XXXXXX XXXXXXX
--------------------------------------------------------------------------------
01/12/2005 19:01:12 CARVE Version 37.0 /u/dsouzad/deal/top17/red/top17.050105.red.carve
MSCI MSCI SERIES 2005-TOP17 **S&P/FITCH CLASS A2
------------------------------------------------------------------------------------------------------------------------------
Class A1 Settlement Date 01/27/2005 Coupon 4.18000
Original Balance 23,000,000.00 Dated Date 01/01/2005 Delay 12
Current Balance 23,000,000.00 First Payment Date 02/13/2005 Lead Manager Xxxxxx Xxxxxxx & Co.
Credit Rating AAA Next Payment Date 02/13/2005 Orig Deal Size 980,772,819.43
Market Desc N/A Payment Freq Monthly Num of Tranches 30
Factor 1.00000000 Interest Freq Monthly Deal Age 0
----------------------------------------------------------------------------------
Cusip N/A
Yield Table Date 01/12/2005
Yield Frequency XxxxXxxxxx
Xxxxx Day Count 30/360
TRIGGER OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL
YES YES YES YES YES YES YES YES
PREPAY CPR 0 (!YM)CPR 100 CPR 0 CPR 0 CPR 0 CPR 0 CPR 0 CPR 0 (!YM)CPR 100
DEFAULT CDR 0 24 CDR 0 24 CDR 0 24 CDR 0 24 CDR 0 24 CDR 0 24 CDR 0 24
1 2 3 4 5 10 1
ADVANCES YES YES YES YES YES YES YES
RECV MNTH 12 12 12 12 12 12 12
RECV DISTR 100 1 100 1 100 1 100 1 100 1 100 1 100 1
LOSSES 0.35 0.35 0.35 0.35 0.35 0.35 0.35
-----------------------------------------------------------------------------------------------------------------------------------
PRICE /
YIELD
-----------------------------------------------------------------------------------------------------------------------------------
99.9237 4.1948 4.1948 4.1938 4.1934 4.1931 4.1929 4.1928 4.1925 4.1938
99.9862 4.1733 4.1732 4.1714 4.1705 4.1699 4.1696 4.1693 4.1687 4.1714
100.0487 4.1517 4.1517 4.1489 4.1476 4.1467 4.1462 4.1458 4.1449 4.1489
100.1112 4.1302 4.1302 4.1265 4.1247 4.1236 4.1229 4.1223 4.1211 4.1265
100.1737 4.1088 4.1087 4.1041 4.1018 4.1005 4.0996 4.0989 4.0973 4.1041
100.2362 4.0873 4.0872 4.0817 4.0789 4.0773 4.0763 4.0755 4.0736 4.0817
100.2987 4.0659 4.0658 4.0593 4.0561 4.0542 4.0530 4.0521 4.0499 4.0593
100.3612 4.0444 4.0443 4.0370 4.0333 4.0312 4.0297 4.0287 4.0262 4.0370
100.4237 4.0230 4.0229 4.0146 4.0105 4.0081 4.0065 4.0053 4.0025 4.0146
100.4862 4.0016 4.0015 3.9923 3.9877 3.9850 3.9833 3.9819 3.9788 3.9923
100.5487 3.9802 3.9801 3.9700 3.9649 3.9620 3.9600 3.9586 3.9552 3.9700
100.6112 3.9589 3.9588 3.9477 3.9422 3.9390 3.9369 3.9353 3.9315 3.9477
100.6737 3.9375 3.9374 3.9255 3.9195 3.9160 3.9137 3.9120 3.9079 3.9255
100.7362 3.9162 3.9161 3.9032 3.8968 3.8930 3.8905 3.8887 3.8843 3.9032
100.7987 3.8949 3.8947 3.8810 3.8741 3.8701 3.8674 3.8654 3.8608 3.8810
100.8612 3.8736 3.8734 3.8587 3.8514 3.8471 3.8443 3.8422 3.8372 3.8587
100.9237 3.8523 3.8521 3.8365 3.8287 3.8242 3.8212 3.8190 3.8137 3.8365
100.9862 3.8311 3.8309 3.8144 3.8061 3.8013 3.7981 3.7957 3.7902 3.8144
101.0487 3.8098 3.8096 3.7922 3.7835 3.7784 3.7750 3.7726 3.7667 3.7922
101.1112 3.7886 3.7884 3.7700 3.7609 3.7555 3.7520 3.7494 3.7432 3.7700
101.1737 3.7674 3.7671 3.7479 3.7383 3.7327 3.7290 3.7262 3.7197 3.7479
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE 3.16 3.16 3.02 2.95 2.92 2.89 2.88 2.84 3.02
LIFE
FIRST PRIN 01/13/2007 01/13/2007 01/13/2007 01/13/2007 01/13/2007 01/13/2007 01/13/2007 01/13/2007 01/13/2007
LAST PRIN 05/13/2009 04/13/2009 11/13/2008 09/13/2008 07/13/2008 06/13/2008 05/13/2008 04/13/2008 11/13/2008
PAYMENT 29 28 23 21 19 18 17 16 23
WINDOW
ACCRUAL 0.3019 0.3019 0.3019 0.3019 0.3019 0.3019 0.3019 0.3019 0.3019
FACTOR
MOD
DURATION @ 2.90 2.90 2.78 2.72 2.69 2.67 2.66 2.62 2.78
100.5487
SPREAD
INTERP. @ 60 60 62 62 63 63 63 63 62
100.5487
TRIGGER OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL
YES YES YES YES YES
PREPAY (!YM) CPR (!YM) CPR (!YM) CPR (!YM) CPR (!YM) CPR
100 100 100 100 100
DEFAULT CDR 0 24 CDR 0 24 CDR 0 24 CDR 0 24 CDR 0 24
2 3 4 5 10
ADVANCES YES YES YES YES YES
RECV MNTH 12 12 12 12 12
RECV DISTR 100 1 100 1 100 1 100 1 100 1
LOSSES 0.35 0.35 0.35 0.35 0.35
----------------------------------------------------------------------------------
PRICE /
YIELD
----------------------------------------------------------------------------------
4.1934 4.1931 4.1929 4.1928 4.1925
4.1705 4.1699 4.1696 4.1693 4.1687
4.1476 4.1467 4.1462 4.1458 4.1449
4.1247 4.1236 4.1229 4.1223 4.1211
4.1018 4.1005 4.0996 4.0989 4.0973
4.0789 4.0773 4.0763 4.0755 4.0736
4.0561 4.0542 4.0530 4.0521 4.0499
4.0333 4.0312 4.0297 4.0287 4.0262
4.0105 4.0081 4.0065 4.0053 4.0025
3.9877 3.9850 3.9833 3.9819 3.9788
3.9649 3.9620 3.9600 3.9586 3.9552
3.9422 3.9390 3.9369 3.9353 3.9315
3.9195 3.9160 3.9137 3.9120 3.9079
3.8968 3.8930 3.8905 3.8887 3.8843
3.8741 3.8701 3.8674 3.8654 3.8608
3.8514 3.8471 3.8443 3.8422 3.8372
3.8287 3.8242 3.8212 3.8190 3.8137
3.8061 3.8013 3.7981 3.7957 3.7902
3.7835 3.7784 3.7750 3.7726 3.7667
3.7609 3.7555 3.7520 3.7494 3.7432
3.7383 3.7327 3.7290 3.7262 3.7197
-----------------------------------------------------------------------------------
AVERAGE 2.95 2.92 2.89 2.88 2.84
LIFE
FIRST PRIN 01/13/2007 01/13/2007 01/13/2007 01/13/2007 01/13/2007
LAST PRIN 09/13/2008 07/13/2008 06/13/2008 05/13/2008 04/13/2008
PAYMENT 21 19 18 17 16
WINDOW
ACCRUAL 0.3019 0.3019 0.3019 0.3019 0.3019
FACTOR
MOD
DURATION @ 2.72 2.69 2.67 2.66 2.62
100.5487
SPREAD
INTERP. @ 62 63 63 63 63
100.5487
Page 1 of 3
--------------------------------------------------------------------------------
This memorandum is based on information generally available to the public from
sources believed to be reliable. No representation is made that it is accurate
or complete. 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. Past performance is not necessarily
indicative of future returns. Price and availability are subject to change
without notice. The foregoing has been prepared solely for informational
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 particular
trading strategy. Xxxxxx Xxxxxxx & Co. Incorporated, Xxxxxx Xxxxxxx & Co.
International Limited, Xxxxxx Xxxxxxx Japan Ltd. and/or their affiliates may
have positions in, and effect transactions in securities and instruments of
issuers mentioned herein and may also provide or seek to provide significant
advice or investment services, including investment banking, for the issuers of
such securities and instruments. Additional information is available upon
request. To Our Readers Worldwide: In addition please note that this publication
has been issued by Xxxxxx Xxxxxxx & Co. Incorporated and approved by Xxxxxx
Xxxxxxx & Co. International Limited, a member of The Securities and Futures
Authority and Xxxxxx Xxxxxxx Japan, Ltd. We recommend that investors obtain the
advice of their Xxxxxx Xxxxxxx & Co. International Limited 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
--------------------------------------------------------------------------------
01/12/2005 19:01:12 CARVE Version 37.0 /u/dsouzad/deal/top17/red/top17.050105.red.carve
MSCI MSCI SERIES 2005-TOP17 **S&P/FITCH CLASS A3
-----------------------------------------------------------------------------------------------------------------------------------
Class A3 Settlement Date 01/27/2005 Coupon 4.37000
Original Balance 56,800,000.00 Dated Date 01/01/2005 Delay 12
Current Balance 56,800,000.00 First Payment Date 02/13/2005 Lead Manager Xxxxxx Xxxxxxx & Co.
