<TABLE>
XXXXXX XXXXXXX
------------------------------------------------------------------------------------------------------------------------------------
07/22/2005 16:28:44 CARVE Version 47.0 /u/dsouzad/deal/hq6/050722/hq6.050722.carve
MSCI MSCI SERIES **2005-HQ6 **S&P/FITCH/DBRS CLASS X2
------------------------------------------------------------------------------------------------------------------------------------
Class X2 Settlement Date 08/11/2005 Coupon -1.00000 Cusip N/A
Original Balance 2,672,241,000.00 Dated Date 08/01/2005 Delay 12 Yield Table Date 07/22/2005
Current Balance 2,672,241,000.00 First Payment Date 09/13/2005 Lead Manager Xxxxxx Xxxxxxx & Co. Yield Frequency SemiAnnual
Credit Rating AAA/AAA Next Payment Date 09/13/2005 Orig Deal Size 2,754,054,199.21 Yield Day Count 30/360
Market Desc N/A Payment Freq Monthly Num of Tranches 33
Factor 1.00000000 Interest Freq Monthly Deal Age 0
</TABLE>
<TABLE>
TRIGGER OPTIONALCALL YES OPTIONALCALL YES OPTIONALCALL YES OPTIONALCALL YES
PREPAY (!YM) CPR 100 CPR 0 (!YM) CPR 100 (!YM) CPR 100
DEFAULT CDR 0 18 CDR 0 18
11.2 11.3
ADVANCES YES YES
RECV MNTH 12 12
RECV DISTR 100 1 100 1
LOSSES 0.35 0.35
--------------------------------------------------------------------------------------------------------------
PRICE / YIELD
--------------------------------------------------------------------------------------------------------------
2.6270 4.7179 4.7179 4.0806 4.0514
--------------------------------------------------------------------------------------------------------------
AVERAGE LIFE 5.94 5.94 5.79 5.78
MOD DURATION @ 2.6270 3.26 3.26 3.23 3.23
SPREAD INTERP. @ 2.6270 65 65 2 -1
</TABLE>
Page 1 of 1
--------------------------------------------------------------------------------
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.
<TABLE>
XXXXXX XXXXXXX
------------------------------------------------------------------------------------------------------------------------------------
07/21/2005 17:17:15 CARVE Version 47.0 /u/dsouzad/deal/hq6/red/hq6.red.050718.carve
MSCI MSCI SERIES **2005-HQ6 **S&P/FITCH/DBRS (RED) CLASS A1
------------------------------------------------------------------------------------------------------------------------------------
Class A1 Settlement Date 08/11/2005 Coupon 4.54000 Cusip N/A
Original Balance 121,200,000.00 Dated Date 08/01/2005 Delay 12 Yield Table Date 07/21/2005
Current Balance 121,200,000.00 First Payment Date 09/13/2005 Lead Manager Xxxxxx Xxxxxxx & Co. Yield Frequency SemiAnnual
Credit Rating AAA/AAA Next Payment Date 09/13/2005 Orig Deal Size 2,754,054,199.21 Yield Day Count 30/360
Market Desc N/A Payment Freq Monthly Num of Tranches 33
Factor 1.00000000 Interest Freq Monthly Deal Age 0
</TABLE>
<TABLE>
PREPAY CPR 0 CPR 0 CPR 0 CPR 0 CPR 0
BALL EXT 10% 12 MOS 25% 12 MOS 50% 12 MOS 12 MOS
--------------------------------------------------------------------------------------------------
PRICE / YIELD
--------------------------------------------------------------------------------------------------
99.6224 4.6671 4.6671 4.6670 4.6669 4.6643
99.6849 4.6439 4.6439 4.6438 4.6438 4.6419
99.7474 4.6207 4.6207 4.6207 4.6206 4.6194
99.8099 4.5975 4.5975 4.5975 4.5975 4.5971
99.8724 4.5744 4.5744 4.5744 4.5744 4.5747
99.9349 4.5513 4.5513 4.5513 4.5513 4.5523
99.9974 4.5281 4.5282 4.5282 4.5283 4.5300
100.0599 4.5051 4.5051 4.5052 4.5052 4.5077
100.1224 4.4820 4.4820 4.4821 4.4822 4.4854
100.1849 4.4590 4.4590 4.4591 4.4592 4.4631
100.2474 4.4359 4.4360 4.4361 4.4363 4.4409
100.3099 4.4129 4.4130 4.4131 4.4133 4.4187
100.3724 4.3899 4.3900 4.3902 4.3904 4.3965
100.4349 4.3670 4.3671 4.3672 4.3675 4.3743
