XXXXXX XXXXXXX
-----------------------------------------------------------------------------------------------------------------------------
12/19/2001 12:58:27 CARVE Version 640.00 /u/xxxxxx/deal/msdwc_01-TOP5/priced/top5.finalsizes.1219.carve
MS MS SERIES 2001-TOP5 PRICED CLASS A1
-----------------------------------------------------------------------------------------------------------------------------
Class A1 Settlement Date 12/27/2001 Coupon 5.02000
Original Balance 126,640,000.00 Dated Date 12/01/2001 Delay 14
Current Balance 126,668,000.00 First Payment Date 01/15/2002 Lead Manager Xxxxxx Xxxxxxx & Co.
Credit Rating Aaa/AAA Next Payment Date 01/15/2002 Orig Deal Size 1,041,991,908.17
Market Desc N/A Payment Freq Monthly Num of Tranches 21
Factor 1.00022110 Interest Freq Monthly Deal Age 0
-------------------------------------------
-------------------------------------------
Cusip N/A
Yield Table Date 12/19/2001
Yield Frequency XxxxXxxxxx
Xxxxx Day Count 30/360
TREASURY CURVE
2 3.0540 5 4.3880 10 5.0840 30 5.4786
SWAP CURVE
2 yr 47.5000 3 yr 83.5000 5 yr 75.5000 7 yr 87.2500 10 yr 77.2500 20 yr 113.4600 30 yr 73.0000
PREPAY CPR 0 (!YM) CPR 25 (!YM) CPR 50 (!YM) CPR 75 (!YM) CPR 100
---------------------------------------------------------------------------------------------------------------
PRICE / YIELD
---------------------------------------------------------------------------------------------------------------
99.3998 5.21 5.21 5.21 5.21 5.21
99.4623 5.19 5.19 5.19 5.19 5.19
99.5248 5.17 5.17 5.17 5.17 5.17
99.5873 5.15 5.15 5.15 5.15 5.15
99.6498 5.12 5.12 5.12 5.12 5.13
99.7123 5.10 5.10 5.10 5.10 5.10
99.7748 5.08 5.08 5.08 5.08 5.08
99.8373 5.06 5.06 5.06 5.06 5.06
99.8998 5.04 5.04 5.04 5.04 5.04
99.9623 5.02 5.02 5.02 5.02 5.02
100.0248 5.00 5.00 5.00 5.00 5.00
100.0873 4.98 4.98 4.98 4.98 4.98
100.1498 4.96 4.96 4.96 4.96 4.96
100.2123 4.94 4.94 4.94 4.94 4.93
100.2748 4.92 4.92 4.92 4.92 4.91
100.3373 4.90 4.90 4.90 4.90 4.89
100.3998 4.88 4.88 4.88 4.87 4.87
100.4623 4.86 4.85 4.85 4.85 4.85
100.5248 4.83 4.83 4.83 4.83 4.83
100.5873 4.81 4.81 4.81 4.81 4.81
100.6498 4.79 4.79 4.79 4.79 4.79
---------------------------------------------------------------------------------------------------------------
AVERAGE LIFE 3.40 3.40 3.39 3.38 3.30
FIRST PRIN 01/15/2002 01/15/2002 01/15/2002 01/15/2002 01/15/2002
LAST PRIN 11/15/2006 11/15/2006 11/15/2006 11/15/2006 09/15/2006
PAYMENT WINDOW 59 59 59 59 57
ACCRUAL FACTOR 0.3626 0.3626 0.3626 0.3626 0.3626
MOD DURATION @ 100.0248 3.00 3.00 3.00 2.99 2.92
SPREAD INTERP. @ 100.0248 132 133 133 133 137
Page 1 of 6
--------------------------------------------------------------------------------
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
----------------------------------------------------------------------------------------------------------------------------------
12/19/2001 12:58:27 CARVE Version 640.0 /u/xxxxxx/deal/msdwc_01-TOP5/priced/top5.finalsizes.1219.carve
MS MS SERIES 2001-TOP5 PRICED CLASS A2
----------------------------------------------------------------------------------------------------------------------------------
Class A2 Settlement Date 12/27/2001 Coupon 5.90000
Original Balance 105,431,797.26 Dated Date 12/01/2001 Delay 14
Current Balance 105,432,000.00 First Payment Date 01/15/2002 Lead Manager Xxxxxx Xxxxxxx & Co.