Credit Rating AAA Next Payment Date 02/13/2005 Orig Deal Size 980,772,819.43
Market Desc N/A Payment Freq Monthly Num of Tranches 30
Factor 1.00000000 Interest Freq Monthly Deal Age 0
----------------------------------------------------------------
Cusip N/A
Yield Table Date 01/12/2005
Yield Frequency XxxxXxxxxx
Xxxxx Day Count 30/360
TRIGGER OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL
YES YES YES YES YES YES YES YES
PREPAY CPR 0 (!YM) CPR CPR 0 CPR 0 CPR 0 CPR 0 CPR 0 CPR 0 (!YM) CPR
100 100
DEFAULT CDR 0 24 CDR 0 24 CDR 0 24 CDR 0 24 CDR 0 24 CDR 0 24 CDR 0 24
1 2 3 4 5 10 1
ADVANCES YES YES YES YES YES YES YES
RECV MNTH 12 12 12 12 12 12 12
RECV DISTR 100 1 100 1 100 1 100 1 100 1 100 1 100 1
LOSSES 0.35 0.35 0.35 0.35 0.35 0.35 0.35
-----------------------------------------------------------------------------------------------------------------------------------
PRICE/
YIELD
-----------------------------------------------------------------------------------------------------------------------------------
99.9347 4.3909 4.3905 4.3904 4.3898 4.3891 4.3883 4.3875 4.3852 4.3901
99.9972 4.3761 4.3754 4.3753 4.3741 4.3729 4.3714 4.3701 4.3660 4.3746
100.0597 4.3613 4.3603 4.3601 4.3585 4.3566 4.3546 4.3527 4.3468 4.3592
100.1222 4.3466 4.3453 4.3450 4.3429 4.3405 4.3378 4.3353 4.3276 4.3438
100.1847 4.3318 4.3302 4.3298 4.3273 4.3243 4.3210 4.3180 4.3084 4.3284
100.2472 4.3171 4.3152 4.3147 4.3116 4.3081 4.3042 4.3006 4.2892 4.3130
100.3097 4.3023 4.3001 4.2996 4.2961 4.2920 4.2874 4.2833 4.2701 4.2976
100.3722 4.2876 4.2851 4.2845 4.2805 4.2758 4.2706 4.2659 4.2509 4.2823
100.4347 4.2729 4.2701 4.2695 4.2649 4.2597 4.2539 4.2486 4.2318 4.2669
100.4972 4.2582 4.2551 4.2544 4.2493 4.2436 4.2372 4.2313 4.2127 4.2516
100.5597 4.2435 4.2401 4.2393 4.2338 4.2275 4.2204 4.2140 4.1936 4.2362
100.6222 4.2288 4.2251 4.2243 4.2183 4.2114 4.2037 4.1968 4.1745 4.2209
100.6847 4.2142 4.2101 4.2092 4.2027 4.1953 4.1870 4.1795 4.1555 4.2056
100.7472 4.1995 4.1952 4.1942 4.1872 4.1792 4.1703 4.1622 4.1364 4.1903
100.8097 4.1849 4.1802 4.1792 4.1717 4.1631 4.1536 4.1450 4.1174 4.1750
100.8722 4.1702 4.1653 4.1642 4.1562 4.1471 4.1370 4.1278 4.0984 4.1597
100.9347 4.1556 4.1504 4.1492 4.1407 4.1311 4.1203 4.1106 4.0793 4.1445
100.9972 4.1410 4.1355 4.1342 4.1253 4.1150 4.1037 4.0934 4.0603 4.1292
101.0597 4.1264 4.1206 4.1192 4.1098 4.0990 4.0871 4.0762 4.0414 4.1140
101.1222 4.1118 4.1057 4.1043 4.0944 4.0830 4.0704 4.0590 4.0224 4.0987
101.1847 4.0972 4.0908 4.0893 4.0789 4.0670 4.0538 4.0418 4.0034 4.0835
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE 4.77 4.66 4.64 4.48 4.31 4.14 3.99 3.58 4.55
FIRST PRIN 05/13/2009 04/13/2009 11/13/2008 09/13/2008 07/13/2008 06/13/2008 05/13/2008 04/13/2008 11/13/2008
LAST PRIN 12/13/2009 12/13/2009 12/13/2009 12/13/2009 12/13/2009 12/13/2009 08/13/2009 01/13/2009 11/13/2009
PAYMENT 8 9 14 16 18 19 16 10 13
WINDOW
ACCRUAL 0.3156 0.3156 0.3156 0.3156 0.3156 0.3156 0.3156 0.3156 0.3156
FACTOR
MOD DURATION 4.22 4.13 4.12 3.99 3.85 3.71 3.58 3.25 4.04
@ 100.5597
SPREAD
INTERP. @ 58 59 60 62 64 67 69 74 61
100.5597
TRIGGER OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL
YES YES YES YES YES
PREPAY (!YM) CPR (!YM) CPR (!YM) CPR (!YM) CPR (!YM) CPR
100 100 100 100 100
DEFAULT CDR 0 24 CDR 0 24 CDR 0 24 CDR 0 24 CDR 0 24
2 3 4 5 10
ADVANCES YES YES YES YES YES
RECV MNTH 12 12 12 12 12
RECV DISTR 100 1 100 1 100 1 100 1 100 1
LOSSES 0.35 0.35 0.35 0.35 0.35
-----------------------------------------------------------------------------------------
PRICE/
YIELD
----------------------------------------------------------------------------------------
4.3895 4.3888 4.3881 4.3875 4.3852
4.3736 4.3724 4.3712 4.3700 4.3660
4.3577 4.3560 4.3543 4.3526 4.3468
4.3418 4.3396 4.3374 4.3352 4.3276
4.3260 4.3232 4.3205 4.3178 4.3084
4.3101 4.3069 4.3036 4.3004 4.2892
4.2943 4.2905 4.2867 4.2830 4.2701
4.2785 4.2742 4.2699 4.2656 4.2509
4.2627 4.2578 4.2530 4.2483 4.2318
4.2469 4.2415 4.2362 4.2309 4.2127
4.2311 4.2252 4.2194 4.2136 4.1936
4.2153 4.2089 4.2026 4.1963 4.1745
4.1996 4.1926 4.1858 4.1790 4.1555
4.1838 4.1764 4.1690 4.1617 4.1364
4.1681 4.1601 4.1522 4.1444 4.1174
4.1524 4.1438 4.1355 4.1271 4.0984
4.1366 4.1276 4.1187 4.1099 4.0793
4.1209 4.1114 4.1020 4.0926 4.0603
4.1052 4.0952 4.0853 4.0754 4.0414
4.0896 4.0790 4.0686 4.0582 4.0224
4.0739 4.0628 4.0519 4.0410 4.0034
-----------------------------------------------------------------------------------------
AVERAGE LIFE 4.41 4.25 4.11 3.98 3.58
FIRST PRIN 09/13/2008 07/13/2008 06/13/2008 05/13/2008 04/13/2008
LAST PRIN 11/13/2009 11/13/2009 09/13/2009 08/13/2009 01/13/2009
PAYMENT 15 17 16 16 10
WINDOW
ACCRUAL 0.3156 0.3156 0.3156 0.3156 0.3156
FACTOR
MOD DURATION 3.93 3.80 3.68 3.58 3.25
@ 100.5597
SPREAD
INTERP. @ 63 65 67 69 74
100.5597
Page 2 of 3
--------------------------------------------------------------------------------
This memorandum is based on information generally available to the public from
sources believed to be reliable. No representation is made that it is accurate
or complete. 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. Past performance is not necessarily
indicative of future returns. Price and availability are subject to change
without notice. The foregoing has been prepared solely for informational
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 particular
trading strategy. Xxxxxx Xxxxxxx & Co. Incorporated, Xxxxxx Xxxxxxx & Co.
International Limited, Xxxxxx Xxxxxxx Japan Ltd. and/or their affiliates may
have positions in, and effect transactions in securities and instruments of
issuers mentioned herein and may also provide or seek to provide significant
advice or investment services, including investment banking, for the issuers of
such securities and instruments. Additional information is available upon
request. To Our Readers Worldwide: In addition please note that this publication
has been issued by Xxxxxx Xxxxxxx & Co. Incorporated and approved by Xxxxxx
Xxxxxxx & Co. International Limited, a member of The Securities and Futures
Authority and Xxxxxx Xxxxxxx Japan, Ltd. We recommend that investors obtain the
advice of their Xxxxxx Xxxxxxx & Co. International Limited 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
--------------------------------------------------------------------------------
01/12/2005 19:01:12 CARVE Version 37.0 /u/dsouzad/deal/top17/red/top17.050105.red.carve
MSCI MSCI SERIES 2005-TOP17 **S&P/FITCH CLASS A4
--------------------------------------------------------------------------------------------------------------------------------
Class A3 Settlement Date 01/27/2005 Coupon 4.37000
Original Balance 85,600,000.00 Dated Date 01/01/2005 Delay 12
Current Balance 85,600,000.00 First Payment Date 02/13/2005 Lead Manager Xxxxxx Xxxxxxx & Co.