100.4974 4.3440 4.3442 4.3443 4.3446 4.3521
100.5599 4.3211 4.3212 4.3214 4.3217 4.3300
100.6224 4.2982 4.2984 4.2986 4.2989 4.3079
100.6849 4.2754 4.2755 4.2757 4.2760 4.2858
100.7474 4.2525 4.2526 4.2529 4.2532 4.2637
100.8099 4.2297 4.2298 4.2301 4.2305 4.2416
100.8724 4.2068 4.2070 4.2073 4.2077 4.2196
--------------------------------------------------------------------------------------------------
AVERAGE LIFE 2.99 3.00 3.00 3.00 3.12
MOD DURATION @ 100.2474 2.71 2.71 2.71 2.71 2.80
FIRST PRIN 09/13/2005 09/13/2005 09/13/2005 09/13/2005 09/13/2005
LAST PRIN 06/13/2010 06/13/2010 06/13/2010 06/13/2010 06/13/2011
FIRST PRIN PER 1 1 1 1 1
LAST PRIN PER 58 58 58 58 70
PAYMENT WINDOW 58 58 58 58 70
USD SWAP SPREAD @ 100.2474 11 11 11 11 11
</TABLE>
Page 1 of 4
--------------------------------------------------------------------------------
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.
<TABLE>
XXXXXX XXXXXXX
------------------------------------------------------------------------------------------------------------------------------------
07/21/2005 17:17:15 CARVE Version 47.0 /u/dsouzad/deal/hq6/red/hq6.red.050718.carve
MSCI MSCI SERIES **2005-HQ6 **S&P/FITCH/DBRS (RED) CLASS A2
------------------------------------------------------------------------------------------------------------------------------------
Class A2 Settlement Date 08/11/2005 Coupon 4.78900 Cusip N/A
Original Balance 337,000,000.00 Dated Date 08/01/2005 Delay 12 Yield Table Date 07/21/2005
Current Balance 337,000,000.00 First Payment Date 09/13/2005 Lead Manager Xxxxxx Xxxxxxx & Co. Yield Frequency SemiAnnual
Credit Rating AAA/AAA Next Payment Date 09/13/2005 Orig Deal Size 2,754,054,199.21 Yield Day Count 30/360
Market Desc N/A Payment Freq Monthly Num of Tranches 33
Factor 1.00000000 Interest Freq Monthly Deal Age 0
</TABLE>
<TABLE>
PREPAY CPR 0 CPR 0 CPR 0 CPR 0 CPR 0
BALL EXT 10% 12 MOS 25% 12 MOS 50% 12 MOS 12 MOS
-----------------------------------------------------------------------------------------------------------
PRICE / YIELD
-----------------------------------------------------------------------------------------------------------
99.8728 4.8295 4.8296 4.8298 4.8301 4.8306
99.9353 4.8150 4.8154 4.8159 4.8168 4.8183
99.9978 4.8005 4.8011 4.8020 4.8035 4.8059
100.0603 4.7859 4.7869 4.7882 4.7902 4.7936
100.1228 4.7715 4.7726 4.7743 4.7769 4.7812
100.1853 4.7570 4.7584 4.7605 4.7636 4.7689
100.2478 4.7425 4.7442 4.7466 4.7504 4.7566
100.3103 4.7280 4.7300 4.7328 4.7371 4.7443
100.3728 4.7136 4.7158 4.7189 4.7239 4.7320
100.4353 4.6991 4.7016 4.7051 4.7106 4.7197
100.4978 4.6847 4.6874 4.6913 4.6974 4.7074
100.5603 4.6703 4.6733 4.6775 4.6842 4.6951
100.6228 4.6559 4.6591 4.6638 4.6710 4.6829
100.6853 4.6415 4.6450 4.6500 4.6578 4.6706
100.7478 4.6271 4.6308 4.6362 4.6446 4.6584
100.8103 4.6127 4.6167 4.6225 4.6314 4.6462
100.8728 4.5983 4.6026 4.6087 4.6182 4.6339
100.9353 4.5840 4.5885 4.5950 4.6051 4.6217
100.9978 4.5696 4.5744 4.5813 4.5919 4.6095
101.0603 4.5553 4.5603 4.5676 4.5788 4.5973
101.1228 4.5409 4.5462 4.5538 4.5657 4.5851
-----------------------------------------------------------------------------------------------------------
AVERAGE LIFE 4.93 5.04 5.19 5.45 5.93
MOD DURATION @ 100.4978 4.30 4.38 4.50 4.70 5.06
FIRST PRIN 06/13/2010 06/13/2010 06/13/2010 06/13/2010 06/13/2011
LAST PRIN 08/13/2010 05/13/2012 05/13/2012 05/13/2012 05/13/2012
FIRST PRIN PER 58 58 58 58 70
LAST PRIN PER 60 81 81 81 81
PAYMENT WINDOW 3 24 24 24 12
USD SWAP SPREAD @ 100.4978 24 24 23 23 22
</TABLE>
Page 2 of 4
--------------------------------------------------------------------------------
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.
