XXXXXX XXXXXXX
--------------------------------------------------------------------------------
03/09/2005 13:58:26 CARVE Version 41.0
/u/dsouzad/deal/pwr7/050307/pwr7.050307.carve
BSCMS BSCMS SERIES 2005-PWR7 **FITCH/MOODYS CLASS A1
--------------------------------------------------------------------------------
Class A1 Settlement Date 03/24/2005
Original Balance 78,000,000.0 Dated Date 03/01/2005
Current Balance 78,000,000.0 First Payment Date 04/11/2005
Credit Rating AAA Next Payment Date 04/11/2005
Market Desc N/A Payment Freq Monthly
Factor 1.00000000 Interest Freq Monthly
Coupon 4.36100 Cusip N/A
Delay 10 Yield Table Date 03/09/2005
Lead Manager Xxxxxx Xxxxxxx & Co. Yield Frequency XxxxXxxxxx
Xxxx Deal Size 1,124,565,651.77 Yield Day Count 30/360
Num of Tranches 28
Deal Age 0
PREPAY CPR 0
-------------------------------------------
PRICE / YIELD
-------------------------------------------
99.6232 4.4995
99.6857 4.4753
99.7482 4.4512
99.8107 4.4270
99.8732 4.4029
99.9357 4.3789
99.9982 4.3548
100.0607 4.3308
100.1232 4.3067
100.1857 4.2828
100.2482 4.2588
100.3107 4.2348
100.3732 4.2109
100.4357 4.1870
100.4982 4.1631
100.5607 4.1393
100.6232 4.1154
100.6857 4.0916
100.7482 4.0678
100.8107 4.0440
100.8732 4.0203
-------------------------------------------
AVERAGE LIFE 2.86
MOD DURATION @ 100.2482 2.60
FIRST PRIN 04/11/2005
LAST PRIN 02/11/2010
PAYMENT WINDOW 59
USD SWAP SPREAD @ 100.2482 6
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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
03/04/2005 10:07:38 CARVE Version 41.0
/u/dsouzad/deal/pwr7/red/pwr7.red.050301.carve
BSCMS BSCMS SERIES 2005-PWR7 **FITCH/MOODYS CLASS A1
--------------------------------------------------------------------------------
Class A1 Settlement Date 03/24/2005
Original Balance 78,000,000.00 Dated Date 03/01/2005
Current Balance 78,000,000.00 First Payment Date 04/11/2005
Credit Rating AAA Next Payment Date 04/11/2005
Market Desc N/A Payment Freq Monthly
Factor 1.00000000 Interest Freq Monthly
Coupon 4.26100 Cusip N/A
Delay 10 Yield Table Date 03/04/2005
Lead Manager Xxxxxx Xxxxxxx & Co. Yield Frequency XxxxXxxxxx
Xxxx Deal Size 1,124,565,651.77 Yield Day Count 30/360
Num of Tranches 28
Deal Age 0
PREPAY CPR 0 CPR 0 CPR 0 CPR 0 CPR 0 CPR 0 CPR 0 (!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
99.6247 4.3980 4.4087 4.4165 4.4223 4.4267 4.4303 4.4404 4.3985
99.6872 4.3738 4.3820 4.3879 4.3922 4.3956 4.3983 4.4060 4.3742
99.7497 4.3497 4.3552 4.3592 4.3622 4.3645 4.3663 4.3715 4.3500
99.8122 4.3257 4.3286 4.3307 4.3322 4.3334 4.3344 4.3371 4.3258
99.8747 4.3016 4.3019 4.3021 4.3023 4.3024 4.3025 4.3027 4.3016
99.9372 4.2776 4.2753 4.2736 4.2723 4.2714 4.2706 4.2684 4.2775
99.9997 4.2536 4.2486 4.2451 4.2424 4.2404 4.2387 4.2341 4.2533
100.0622 4.2296 4.2221 4.2166 4.2125 4.2094 4.2069 4.1998 4.2292
100.1247 4.2056 4.1955 4.1881 4.1826 4.1785 4.1751 4.1655 4.2051
100.1872 4.1817 4.1690 4.1597 4.1528 4.1475 4.1434 4.1313 4.1811
100.2497 4.1578 4.1424 4.1313 4.1230 4.1167 4.1116 4.0971 4.1570