Credit Rating Aaa/AAA Next Payment Date 01/15/2002 Orig Deal Size 1,041,991,908.17
Market Desc N/A Payment Freq Monthly Num of Tranches 21
Factor 1.00000192 Interest Freq Monthly Deal Age 0
--------------------------------------
--------------------------------------
Cusip N/A
Yield Table Date 12/19/2001
Yield Frequency XxxxXxxxxx
Xxxxx Day Count 30/360
TREASURY CURVE
2 3.0540 5 4.3880 10 5.0840 30 5.4786
SWAP CURVE
2 yr 47.5000 3 yr 83.5000 5 yr 75.5000 7 yr 87.2500 10 yr 77.2500 20 yr 113.4600 30 yr 73.0000
PREPAY CPR 0 (!YM) CPR 25 (!YM) CPR 50 (!YM) CPR 75 (!YM) CPR 100
---------------------------------------------------------------------------------------------------------------
PRICE / YIELD
---------------------------------------------------------------------------------------------------------------
99.8999 5.95 5.95 5.95 5.95 5.94
99.9624 5.93 5.93 5.93 5.93 5.93
100.0249 5.92 5.92 5.92 5.92 5.92
100.0874 5.91 5.91 5.91 5.91 5.90
100.1499 5.89 5.89 5.89 5.89 5.89
100.2124 5.88 5.88 5.88 5.88 5.88
100.2749 5.87 5.87 5.87 5.87 5.86
100.3374 5.85 5.85 5.85 5.85 5.85
100.3999 5.84 5.84 5.84 5.84 5.84
100.4624 5.83 5.83 5.83 5.83 5.82
100.5249 5.81 5.81 5.81 5.81 5.81
100.5874 5.80 5.80 5.80 5.80 5.80
100.6499 5.79 5.79 5.79 5.79 5.78
100.7124 5.77 5.77 5.77 5.77 5.77
100.7749 5.76 5.76 5.76 5.76 5.76
100.8374 5.75 5.75 5.75 5.75 5.74
100.8999 5.73 5.73 5.73 5.73 5.73
100.9624 5.72 5.72 5.72 5.72 5.72
101.0249 5.71 5.71 5.71 5.71 5.70
101.0874 5.70 5.70 5.70 5.69 5.69
101.1499 5.68 5.68 5.68 5.68 5.68
---------------------------------------------------------------------------------------------------------------
AVERAGE LIFE 5.70 5.70 5.69 5.68 5.57
FIRST PRIN 11/15/2006 11/15/2006 11/15/2006 11/15/2006 09/15/2006
LAST PRIN 03/15/2008 03/15/2008 03/15/2008 03/15/2008 03/15/2008
PAYMENT WINDOW 17 17 17 17 19
ACCRUAL FACTOR 0.4261 0.4261 0.4261 0.4261 0.4261
MOD DURATION @ 100.5249 4.71 4.71 4.70 4.70 4.62
SPREAD INTERP. @ 100.5249 133 133 133 133 134
Page 2 of 6
--------------------------------------------------------------------------------
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
-----------------------------------------------------------------------------------------------------------------------------------
12/19/2001 12:58:27 CARVE Version 640.0 /u/xxxxxx/deal/msdwc_01-TOP5/1217/top5.seq.updpxguid.1217.carve
MS MS SERIES 2001-TOP5 PRICED CLASS A3
-----------------------------------------------------------------------------------------------------------------------------------
Class A3 Settlement Date 12/27/2001 Coupon 6.16000
Original Balance 136,593,147.66 Dated Date 12/01/2001 Delay 14
Current Balance 136,593,000.00 First Payment Date 01/15/2002 Lead Manager Xxxxxx Xxxxxxx & Co.