Credit Rating AAA Next Payment Date 02/13/2005 Orig Deal Size 980,772,819.43
Market Desc N/A Payment Freq Monthly Num of Tranches 30
Factor 1.00000000 Interest Freq Monthly Deal Age 0
------------------------------------------------------------
Cusip N/A
Yield Table Date 01/12/2005
Yield Frequency XxxxXxxxxx
Xxxxx Day Count 30/360
TRIGGER OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL
YES YES YES YES YES YES YES YES
PREPAY CPR 0 (!YM) CPR CPR 0 CPR 0 CPR 0 CPR 0 CPR 0 CPR 0 (!YM) CPR
100 100
DEFAULT CDR 0 24 CDR 0 24 CDR 0 24 CDR 0 24 CDR 0 24 CDR 0 24 CDR 0 24
1 2 3 4 5 10 1
ADVANCES YES YES YES YES YES YES YES
RECV MNTH 12 12 12 12 12 12 12
RECV DISTR 100 1 100 1 100 1 100 1 100 1 100 1 100 1
LOSSES 0.35 0.35 0.35 0.35 0.35 0.35 0.35
--------------------------------------------------------------------------------------------------------------------------------
PRICE /
YIELD
--------------------------------------------------------------------------------------------------------------------------------
99.9001 4.6753 4.6752 4.6748 4.6743 4.6738 4.6733 4.6728 4.6714 4.6748
99.9626 4.6641 4.6640 4.6631 4.6621 4.6610 4.6599 4.6589 4.6557 4.6630
100.0251 4.6530 4.6528 4.6514 4.6499 4.6482 4.6465 4.6450 4.6402 4.6513
100.0876 4.6418 4.6416 4.6398 4.6377 4.6354 4.6332 4.6311 4.6246 4.6396
100.1501 4.6307 4.6304 4.6281 4.6255 4.6227 4.6198 4.6172 4.6090 4.6279
100.2126 4.6196 4.6193 4.6165 4.6133 4.6099 4.6065 4.6033 4.5934 4.6162
100.2751 4.6085 4.6081 4.6048 4.6011 4.5972 4.5931 4.5894 4.5779 4.6045
100.3376 4.5974 4.5969 4.5932 4.5890 4.5844 4.5798 4.5755 4.5624 4.5928
100.4001 4.5863 4.5858 4.5816 4.5768 4.5717 4.5665 4.5616 4.5468 4.5811
100.4626 4.5752 4.5746 4.5700 4.5647 4.5590 4.5532 4.5478 4.5313 4.5695
100.5251 4.5641 4.5635 4.5584 4.5525 4.5462 4.5399 4.5339 4.5158 4.5578
100.5876 4.5530 4.5524 4.5468 4.5404 4.5335 4.5266 4.5201 4.5003 4.5462
100.6501 4.5420 4.5413 4.5352 4.5283 4.5208 4.5133 4.5063 4.4848 4.5345
100.7126 4.5309 4.5302 4.5236 4.5162 4.5082 4.5000 4.4925 4.4694 4.5229
100.7751 4.5199 4.5191 4.5120 4.5041 4.4955 4.4868 4.4787 4.4539 4.5113
100.8376 4.5088 4.5080 4.5005 4.4920 4.4828 4.4735 4.4649 4.4385 4.4997
100.9001 4.4978 4.4969 4.4889 4.4799 4.4702 4.4603 4.4511 4.4230 4.4881
100.9626 4.4868 4.4858 4.4774 4.4678 4.4575 4.4471 4.4373 4.4076 4.4765
101.0251 4.4758 4.4747 4.4658 4.4557 4.4449 4.4339 4.4236 4.3922 4.4649
101.0876 4.4648 4.4637 4.4543 4.4437 4.4322 4.4206 4.4098 4.3768 4.4533
101.1501 4.4538 4.4526 4.4428 4.4316 4.4196 4.4074 4.3961 4.3614 4.4417
--------------------------------------------------------------------------------------------------------------------------------
AVERAGE 6.64 6.61 6.30 5.99 5.68 5.39 5.15 4.53 6.27
LIFE
FIRST PRIN 05/13/2011 04/13/2011 12/13/2009 12/13/2009 12/13/2009 12/13/2009 08/13/2009 01/13/2009 11/13/2009
LAST PRIN 01/13/2012 01/13/2012 10/13/2011 10/13/2011 10/13/2011 07/13/2011 05/13/2011 12/13/2009 10/13/2011
PAYMENT 9 10 23 23 23 20 22 12 24
WINDOW
ACCRUAL 0.3351 0.3351 0.3351 0.3351 0.3351 0.3351 0.3351 0.3351 0.3351
FACTOR
MOD 5.59 5.57 5.34 5.11 4.88 4.66 4.48 4.00 5.32
DURATION @
100.5251
SPREAD 67 67 70 73 76 79 81 89 71
INTERP. @
100.5251
TRIGGER OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL
YES YES YES YES YES
PREPAY (!YM) CPR (!YM) CPR (!YM) CPR (!YM) CPR (!YM) CPR
100 100 100 100 100
DEFAULT CDR 0 24 CDR 0 24 CDR 0 24 CDR 0 24 CDR 0 24
2 3 4 5 10
ADVANCES YES YES YES YES YES
RECV MNTH 12 12 12 12 12
RECV DISTR 100 1 100 1 100 1 100 1 100 1
LOSSES 0.35 0.35 0.35 0.35 0.35
--------------------------------------------------------------------------------------
PRICE /
YIELD
--------------------------------------------------------------------------------------
4.6743 4.6737 4.6732 4.6727 4.6712
4.6620 4.6608 4.6597 4.6586 4.6555
4.6497 4.6479 4.6461 4.6445 4.6397
4.6374 4.6351 4.6326 4.6305 4.6240
4.6251 4.6222 4.6192 4.6164 4.6083
4.6129 4.6093 4.6057 4.6024 4.5926
4.6006 4.5965 4.5922 4.5884 4.5769
4.5884 4.5836 4.5787 4.5743 4.5612
4.5762 4.5708 4.5653 4.5603 4.5455
4.5640 4.5580 4.5518 4.5463 4.5298
4.5517 4.5452 4.5384 4.5324 4.5142
4.5395 4.5324 4.5250 4.5184 4.4985
4.5273 4.5196 4.5116 4.5044 4.4829
4.5152 4.5068 4.4982 4.4905 4.4673
4.5030 4.4940 4.4848 4.4765 4.4517
4.4908 4.4813 4.4714 4.4626 4.4361
4.4787 4.4685 4.4580 4.4487 4.4205
4.4665 4.4558 4.4447 4.4347 4.4049
4.4544 4.4430 4.4313 4.4208 4.3894
4.4422 4.4303 4.4180 4.4069 4.3738
4.4301 4.4176 4.4046 4.3931 4.3583
--------------------------------------------------------------------------------------
AVERAGE 5.95 5.63 5.33 5.09 4.48
LIFE
FIRST PRIN 11/13/2009 11/13/2009 09/13/2009 08/13/2009 01/13/2009
LAST PRIN 10/13/2011 10/13/2011 07/13/2011 04/13/2011 11/13/2009
PAYMENT 24 24 23 21 11
WINDOW
ACCRUAL 0.3351 0.3351 0.3351 0.3351 0.3351
FACTOR
MOD 5.08 4.84 4.61 4.43 3.96
DURATION @
100.5251
SPREAD 74 77 79 82 90
INTERP. @
100.5251
Page 3 of 3
--------------------------------------------------------------------------------
This memorandum is based on information generally available to the public from
sources believed to be reliable. No representation is made that it is accurate
or complete. 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. Past performance is not necessarily
indicative of future returns. Price and availability are subject to change
without notice. The foregoing has been prepared solely for informational
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 particular
trading strategy. Xxxxxx Xxxxxxx & Co. Incorporated, Xxxxxx Xxxxxxx & Co.
International Limited, Xxxxxx Xxxxxxx Japan Ltd. and/or their affiliates may
have positions in, and effect transactions in securities and instruments of
issuers mentioned herein and may also provide or seek to provide significant
advice or investment services, including investment banking, for the issuers of
such securities and instruments. Additional information is available upon
request. To Our Readers Worldwide: In addition please note that this publication
has been issued by Xxxxxx Xxxxxxx & Co. Incorporated and approved by Xxxxxx
Xxxxxxx & Co. International Limited, a member of The Securities and Futures
Authority and Xxxxxx Xxxxxxx Japan, Ltd. We recommend that investors obtain the
advice of their Xxxxxx Xxxxxxx & Co. International Limited 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
--------------------------------------------------------------------------------
01/14/2005 10:54:53 CARVE Version 37.0 /u/dsouzad/deal/top17/red/top17.050105.red.carve
MSCI MSCI SERIES 2005-TOP17 **S&P/FITCH CLASS A3
-------------------------------------------------------------------------------------------------------------------------
Class A3 Settlement Date 01/27/2005 Coupon 4.37000
Original Balance 56,800,000.00 Dated Date 01/01/2005 Delay 12
Current Balance 56,800,000.00 First Payment Date 02/13/2005 Lead Manager Xxxxxx Xxxxxxx & Co.
