PREPAY CPR 0 (!YM) CPR 25 (!YM) CPR 50 (!YM) CPR 75 (!YM) CPR 100 ------------- ------------------------------------------------------------------------------- ----------------------------- PRICE / YIELD -----------------------------------...
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03/17/2003 08:50:17 CARVE Version 821.0 /u/xxxxxx/deal/MSDWC_2002-HQ2/pxguide/hq2.pxguide.0314.carve
MSDWCI MS SERIES 2003-HQ2 CLASS A1
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Class A1 Settlement Date 03/27/2003 Coupon 3.87000 Cusip N/A
Original Balance 248,633,000.00 Dated Date 03/01/2003 Delay 11 Yield Table Date 03/17/2003
Current Balance 248,633,000.00 First Payment Date 04/12/2003 Lead Manager Xxxxxx Xxxxxxx & Co. Yield Frequency SemiAnnual
Credit Rating AAA/Aaa/AAA Next Payment Date 04/12/2003 Orig Deal Size 931,559,154.97 Yield Day Count 30/360
Market Desc N/A Payment Freq Monthly Num of Tranches 23
Factor 1.00000000 Interest Freq Monthly Deal Age 0
TREASURY CURVE
2 1.5447 5 2.6925 10 3.7078 30 4.7109
SWAP CURVE
2 yr 29.0000 3 yr 43.0000 5 yr 44.2500 7 yr 55.5000 10 yr 44.2500 20 yr 71.5000 30 yr 31.7500
PREPAY CPR 0 (!YM) CPR 25 (!YM) CPR 50 (!YM) CPR 75 (!YM) CPR 100
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PRICE / YIELD
-------------------------------------------------------------------------------------------------------------------------
99/28+ 3.8995 3.8995 3.8995 3.8995 3.8994
99/30+ 3.8867 3.8866 3.8866 3.8865 3.8863
100/00+ 3.8738 3.8738 3.8737 3.8736 3.8732
100/02+ 3.8610 3.8610 3.8609 3.8607 3.8600
100/04+ 3.8482 3.8481 3.8480 3.8478 3.8469
100/06+ 3.8355 3.8353 3.8352 3.8350 3.8338
100/08+ 3.8227 3.8225 3.8224 3.8221 3.8207
100/10+ 3.8099 3.8098 3.8095 3.8093 3.8077
100/12+ 3.7972 3.7970 3.7967 3.7964 3.7946
100/14+ 3.7845 3.7842 3.7840 3.7836 3.7816
100/16+ 3.7717 3.7715 3.7712 3.7708 3.7685
100/18+ 3.7590 3.7587 3.7584 3.7580 3.7555
100/20+ 3.7463 3.7460 3.7457 3.7452 3.7425
100/22+ 3.7337 3.7333 3.7329 3.7324 3.7295
100/24+ 3.7210 3.7206 3.7202 3.7196 3.7165
100/26+ 3.7083 3.7079 3.7075 3.7069 3.7035
100/28+ 3.6957 3.6953 3.6948 3.6941 3.6906
100/30+ 3.6830 3.6826 3.6821 3.6814 3.6776
101/00+ 3.6704 3.6699 3.6694 3.6687 3.6647
101/02+ 3.6578 3.6573 3.6567 3.6560 3.6518
101/04+ 3.6452 3.6447 3.6441 3.6433 3.6388
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AVERAGE LIFE 5.70 5.69 5.67 5.66 5.56
FIRST PRIN 04/12/2003 04/12/2003 04/12/2003 04/12/2003 04/12/2003
LAST PRIN 09/12/2012 08/12/2012 07/12/2012 07/12/2012 06/12/2012
PAYMENT WINDOW 114 113 112 112 111
ACCRUAL FACTOR 0.2795 0.2795 0.2795 0.2795 0.2795
MOD DURATION @ 100/16+ 4.88 4.87 4.86 4.84 4.76
SPREAD INTERP. @ 100/16+ 94 94 94 94 96
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03/17/200 3 08:50:17 CARVE Version 821.0 /u/xxxxxx/deal/MSDWC_2002-HQ2/pxguide/hq2.pxguide.0314.carve
MSDWCI MS SERIES 2003-HQ2 CLASS A2
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Class A2 Settlement Date 03/27/2003 Coupon 4.61000 Cusip N/A
Original Balance 522,232,000.00 Dated Date 03/01/2003 Delay 11 Yield Table Date 03/17/2003
