
MOD DURATION @ 100.2324 6.91 6.91 6.90 6.90 6.82
SPREAD INTERP. @ 100.2324 145 145 145 145 145
Page 4 of 7
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not 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 trading strategy. No representation or warranty can be given
with respect to the accuracy or completeness of the information, or with respect
to the terms of any future offer of securities conforming to the terms hereof.
Any such offer of securities would be made pursuant to a definitive Prospectus
or Private Placement Memorandum, as the case may be, prepared by the issuer
which could contain material information not contained herein and to which the
prospective purchasers are referred. In the event of any such offering, this
information shall be deemed superseded, amended and supplemented in its entirety
by such Prospectus or Private Placement Memorandum. Such Prospectus or Private
Placement Memorandum will contain all material information in respect of any
securities offered thereby and any decision to invest in such securities should
be made solely in reliance upon such Prospectus or Private Placement Memorandum.
Certain assumptions may have been made in this analysis which have resulted in
any returns detailed herein. No representation is made that any returns
indicated will be achieved. Changes to the assumptions may have a material
impact on any returns detailed. Xxxxxx Xxxxxxx & Co. Incorporated disclaims any
and all liability relating to this information, including without limitation any
express or implied representations or warranties for, statements contained in,
and omissions from, this information. Additional information is available upon
request. Xxxxxx Xxxxxxx & Co. Incorporated and others associated with it may
have positions in, and may effect transaction in, securities and instruments of
issuers mentioned herein and may also perform or seek to perform investment
banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and
availability are subject to change without notice. To our readers worldwide: In
addition, please note that this publication has been issued by Xxxxxx Xxxxxxx &
Co. Incorporated, approved by Xxxxxx Xxxxxxx International Limited, a member of
The Securities and Futures Authority, any by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx & Co.
Incorporated, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U. K. SECURITIES AND FUTURES AUTHORITY.
XXXXXX XXXXXXX XXXX XXXXXX
--------------------------------------------------------------------------------
MSDWCI MSDWCI SERIES 2001-TOP1 (PRICED) CLASS B
--------------------------------------------------------------------------------
Class B
Delay 14
Payment Freq Monthly
Yield Day Count 30/360
Yield Freq SemiAnnual
Yield Table Date 02/15/2001
Cusip N/A
First Payment Date 03/15/2001
Next Payment Date 03/15/2001
Settlement Date 02/23/2001
Interest Freq Monthly
Credit Rating AA/AA
Dated Date 02/01/2001
Factor 1.00000000
Current Balance 34,693,000.00
Coupon 6.81000
Market Desc N/A
Original Balance 34,693,000.00
Lead Manager Xxxxxx Xxxxxxx & Co.
Orig Deal Size 1,156,426,170.00
Num of Tranches 22
Deal Age 0
TREASURY CURVE
1 4.9012 2 4.8800 5 5.0510 10 5.1960 30 5.4990
SWAP CURVE
2 yr 61.2500 3 yr 72.0000 5 yr 84.5000 7 yr 93.2500 10 yr 98.7500 20 yr 121.7250 30 yr 92.5000
PREPAY CPR 0 (!YM) CPR 25 (!YM) CPR 50 (!YM) CPR 75 (!YM) CPR 100
--------------------------------------------------------------------------------------------------------------
XXXXX / YIELD
99.9982 6.870 6.870 6.870 6.870 6.869
100.0607 6.861 6.861 6.861 6.861 6.861
100.1232 6.852 6.852 6.852 6.852 6.852
100.1857 6.843 6.843 6.843 6.843 6.843
100.2482 6.834 6.834 6.834 6.834 6.834
100.3107 6.825 6.825 6.825 6.825 6.825
100.3732 6.816 6.816 6.816 6.816 6.816
100.4357 6.807 6.807 6.807 6.807 6.807
100.4982 6.799 6.799 6.799 6.799 6.798
100.5607 6.790 6.790 6.790 6.790 6.789
100.6232 6.781 6.781 6.781 6.781 6.780
100.6857 6.772 6.772 6.772 6.772 6.771
100.7482 6.763 6.763 6.763 6.763 6.762
100.8107 6.754 6.754 6.754 6.754 6.753
100.8732 6.746 6.746 6.746 6.746 6.745
100.9357 6.737 6.737 6.737 6.737 6.736
100.9982 6.728 6.728 6.728 6.728 6.727
AVERAGE LIFE 9.89 9.89 9.89 9.89 9.81
FIRST PRIN 01/15/2011 01/15/2011 01/15/2011 01/15/2011 12/15/2010
LAST PRIN 01/15/2011 01/15/2011 01/15/2011 01/15/2011 12/15/2010
PAYMENT WINDOW 1 1 1 1 1
ACCRUAL FACTOR 0.4162 0.4162 0.4162 0.4162 0.4162
MOD DURATION @ 100.4982 6.99 6.99 6.99 6.99 6.95
SPREAD INTERP. @ 100.4982 161 161 161 161 161
Page 5 of 7
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not 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 trading strategy. No representation or warranty can be given
with respect to the accuracy or completeness of the information, or with respect
to the terms of any future offer of securities conforming to the terms hereof.