Credit Rating Aaa/AAA Next Payment Date 01/15/2002 Orig Deal Size 1,041,991,908.17
Market Desc N/A Payment Freq Monthly Num of Tranches 21
Factor 0.99999892 Interest Freq Monthly Deal Age 0
--------------------------------------
--------------------------------------
Cusip N/A
Yield Table Date 12/19/2001
Yield Frequency XxxxXxxxxx
Xxxxx Day Count 30/360
TREASURY CURVE
2 3.0540 5 4.3880 10 5.0840 30 5.4786
SWAP CURVE
2 yr 47.5000 3 yr 83.5000 5 yr 75.5000 7 yr 87.2500 10 yr 77.2500 20 yr 113.4600 30 yr 73.0000
PREPAY CPR 0 (!YM) CPR 25 (!YM) CPR 50 (!YM) CPR 75 (!YM) CPR 100
---------------------------------------------------------------------------------------------------------------
PRICE / YIELD
---------------------------------------------------------------------------------------------------------------
99.8776 6.22 6.22 6.22 6.22 6.22
99.9401 6.21 6.21 6.21 6.21 6.21
100.0026 6.20 6.20 6.20 6.20 6.20
100.0651 6.19 6.19 6.19 6.19 6.18
100.1276 6.18 6.18 6.18 6.18 6.17
100.1901 6.17 6.17 6.16 6.16 6.16
100.2526 6.15 6.15 6.15 6.15 6.15
100.3151 6.14 6.14 6.14 6.14 6.14
100.3776 6.13 6.13 6.13 6.13 6.13
100.4401 6.12 6.12 6.12 6.12 6.12
100.5026 6.11 6.11 6.11 6.11 6.11
100.5651 6.10 6.10 6.10 6.10 6.10
100.6276 6.09 6.09 6.09 6.09 6.08
100.6901 6.08 6.08 6.08 6.08 6.07
100.7526 6.07 6.07 6.07 6.07 6.06
100.8151 6.06 6.06 6.06 6.06 6.05
100.8776 6.05 6.05 6.05 6.04 6.04
100.9401 6.04 6.04 6.04 6.03 6.03
101.0026 6.03 6.03 6.02 6.02 6.02
101.0651 6.02 6.01 6.01 6.01 6.01
101.1276 6.00 6.00 6.00 6.00 6.00
---------------------------------------------------------------------------------------------------------------
AVERAGE LIFE 7.40 7.37 7.33 7.27 7.06
FIRST PRIN 03/15/2008 03/15/2008 03/15/2008 03/15/2008 03/15/2008
LAST PRIN 06/15/2010 06/15/2010 05/15/2010 05/15/2010 02/15/2010
PAYMENT WINDOW 28 28 27 27 24
ACCRUAL FACTOR 0.4449 0.4449 0.4449 0.4449 0.4449
MOD DURATION @ 100.5026 5.77 5.75 5.73 5.69 5.56
SPREAD INTERP. @ 100.5026 139 139 140 141 143
Page 3 of 6
--------------------------------------------------------------------------------
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
-----------------------------------------------------------------------------------------------------------------------------------
12/19/2001 12:58:27 CARVE Version 640.0 /u/xxxxxx/deal/msdwc_01-TOP5/1217/top5.seq.updpxguid.1217.carve
MS MS SERIES 2001-TOP5 PRICED CLASS A4
-----------------------------------------------------------------------------------------------------------------------------------
Class A4 Settlement Date 12/27/2001 Coupon 6.39000
Original Balance 517,028,055.08 Dated Date 12/01/2001 Delay 14
Current Balance 517,000,000.00 First Payment Date 01/15/2002 Lead Manager Xxxxxx Xxxxxxx & Co.
Credit Rating Aaa/AAA Next Payment Date 01/15/2002 Orig Deal Size 1,041,991,908.17
Market Desc N/A Payment Freq Monthly Num of Tranches 21
Factor 0.99994574 Interest Freq Monthly Deal Age 0
--------------------------------------
--------------------------------------
Cusip N/A
Yield Table Date 12/19/2001
Yield Frequency XxxxXxxxxx
Xxxxx Day Count 30/360
TREASURY CURVE
2 3.0540 5 4.3880 10 5.0840 30 5.4786
SWAP CURVE
2 yr 47.5000 3 yr 83.5000 5 yr 75.5000 7 yr 87.2500 10 yr 77.2500 20 yr 113.4600 30 yr 73.0000
PREPAY CPR 0 (!YM) CPR 25 (!YM) CPR 50 (!YM) CPR 75 (!YM) CPR 100
---------------------------------------------------------------------------------------------------------------
PRICE / YIELD
---------------------------------------------------------------------------------------------------------------
