EX-99.1 3 mo734246v2-ex99_1.txt STRUCTURAL TERM SHEETS Exhibit 99.1 ------------------------------ ----------------------------- ------------------- Morgan Stanley September 29, 2003 Securitized Products Group Morgan Stanley [GRAPHIC OMITTED] ------------------------------ ----------------------------- ------------------- Computational Materials $321,679,000 Approximately Morgan Stanley ABS Capital I Inc. Series 2003-HE3 Mortgage Pass-Through Certificates ________________________________________________________________________________ This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information 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 trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ________________________________________________________________________________ Page 1 ------------------------------ ----------------------------- ------------------- Morgan Stanley September 29, 2003 Securitized Products Group Morgan Stanley [GRAPHIC OMITTED] ------------------------------ ----------------------------- ------------------- Approximately $321,679,000 Morgan Stanley ABS Capital I Inc., Series 2003-HE3 Morgan Stanley ABS Capital I Inc. Depositor Chase Manhattan Mortgage Corporation Servicer Transaction Highlights
----------- ------------ -------------- ------------------ ----------- ------------ ------------------------- Modified Expected Ratings Avg Life Duration Offered (S&P/Fitch/ to Call / To Call / Payment Window To Call Classes Description Balance(4) Moody's) Mty(1)(2) Mty(1)(2)(3) / Mty(1)(2) =========== ============ ============== ================== =========== ============ ========================= A-1 Not Offered 240,798,000 *****Not Offered***** A-2 Floater 159,000,000 AAA/AAA/Aaa 1.49 / 1.49 1.49 / 1.49 11/03 - 07/07 / 11/03 - 07/07 A-3 Floater 61,980,000 AAA/AAA/Aaa 6.20 / 7.17 5.92 / 6.74 07/07 - 11/11 / 07/07 - 06/21 M-1 Floater 37,403,000 AA/AA/Aa2 5.37 / 5.93 5.11 / 5.58 01/07 - 11/11 / 01/07 - 07/18 M-2 Floater 30,209,000 A/A/A2 5.35 / 5.85 4.91 / 5.29 12/06 - 11/11 / 12/06 - 05/17 M-3 Floater 8,631,000 A-/A-/A3 5.35 / 5.78 4.86 / 5.18 11/06 - 11/11 / 11/06 - 09/15 B-1 Floater 8,631,000 BBB+/BBB+/Baa1 5.34 / 5.71 4.63 / 4.88 11/06 - 11/11 / 11/06 - 01/15 B-2 Floater 8,631,000 BBB/BBB/Baa2 5.34 / 5.61 4.59 / 4.77 11/06 - 11/11 / 11/06 - 02/14 B-3 Floater 7,194,000 BBB-/BBB-/Baa3 5.33 / 5.41 4.59 / 4.64 11/06 - 11/11 / 11/06 - 12/12
(TABLE CONTINUED) ----------- -------------- ------------- Initial Offered Subordination Classes Level Benchmark =========== ============== ============= A-1 A-2 19.75% 1 Mo. LIBOR A-3 19.75% 1 Mo. LIBOR M-1 13.25% 1 Mo. LIBOR M-2 8.00% 1 Mo. LIBOR M-3 6.50% 1 Mo. LIBOR B-1 5.00% 1 Mo. LIBOR B-2 3.50% 1 Mo. LIBOR B-3 2.25% 1 Mo. LIBOR ________________________________________________________________________________ Notes: (1) Certificates are priced to the 10% optional clean-up call. (2) Based on the pricing prepayment speed. See details below. (3) Assumes pricing at par. (4) Bond sizes subject to a variance of plus or minus 5%. Issuer: Morgan Stanley ABS Capital I Inc. Trust 2003-HE3. Depositor: Morgan Stanley ABS Capital I Inc. Originators: Aames Capital Corporation and Accredited Home Lenders, Inc. Servicer: Chase Manhattan Mortgage Corporation Trustee: Deutsche Bank National Trust Company. Managers: Morgan Stanley (lead manager), Blaylock & Partners, L.P. and Utendahl Capital Partners, L.P. ________________________________________________________________________________ This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information 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 trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ________________________________________________________________________________ Page 2 Rating Agencies: Standard & Poor's, Fitch Ratings and Moody's Investors Service. Offered Certificates: Classes A-2, A-3, M-1, M-2, M-3, B-1, B-2 and B-3 Certificates. Group II Class A Class A-2 and A-3 Certificates. Certificates: Expected Closing Date: October 30, 2003 through DTC and Euroclear or Clearstream. The Certificates will be sold without accrued interest. Distribution