Credit Rating AAA Next Payment Date 02/13/2005 Orig Deal Size 980,772,819.43
Market Desc N/A Payment Freq Monthly Num of Tranches 30
Factor 1.00000000 Interest Freq Monthly Deal Age 0
---------------------------------------------------------------------------------
Cusip N/A
Yield Table Date 01/14/2005
Yield Frequency XxxxXxxxxx
Xxxxx Day Count 30/360
0 DEF_12_18_24 DEF_18_24 DEF_18_24_50 DEF_24 DEF_56
---------------------------------------------------------------------------------------------
PRICE / YIELD
---------------------------------------------------------------------------------------------
98/00 4.8542 5.2927 4.8757 4.8850 4.8564 4.8593
98/08 4.7937 5.1722 4.8123 4.8203 4.7956 4.7982
98/16 4.7334 5.0521 4.7491 4.7558 4.7350 4.7372
98/24 4.6733 4.9325 4.6860 4.6915 4.6746 4.6764
99/00 4.6134 4.8134 4.6232 4.6274 4.6144 4.6157
99/08 4.5536 4.6948 4.5606 4.5635 4.5543 4.5553
99/16 4.4941 4.5766 4.4981 4.4998 4.4945 4.4950
99/24 4.4347 4.4589 4.4359 4.4364 4.4348 4.4350
100/00 4.3755 4.3416 4.3738 4.3731 4.3753 4.3751
100/08 4.3164 4.2248 4.3119 4.3100 4.3160 4.3153
100/16 4.2575 4.1085 4.2503 4.2471 4.2568 4.2558
100/24 4.1988 3.9926 4.1888 4.1845 4.1978 4.1964
101/00 4.1403 3.8771 4.1275 4.1220 4.1390 4.1372
101/08 4.0820 3.7621 4.0664 4.0597 4.0804 4.0782
101/16 4.0238 3.6476 4.0054 3.9976 4.0220 4.0193
101/24 3.9658 3.5334 3.9447 3.9357 3.9637 3.9606
102/00 3.9079 3.4197 3.8841 3.8740 3.9056 3.9021
102/08 3.8502 3.3065 3.8238 3.8125 3.8476 3.8438
102/16 3.7927 3.1936 3.7636 3.7512 3.7898 3.7856
102/24 3.7354 3.0812 3.7036 3.6900 3.7322 3.7276
103/00 3.6782 2.9692 3.6437 3.6291 3.6748 3.6698
------------------ ----------- ------------- ---------- ------------- ----------- ----------
AVERAGE LIFE 4.77 2.32 4.55 4.47 4.75 4.71
FIRST PRIN 05/13/2009 02/13/2006 07/13/2007 01/13/2007 09/13/2008 12/13/2008
LAST PRIN 12/13/2009 05/13/2009 05/13/2011 05/13/2011 05/13/2011 12/13/2009
PAYMENT WINDOW 8 40 47 53 33 13
ACCRUAL FACTOR 0.3156 0.3156 0.3156 0.3156 0.3156 0.3156
MOD DURATION @
100/16 4.22 2.14 4.03 3.95 4.20 4.17
CUM WRITEDOWN 0.00 0.00 0.00 0.00 0.00 0.00
Page 1 of 2
--------------------------------------------------------------------------------
This memorandum is based on information generally available to the public from
sources believed to be reliable. No representation is made that it is accurate
or complete. 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. Past performance is not necessarily
indicative of future returns. Price and availability are subject to change
without notice. The foregoing has been prepared solely for informational
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 particular
trading strategy. Xxxxxx Xxxxxxx & Co. Incorporated, Xxxxxx Xxxxxxx & Co.
International Limited, Xxxxxx Xxxxxxx Japan Ltd. and/or their affiliates may
have positions in, and effect transactions in securities and instruments of
issuers mentioned herein and may also provide or seek to provide significant
advice or investment services, including investment banking, for the issuers of
such securities and instruments. Additional information is available upon
request. To Our Readers Worldwide: In addition please note that this publication
has been issued by Xxxxxx Xxxxxxx & Co. Incorporated and approved by Xxxxxx
Xxxxxxx & Co. International Limited, a member of The Securities and Futures
Authority and Xxxxxx Xxxxxxx Japan, Ltd. We recommend that investors obtain the
advice of their Xxxxxx Xxxxxxx & Co. International Limited 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
--------------------------------------------------------------------------------
01/14/2005 10:54:53 CARVE Version 37.0 /u/dsouzad/deal/top17/red/top17.050105.red.carv
MSCI MSCI SERIES 2005-TOP17 **S&P/FITCH CLASS A4
--------------------------------------------------------------------------------------
Class A4 Settlement Date 01/27/2005
Original Balance 85,600,000.00 Dated Date 01/01/2005
Current Balance 85,600,000.00 First Payment Date 02/13/2005
Credit Rating AAA Next Payment Date 02/13/2005
Market Desc N/A Payment Freq Monthly
Factor 1.00000000 Interest Freq Monthly
-------------------------------------------------------------------------------------------
Coupon 4.64000 Cusip N/A
Delay 12 Yield Table Date 01/14/2005
Lead Manager Xxxxxx Xxxxxxx & Co. Yield Frequency XxxxXxxxxx
Xxxx Deal Size 980,772,819.43 Yield Day Count 30/360
Num of Tranches 30
Deal Age 0
0 DEF_12_18_24 DEF_18_24 DEF_18_24_50 DEF_24 DEF_56
--------------------------------------------------------------------------------------------
PRICE / YIELD
--------------------------------------------------------------------------------------------
98/00 5.0184 5.0080 5.0048 5.0014 5.0128 5.0182
98/08 4.9728 4.9638 4.9611 4.9581 4.9679 4.9726
98/16 4.9273 4.9197 4.9175 4.9150 4.9232 4.9272
98/24 4.8820 4.8758 4.8740 4.8719 4.8787 4.8819
99/00 4.8368 4.8320 4.8306 4.8291 4.8343 4.8367
99/08 4.7918 4.7884 4.7874 4.7863 4.7900 4.7917
99/16 4.7469 4.7449 4.7443 4.7437 4.7458 4.7468
99/24 4.7021 4.7016 4.7014 4.7012 4.7018 4.7021
100/00 4.6574 4.6583 4.6586 4.6589 4.6579 4.6575
100/08 4.6129 4.6152 4.6159 4.6166 4.6142 4.6130
100/16 4.5686 4.5723 4.5733 4.5745 4.5705 4.5686
100/24 4.5243 4.5295 4.5309 4.5325 4.5270 4.5244
101/00 4.4802 4.4868 4.4886 4.4907 4.4837 4.4803
101/08 4.4362 4.4442 4.4464 4.4490 4.4404 4.4363
101/16 4.3923 4.4018 4.4043 4.4074 4.3973 4.3925
101/24 4.3486 4.3595 4.3624 4.3659 4.3543 4.3488
102/00 4.3050 4.3173 4.3206 4.3245 4.3114 4.3052
102/08 4.2615 4.2753 4.2789 4.2833 4.2687 4.2618
102/16 4.2182 4.2334 4.2373 4.2422 4.2261 4.2185
102/24 4.1749 4.1916 4.1959 4.2012 4.1836 4.1753
103/00 4.1318 4.1500 4.1545 4.1603 4.1412 4.1322
-------------------------------------------------------------------------------------------
AVERAGE LIFE 6.64 6.97 6.99 7.09 6.78 6.66
FIRST PRIN 05/13/2011 05/13/2009 05/13/2011 05/13/2011 05/13/2011 12/13/2009
LAST PRIN 01/13/2012 06/13/2014 06/13/2014 06/13/2014 06/13/2014 06/13/2014
PAYMENT WINDOW 9 62 38 38 38 55
ACCRUAL FACTOR 0.3351 0.3351 0.3351 0.3351 0.3351 0.3351
MOD DURATION @
100/16 5.59 5.78 5.83 5.90 5.69 5.60
CUM WRITEDOWN 0.00 0.00 0.00 0.00 0.00 0.00
Page 2 of 2
--------------------------------------------------------------------------------
This memorandum is based on information generally available to the public from
sources believed to be reliable. No representation is made that it is accurate
or complete. 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. Past performance is not necessarily
indicative of future returns. Price and availability are subject to change
without notice. The foregoing has been prepared solely for informational
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 particular
trading strategy. Xxxxxx Xxxxxxx & Co. Incorporated, Xxxxxx Xxxxxxx & Co.