Any such offer of securities would be made pursuant to a definitive Prospectus
or Private Placement Memorandum, as the case may be, prepared by the issuer
which could contain material information not contained herein and to which the
prospective purchasers are referred. In the event of any such offering, this
information shall be deemed superseded, amended and supplemented in its entirety
by such Prospectus or Private Placement Memorandum. Such Prospectus or Private
Placement Memorandum will contain all material information in respect of any
securities offered thereby and any decision to invest in such securities should
be made solely in reliance upon such Prospectus or Private Placement Memorandum.
Certain assumptions may have been made in this analysis which have resulted in
any returns detailed herein. No representation is made that any returns
indicated will be achieved. Changes to the assumptions may have a material
impact on any returns detailed. Xxxxxx Xxxxxxx & Co. Incorporated disclaims any
and all liability relating to this information, including without limitation any
express or implied representations or warranties for, statements contained in,
and omissions from, this information. Additional information is available upon
request. Xxxxxx Xxxxxxx & Co. Incorporated and others associated with it may
have positions in, and may effect transaction in, securities and instruments of
issuers mentioned herein and may also perform or seek to perform investment
banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and
availability are subject to change without notice. To our readers worldwide: In
addition, please note that this publication has been issued by Xxxxxx Xxxxxxx &
Co. Incorporated, approved by Xxxxxx Xxxxxxx International Limited, a member of
The Securities and Futures Authority, any by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx & Co.
Incorporated, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U. K. SECURITIES AND FUTURES AUTHORITY.
XXXXXX XXXXXXX XXXX XXXXXX
--------------------------------------------------------------------------------
MSDWCI MSDWCI SERIES 2001-TOP1 (PRICED) CLASS C
--------------------------------------------------------------------------------
Class C
Delay 14
Payment Freq Monthly
Yield Day Count 30/360
Yield Freq SemiAnnual
Yield Table Date 02/15/2001
Cusip N/A
First Payment Date 03/15/2001
Next Payment Date 03/15/2001
Settlement Date 02/23/2001
Interest Freq Monthly
Credit Rating A/A
Dated Date 02/01/2001
Factor 1.00000000
Current Balance 31,801,000.00
Coupon 7.00000
Market Desc N/A
Original Balance 331,801,000.00
Lead Manager Xxxxxx Xxxxxxx & Co.