Dates: The 25th of each month, or if such day is not a business day, on the next business day, beginning November 25, 2003. Final Scheduled Distribution Date: The Distribution Date occurring in October 2033. Due Period: For any Distribution Date, the period commencing on the second day of the month preceding the month in which such Distribution Date occurs and ending on the first day of the month in which such Distribution Date occurs. Interest Accrual Period: The interest accrual period for the Offered Certificates with respect to any Distribution Date will be the period beginning with the previous Distribution Date (or, in the case of the first Distribution Date, the Closing Date) and ending on the day prior to the current Distribution Date (on an actual/360 day count basis). Mortgage Loans: The Trust will consist of two groups of adjustable and fixed rate sub-prime residential mortgage loans. Group I Mortgage Loans: Approximately $300.1 million of Mortgage Loans with original principal balances that conform to the original principal balance limits for one- to four-family residential mortgage loan guidelines for purchase by Freddie Mac. Group II Mortgage Loans: Approximately $275.4 million of Mortgage Loans that predominantly have original principal balances that do not conform to the original principal balance limits for one- to four-family residential mortgage loan guidelines for purchase by Freddie Mac. Pricing Prepayment Speed: o Fixed Rate Mortgage Loans: CPR starting at approximately 1.5333% CPR in month 1 and increasing to 23% CPR in month 15 (23%/15 CPR increase for each month), and remaining at 23% CPR thereafter o ARM Mortgage Loans: CPR of 25% Credit Enhancement: The Offered Certificates are credit enhanced by: 1) Net monthly excess cashflow from the Mortgage Loans, 2) 2.25% overcollateralization (funded upfront). On and after the Step-down Date, so long as a Trigger Event is not in effect, the required overcollateralization will equal 4.50% of the aggregate principal balance of the Mortgage Loans as of the last day of the applicable Due Period, subject to a 0.50% floor, based on the aggregate principal balance of the Mortgage Loans as of the cut-off date, and 3) Subordination of distributions on the more subordinate classes of certificates (if applicable) to the required distributions on the more senior classes of certificates. Senior Enhancement For any Distribution Date, the percentage Percentage: obtained by dividing (x) the aggregate Certificate Principal Balance of the subordinate certificates (together with any overcollateralization and taking into account the distributions of the Principal Distribution Amount for such Distribution Date) by (y) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period. ________________________________________________________________________________ This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information 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 trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ________________________________________________________________________________ Page 3 Step-down Date: The later to occur of: (x) The earlier of: (a) The Distribution Date occurring in November 2006; and (b) The Distribution Date on which the aggregate balance of the Class A Certificates is reduced to zero; and (y) The first Distribution Date on which the Senior Enhancement Percentage (calculated for this purpose only after taking into account payments of principal on the Mortgage Loans on the last day of the related Due Period but prior to principal distributions to the certificates on the applicable Distribution Date) is greater than or equal to approximately 39.50%. Trigger Event: Either a Delinquency Trigger Event or a Cumulative Loss Trigger Event. Delinquency Trigger Event: A Delinquency Trigger Event is in effect on any Distribution Date if on that Distribution Date the 60 Day+ Rolling Average equals or exceeds 40% of the prior period's Senior Enhancement Percentage. The 60 Day+ Rolling Average will equal the rolling 3 month average percentage of Mortgage Loans that are 60 or more days delinquent.