99.9186 6.45 6.45 6.45 6.45 6.45
99.9811 6.44 6.44 6.44 6.44 6.44
100.0436 6.43 6.43 6.43 6.43 6.43
100.1061 6.42 6.42 6.42 6.42 6.42
100.1686 6.42 6.42 6.42 6.42 6.42
100.2311 6.41 6.41 6.41 6.41 6.41
100.2936 6.40 6.40 6.40 6.40 6.40
100.3561 6.39 6.39 6.39 6.39 6.39
100.4186 6.38 6.38 6.38 6.38 6.38
100.4811 6.37 6.37 6.37 6.37 6.37
100.5436 6.36 6.36 6.36 6.36 6.36
100.6061 6.35 6.35 6.35 6.35 6.35
100.6686 6.35 6.34 6.34 6.34 6.34
100.7311 6.34 6.34 6.34 6.34 6.33
100.7936 6.33 6.33 6.33 6.33 6.32
100.8561 6.32 6.32 6.32 6.32 6.32
100.9186 6.31 6.31 6.31 6.31 6.31
100.9811 6.30 6.30 6.30 6.30 6.30
101.0436 6.29 6.29 6.29 6.29 6.29
101.1061 6.28 6.28 6.28 6.28 6.28
101.1686 6.27 6.27 6.27 6.27 6.27
---------------------------------------------------------------------------------------------------------------
AVERAGE LIFE 9.62 9.61 9.59 9.57 9.39
FIRST PRIN 06/15/2010 06/15/2010 05/15/2010 05/15/2010 02/15/2010
LAST PRIN 11/15/2011 10/15/2011 10/15/2011 10/15/2011 08/15/2011
PAYMENT WINDOW 18 17 18 18 19
ACCRUAL FACTOR 0.4615 0.4615 0.4615 0.4615 0.4615
MOD DURATION @ 100.5436 6.98 6.98 6.97 6.96 6.86
SPREAD INTERP. @ 100.5436 133 133 134 134 136
Page 4 of 6
--------------------------------------------------------------------------------
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
-----------------------------------------------------------------------------------------------------------------------------------
12/19/2001 12:58:27 CARVE Version 640.0 /u/xxxxxx/deal/msdwc_01-TOP5/1217/top5.seq.updpxguid.1217.carve
MS MS SERIES 2001-TOP5 PRICED CLASS B
-----------------------------------------------------------------------------------------------------------------------------------
Class B Settlement Date 12/27/2001 Coupon 6.56000
Original Balance 31,259,000.00 Dated Date 12/01/2001 Delay 14
Current Balance 31,259,000.00 First Payment Date 01/15/2002 Lead Manager Xxxxxx Xxxxxxx & Co.
Credit Rating Aa2/AAA Next Payment Date 01/15/2002 Orig Deal Size 1,041,991,908.17
Market Desc N/A Payment Freq Monthly Num of Tranches 21
Factor 1.00000000 Interest Freq Monthly Deal Age 0
--------------------------------------
--------------------------------------
Cusip N/A
Yield Table Date 12/19/2001
Yield Frequency XxxxXxxxxx
Xxxxx Day Count 30/360
TREASURY CURVE
2 3.0540 5 4.3880 10 5.0840 30 5.4786
SWAP CURVE
2 yr 47.5000 3 yr 83.5000 5 yr 75.5000 7 yr 87.2500 10 yr 77.2500 20 yr 113.4600 30 yr 73.0000
PREPAY CPR 0 (!YM) CPR 25 (!YM) CPR 50 (!YM) CPR 75 (!YM) CPR 100
---------------------------------------------------------------------------------------------------------------
PRICE / YIELD
---------------------------------------------------------------------------------------------------------------
99.8591 6.63 6.63 6.63 6.63 6.63
99.9216 6.63 6.63 6.63 6.63 6.62
99.9841 6.62 6.62 6.62 6.62 6.62
100.0466 6.61 6.61 6.61 6.61 6.61
100.1091 6.60 6.60 6.60 6.60 6.60
100.1716 6.59 6.59 6.59 6.59 6.59
100.2341 6.58 6.58 6.58 6.58 6.58
100.2966 6.57 6.57 6.57 6.57 6.57
100.3591 6.56 6.56 6.56 6.56 6.56
100.4216 6.55 6.55 6.55 6.55 6.55
100.4841 6.55 6.55 6.55 6.55 6.54
100.5466 6.54 6.54 6.54 6.54 6.54
100.6091 6.53 6.53 6.53 6.53 6.53
100.6716 6.52 6.52 6.52 6.52 6.52
100.7341 6.51 6.51 6.51 6.51 6.51
100.7966 6.50 6.50 6.50 6.50 6.50
100.8591 6.49 6.49 6.49 6.49 6.49
100.9216 6.48 6.48 6.48 6.48 6.48
100.9841 6.48 6.48 6.48 6.48 6.47
101.0466 6.47 6.47 6.47 6.47 6.46
101.1091 6.46 6.46 6.46 6.46 6.46
---------------------------------------------------------------------------------------------------------------