Current Balance 522,232,000.00 First Payment Date 04/12/2003 Lead Manager Xxxxxx Xxxxxxx & Co. Yield Frequency SemiAnnual
Credit Rating AAA/Aaa/AAA Next Payment Date 04/12/2003 Orig Deal Size 931,559,154.97 Yield Day Count 30/360
Market Desc N/A Payment Freq Monthly Num of Tranches 23
Factor 1.00000000 Interest Freq Monthly Deal Age 0
TREASURY CURVE
2 1.5447 5 2.6925 10 3.7078 30 4.7109
SWAP CURVE
2 yr 29.0000 3 yr 43.0000 5 yr 44.2500 7 yr 55.5000 10 yr 44.2500 20 yr 71.5000 30 yr 31.7500
PREPAY CPR 0 (!YM) CPR 25 (!YM) CPR 50 (!YM) CPR 75 (!YM) CPR 100
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PRICE / YIELD
-------------------------------------------------------------------------------------------------------------------------
99/28+ 4.6504 4.6504 4.6504 4.6504 4.6503
99/30+ 4.6422 4.6422 4.6422 4.6422 4.6420
100/00+ 4.6341 4.6341 4.6341 4.6340 4.6337
100/02+ 4.6260 4.6259 4.6259 4.6259 4.6255
100/04+ 4.6178 4.6178 4.6178 4.6177 4.6172
100/06+ 4.6097 4.6097 4.6096 4.6096 4.6089
100/08+ 4.6016 4.6016 4.6015 4.6014 4.6007
100/10+ 4.5935 4.5935 4.5934 4.5933 4.5924
100/12+ 4.5854 4.5854 4.5853 4.5852 4.5842
100/14+ 4.5773 4.5773 4.5772 4.5770 4.5759
100/16+ 4.5692 4.5692 4.5691 4.5689 4.5677
100/18+ 4.5611 4.5611 4.5610 4.5608 4.5595
100/20+ 4.5531 4.5530 4.5529 4.5527 4.5513
100/22+ 4.5450 4.5449 4.5448 4.5446 4.5430
100/24+ 4.5369 4.5368 4.5367 4.5365 4.5348
100/26+ 4.5289 4.5288 4.5287 4.5284 4.5266
100/28+ 4.5208 4.5207 4.5206 4.5204 4.5184
100/30+ 4.5128 4.5127 4.5125 4.5123 4.5103
101/00+ 4.5047 4.5046 4.5045 4.5042 4.5021
101/02+ 4.4967 4.4966 4.4964 4.4962 4.4939
101/04+ 4.4887 4.4886 4.4884 4.4881 4.4857
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AVERAGE LIFE 9.71 9.70 9.69 9.67 9.50
FIRST PRIN 09/12/2012 08/12/2012 07/12/2012 07/12/2012 06/12/2012
LAST PRIN 01/12/2013 01/12/2013 01/12/2013 01/12/2013 12/12/2012
PAYMENT WINDOW 5 6 7 7 7
ACCRUAL FACTOR 0.3329 0.3329 0.3329 0.3329 0.3329
MOD DURATION @ 100/16+ 7.67 7.66 7.65 7.64 7.53
SPREAD INTERP. @ 100/16+ 92 92 92 93 96
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03/17/2003 08:50:17 CARVE Version 821.0 /u/xxxxxx/deal/MSDWC_2002-HQ2/pxguide/hq2.pxguide.0314.carve
MSDWCI MS SERIES 2003-HQ2 CLASS B
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Class B Settlement Date 03/27/2003 Coupon 4.73000 Cusip N/A
Original Balance 39,591,000.00 Dated Date 03/01/2003 Delay 11 Yield Table Date 03/17/2003
Current Balance 39,591,000.00 First Payment Date 04/12/2003 Lead Manager Xxxxxx Xxxxxxx & Co. Yield Frequency SemiAnnual
Credit Rating AA/Aa2/AA Next Payment Date 04/12/2003 Orig Deal Size 931,559,154.97 Yield Day Count 30/360
Market Desc N/A Payment Freq Monthly Num of Tranches 23
Factor 1.00000000 Interest Freq Monthly Deal Age 0
TREASURY CURVE
2 1.5447 5 2.6925 10 3.7078 30 4.7109
SWAP CURVE
2 yr 29.0000 3 yr 43.0000 5 yr 44.2500 7 yr 55.5000 10 yr 44.2500 20 yr 71.5000 30 yr 31.7500
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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99/28+ 4.7723 4.7723 4.7723 4.7723 4.7722