International Limited, Xxxxxx Xxxxxxx Japan Ltd. and/or their affiliates may
have positions in, and effect transactions in securities and instruments of
issuers mentioned herein and may also provide or seek to provide significant
advice or investment services, including investment banking, for the issuers of
such securities and instruments. Additional information is available upon
request. To Our Readers Worldwide: In addition please note that this publication
has been issued by Xxxxxx Xxxxxxx & Co. Incorporated and approved by Xxxxxx
Xxxxxxx & Co. International Limited, a member of The Securities and Futures
Authority and Xxxxxx Xxxxxxx Japan, Ltd. We recommend that investors obtain the
advice of their Xxxxxx Xxxxxxx & Co. International Limited 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
--------------------------------------------------------------------------------
01/13/2005 17:13:04 CARVE Version 37.0 /u/dsouzad/deal/top17/red/top17.050105.red.carve
MSDWCI MSDWCI SERIES 2005-TOP17 **S&P/FITCH CLASS A2
-------------------------------------------------------------------------------------
Class A2 Settlement Date 01/27/2005
Original Balance 23,000,000.00 Dated Date 01/01/2005
Current Balance 23,000,000.00 First Payment Date 02/13/2005
Credit Rating AAA Next Payment Date 02/13/2005
Market Desc N/A Payment Freq Monthly
Factor 1.00000000 Interest Freq Monthly
---------------- ----------------------------------------------------------
Coupon 4.18000 Cusip N/A
Delay 12 Yield Table Date 01/13/2005
Lead Manager Xxxxxx Xxxxxxx & Co. Yield Frequency XxxxXxxxxx
Xxxx Deal Size 980,772,819.43 Yield Day Count 30/360
Num of Tranches 30
Deal Age 0
OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL
TRIGGER YES YES YES YES YES YES
PREPAY CPR 0 CPR 0 CPR 0 CPR 0 CPR 0 CPR 0 CPR 0
DEFAULT CDR 1 CDR 2 CDR 3 CDR 4 CDR 5 CDR 10
ADVANCES YES YES YES YES YES YES
RECV MNTH 24 24 24 24 24 24
RECV DISTR 100 1 100 1 100 1 100 1 100 1 100 1
LOSSES 0.35 0.35 0.35 0.35 0.35 0.35
---------------------------------------------------------------------------------------------------------
PRICE
/YIELD
---------------------------------------------------------------------------------------------------------
98/00 4.8659 4.9642 5.0207 5.0572 5.0828 5.1009 5.1484
98/08 4.7777 4.8627 4.9115 4.9431 4.9652 4.9809 5.0218
98/16 4.6899 4.7615 4.8027 4.8293 4.8480 4.8612 4.8957
98/24 4.6023 4.6607 4.6943 4.7159 4.7311 4.7419 4.7701
99/00 4.5150 4.5602 4.5861 4.6029 4.6146 4.6230 4.6448
99/08 4.4279 4.4600 4.4784 4.4902 4.4985 4.5045 4.5199
99/16 4.3412 4.3601 4.3709 4.3779 4.3828 4.3863 4.3954
99/24 4.2547 4.2605 4.2638 4.2660 4.2675 4.2685 4.2713
100/00 4.1685 4.1612 4.1570 4.1543 4.1525 4.1511 4.1476
100/08 4.0826 4.0623 4.0506 4.0431 4.0378 4.0341 4.0243
100/16 3.9969 3.9636 3.9445 3.9322 3.9235 3.9174 3.9014
100/24 3.9115 3.8653 3.8387 3.8216 3.8096 3.8011 3.7789
101/00 3.8264 3.7673 3.7333 3.7114 3.6960 3.6851 3.6567
101/08 3.7415 3.6695 3.6282 3.6015 3.5828 3.5696 3.5350
101/16 3.6569 3.5721 3.5234 3.4920 3.4700 3.4543 3.4136
101/24 3.5725 3.4750 3.4189 3.3828 3.3575 3.3395 3.2926
102/00 3.4884 3.3781 3.3148 3.2739 3.2453 3.2250 3.1720
102/08 3.4046 3.2816 3.2110 3.1654 3.1335 3.1108 3.0517
102/16 3.3210 3.1854 3.1075 3.0572 3.0220 2.9970 2.9318
102/24 3.2377 3.0894 3.0043 2.9493 2.9109 2.8836 2.8123
103/00 3.1546 2.9938 2.9014 2.8418 2.8001 2.7705 2.6932
---------------------------------------------------------------------------------------------------------
AVERAGE 3.16 2.72 2.52 2.40 2.33 2.28 2.15
LIFE
FIRST PRIN 01/13/2007 01/13/2007 01/13/2007 01/13/2007 01/13/2007 01/13/2007 01/13/2007
LAST PRIN 05/13/2009 07/13/2008 02/13/2008 11/13/2007 09/13/2007 08/13/2007 05/13/2007
PAYMENT
WINDOW 29 19 14 11 9 8 5
ACCRUAL
FACTOR 0.3019 0.3019 0.3019 0.3019 0.3019 0.3019 0.3019
MOD
DURATION @
100/16 2.90 2.52 2.34 2.24 2.17 2.13 2.02
CUM
WRITEDOWN 0.00 0.00 0.00 0.00 0.00 0.00 0.00
OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL
TRIGGER YES YES YES YES YES YES YES
PREPAY (!YM) CPR (!YM) CPR (!YM) CPR (!YM) CPR (!YM) CPR (!YM) CPR (!YM) CPR
100 100 100 100 100 100 100
DEFAULT CDR 1 CDR 2 CDR 3 CDR 4 CDR 5 CDR 10
ADVANCES YES YES YES YES YES YES
RECV MNTH 24 24 24 24 24 24
RECV DISTR 100 1 100 1 100 1 100 1 100 1 100 1
LOSSES 0.35 0.35 0.35 0.35 0.35 0.35
---------------------------------------------------------------------------------------------------------------------
PRICE/
YIELD
---------------------------------------------------------------------------------------------------------------------
4.8662 4.9642 5.0207 5.0572 5.0828 5.1009 5.1484
4.7780 4.8627 4.9115 4.9431 4.9652 4.9809 5.0218
4.6901 4.7615 4.8027 4.8293 4.8480 4.8612 4.8957
4.6025 4.6607 4.6943 4.7159 4.7311 4.7419 4.7701
4.5151 4.5602 4.5861 4.6029 4.6146 4.6230 4.6448
4.4280 4.4600 4.4784 4.4902 4.4985 4.5045 4.5199
4.3413 4.3601 4.3709 4.3779 4.3828 4.3863 4.3954
4.2547 4.2605 4.2638 4.2660 4.2675 4.2685 4.2713
4.1685 4.1612 4.1570 4.1543 4.1525 4.1511 4.1476
4.0825 4.0623 4.0506 4.0431 4.0378 4.0341 4.0243
3.9968 3.9636 3.9445 3.9322 3.9235 3.9174 3.9014
3.9113 3.8653 3.8387 3.8216 3.8096 3.8011 3.7789
3.8262 3.7673 3.7333 3.7114 3.6960 3.6851 3.6567
3.7413 3.6695 3.6282 3.6015 3.5828 3.5696 3.5350
3.6566 3.5721 3.5234 3.4920 3.4700 3.4543 3.4136
3.5722 3.4750 3.4189 3.3828 3.3575 3.3395 3.2926
3.4881 3.3781 3.3148 3.2739 3.2453 3.2250 3.1720
3.4042 3.2816 3.2110 3.1654 3.1335 3.1108 3.0517
3.3206 3.1854 3.1075 3.0572 3.0220 2.9970 2.9318
3.2372 3.0894 3.0043 2.9493 2.9109 2.8836 2.8123
3.1541 2.9938 2.9014 2.8418 2.8001 2.7705 2.6932
---------------------------------------------------------------------------------------------------------------------
AVERAGE 3.16 2.72 2.52 2.40 2.33 2.28 2.15
LIFE
FIRST PRIN 01/13/2007 01/13/2007 01/13/2007 01/13/2007 01/13/2007 01/13/2007 01/13/2007
LAST PRIN 04/13/2009 07/13/2008 02/13/2008 11/13/2007 09/13/2007 08/13/2007 05/13/2007
PAYMENT
WINDOW 28 19 14 11 9 8 5
ACCRUAL
FACTOR 0.3019 0.3019 0.3019 0.3019 0.3019 0.3019 0.3019
MOD
DURATION @
100/16 2.90 2.52 2.34 2.24 2.17 2.13 2.02
CUM
WRITEDOWN 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Page 1 of 3
--------------------------------------------------------------------------------
This memorandum is based on information generally available to the public from
sources believed to be reliable. No representation is made that it is accurate
or complete. 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. Past performance is not necessarily
indicative of future returns. Price and availability are subject to change
without notice. The foregoing has been prepared solely for informational
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 particular
trading strategy. Xxxxxx Xxxxxxx & Co. Incorporated, Xxxxxx Xxxxxxx & Co.