<TABLE>
XXXXXX XXXXXXX
------------------------------------------------------------------------------------------------------------------------------------
07/21/2005 17:17:15 CARVE Version 47.0 /u/dsouzad/deal/hq6/red/hq6.red.050718.carve
MSCI MSCI SERIES **2005-HQ6 **S&P/FITCH/DBRS (RED) CLASS A3
------------------------------------------------------------------------------------------------------------------------------------
Class A3 Settlement Date 08/11/2005 Coupon 4.95900 Cusip N/A
Original Balance 103,000,000.00 Dated Date 08/01/2005 Delay 12 Yield Table Date 07/21/2005
Current Balance 103,000,000.00 First Payment Date 09/13/2005 Lead Manager Xxxxxx Xxxxxxx & Co. Yield Frequency SemiAnnual
Credit Rating AAA/AAA Next Payment Date 09/13/2005 Orig Deal Size 2,754,054,199.21 Yield Day Count 30/360
Market Desc N/A Payment Freq Monthly Num of Tranches 33
Factor 1.00000000 Interest Freq Monthly Deal Age 0
</TABLE>
<TABLE>
PREPAY CPR 0 CPR 0 CPR 0 CPR 0 CPR 0
BALL EXT 10% 12 MOS 25% 12 MOS 50% 12 MOS 12 MOS
------------------------------------------------------------------------------------------------------------------
PRICE / YIELD
------------------------------------------------------------------------------------------------------------------
100.1131 4.9665 4.9668 4.9673 4.9682 4.9703
100.1756 4.9566 4.9570 4.9577 4.9587 4.9612
100.2381 4.9468 4.9473 4.9480 4.9492 4.9522
100.3006 4.9369 4.9375 4.9383 4.9398 4.9432
100.3631 4.9271 4.9277 4.9287 4.9303 4.9342
100.4256 4.9172 4.9180 4.9190 4.9209 4.9252
100.4881 4.9074 4.9082 4.9094 4.9114 4.9163
100.5506 4.8976 4.8985 4.8998 4.9020 4.9073
100.6131 4.8878 4.8887 4.8901 4.8926 4.8983
100.6756 4.8780 4.8790 4.8805 4.8831 4.8893
100.7381 4.8682 4.8693 4.8709 4.8737 4.8804
100.8006 4.8584 4.8595 4.8613 4.8643 4.8714
100.8631 4.8486 4.8498 4.8517 4.8549 4.8625
100.9256 4.8388 4.8401 4.8421 4.8455 4.8536
100.9881 4.8290 4.8304 4.8326 4.8361 4.8446
101.0506 4.8193 4.8208 4.8230 4.8267 4.8357
101.1131 4.8095 4.8111 4.8134 4.8174 4.8268
101.1756 4.7998 4.8014 4.8039 4.8080 4.8179
101.2381 4.7900 4.7917 4.7943 4.7986 4.8090
101.3006 4.7803 4.7821 4.7848 4.7893 4.8001
101.3631 4.7706 4.7724 4.7752 4.7799 4.7912
------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE 7.80 7.88 7.99 8.19 8.71
MOD DURATION @ 100.7381 6.33 6.37 6.45 6.58 6.92
FIRST PRIN 05/13/2012 05/13/2012 05/13/2012 05/13/2012 05/13/2012
LAST PRIN 10/13/2014 12/13/2014 01/13/2015 01/13/2015 07/13/2015
FIRST PRIN PER 81 81 81 81 81
LAST PRIN PER 110 112 113 113 119
PAYMENT WINDOW 30 32 33 33 39
USD SWAP SPREAD @ 100.7381 30 30 30 29 28
</TABLE>
Page 3 of 4
--------------------------------------------------------------------------------
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.