100.3122 4.1339 4.1159 4.1029 4.0932 4.0858 4.0799 4.0629 4.1330
100.3747 4.1100 4.0895 4.0746 4.0635 4.0550 4.0483 4.0288 4.1090
100.4372 4.0862 4.0630 4.0462 4.0337 4.0242 4.0166 3.9947 4.0850
100.4997 4.0623 4.0366 4.0179 4.0040 3.9934 3.9850 3.9606 4.0610
100.5622 4.0385 4.0102 3.9897 3.9744 3.9626 3.9534 3.9266 4.0371
100.6247 4.0147 3.9838 3.9614 3.9447 3.9319 3.9218 3.8925 4.0132
100.6872 3.9910 3.9575 3.9332 3.9151 3.9012 3.8903 3.8586 3.9893
100.7497 3.9672 3.9312 3.9050 3.8855 3.8706 3.8588 3.8246 3.9654
100.8122 3.9435 3.9049 3.8768 3.8559 3.8399 3.8273 3.7907 3.9416
100.8747 3.9198 3.8786 3.8486 3.8264 3.8093 3.7958 3.7568 3.9178
AVERAGE LIFE 2.86 2.55 2.37 2.25 2.16 2.10 1.94 2.84
FIRST PRIN 04/11/2005 04/11/2005 04/11/2005 04/11/2005 04/11/2005 04/11/2005 04/11/2005 04/11/2005
LAST PRIN 02/11/2010 07/11/2009 01/11/2009 09/11/2008 07/11/2008 05/11/2008 11/11/2007 01/11/2010
PAYMENT WINDOW 59 52 46 42 40 38 32 58
ACCRUAL FACTOR 0.2722 0.2722 0.2722 0.2722 0.2722 0.2722 0.2722 0.2722
MOD DURATION @ 100.2497 2.60 2.35 2.19 2.09 2.01 1.96 1.82 2.59
USD SWAP SPREAD @ 100.2497 6 11 13 15 16 17 20 6
PREPAY (!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
99.6247 4.4087 4.4165 4.4223 4.4267 4.4303 4.4404
99.6872 4.3820 4.3879 4.3922 4.3956 4.3983 4.4060
99.7497 4.3552 4.3592 4.3622 4.3645 4.3663 4.3715
99.8122 4.3286 4.3307 4.3322 4.3334 4.3344 4.3371
99.8747 4.3019 4.3021 4.3023 4.3024 4.3025 4.3027
99.9372 4.2753 4.2736 4.2723 4.2714 4.2706 4.2684
99.9997 4.2486 4.2451 4.2424 4.2404 4.2387 4.2341
100.0622 4.2221 4.2166 4.2125 4.2094 4.2069 4.1998
100.1247 4.1955 4.1881 4.1826 4.1785 4.1751 4.1655
100.1872 4.1690 4.1597 4.1528 4.1475 4.1434 4.1313
100.2497 4.1424 4.1313 4.1230 4.1167 4.1116 4.0971
100.3122 4.1159 4.1029 4.0932 4.0858 4.0799 4.0629
100.3747 4.0895 4.0746 4.0635 4.0550 4.0483 4.0288
100.4372 4.0630 4.0462 4.0337 4.0242 4.0166 3.9947
100.4997 4.0366 4.0179 4.0040 3.9934 3.9850 3.9606
100.5622 4.0102 3.9897 3.9744 3.9626 3.9534 3.9266
100.6247 3.9838 3.9614 3.9447 3.9319 3.9218 3.8925
100.6872 3.9575 3.9332 3.9151 3.9012 3.8903 3.8586
100.7497 3.9312 3.9050 3.8855 3.8706 3.8588 3.8246
100.8122 3.9049 3.8768 3.8559 3.8399 3.8273 3.7907
100.8747 3.8786 3.8486 3.8264 3.8093 3.7958 3.7568
AVERAGE LIFE 2.55 2.37 2.25 2.16 2.10 1.94
FIRST PRIN 04/11/2005 04/11/2005 04/11/2005 04/11/2005 04/11/2005 04/11/2005
LAST PRIN 07/11/2009 01/11/2009 09/11/2008 07/11/2008 05/11/2008 11/11/2007
PAYMENT WINDOW 52 46 42 40 38 32
ACCRUAL FACTOR 0.2722 0.2722 0.2722 0.2722 0.2722 0.2722
MOD DURATION @ 100.2497 2.35 2.19 2.09 2.01 1.96 1.82
USD SWAP SPREAD @ 100.2497 11 13 15 16 17 20
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
--------------------------------------------------------------------------------
03/04/2005 10:07:38 CARVE Version 41.0
/u/dsouzad/deal/pwr7/red/pwr7.red.050301.carve
BSCMS BSCMS SERIES 2005-PWR7 **FITCH/MOODYS CLASS A2
--------------------------------------------------------------------------------