International Limited, Xxxxxx Xxxxxxx Japan Ltd. and/or their affiliates may
have positions in, and effect transactions in securities and instruments of
issuers mentioned herein and may also provide or seek to provide significant
advice or investment services, including investment banking, for the issuers of
such securities and instruments. Additional information is available upon
request. To Our Readers Worldwide: In addition please note that this publication
has been issued by Xxxxxx Xxxxxxx & Co. Incorporated and approved by Xxxxxx
Xxxxxxx & Co. International Limited, a member of The Securities and Futures
Authority and Xxxxxx Xxxxxxx Japan, Ltd. We recommend that investors obtain the
advice of their Xxxxxx Xxxxxxx & Co. International Limited 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
--------------------------------------------------------------------------------
01/13/2005 17:13:04 CARVE Version 37.0 /w/dsouzad/deal/top17/red/to 17.050105.red.carve
MSCI MSCI SERIES 2005-TOP17 **S&P/FITCH CLASS A3
-------------------------------------------------------------------------------------
Class A3 Settlement Date 01/27/2005
Original Balance 56,800,000.00 Dated Date 01/01/2005
Current Balance 56,800,000.00 First Payment Date 02/13/2005
Credit Rating AAA Next Payment Date 02/13/2005
Market Desc N/A Payment Freq Monthly
Factor 1.00000000 Interest Freq Monthly
---------------------------------------------------------------------------------------------
Coupon 4.37000 Cusip N/A
Delay 12 Yield Table Date 01/13/2005
Lead Manager Xxxxxx Xxxxxxx & Co. Yield Frequency XxxxXxxxxx
Xxxx Deal Size 980,772,819.43 Yield Day Count 30/360
Num of Tranches 24
Deal Age 0
OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL
TRIGGER YES YES YES YES YES YES
PREPAY CPR 0 CPR 0 CPR 0 CPR 0 CPR 0 CPR 0 CPR 0
DEFAULT CDR 1 CDR 2 CDR 3 CDR 4 CDR 5 CDR 10
ADVANCES YES YES YES YES YES YES
RECV MNTH 24 24 24 24 24 24
RECV DISTR 100 1 100 1 100 1 100 1 100 1 100 1
LOSSES 0.35 0.35 0.35 0.35 0.35 0.35
--------------------------------------------------------------------------------------------------------------
PRICE
/YIELD
--------------------------------------------------------------------------------------------------------------
98/00 4.8542 4.8773 4.9134 4.9581 4.9974 5.0355 5.1575
98/08 4.7937 4.8137 4.8448 4.8834 4.9174 4.9503 5.0557
98/16 4.7334 4.7502 4.7765 4.8090 4.8377 4.8654 4.9542
98/24 4.6733 4.6870 4.7084 4.7349 4.7582 4.7807 4.8531
99/00 4.6134 4.6240 4.6405 4.6609 4.6789 4.6964 4.7522
99/08 4.5536 4.5611 4.5728 4.5872 4.5999 4.6122 4.6517
99/16 4.4941 4.4984 4.5053 4.5137 4.5211 4.5284 4.5514
99/24 4.4347 4.4360 4.4380 4.4404 4.4426 4.4447 4.4515
100/00 4.3755 4.3737 4.3709 4.3674 4.3643 4.3614 4.3519
100/08 4.3164 4.3116 4.3040 4.2946 4.2863 4.2783 4.2526
100/16 4.2575 4.2496 4.2373 4.2220 4.2085 4.1954 4.1536
100/24 4.1988 4.1879 4.1708 4.1496 4.1309 4.1128 4.0549
101/00 4.1403 4.1263 4.1045 4.0774 4.0536 4.0305 3.9566
101/08 4.0820 4.0650 4.0384 4.0055 3.9765 3.9484 3.8585
101/16 4.0238 4.0038 3.9725 3.9337 3.8996 3.8665 3.7607
101/24 3.9658 3.9428 3.9068 3.8622 3.8230 3.7849 3.6632
102/00 3.9079 3.8819 3.8413 3.7909 3.7466 3.7036 3.5660
102/08 3.8502 3.8213 3.7760 3.7198 3.6704 3.6225 3.4691
102/16 3.7927 3.7608 3.7109 3.6489 3.5944 3.5416 3.3725
102/24 3.7354 3.7005 3.6460 3.5782 3.5187 3.4610 3.2762
103/00 3.6782 3.6404 3.5812 3.5077 3.4432 3.3806 3.1802
--------------------------------------------------------------------------------------------------------------
AVERAGE 4.77 4.51 4.16 3.79 3.52 3.29 2.72
LIFE
FIRST PRIN 05/13/2009 07/13/2008 02/13/2008 11/13/2007 09/13/2007 08/13/2007 05/13/2007
LAST PRIN 12/13/2009 12/13/2009 12/13/2009 09/13/2009 05/13/2009 02/13/2009 03/13/2008
PAYMENT
WINDOW 8 18 23 23 21 19 11
ACCRUAL
FACTOR 0.3156 0.3156 0.3156 0.3156 0.3156 0.3156 0.3156
MOD
DURATION @
100/16 4.22 4.01 3.72 3.42 3.19 3.00 2.51
CUM
WRITEDOWN 0.00 0.00 0.00 0.00 0.00 0.00 0.00
OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL
TRIGGER YES YES YES YES YES YES YES
PREPAY (!YM) CPR 100 (!YM) CPR 100 (!YM) CPR 100 (!YM) CPR 100 (!YM) CPR 100 (!YM) CPR 100 (!YM) CPR 100
DEFAULT CDR 1 CDR 2 CDR 3 CDR 4 CDR 5 CDR 10
ADVANCES YES YES YES YES YES YES
RECV MNTH 24 24 24 24 24 24
RECV DISTR 100 1 100 1 100 1 100 1 100 1 100 1
LOSSES 0.35 0.35 0.35 0.35 0.35 0.35
---------------------------------------------------------------------------------------------------------------------
PRICE/
YIELD
---------------------------------------------------------------------------------------------------------------------
4.8633 4.8851 4.9197 4.9594 4.9983 5.0355 5.1575
4.8016 4.8204 4.8503 4.8846 4.9182 4.9503 5.0557
4.7401 4.7559 4.7811 4.8100 4.8384 4.8654 4.9542
4.6787 4.6916 4.7121 4.7357 4.7587 4.7807 4.8531
4.6176 4.6275 4.6433 4.6615 4.6794 4.6964 4.7522
4.5566 4.5636 4.5748 4.5876 4.6002 4.6122 4.6517
4.4958 4.4999 4.5064 4.5140 4.5213 4.5284 4.5514
4.4352 4.4364 4.4383 4.4405 4.4427 4.4447 4.4515
4.3747 4.3731 4.3704 4.3673 4.3643 4.3614 4.3519
4.3145 4.3099 4.3026 4.2943 4.2861 4.2783 4.2526
4.2544 4.2470 4.2351 4.2215 4.2082 4.1954 4.1536
4.1945 4.1842 4.1678 4.1490 4.1305 4.1128 4.0549
4.1348 4.1216 4.1007 4.0766 4.0530 4.0305 3.9566
4.0752 4.0592 4.0337 4.0045 3.9758 3.9484 3.8585
4.0159 3.9970 3.9670 3.9326 3.8988 3.8665 3.7607
3.9567 3.9349 3.9005 3.8609 3.8220 3.7849 3.6632
3.8976 3.8731 3.8342 3.7894 3.7455 3.7036 3.5660
3.8388 3.8114 3.7680 3.7181 3.6692 3.6225 3.4691
3.7801 3.7499 3.7021 3.6471 3.5931 3.5416 3.3725
3.7216 3.6886 3.6363 3.5762 3.5172 3.4610 3.2762
3.6632 3.6274 3.5708 3.5056 3.4416 3.3806 3.1802
---------------------------------------------------------------------------------------------------------------------
AVERAGE 4.66 4.43 4.10 3.78 3.51 3.29 2.72
LIFE
FIRST PRIN 04/13/2009 07/13/2008 02/13/2008 11/13/2007 09/13/2007 08/13/2007 05/13/2007
LAST PRIN 02/13/2009 11/13/2009 11/13/2009 09/13/2009 04/13/2009 02/13/2009 03/13/2008
PAYMENT
WINDOW 9 17 22 23 20 19 11
ACCRUAL
FACTOR 0.3156 0.3156 0.3156 0.3156 0.3156 0.3156 0.3156
MOD
DURATION @
100/16 4.13 3.94 3.68 3.41 3.19 3.00 2.51
CUM
WRITEDOWN 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Page 2 of 3
--------------------------------------------------------------------------------
This memorandum is based on information generally available to the public from
sources believed to be reliable. No representation is made that it is accurate
or complete. 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. Past performance is not necessarily
indicative of future returns. Price and availability are subject to change
without notice. The foregoing has been prepared solely for informational
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 particular
trading strategy. Xxxxxx Xxxxxxx & Co. Incorporated, Xxxxxx Xxxxxxx & Co.
