XXXXXX XXXXXXX
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04/30/2001 17:47:16 CARVE Version 537.0 /a/xxxxxx/deal/bscms_01-TOP2/0427/top2.0427.carve
BSCMS BSCMS SERIES 2001-TOP2(RED)
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Settlement Date 05/10/2001 SCENARIO PERFORMANCE
TREASURY CURVE
1 3.8695 5 4.8476 10 5.3236 30 5.8044
SWAP CURVE
2 yr 57.2500 3 yr 72.0000 5 yr 74.5000 7 yr 83.0000 10 yr 82.0000 20 yr 117.2250 30 yr 73.5000
TRIGGER OPTIONALCALL YES OPTIONALCALL YES OPTIONALCALL YES OPTIONALCALL YES OPTIONALCALL YES
PREPAY CPR 0 (!YM) CPR 100 (!YM) CPR 100 (!YM) CPR 100 (!YM) CPR 100
DEFAULT CDR 3 CDR 4 CDR 5
ADVANCES YES YES YES
RECV MNTH 12 12 12
LOSSES 0.35 0.35 0.35
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CLASS C @ PRICE 100.5329
YIELD 7.008 7.008 7.018 7.007 1.299
AVERAGE LIFE 9.93 9.93 11.45 13.33 14.51
FIRST PRIN 04/15/2011 04/15/2011 05/15/2011 01/15/2013 08/15/2015
LAST PRIN 04/15/2011 04/15/2011 11/15/2013 11/15/2015 11/15/2015
PAYMENT WINDOW 1 1 31 35 4
ACCRUAL FACTOR 0.1755 0.1755 0.1755 0.1755 0.1755
MOD DURATION 6.95 6.95 7.65 8.41 8.20
SPREAD INTERP. 169 169 166 160 -413
TRIGGER OPTIONALCALL YES OPTIONALCALL YES OPTIONALCALL YES OPTIONALCALL YES
PREPAY (!YM) CPR 100 (!YM) CPR 100 (!YM) CPR 100 (!YM) CPR 100
DEFAULT CDR 6 CDR 7 CDR 8 CDR 9
ADVANCES YES YES YES YES
RECV MNTH 12 12 12 12
LOSSES 0.35 0.35 0.35 0.35
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CLASS C @ PRICE
YIELD -13.513 -19.362 -25.164 -30.856
AVERAGE LIFE
FIRST PRIN
LAST PRIN
PAYMENT WINDOW
ACCRUAL FACTOR 0.1755 0.1755 0.1755 0.1755
MOD DURATION 5.08 4.63 4.29 4.04
SPREAD INTERP.
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representation is made that any returns indicated will be achieved. Changes to
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