99/30+ 4.7642 4.7642 4.7642 4.7641 4.7640
100/00+ 4.7561 4.7561 4.7560 4.7560 4.7558
100/02+ 4.7480 4.7480 4.7479 4.7479 4.7477
100/04+ 4.7400 4.7399 4.7398 4.7397 4.7395
100/06+ 4.7319 4.7318 4.7318 4.7316 4.7313
100/08+ 4.7239 4.7238 4.7237 4.7235 4.7231
100/10+ 4.7158 4.7157 4.7156 4.7154 4.7150
100/12+ 4.7078 4.7077 4.7075 4.7073 4.7068
100/14+ 4.6997 4.6996 4.6995 4.6992 4.6987
100/16+ 4.6917 4.6916 4.6914 4.6912 4.6906
100/18+ 4.6837 4.6835 4.6834 4.6831 4.6824
100/20+ 4.6756 4.6755 4.6753 4.6750 4.6743
100/22+ 4.6676 4.6675 4.6673 4.6669 4.6662
100/24+ 4.6596 4.6595 4.6592 4.6589 4.6581
100/26+ 4.6516 4.6514 4.6512 4.6508 4.6500
100/28+ 4.6436 4.6434 4.6432 4.6428 4.6419
100/30+ 4.6356 4.6354 4.6352 4.6348 4.6338
101/00+ 4.6277 4.6274 4.6272 4.6267 4.6257
101/02+ 4.6197 4.6195 4.6192 4.6187 4.6176
101/04+ 4.6117 4.6115 4.6112 4.6107 4.6095
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AVERAGE LIFE 9.87 9.86 9.83 9.79 9.71
FIRST PRIN 01/12/2013 01/12/2013 01/12/2013 01/12/2013 12/12/2012
LAST PRIN 02/12/2013 02/12/2013 02/12/2013 02/12/2013 12/12/2012
PAYMENT WINDOW 2 2 2 2 1
ACCRUAL FACTOR 0.3416 0.3416 0.3416 0.3416 0.3416
MOD DURATION @ 100/16+ 7.72 7.71 7.69 7.67 7.62
SPREAD INTERP. @ 100/16+ 101 101 102 102 104
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03/17/2003 08:50:17 CARVE Version 821.0 /u/xxxxxx/deal/MSDWC_2002-HQ2/pxguide/hq2.pxguide.0314.carve
MSDWCI MS SERIES 2003-HQ2 CLASS C
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Class C Settlement Date 03/27/2003 Coupon 4.84000 Cusip N/A
Original Balance 41,920,000.00 Dated Date 03/01/2003 Delay 11 Yield Table Date 03/17/2003
Current Balance 41,920,000.00 First Payment Date 04/12/2003 Lead Manager Xxxxxx Xxxxxxx & Co. Yield Frequency SemiAnnual
Credit Rating A/A2/A Next Payment Date 04/12/2003 Orig Deal Size 931,559,154.97 Yield Day Count 30/360
Market Desc N/A Payment Freq Monthly Num of Tranches 23
Factor 1.00000000 Interest Freq Monthly Deal Age 0
TREASURY CURVE
2 1.5447 5 2.6925 10 3.7078 30 4.7109
SWAP CURVE
2 yr 29.0000 3 yr 43.0000 5 yr 44.2500 7 yr 55.5000 10 yr 44.2500 20 yr 71.5000 30 yr 31.7500
PREPAY CPR 0 (!YM) CPR 25 (!YM) CPR 50 (!YM) CPR 75 (!YM) CPR 100
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PRICE / YIELD
-------------------------------------------------------------------------------------------------------------------------
99/29 4.8820 4.8820 4.8820 4.8820 4.8819
99/31 4.8739 4.8739 4.8739 4.8739 4.8737
100/01 4.8658 4.8658 4.8658 4.8657 4.8654
100/03 4.8578 4.8577 4.8577 4.8576 4.8572
100/05 4.8497 4.8496 4.8496 4.8495 4.8490
100/07 4.8416 4.8416 4.8415 4.8414 4.8408
100/09 4.8336 4.8335 4.8334 4.8333 4.8326
100/11 4.8255 4.8254 4.8253 4.8252 4.8244
100/13 4.8175 4.8174 4.8173 4.8171 4.8162
100/15 4.8094 4.8093 4.8092 4.8091 4.8080
100/17 4.8014 4.8013 4.8012 4.8010 4.7998
100/19 4.7934 4.7932 4.7931 4.7929 4.7916
100/21 4.7853 4.7852 4.7851 4.7849 4.7835
100/23 4.7773 4.7772 4.7770 4.7768 4.7753
100/25 4.7693 4.7692 4.7690 4.7688 4.7672