International Limited, Xxxxxx Xxxxxxx Japan Ltd. and/or their affiliates may
have positions in, and effect transactions in securities and instruments of
issuers mentioned herein and may also provide or seek to provide significant
advice or investment services, including investment banking, for the issuers of
such securities and instruments. Additional information is available upon
request. To Our Readers Worldwide: In addition please note that this publication
has been issued by Xxxxxx Xxxxxxx & Co. Incorporated and approved by Xxxxxx
Xxxxxxx & Co. International Limited, a member of The Securities and Futures
Authority and Xxxxxx Xxxxxxx Japan, Ltd. We recommend that investors obtain the
advice of their Xxxxxx Xxxxxxx & Co. International Limited 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
--------------------------------------------------------------------------------
01/13/2005 17:13:04 CARVE Version 37.0 /u/dsouzad/deal/top 17/red/top 17.050105.red.carve
MSCI MSCI SERIES 2005-TOP17 **S&P/FITCH CLASS A4
--------------------------------------------------------------------------------------------
Class A4 Settlement Date 01/27/2005
Original Balance 85,600,000.00 Dated Date 01/01/2005
Current Balance 85,600,000.00 First Payment Date 02/13/2005
Credit Rating AAA Next Payment Date 02/13/2005
Market Desc N/A Payment Freq Monthly
Factor 1.00000000 Interest Freq Monthly
------------------------------------------------------------------------------------------------------------------
Coupon 4.64000 Cusip N/A
Delay 12 Yield Table Date 01/31/2005
Lead Manager Xxxxxx Xxxxxxx & Co. Yield Frequency XxxxXxxxxx
Xxxx Deal Size 980,772,819.43 Yield Day Count 30/360
Num of Tranches 30
Deal Age 0
OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL
TRIGGER YES YES YES YES YES YES
PREPAY CPR 0 CPR 0 CPR 0 CPR 0 CPR 0 CPR 0 CPR 0
DEFAULT CDR 1 CDR 2 CDR 3 CDR 4 CDR 5 CDR 10
ADVANCES YES YES YES YES YES YES
RECV MNTH 24 24 24 24 24 24
RECV DISTR 100 1 100 1 100 1 100 1 100 1 100 1
LOSSES 0.35 0.35 0.35 0.35 0.35 0.35
------------------------------------------------------------------------------------------------------------------
PRICE
/YIELD
------------------------------------------------------------------------------------------------------------------
98/00 5.0184 5.0396 5.0620 5.0866 5.1137 5.1361 5.2329
98/08 4.9728 4.9911 5.0104 5.0317 5.0551 5.0744 5.1580
98/16 4.9273 4.9428 4.9590 4.9769 4.9966 5.0129 5.0833
98/24 4.8820 4.8946 4.9078 4.9223 4.9383 4.9516 5.0088
99/00 4.8368 4.8465 4.8567 4.8679 4.8802 4.8904 4.9345
99/08 4.7918 4.7986 4.8057 4.8136 4.8223 4.8295 4.8604
99/16 4.7469 4.7508 4.7550 4.7595 4.7645 4.7687 4.7866
99/24 4.7021 4.7032 4.7043 4.7056 4.7070 4.7081 4.7130
100/00 4.6574 4.6557 4.6538 4.6518 4.6495 4.6477 4.6397
100/08 4.6129 4.6083 4.6035 4.5982 4.5923 4.5874 4.5665
100/16 4.5686 4.5611 4.5533 4.5447 4.5352 4.5274 4.4936
100/24 4.5243 4.5141 4.5033 4.4914 4.4783 4.4675 4.4209
101/00 4.4802 4.4671 4.4534 4.4383 4.4216 4.4078 4.3484
101/08 4.4362 4.4204 4.4037 4.3853 4.3650 4.3483 4.2761
101/16 4.3923 4.3737 4.3541 4.3325 4.3086 4.2889 4.2040
101/24 4.3486 4.3272 4.3046 4.2798 4.2524 4.2297 4.1322
102/00 4.3050 4.2808 4.2554 4.2273 4.1963 4.1707 4.0606
102/08 4.2615 4.2346 4.2062 4.1749 4.1404 4.1119 3.9891
102/16 4.2182 4.1885 4.1572 4.1227 4.0847 4.0532 3.9179
102/24 4.1749 4.1425 4.1083 4.0707 4.0291 3.9947 3.8469
103/00 4.1318 4.0967 4.0596 4.0188 3.9737 3.9364 3.7761
------------------------------------------------------------------------------------------------------------------
AVERAGE 6.64 6.19 5.78 5.37 4.98 4.70 3.80
LIFE
FIRST PRIN 05/13/2011 12/13/2009 12/13/2009 09/13/2009 05/13/2009 02/13/2009 03/13/2008
LAST PRIN 01/13/2012 10/13/2011 10/13/2011 09/13/2011 04/13/2011 05/13/2010 07/13/2009
PAYMENT
WINDOW 9 23 23 25 24 16 17
ACCRUAL
FACTOR 0.3351 0.3351 0.3351 0.3351 0.3351 0.3351 0.3351
MOD
DURATION @
100/16 5.59 5.26 4.95 4.64 4.35 4.13 3.40
CUM
WRITEDOWN 0.00 0.00 0.00 0.00 0.00 0.00 0.00
OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL OPTIONALCALL
TRIGGER YES YES YES YES YES YES YES
(!YM) CPR (!YM) CPR (!YM) CPR (!YM) CPR (!YM) CPR (!YM) CPR (!YM) CPR
PREPAY 100 100 100 100 100 100 100
DEFAULT CDR 1 CDR 2 CDR 3 CDR 4 CDR 5 CDR 10
ADVANCES YES YES YES YES YES YES
RECV MNTH 24 24 24 24 24 24
RECV DISTR 100 1 100 1 100 1 100 1 100 1 100 1
LOSSES 0.35 0.35 0.35 0.35 0.35 0.35
-----------------------------------------------------------------------------------------------------------------
PRICE
/YIELD
-----------------------------------------------------------------------------------------------------------------
5.0200 5.0415 5.0649 5.0914 5.1183 5.1415 5.2337
4.9742 4.9927 5.0129 5.0358 5.0590 5.0790 5.1586
4.9285 4.9441 4.9611 4.9804 5.0000 5.0168 5.0838
4.8830 4.8956 4.9095 4.9251 4.9411 4.9547 5.0092
4.8376 4.8473 4.8580 4.8701 4.8823 4.8929 4.9348
4.7923 4.7992 4.8067 4.8151 4.8238 4.8312 4.8607
4.7472 4.7511 4.7555 4.7604 4.7654 4.7697 4.7868
4.7022 4.7033 4.7045 4.7058 4.7072 4.7084 4.7131
4.6573 4.6555 4.6536 4.6514 4.6492 4.6472 4.6396
4.6126 4.6079 4.6029 4.5971 4.5913 4.5863 4.5664
4.5680 4.5605 4.5523 4.5430 4.5336 4.5255 4.4933
4.5235 4.5132 4.5019 4.4891 4.4761 4.4649 4.4205
4.4792 4.4660 4.4516 4.4353 4.4188 4.4045 4.3479
4.4350 4.4190 4.4015 4.3817 4.3616 4.3443 4.2756
4.3909 4.3721 4.3516 4.3283 4.3046 4.2842 4.2034
4.3470 4.3254 4.3017 4.2750 4.2478 4.2244 4.1315
4.3031 4.2788 4.2521 4.2218 4.1911 4.1647 4.0597
4.2594 4.2323 4.2025 4.1689 4.1346 4.1051 3.9882
4.2159 4.1859 4.1532 4.1160 4.0782 4.0458 3.9169
4.1724 4.1397 4.1039 4.0633 4.0221 3.9866 3.8458
4.1291 4.0937 4.0548 4.0108 3.9661 3.9276 3.7749
----------------------------------------------------------------------------------------------------------------
AVERAGE 6.61 6.16 5.73 5.30 4.92 4.64 3.79
LIFE
FIRST PRIN 04/13/2011 11/13/2009 11/13/2009 09/13/2009 04/13/2009 02/13/2009 03/13/2008
LAST PRIN 01/13/2012 10/13/2011 10/13/2011 08/13/2011 04/13/2011 05/13/2010 07/13/2009
PAYMENT
WINDOW 10 24 24 24 25 16 17
ACCRUAL
FACTOR 0.3351 0.3351 0.3351 0.3351 0.3351 0.3351 0.3351
MOD
DURATION @
100/16 5.57 5.23 4.91 4.59 4.30 4.09 3.40
CUM
WRITEDOWN 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Page 3 of 3
--------------------------------------------------------------------------------
This memorandum is based on information generally available to the public from
sources believed to be reliable. No representation is made that it is accurate
or complete. 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. Past performance is not necessarily
indicative of future returns. Price and availability are subject to change
without notice. The foregoing has been prepared solely for informational
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 particular
trading strategy. Xxxxxx Xxxxxxx & Co. Incorporated, Xxxxxx Xxxxxxx & Co.
International Limited, Xxxxxx Xxxxxxx Japan Ltd. and/or their affiliates may
have positions in, and effect transactions in securities and instruments of
issuers mentioned herein and may also provide or seek to provide significant
advice or investment services, including investment banking, for the issuers of
such securities and instruments. Additional information is available upon
request. To Our Readers Worldwide: In addition please note that this publication
has been issued by Xxxxxx Xxxxxxx & Co. Incorporated and approved by Xxxxxx
Xxxxxxx & Co. International Limited, a member of The Securities and Futures
Authority and Xxxxxx Xxxxxxx Japan, Ltd. We recommend that investors obtain the
advice of their Xxxxxx Xxxxxxx & Co. International Limited 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
--------------------------------------------------------------------------------
01/14/2005 14:35:11 CARVE Version 37.0 /u/dsouzad/deal/top17/red/top17.050105.red.carve
MSCI MSCI SERIES 2005-TOP17 **S&P/FITCH CLASS A3
-------------------------------------------------------------------------------------------------------------------------
Class A3 Settlement Date 01/27/2005 Coupon 4.37000
Original Balance 56,800,000.00 Dated Date 01/01/2005 Delay 12
Current Balance 56,800,000.00 First Payment Date 02/13/2005 Lead Manager Xxxxxx Xxxxxxx & Co.