<TABLE>
XXXXXX XXXXXXX
------------------------------------------------------------------------------------------------------------------------------------
07/21/2005 17:17:15 CARVE Version 47.0 /u/dsouzad/deal/hq6/red/hq6.red.050718.carve
MSCI MSCI SERIES **2005-HQ6 **S&P/FITCH/DBRS (RED) CLASS A4A
------------------------------------------------------------------------------------------------------------------------------------
Class A4A Settlement Date 08/11/2005 Coupon 4.94600 Cusip N/A
Original Balance 1,060,595,000.00 Dated Date 08/01/2005 Delay 12 Yield Table Date 07/21/2005
Current Balance 1,060,595,000.00 First Payment Date 09/13/2005 Lead Manager Xxxxxx Xxxxxxx & Co. Yield Frequency SemiAnnual
Credit Rating AAA/AAA Next Payment Date 09/13/2005 Orig Deal Size 2,754,054,199.21 Yield Day Count 30/360
Market Desc N/A Payment Freq Monthly Num of Tranches 33
Factor 1.00000000 Interest Freq Monthly Deal Age 0
</TABLE>
<TABLE>
PREPAY CPR 0 CPR 0 CPR 0 CPR 0 CPR 0
BALL EXT 10% 12 MOS 25% 12 MOS 50% 12 MOS 12 MOS
--------------------------------------------------------------------------------------------------------------------
PRICE / YIELD
--------------------------------------------------------------------------------------------------------------------
99.8693 4.9927 4.9927 4.9927 4.9928 4.9930
99.9318 4.9844 4.9844 4.9845 4.9846 4.9853
99.9943 4.9761 4.9761 4.9762 4.9765 4.9776
100.0568 4.9678 4.9678 4.9679 4.9683 4.9699
100.1193 4.9595 4.9595 4.9597 4.9602 4.9622
100.1818 4.9512 4.9513 4.9514 4.9521 4.9545
100.2443 4.9429 4.9430 4.9432 4.9439 4.9468
100.3068 4.9346 4.9347 4.9349 4.9358 4.9391
100.3693 4.9264 4.9265 4.9267 4.9277 4.9315
100.4318 4.9181 4.9182 4.9185 4.9196 4.9238
100.4943 4.9098 4.9100 4.9103 4.9115 4.9161
100.5568 4.9016 4.9017 4.9020 4.9034 4.9085
100.6193 4.8933 4.8935 4.8938 4.8953 4.9008
100.6818 4.8851 4.8853 4.8856 4.8872 4.8932
100.7443 4.8769 4.8771 4.8774 4.8791 4.8855
100.8068 4.8686 4.8689 4.8693 4.8711 4.8779
100.8693 4.8604 4.8606 4.8611 4.8630 4.8703
100.9318 4.8522 4.8524 4.8529 4.8549 4.8626
100.9943 4.8440 4.8442 4.8447 4.8469 4.8550
101.0568 4.8358 4.8361 4.8366 4.8388 4.8474
101.1193 4.8276 4.8279 4.8284 4.8308 4.8398
--------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE 9.66 9.68 9.72 9.90 10.64
MOD DURATION @ 100.4943 7.52 7.54 7.56 7.67 8.11
FIRST PRIN 12/13/2014 12/13/2014 01/13/2015 01/13/2015 07/13/2015
LAST PRIN 06/13/2015 06/13/2015 07/13/2015 04/13/2016 06/13/2016
FIRST PRIN PER 112 112 113 113 119
LAST PRIN PER 118 118 119 128 130
PAYMENT WINDOW 7 7 7 16 12
USD SWAP SPREAD @ 100.4943 27 27 27 26 24
</TABLE>
Page 4 of 4
--------------------------------------------------------------------------------
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.