100/27 4.7613 4.7611 4.7610 4.7607 4.7590
100/29 4.7533 4.7531 4.7529 4.7527 4.7509
100/31 4.7453 4.7451 4.7449 4.7447 4.7427
101/01 4.7373 4.7371 4.7369 4.7366 4.7346
101/03 4.7293 4.7291 4.7289 4.7286 4.7265
101/05 4.7213 4.7212 4.7209 4.7206 4.7183
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AVERAGE LIFE 9.93 9.92 9.90 9.88 9.71
FIRST PRIN 02/12/2013 02/12/2013 02/12/2013 02/12/2013 12/12/2012
LAST PRIN 03/12/2013 03/12/2013 03/12/2013 02/12/2013 12/12/2012
PAYMENT WINDOW 2 2 2 1 1
ACCRUAL FACTOR 0.3496 0.3496 0.3496 0.3496 0.3496
MOD DURATION @ 100/17 7.71 7.70 7.69 7.68 7.58
SPREAD INTERP. @ 100/17 111 111 111 112 115
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03/17/2003 08:50:17 CARVE Version 821.0 /u/xxxxxx/deal/MSDWC_2002-HQ2/pxguide/hq2.pxguide.0314.carve
MSDWCI MS SERIES 2003-HQ2 CLASS D
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Class D Settlement Date 03/27/2003 Coupon 4.91000 Cusip N/A
Original Balance 9,316,000.00 Dated Date 03/01/2003 Delay 11 Yield Table Date 03/17/2003
Current Balance 9,316,000.00 First Payment Date 04/12/2003 Lead Manager Xxxxxx Xxxxxxx & Co. Yield Frequency SemiAnnual
Credit Rating A-/A3/A- Next Payment Date 04/12/2003 Orig Deal Size 931,559,154.97 Yield Day Count 30/360
Market Desc N/A Payment Freq Monthly Num of Tranches 23
Factor 1.00000000 Interest Freq Monthly Deal Age 0
TREASURY CURVE
2 1.5447 5 2.6925 10 3.7078 30 4.7109
SWAP CURVE
2 yr 29.0000 3 yr 43.0000 5 yr 44.2500 7 yr 55.5000 10 yr 44.2500 20 yr 71.5000 30 yr 31.7500
PREPAY CPR 0 (!YM) CPR 25 (!YM) CPR 50 (!YM) CPR 75 (!YM) CPR 100
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PRICE / YIELD
-------------------------------------------------------------------------------------------------------------------------
99/28+ 4.9552 4.9552 4.9552 4.9552 4.9551
99/30+ 4.9471 4.9471 4.9471 4.9471 4.9468
100/00+ 4.9390 4.9390 4.9390 4.9390 4.9386
100/02+ 4.9309 4.9309 4.9309 4.9309 4.9303
100/04+ 4.9228 4.9228 4.9228 4.9228 4.9221
100/06+ 4.9147 4.9147 4.9147 4.9147 4.9138
100/08+ 4.9067 4.9067 4.9067 4.9066 4.9056
100/10+ 4.8986 4.8986 4.8986 4.8985 4.8974
100/12+ 4.8905 4.8905 4.8905 4.8904 4.8891
100/14+ 4.8825 4.8825 4.8825 4.8823 4.8809
100/16+ 4.8744 4.8744 4.8744 4.8743 4.8727
100/18+ 4.8664 4.8664 4.8664 4.8662 4.8645
100/20+ 4.8584 4.8584 4.8584 4.8582 4.8563
100/22+ 4.8503 4.8503 4.8503 4.8501 4.8481
100/24+ 4.8423 4.8423 4.8423 4.8421 4.8399
100/26+ 4.8343 4.8343 4.8343 4.8341 4.8318
100/28+ 4.8263 4.8263 4.8263 4.8260 4.8236
100/30+ 4.8183 4.8183 4.8183 4.8180 4.8154
101/00+ 4.8103 4.8103 4.8103 4.8100 4.8073
101/02+ 4.8023 4.8023 4.8023 4.8020 4.7991
101/04+ 4.7943 4.7943 4.7943 4.7940 4.7909
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AVERAGE LIFE 9.96 9.96 9.96 9.94 9.71
FIRST PRIN 03/12/2013 03/12/2013 03/12/2013 02/12/2013 12/12/2012
LAST PRIN 03/12/2013 03/12/2013 03/12/2013 03/12/2013 12/12/2012
PAYMENT WINDOW 1 1 1 2 1
ACCRUAL FACTOR 0.3546 0.3546 0.3546 0.3546 0.3546
MOD DURATION @ 100/16+ 7.70 7.70 7.70 7.69 7.55
SPREAD INTERP. @ 100/16+ 118 118 118 118 122