Credit Rating AAA Next Payment Date 02/13/2005 Orig Deal Size 980,772,819.43
Market Desc N/A Payment Freq Monthly Num of Tranches 30
Factor 1.00000000 Interest Freq Monthly Deal Age 0
----------------------------------------------------------------
Cusip N/A
Yield Table Date 01/14/2005
Yield Frequency XxxxXxxxxx
Xxxxx Day Count 30/360
0 DEF_12_18_24 DEF_18_24 DEF_18_24_50 DEF_24 DEF_56
--------------------------------------------------------------------------------------------------------------
PRICE / YIELD
--------------------------------------------------------------------------------------------------------------
98/00 4.8542 4.8130 4.8130 4.8013 4.8366 4.8542
98/08 4.7937 4.7581 4.7581 4.7481 4.7785 4.7937
98/16 4.7334 4.7034 4.7034 4.6949 4.7206 4.7334
98/24 4.6733 4.6489 4.6489 4.6420 4.6629 4.6733
99/00 4.6134 4.5945 4.5945 4.5892 4.6053 4.6134
99/08 4.5536 4.5403 4.5403 4.5365 4.5479 4.5536
99/16 4.4941 4.4863 4.4863 4.4841 4.4907 4.4941
99/24 4.4347 4.4324 4.4324 4.4317 4.4337 4.4347
100/00 4.3755 4.3787 4.3787 4.3796 4.3768 4.3755
100/08 4.3164 4.3251 4.3251 4.3276 4.3201 4.3164
100/16 4.2575 4.2717 4.2717 4.2757 4.2636 4.2575
100/24 4.1988 4.2185 4.2185 4.2240 4.2072 4.1988
101/00 4.1403 4.1654 4.1654 4.1724 4.1510 4.1403
101/08 4.0820 4.1125 4.1125 4.1210 4.0950 4.0820
101/16 4.0238 4.0597 4.0597 4.0698 4.0391 4.0238
101/24 3.9658 4.0071 4.0071 4.0187 3.9834 3.9658
102/00 3.9079 3.9546 3.9546 3.9677 3.9279 3.9079
102/08 3.8502 3.9023 3.9023 3.9169 3.8725 3.8502
102/16 3.7927 3.8501 3.8501 3.8663 3.8173 3.7927
102/24 3.7354 3.7981 3.7981 3.8158 3.7622 3.7354
103/00 3.6782 3.7463 3.7463 3.7654 3.7073 3.6782
------------------------- ------------- ------------- ------------- ------------- ------------- --------------
AVERAGE LIFE 4.77 5.33 5.33 5.51 5.00 4.77
FIRST PRIN 05/13/2009 05/13/2009 05/13/2009 05/13/2009 05/13/2009 05/13/2009
LAST PRIN 12/13/2009 05/13/2011 05/13/2011 05/13/2011 05/13/2011 12/13/2009
PAYMENT WINDOW 8 25 25 25 25 8
ACCRUAL FACTOR 0.3156 0.3156 0.3156 0.3156 0.3156 0.3156
MOD DURATION @ 100/16 4.22 4.65 4.65 4.79 4.39 4.22
CUM WRITEDOWN 0.00 0.00 0.00 0.00 0.00 0.00
Page 1 of 2
--------------------------------------------------------------------------------
This memorandum is based on information generally available to the public from
sources believed to be reliable. No representation is made that it is accurate
or complete. 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. Past performance is not necessarily
indicative of future returns. Price and availability are subject to change
without notice. The foregoing has been prepared solely for informational
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 particular
trading strategy. Xxxxxx Xxxxxxx & Co. Incorporated, Xxxxxx Xxxxxxx & Co.
International Limited, Xxxxxx Xxxxxxx Japan Ltd. and/or their affiliates may
have positions in, and effect transactions in securities and instruments of
issuers mentioned herein and may also provide or seek to provide significant
advice or investment services, including investment banking, for the issuers of
such securities and instruments. Additional information is available upon
request. To Our Readers Worldwide: In addition please note that this publication
has been issued by Xxxxxx Xxxxxxx & Co. Incorporated and approved by Xxxxxx
Xxxxxxx & Co. International Limited, a member of The Securities and Futures
Authority and Xxxxxx Xxxxxxx Japan, Ltd. We recommend that investors obtain the
advice of their Xxxxxx Xxxxxxx & Co. International Limited 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
--------------------------------------------------------------------------------
01/14/2005 14:35:11 CARVE Version 37.0 /u/dsouzad/deal/top17/red/top17.050105.red.carve
MSCI MSCI SERIES 2005-TOP17 **S&P/FITCH CLASS A4
--------------------------------------------------------------------------------------
Class A4 Settlement Date 01/27/2005
Original Balance 85,600,000.00 Dated Date 01/01/2005
Current Balance 85,600,000.00 First Payment Date 02/13/2005
Credit Rating AAA Next Payment Date 02/13/2005
Market Desc N/A Payment Freq Monthly
Factor 1.00000000 Interest Freq Monthly
------------------------------------------------------------------------------------------------------
Coupon 4.64000 Cusip N/A
Delay 12 Yield Table Date 01/14/2005
Lead Manager Xxxxxx Xxxxxxx & Co. Yield Frequency XxxxXxxxxx
Xxxx Deal Size 980,772,819.43 Yield Day Count 30/360
Num of Tranches 30
Deal Age 0
0 DEF_12_18_24 DEF_18_24 DEF_18_24_50 DEF_24 DEF_56
-------------------- -------------- ------------- -------------- ------------- ------------- --------------
PRICE / YIELD
-------------------- -------------- ------------- -------------- ------------- ------------- --------------
98/00 5.0184 4.9735 5.0048 5.0014 5.0128 5.0129
98/08 4.9728 4.9340 4.9611 4.9581 4.9679 4.9680
98/16 4.9273 4.8947 4.9175 4.9150 4.9232 4.9233
98/24 4.8820 4.8555 4.8740 4.8719 4.8787 4.8788
99/00 4.8368 4.8164 4.8306 4.8291 4.8343 4.8343
99/08 4.7918 4.7774 4.7874 4.7863 4.7900 4.7900
99/16 4.7469 4.7385 4.7443 4.7437 4.7458 4.7458
99/24 4.7021 4.6998 4.7014 4.7012 4.7018 4.7018
100/00 4.6574 4.6612 4.6586 4.6589 4.6579 4.6579
100/08 4.6129 4.6227 4.6159 4.6166 4.6142 4.6141
100/16 4.5686 4.5843 4.5733 4.5745 4.5705 4.5705
100/24 4.5243 4.5460 4.5309 4.5325 4.5270 4.5270
101/00 4.4802 4.5078 4.4886 4.4907 4.4837 4.4836
101/08 4.4362 4.4698 4.4464 4.4490 4.4404 4.4403
101/16 4.3923 4.4319 4.4043 4.4074 4.3973 4.3972
101/24 4.3486 4.3940 4.3624 4.3659 4.3543 4.3542
102/00 4.3050 4.3563 4.3206 4.3245 4.3114 4.3113
102/08 4.2615 4.3187 4.2789 4.2833 4.2687 4.2685
102/16 4.2182 4.2812 4.2373 4.2422 4.2261 4.2259
102/24 4.1749 4.2439 4.1959 4.2012 4.1836 4.1834
103/00 4.1318 4.2066 4.1545 4.1603 4.1412 4.1410
-------------------- -------------- ------------- -------------- ------------- ------------- --------------
AVERAGE LIFE 6.64 7.92 6.99 7.09 6.78 6.78
FIRST PRIN 05/13/2011 05/13/2011 05/13/2011 05/13/2011 05/13/2011 05/13/2011
LAST PRIN 01/13/2012 06/13/2014 06/13/2014 06/13/2014 06/13/2014 06/13/2014
PAYMENT WINDOW 9 38 38 38 38 38
ACCRUAL FACTOR 0.3351 0.3351 0.3351 0.3351 0.3351 0.3351
MOD DURATION @ 5.59 6.47 5.83 5.90 5.69 5.69
100/16
CUM WRITEDOWN 0.00 0.00 0.00 0.00 0.00 0.00
Page 2 of 2
--------------------------------------------------------------------------------
This memorandum is based on information generally available to the public from
sources believed to be reliable. No representation is made that it is accurate
or complete. 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. Past performance is not necessarily
indicative of future returns. Price and availability are subject to change
without notice. The foregoing has been prepared solely for informational
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 particular
trading strategy. Xxxxxx Xxxxxxx & Co. Incorporated, Xxxxxx Xxxxxxx & Co.
International Limited, Xxxxxx Xxxxxxx Japan Ltd. and/or their affiliates may
have positions in, and effect transactions in securities and instruments of
issuers mentioned herein and may also provide or seek to provide significant
advice or investment services, including investment banking, for the issuers of
such securities and instruments. Additional information is available upon
request. To Our Readers Worldwide: In addition please note that this publication
has been issued by Xxxxxx Xxxxxxx & Co. Incorporated and approved by Xxxxxx
Xxxxxxx & Co. International Limited, a member of The Securities and Futures
Authority and Xxxxxx Xxxxxxx Japan, Ltd. We recommend that investors obtain the
advice of their Xxxxxx Xxxxxxx & Co. International Limited 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.