AVERAGE LIFE 9.88 9.87 9.84 9.80 9.63
FIRST PRIN 11/15/2011 11/15/2011 11/15/2011 10/15/2011 08/15/2011
LAST PRIN 11/15/2011 10/15/2011 10/15/2011 10/15/2011 08/15/2011
PAYMENT WINDOW 1 2 2 1 1
ACCRUAL FACTOR 0.4738 0.4738 0.4738 0.4738 0.4738
MOD DURATION @ 100.4841 7.06 7.06 7.04 7.02 6.93
SPREAD INTERP. @ 100.4841 148 148 148 149 151
Page 5 of 6
--------------------------------------------------------------------------------
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
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12/19/2001 12:58:27 CARVE Version 640.0 /u/xxxxxx/deal/msdwc_01-TOP5/1217/top5.seq.updpxguid.1217.carve
MS MS SERIES 2001-TOP5 PRICED CLASS C
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Class C Settlement Date 12/27/2001 Coupon 6.72000
Original Balance 28,655,000.00 Dated Date 12/01/2001 Delay 14
Current Balance 28,655,000.00 First Payment Date 01/15/2002 Lead Manager Xxxxxx Xxxxxxx & Co.
Credit Rating A2/AAA Next Payment Date 01/15/2002 Orig Deal Size 1,041,991,908.17
Market Desc N/A Payment Freq Monthly Num of Tranches 21
Factor 1.00000000 Interest Freq Monthly Deal Age 0
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Cusip N/A
Yield Table Date 12/19/2001
Yield Frequency XxxxXxxxxx
Xxxxx Day Count 30/360
TREASURY CURVE
2 3.0540 5 4.3880 10 5.0840 30 5.4786
SWAP CURVE
2 yr 47.5000 3 yr 83.5000 5 yr 75.5000 7 yr 87.2500 10 yr 77.2500 20 yr 113.4600 30 yr 73.0000
PREPAY CPR 0 (!YM) CPR 25 (!YM) CPR 50 (!YM) CPR 75 (!YM) CPR 100
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PRICE / YIELD
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99.8789 6.79 6.79 6.79 6.79 6.79
99.9414 6.79 6.79 6.79 6.79 6.79
100.0039 6.78 6.78 6.78 6.78 6.78
100.0664 6.77 6.77 6.77 6.77 6.77
100.1289 6.76 6.76 6.76 6.76 6.76
100.1914 6.75 6.75 6.75 6.75 6.75
100.2539 6.74 6.74 6.74 6.74 6.74
100.3164 6.73 6.73 6.73 6.73 6.73
100.3789 6.72 6.72 6.72 6.72 6.72
100.4414 6.71 6.71 6.71 6.71 6.71
100.5039 6.71 6.71 6.71 6.71 6.70
100.5664 6.70 6.70 6.70 6.70 6.70
100.6289 6.69 6.69 6.69 6.69 6.69
100.6914 6.68 6.68 6.68 6.68 6.68
100.7539 6.67 6.67 6.67 6.67 6.67
100.8164 6.66 6.66 6.66 6.66 6.66
100.8789 6.65 6.65 6.65 6.65 6.65
100.9414 6.64 6.64 6.64 6.64 6.64
101.0039 6.64 6.64 6.64 6.64 6.63
101.0664 6.63 6.63 6.63 6.63 6.62
101.1289 6.62 6.62 6.62 6.62 6.61
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AVERAGE LIFE 9.88 9.88 9.88 9.88 9.63
FIRST PRIN 11/15/2011 11/15/2011 11/15/2011 10/15/2011 08/15/2011
LAST PRIN 11/15/2011 11/15/2011 11/15/2011 11/15/2011 08/15/2011
PAYMENT WINDOW 1 1 1 2 1
ACCRUAL FACTOR 0.4853 0.4853 0.4853 0.4853 0.4853
MOD DURATION @ 100.5039 7.01 7.01 7.01 7.00 6.88
SPREAD INTERP. @ 100.5039 164 164 164 164 167
Page 6 of 6
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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
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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
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and all liability relating to this information, including without limitation any
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and omissions from, this information. Additional information is available upon
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issuers mentioned herein and may also perform or seek to perform investment
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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
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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.