Class A2 Settlement Date 03/24/2005
Original Balance 188,000,000.00 Dated Date 03/01/2005
Current Balance 188,000,000.00 First Payment Date 04/11/2005
Credit Rating AAA Next Payment Date 04/11/2005
Market Desc N/A Payment Freq Monthly
Factor 1.00000000 Interest Freq Monthly
Coupon 4.80700 Cusip N/A
Delay 10 Yield Table Date 03/04/2005
Lead Manager Xxxxxx Xxxxxxx & Co. Yield Frequency XxxxXxxxxx
Xxxx Deal Size 1,124,565,651.77 Yield Day Count 30/360
Num of Tranches 28
Deal Age 0
PREPAY CPR 0 CPR 0 CPR 0 CPR 0 CPR 0 CPR 0 CPR 0 (!YM)
DEFAULT CDR 1 CDR 2 CDR 3 CDR 4 CDR 5 CDR 10 CPR 100
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
99.9225 4.8455 4.8451 4.8446 4.8441 4.8435 4.8428 4.8390 4.8451
99.9850 4.8344 4.8336 4.8326 4.8315 4.8302 4.8289 4.8208 4.8337
100.0475 4.8234 4.8221 4.8207 4.8189 4.8170 4.8149 4.8026 4.8223
100.1100 4.8123 4.8107 4.8087 4.8064 4.8038 4.8009 4.7844 4.8109
100.1725 4.8013 4.7992 4.7968 4.7939 4.7906 4.7870 4.7663 4.7995
100.2350 4.7903 4.7878 4.7848 4.7813 4.7774 4.7731 4.7481 4.7882
100.2975 4.7793 4.7764 4.7729 4.7688 4.7642 4.7592 4.7300 4.7768
100.3600 4.7683 4.7650 4.7610 4.7563 4.7510 4.7453 4.7118 4.7654
100.4225 4.7573 4.7536 4.7491 4.7438 4.7379 4.7314 4.6937 4.7541
100.4850 4.7463 4.7422 4.7371 4.7313 4.7247 4.7175 4.6756 4.7427
100.5475 4.7353 4.7308 4.7252 4.7188 4.7116 4.7036 4.6575 4.7314
100.6100 4.7243 4.7194 4.7134 4.7063 4.6984 4.6898 4.6395 4.7201
100.6725 4.7134 4.7080 4.7015 4.6939 4.6853 4.6759 4.6214 4.7088
100.7350 4.7024 4.6966 4.6896 4.6814 4.6722 4.6621 4.6034 4.6975
100.7975 4.6915 4.6853 4.6778 4.6690 4.6591 4.6482 4.5853 4.6862
100.8600 4.6806 4.6739 4.6659 4.6565 4.6460 4.6344 4.5673 4.6749
100.9225 4.6696 4.6626 4.6541 4.6441 4.6329 4.6206 4.5493 4.6636
100.9850 4.6587 4.6513 4.6422 4.6317 4.6199 4.6068 4.5313 4.6523
101.0475 4.6478 4.6399 4.6304 4.6193 4.6068 4.5930 4.5134 4.6410
101.1100 4.6369 4.6286 4.6186 4.6069 4.5937 4.5793 4.4954 4.6298
101.1725 4.6260 4.6173 4.6068 4.5945 4.5807 4.5655 4.4775 4.6185
AVERAGE LIFE 6.76 6.48 6.18 5.85 5.52 5.20 3.85 6.51
FIRST PRIN 12/11/2011 07/11/2009 01/11/2009 09/11/2008 07/11/2008 05/11/2008 11/11/2007 01/11/2010
LAST PRIN 03/11/2012 01/11/2012 01/11/2012 01/11/2012 12/11/2011 12/11/2011 06/11/2010 01/11/2012
PAYMENT WINDOW 4 31 37 41 42 44 32 25
ACCRUAL FACTOR 0.3071 0.3071 0.3071 0.3071 0.3071 0.3071 0.3071 0.3071
MOD DURATION @ 100.5475 5.65 5.44 5.21 4.97 4.72 4.47 3.43 5.47
USD SWAP SPREAD @ 100.5475 19 21 23 26 28 30 41 21
PREPAY (!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
99.9225 4.8448 4.8443 4.8438 4.8433 4.8427 4.8390
99.9850 4.8330 4.8321 4.8310 4.8298 4.8285 4.8208
100.0475 4.8212 4.8198 4.8182 4.8163 4.8144 4.8025
100.1100 4.8094 4.8075 4.8053 4.8029 4.8002 4.7843
100.1725 4.7976 4.7953 4.7925 4.7895 4.7861 4.7661
100.2350 4.7858 4.7830 4.7797 4.7760 4.7720 4.7480
100.2975 4.7741 4.7708 4.7669 4.7626 4.7579 4.7298
100.3600 4.7623 4.7585 4.7542 4.7492 4.7438 4.7117
100.4225 4.7505 4.7463 4.7414 4.7358 4.7297 4.6935
100.4850 4.7388 4.7341 4.7286 4.7224 4.7157 4.6754