<TABLE>
XXXXXX XXXXXXX
------------------------------------------------------------------------------------------------------------------------------------
07/26/2005 11:49:06 CARVE Version 50.0 /u/dsouzad/deal/hq6/050725/hq6.050725.carve
MSCI MSCI SERIES **2005-HQ6 **S&P/FITCH/DBRS CLASS X1
------------------------------------------------------------------------------------------------------------------------------------
Class X1 Settlement Date 08/11/2005 Coupon -1.00000 Cusip N/A
Original Balance 2,754,054,199.21 Dated Date 08/01/2005 Delay 12 Yield Table Date 07/26/2005
Current Balance 1.00 First Payment Date 09/13/2005 Lead Manager Xxxxxx Xxxxxxx & Co. Yield Frequency SemiAnnual
Credit Rating AAA/AAA Next Payment Date 09/13/2005 Orig Deal Size 2,754,054,199.21 Yield Day Count 30/360
Market Desc N/A Payment Freq Monthly Num of Tranches 33
Factor 1.00000000 Interest Freq Monthly Deal Age 0
</TABLE>
<TABLE>
TRIGGER OPTIONALCALL YES OPTIONALCALL YES OPTIONALCALL YES OPTIONALCALL YES OPTIONALCALL YES OPTIONALCALL YES
PREPAY (!YM) CPR 100 CPR 0 CPR 0 CPR 0 (!YM) CPR 100 (!YM) CPR 100
DEFAULT CDR 0 24 CDR 0 24 CDR 0 24 CDR 0 24
2 3 2 3
ADVANCES YES YES YES YES
RECV MNTH 12 12 12 12
RECV DISTR 100 1 100 1 100 1 100 1
LOSSES 0.35 0.35 0.35 0.35
------------------------------------------------------------------------------------------------------------------------------------
PRICE / YIELD
------------------------------------------------------------------------------------------------------------------------------------
0.4598 24.0608 24.9895 22.2864 21.0628 21.3025 20.0352
0.5223 21.0292 21.9904 19.2788 18.0666 18.2566 16.9985
0.5848 18.4789 19.4681 16.7528 15.5526 15.6978 14.4502
0.6473 16.2875 17.3010 14.5851 13.3971 13.5016 12.2650
0.7098 14.3727 15.4078 12.6930 11.5169 11.5844 10.3587
0.7723 12.6769 13.7312 11.0188 9.8541 9.8877 8.6727
0.8348 11.1582 12.2299 9.5205 8.3668 8.3693 7.1647
0.8973 9.7855 10.8729 8.1670 7.0238 6.9976 5.8029
0.9598 8.5348 9.6367 6.9345 5.8013 5.7484 4.5633
1.0223 7.3877 8.5028 5.8045 4.6807 4.6030 3.4271
1.0848 6.3293 7.4567 4.7622 3.6475 3.5466 2.3794
1.1473 5.3476 6.4865 3.7959 2.6898 2.5671 1.4083
1.2098 4.4331 5.5826 2.8959 1.7980 1.6549 0.5041
1.2723 3.5777 4.7371 2.0542 0.9641 0.8017 -0.3414
1.3348 2.7746 3.9433 1.2641 0.1815 0.0009 -1.1348
1.3973 2.0182 3.1957 0.5201 -0.5553 -0.7532 -1.8819
1.4598 1.3037 2.4896 -0.1826 -1.2512 -1.4654 -2.5874
1.5223 0.6269 1.8207 -0.8480 -1.9101 -2.1399 -3.2554
1.5848 -0.0156 1.1857 -1.4798 -2.5356 -2.7802 -3.8895
1.6473 -0.6270 0.5814 -2.0809 -3.1306 -3.3895 -4.4927
1.7098 -1.2100 0.0051 -2.6540 -3.6980 -3.9704 -5.0678
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE 8.18 8.45 8.09 7.94 7.85 7.71
MOD DURATION @ 1.0848 5.65 5.72 5.74 5.79 5.66 5.71
SPREAD INTERP. @ 1.0848 215 327 59 -52 -62 -178
</TABLE>
Page 1 of 1
--------------------------------------------------------------------------------
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.