Orig Deal Size 1,156,426,170.00
Num of Tranches 22
Deal Age 0
TREASURY CURVE
1 4.9012 2 4.8800 5 5.0510 10 5.1960 30 5.4990
SWAP CURVE
2 yr 61.2500 3 yr 72.0000 5 yr 84.5000 7 yr 93.2500 10 yr 98.7500 20 yr 121.7250 30 yr 92.5000
PREPAY CPR 0 (!YM) CPR 25 (!YM) CPR 50 (!YM) CPR 75 (!YM) CPR 100
--------------------------------------------------------------------------------------------------------------
PRICE / YIELD
100.0122 7.062 7.062 7.062 7.062 7.062
100.0747 7.053 7.053 7.053 7.053 7.053
100.1372 7.044 7.044 7.044 7.044 7.043
100.1997 7.035 7.035 7.035 7.035 7.034
100.2622 7.026 7.026 7.026 7.026 7.025
100.3247 7.017 7.017 7.017 7.017 7.016
100.3872 7.008 7.008 7.008 7.008 7.007
100.4497 6.999 6.999 6.999 6.999 6.998
100.5122 6.990 6.990 6.990 6.990 6.989
100.5747 6.981 6.981 6.981 6.981 6.980
100.6372 6.973 6.972 6.972 6.972 6.971
100.6997 6.964 6.964 6.964 6.963 6.962
100.7622 6.955 6.955 6.955 6.955 6.954
100.8247 6.946 6.946 6.946 6.946 6.945
100.8872 6.937 6.937 6.937 6.937 6.936
100.9497 6.928 6.928 6.928 6.928 6.927
101.0122 6.919 6.919 6.919 6.919 6.918
AVERAGE LIFE 9.93 9.93 9.92 9.91 9.82
FIRST PRIN 01/15/2011 01/15/2011 01/15/2011 01/15/2011 12/15/2010
LAST PRIN 02/15/2011 02/15/2011 02/15/2011 02/15/2011 01/15/2011
PAYMENT WINDOW 2 2 2 2 2
ACCRUAL FACTOR 0.4278 0.4278 0.4278 0.4278 0.4278
MOD DURATION @ 100.5122 6.94 6.94 6.94 6.93 6.89
SPREAD INTERP. @ 100.5122 180 180 180 180 180
Page 6 of 7
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not 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 trading strategy. No representation or warranty can be given
with respect to the accuracy or completeness of the information, or with respect
to the terms of any future offer of securities conforming to the terms hereof.
Any such offer of securities would be made pursuant to a definitive Prospectus
or Private Placement Memorandum, as the case may be, prepared by the issuer
which could contain material information not contained herein and to which the
prospective purchasers are referred. In the event of any such offering, this
information shall be deemed superseded, amended and supplemented in its entirety
by such Prospectus or Private Placement Memorandum. Such Prospectus or Private
Placement Memorandum will contain all material information in respect of any
securities offered thereby and any decision to invest in such securities should
be made solely in reliance upon such Prospectus or Private Placement Memorandum.
Certain assumptions may have been made in this analysis which have resulted in
any returns detailed herein. No representation is made that any returns
indicated will be achieved. Changes to the assumptions may have a material
impact on any returns detailed. Xxxxxx Xxxxxxx & Co. Incorporated disclaims any
and all liability relating to this information, including without limitation any
express or implied representations or warranties for, statements contained in,
and omissions from, this information. Additional information is available upon
request. Xxxxxx Xxxxxxx & Co. Incorporated and others associated with it may
have positions in, and may effect transaction in, securities and instruments of
issuers mentioned herein and may also perform or seek to perform investment
banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and
availability are subject to change without notice. To our readers worldwide: In
addition, please note that this publication has been issued by Xxxxxx Xxxxxxx &
Co. Incorporated, approved by Xxxxxx Xxxxxxx International Limited, a member of
The Securities and Futures Authority, any by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx & Co.
Incorporated, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U. K. SECURITIES AND FUTURES AUTHORITY.
XXXXXX XXXXXXX XXXX XXXXXX
--------------------------------------------------------------------------------
MSDWCI MSDWCI SERIES 2001-TOP1 (PRICED) CLASS D
--------------------------------------------------------------------------------
Class D
Delay 14
Payment Freq Monthly
Yield Day Count 30/360
Yield Freq SemiAnnual
Yield Table Date 02/15/2001
Cusip N/A
First Payment Date 03/15/2001
Next Payment Date 03/15/2001
Settlement Date 02/23/2001
Interest Freq Monthly
Credit Rating A-/A-
Dated Date 02/01/2001
Factor 1.00000000
Current Balance 11,565,000.00
Coupon 7.19000
Market Desc N/A
Original Balance 11,565,000.00
Lead Manager Xxxxxx Xxxxxxx & Co.