Cumulative Loss Trigger A Cumulative Loss Trigger Event is in effect on Event: any Distribution Date if the aggregate amount ofRealized Losses incurred since the cut-off date through the last day of the related Prepayment Period divided by the aggregate Stated Principal Balance of the mortgage loans as of the cut-off date exceeds the applicable percentages described below with respect to such distribution date: Months 37- 48 [4.00] for the first month, plus an additional 1/12th of [0.75] for each month thereafter (e.g., [4.375] in Month 43) Months 49- 60 [4.75] for the first month, plus an additional 1/12th of [0.75] for each month thereafter (e.g., [5.125] in Month 55) Months 61- 72 [5.50] for the first month, plus an additional 1/12th of [0.50] for each month thereafter (e.g., [5.75] in Month 67) Months 73- 84 [6.00] for the first month, plus an additional 1/12th of [0.50] for each month thereafter (e.g., [6.25] in Month 79) Months 85- thereafter [6.50]
Initial Subordination Class A: 19.75% Percentage: Class M-1: 13.25% Class M-2: 8.00% Class M-3: 6.50% Class B-1: 5.00% Class B-2: 3.50% Class B-3: 2.25% Optional Clean-up Call: When the current aggregate principal balance of the Mortgage Loans is less than or equal to 10% of the aggregate principal balance of the Mortgage Loans as of the cut-off date. Step-up Coupons: For all Offered Certificates the coupon will increase after the optional clean-up call date, should the call not be exercised. The applicable fixed margin will increase by 2x on the Class A Certificates and by 1.5x on all other Certificates on and after the first distribution date on which the Optional Clean-up Call is exercisable. ________________________________________________________________________________ This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information 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 trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ________________________________________________________________________________ Page 4 Class A-1 Pass-Through Rate: The Class A-1 Certificates will accrue interest at a variable rate equal to the least of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable), (ii) the Loan Group I Cap and (iii) the WAC Cap. Class A-2 and Class A-3 The Class A-2 and Class A-3 Certificates will Pass-Through Rate: accrue interest at a variable rate equal to the least of (i) one-month LIBOR plus [ ] bps ([ ] bps after the first distribution date on which the Optional Clean-up Call is exercisable), (ii) the Loan Group II Cap and (iii) the WAC Cap. Class M-1 Pass-Through Rate: The Class M-1 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ] bps ([ ] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class M-2 Pass-Through Rate: The Class M-2 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ] bps ([ ] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class M-3 Pass-Through Rate: The Class M-3 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class B-1 Pass-Through Rate: The Class B-1 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class B-2 Pass-Through Rate: The Class B-2 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class B-3 Pass-Through Rate: The Class B-3 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. WAC Cap: As to any Distribution Date a per annum rate equal to the product of (i) the weighted average gross rate of the Mortgage Loans in effect on the beginning of the related Due Period less servicing, trustee and other fee rates, and (ii) a fraction, the numerator of which is 30 and the denominator of which is the actual number of days in the related Interest Accrual Period. Loan Group I Cap: As to any Distribution Date, a per annum rate equal to the product of (i) weighted average gross rate of the Group I Mortgage Loans in effect on the beginning of the related Due Period less servicing, trustee and other fee rates, and (ii) a fraction, the numerator of which is 30 and the denominator of which is the actual number of days in the related Interest Accrual Period. Loan Group II Cap: As to any Distribution Date, a per annum rate equal to the product of (i) weighted average gross rate of the Group II Mortgage Loans in effect on the beginning of the related Due Period less servicing, trustee and other fee rates, and (ii) a fraction, the numerator of which is 30 and the denominator of which is the actual number of days in the related Interest Accrual Period. ________________________________________________________________________________ This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information 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 trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ________________________________________________________________________________ Page 5 Class A-1 Basis Risk As to any Distribution Date, the supplemental Carry Forward Amount: interest amount for the