<TABLE>
XXXXXX XXXXXXX
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07/22/2005 16:01:12 CARVE Version 47.0 /u/dsouzad/deal/hq6/050722/hq6.050722.carve
MSCI MSCI SERIES **2005-HQ6 **S&P/FITCH/DBRS CLASS X1
------------------------------------------------------------------------------------------------------------------------------------
Class X1 Settlement Date 08/11/2005 Coupon -1.00000 Cusip N/A
Original Balance 2,754,054,199.21 Dated Date 08/01/2005 Delay 12 Yield Table Date 07/22/2005
Current Balance 1.00 First Payment Date 09/13/2005 Lead Manager Xxxxxx Xxxxxxx & Co. Yield Frequency SemiAnnual
Credit Rating AAA/AAA Next Payment Date 09/13/2005 Orig Deal Size 2,754,054,199.21 Yield Day Count 30/360
Market Desc N/A Payment Freq Monthly Num of Tranches 33
Factor 1.00000000 Interest Freq Monthly Deal Age 0
</TABLE>
<TABLE>
TRIGGER OPTIONALCALL YES OPTIONALCALL YES OPTIONALCALL YES OPTIONALCALL YES OPTIONALCALL YES
PREPAY (!YM) CPR 100 CPR 0 (!YM) CPR 100 (!YM) CPR 100 (!YM) CPR 100
DEFAULT CDR 0 18 CDR 0 18 CDR 0 18
1 1.5 2
ADVANCES YES YES YES
RECV MNTH 12 12 12
RECV DISTR 100 1 100 1 100 1
LOSSES 0.35 0.35 0.35
-----------------------------------------------------------------------------------------------------------------
PRICE / YIELD
-----------------------------------------------------------------------------------------------------------------
0.5076 22.4277 23.4015 20.7528 19.8583 18.9881
0.5701 19.7492 20.7511 18.0805 17.1891 16.3264
0.6326 17.4590 18.4851 15.7964 14.9086 14.0532
0.6951 15.4657 16.5132 13.8092 12.9251 12.0768
0.7576 13.7060 14.7726 12.0554 11.1749 10.3335
0.8201 12.1343 13.2182 10.4893 9.6123 8.7774
0.8826 10.7170 11.8164 9.0772 8.2036 7.3749
0.9451 9.4282 10.5419 7.7933 6.9229 6.1001
1.0076 8.2480 9.3749 6.6177 5.7505 4.9332
1.0701 7.1608 8.2997 5.5347 4.6704 3.8584
1.1326 6.1538 7.3040 4.5316 3.6702 2.8632
1.1951 5.2167 6.3774 3.5982 2.7396 1.9373
1.2576 4.3410 5.5115 2.7260 1.8700 1.0722
1.3201 3.5197 4.6995 1.9079 1.0544 0.2610
1.3826 2.7468 3.9353 1.1381 0.2869 -0.5024
1.4451 2.0173 3.2140 0.4114 -0.4375 -1.2228
1.5076 1.3269 2.5313 -0.2764 -1.1231 -1.9047
1.5701 0.6717 1.8835 -0.9290 -1.7737 -2.5516
1.6326 0.0487 1.2675 -1.5497 -2.3923 -3.1668
1.6951 -0.5450 0.6804 -2.1412 -2.9820 -3.7531
1.7576 -1.1119 0.1199 -2.7061 -3.5450 -4.3129
-----------------------------------------------------------------------------------------------------------------
AVERAGE LIFE 8.18 8.45 7.98 7.88 7.80
MOD DURATION @ 1.1326 5.68 5.74 5.70 5.72 5.75
SPREAD INTERP. @ 1.1326 200 314 39 -47 -128
TRIGGER OPTIONALCALL YES OPTIONALCALL YES
PREPAY (!YM) CPR 100 (!YM) CPR 100
DEFAULT CDR 0 18 CDR 0 18
2.5 3
ADVANCES YES YES
RECV MNTH 12 12
RECV DISTR 100 1 100 1
LOSSES 0.35 0.35
-----------------------------------------------------------
PRICE / YIELD
-----------------------------------------------------------
0.5076 18.1924 17.4744
0.5701 15.5437 14.8417
0.6326 13.2828 12.5953
0.6951 11.3178 10.6436
0.7576 9.5850 8.9230
0.8201 8.0388 7.3880
0.8826 6.6454 6.0050
0.9451 5.3792 4.7483
1.0076 4.2204 3.5983
1.0701 3.1532 2.5393
1.1326 2.1651 1.5589
1.1951 1.2458 0.6469
1.2576 0.3871 -0.2051
1.3201 -0.4182 -1.0040
1.3826 -1.1758 -1.7556
1.4451 -1.8909 -2.4650
1.5076 -2.5676 -3.1363
1.5701 -3.2096 -3.7731
1.6326 -3.8201 -4.3788
1.6951 -4.4019 -4.9559
1.7576 -4.9574 -5.5069
-----------------------------------------------------------
AVERAGE LIFE 7.71 7.63
MOD DURATION @ 1.1326 5.79 5.83
SPREAD INTERP. @ 1.1326 -197 -257
</TABLE>
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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.