Orig Deal Size 1,156,426,170.00
Num of Tranches 22
Deal Age 0
TREASURY CURVE
1 4.9012 2 4.8800 5 5.0510 10 5.1960 30 5.4990
SWAP CURVE
2 yr 61.2500 3 yr 72.0000 5 yr 84.5000 7 yr 93.2500 10 yr 98.7500 20 yr 121.7250 30 yr 92.5000
PREPAY CPR 0 (!YM) CPR 25 (!YM) CPR 50 (!YM) CPR 75 (!YM) CPR 100
--------------------------------------------------------------------------------------------------------------
PRICE / YIELD
100.0250 7.254 7.254 7.254 7.254 7.254
100.0875 7.245 7.245 7.245 7.245 7.245
100.1500 7.236 7.236 7.236 7.236 7.236
100.2125 7.227 7.227 7.227 7.227 7.227
100.2750 7.218 7.218 7.218 7.218 7.218
100.3375 7.209 7.209 7.209 7.209 7.209
100.4000 7.200 7.200 7.200 7.200 7.200
100.4625 7.191 7.191 7.191 7.191 7.191
100.5250 7.182 7.182 7.182 7.182 7.182
100.5875 7.173 7.173 7.173 7.173 7.173
100.6500 7.165 7.165 7.165 7.165 7.164
100.7125 7.156 7.156 7.156 7.156 7.155
100.7750 7.147 7.147 7.147 7.147 7.146
100.8375 7.138 7.138 7.138 7.138 7.137
100.9000 7.129 7.129 7.129 7.129 7.128
100.9625 7.120 7.120 7.120 7.120 7.119
101.0250 7.111 7.111 7.111 7.111 7.110
AVERAGE LIFE 9.98 9.98 9.98 9.98 9.89
FIRST PRIN 02/15/2011 02/15/2011 02/15/2011 02/15/2011 01/15/2011
LAST PRIN 02/15/2011 02/15/2011 02/15/2011 02/15/2011 01/15/2011
PAYMENT WINDOW 1 1 1 1 1
ACCRUAL FACTOR 0.4394 0.4394 0.4394 0.4394 0.4394
MOD DURATION @ 100.4982 6.90 6.90 6.90 6.90 6.86
SPREAD INTERP. @ 100.4982 199 199 199 199 199
Page 7 of 7
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not 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 trading strategy. No representation or warranty can be given
with respect to the accuracy or completeness of the information, or with respect
to the terms of any future offer of securities conforming to the terms hereof.
Any such offer of securities would be made pursuant to a definitive Prospectus
or Private Placement Memorandum, as the case may be, prepared by the issuer
which could contain material information not contained herein and to which the
prospective purchasers are referred. In the event of any such offering, this
information shall be deemed superseded, amended and supplemented in its entirety
by such Prospectus or Private Placement Memorandum. Such Prospectus or Private
Placement Memorandum will contain all material information in respect of any
securities offered thereby and any decision to invest in such securities should
be made solely in reliance upon such Prospectus or Private Placement Memorandum.
Certain assumptions may have been made in this analysis which have resulted in
any returns detailed herein. No representation is made that any returns
indicated will be achieved. Changes to the assumptions may have a material
impact on any returns detailed. Xxxxxx Xxxxxxx & Co. Incorporated disclaims any
and all liability relating to this information, including without limitation any
express or implied representations or warranties for, statements contained in,
and omissions from, this information. Additional information is available upon
request. Xxxxxx Xxxxxxx & Co. Incorporated and others associated with it may
have positions in, and may effect transaction in, securities and instruments of
issuers mentioned herein and may also perform or seek to perform investment
banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and
availability are subject to change without notice. To our readers worldwide: In
addition, please note that this publication has been issued by Xxxxxx Xxxxxxx &
Co. Incorporated, approved by Xxxxxx Xxxxxxx International Limited, a member of
The Securities and Futures Authority, any by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx & Co.
Incorporated, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U. K. SECURITIES AND FUTURES AUTHORITY.