100.5475 4.7271 4.7219 4.7159 4.7090 4.7016 4.6573
100.6100 4.7154 4.7097 4.7031 4.6957 4.6876 4.6392
100.6725 4.7036 4.6975 4.6904 4.6823 4.6735 4.6211
100.7350 4.6919 4.6854 4.6777 4.6690 4.6595 4.6031
100.7975 4.6803 4.6732 4.6649 4.6556 4.6455 4.5850
100.8600 4.6686 4.6611 4.6522 4.6423 4.6315 4.5670
100.9225 4.6569 4.6489 4.6395 4.6290 4.6175 4.5490
100.9850 4.6452 4.6368 4.6269 4.6157 4.6035 4.5309
101.0475 4.6336 4.6246 4.6142 4.6024 4.5895 4.5130
101.1100 4.6219 4.6125 4.6015 4.5891 4.5756 4.4950
101.1725 4.6103 4.6004 4.5889 4.5758 4.5616 4.4770
AVERAGE LIFE 6.27 5.99 5.70 5.41 5.11 3.84
FIRST PRIN 07/11/2009 01/11/2009 09/11/2008 07/11/2008 05/11/2008 11/11/2007
LAST PRIN 10/11/2011 10/11/2011 10/11/2011 09/11/2011 09/11/2011 06/11/2010
PAYMENT WINDOW 28 34 38 39 41 32
ACCRUAL FACTOR 0.3071 0.3071 0.3071 0.3071 0.3071 0.3071
MOD DURATION @ 100.5475 5.29 5.08 4.86 4.63 4.41 3.42
USD SWAP SPREAD @ 100.5475 23 24 27 29 31 41
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
--------------------------------------------------------------------------------
03/09/2005 10:26:02 CARVE Version 41.0
/u/dsouzad/deal/pwr7/050307/pwr7.050307.carve
BSCMS BSCMS SERIES 2005-PWR7 **FITCH/MOODYS CLASS X2
--------------------------------------------------------------------------------
Class X2 Settlement Date 03/24/2005
Original Balance 1,092,297,000.00 Dated Date 03/01/2005
Current Balance 1,092,297,000.00 First Payment Date 04/11/2005
Credit Rating AAA/AAA Next Payment Date 04/11/2005
Market Desc N/A Payment Freq Monthly
Factor 1.00000000 Interest Freq Monthly
Coupon -1.00000 Cusip N/A
Delay 10 Yield Table Date 03/09/2005
Lead Manager Xxxxxx Xxxxxxx & Co. Yield Frequency XxxxXxxxxx
Xxxx Deal Size 1,124,565,651.77 Yield Day Count 30/360
Num of Tranches 28
Deal Age 0
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 3 CDR 6 CDR 7
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
1.2905 12.2683 12.2683 12.2681 12.2680 12.0221
1.3217 11.3735 11.3734 11.3733 11.3731 11.1260
1.3530 10.5141 10.5141 10.5139 10.5138 10.2654
1.3842 9.6879 9.6878 9.6877 9.6875 9.4380
1.4155 8.8926 8.8925 8.8924 8.8923 8.6416
1.4467 8.1263 8.1263 8.1261 8.1260 7.8743
1.4780 7.3872 7.3872 7.3870 7.3869 7.1342
1.5092 6.6737 6.6737 6.6735 6.6734 6.4198
1.5405 5.9842 5.9842 5.9841 5.9839 5.7294
1.5717 5.3175 5.3175 5.3173 5.3172 5.0618
1.6030 4.6721 4.6721 4.6720 4.6718 4.4156
1.6342 4.0470 4.0470 4.0469 4.0467 3.7897
1.6655 3.4410 3.4410 3.4409 3.4407 3.1830
1.6967 2.8532 2.8532 2.8531 2.8529 2.5944
1.7280 2.2826 2.2825 2.2824 2.2823 2.0231
1.7592 1.7283 1.7283 1.7281 1.7280 1.4681
1.7905 1.1895 1.1895 1.1894 1.1893 0.9287
1.8217 0.6656 0.6655 0.6654 0.6653 0.4042
1.8530 0.1557 0.1557 0.1555 0.1554 -0.1063
1.8842 -0.3408 -0.3408 -0.3409 -0.3410 -0.6034
1.9155 -0.8244 -0.8245 -0.8246 -0.8247 -1.0876
AVERAGE LIFE 6.06 6.06 6.06 6.06 5.99
MOD DURATION @ 1.6030 3.02 3.02 3.02 3.02 3.01
SPREAD INTERP. @ 1.6030 50 50 50 50 25
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.