Class A-1 Certificates will equal be the the sum of: (i) The excess, if any, of interest that would otherwise be due on such Certificates at the Class A-1 Pass-Through Rate (without regard to the Loan Group I Cap or WAC Cap) over interest due such Certificates at a rate equal to the lesser of the Loan Group I Cap or WAC Cap; (ii) Any Class A-1 Basis Risk Carry Forward Amount remaining unpaid from prior Distribution Dates; and (iii) Interest on the amount in clause (ii) at the related Class A-1 Pass-Through Rate (without regard to the Loan Group I Cap or WAC Cap). Class A-2 and Class A-3 As to any Distribution Date, the supplemental Basis Risk Carry Forward interest amount for the Class A-2 and Class A-3 Amount: Certificates will equal the sum of: (i) The excess, if any, of interest that would otherwise be due on such Certificates at the Class A-2 and Class A-3 Pass-Through Rate (without regard to the Loan Group II Cap or WAC Cap) over interest due such Certificates at a rate equal to the lesser of the Loan Group II Cap or WAC Cap; (ii) Any Class A-2 and Class A-3 Basis Risk Carry Forward Amount remaining unpaid from prior Distribution Dates; and (iii) Interest on the amount in clause (ii) at the related Class A-2 and Class A-3 Pass-Through Rate (without regard to the Loan Group II Cap or WAC Cap). Class M-1, M-2, M-3, As to any Distribution Date, the supplemental B-1, B-2 and B-3 Basis Risk interest amount for each of the Class M-1, M-2, Carry Forward Amounts: M-3, B-1, B-2 and B-3 Certificates will equal the sum of: (i) The excess, if any, of interest that would otherwise be due on such Certificates at such Certificates' applicable Pass-Through Rate (without regard to the WAC Cap) over interest due such Certificates at a rate equal to the WAC Cap; (ii) Any Basis Risk Carry Forward Amount for such class remaining unpaid for such Certificate from prior Distribution Dates; and (iii) Interest on the amount in clause (ii) at the Certificates' applicable Pass-Through Rate (without regard to the WAC Cap). Interest Distributions on On each Distribution Date and after payments Offered Certificates: of servicing and trustee fees and other expenses, interest distributions from the Interest Remittance Amount will be allocated as follows: (i) The portion of the Interest Remittance Amount attributable to the Group I Mortgage Loans will be allocated according to the related Accrued Certificate Interest and any unpaid interest shortfall amounts for such class, as applicable, first, to the Class A-1 Certificates and second, to the Class A-2 and Class A-3 Certificates; (ii) The portion of the Interest Remittance Amount attributable to the Group II Mortgage Loans will be allocated according to the related Accrued Certificate Interest and any unpaid interest shortfall amounts for such class, as applicable, first, to the Class A-2 and Class A-3 Certificates and second, to the Class A-1 Certificates; (iii) To the Class M-1 Certificates, its Accrued Certificate Interest; (iv) To the Class M-2 Certificates, its Accrued Certificate Interest; (v) To the Class M-3 Certificates, its Accrued Certificate Interest; (vi) To the Class B-1 Certificates, its Accrued Certificate Interest; (vii) To the Class B-2 Certificates, its Accrued Certificate Interest, and (viii) To the Class B-3 Certificates, its Accrued Certificate Interest. ________________________________________________________________________________ This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information 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 trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ________________________________________________________________________________ Page 6 Principal Distributions on On each Distribution Date (a) prior to the Offered Certificates: Stepdown Date or (b) on which a Trigger Event is in effect, principal distributions from the Principal Distribution Amount will be allocated as follows: (i) to the Class A Certificates, allocated between the Class A Certificates as described below, until the Certificate Principal Balances thereof have been reduced to zero; (ii) to the Class M-1 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (iii) to the Class M-2 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (iv) to the Class M-3 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (v) to the Class B-1 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (vi) to the Class B-2 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; and (vii) to the Class B-3 Certificates, until the Certificate Principal Balance thereof has been reduced to zero. On each Distribution Date (a) on or after the Stepdown Date and (b) on which a Trigger Event is not in effect, the principal distributions from the Principal Distribution Amount will be allocated as follows: (i) to the Class A Certificates, the lesser of the Principal Distribution Amount and the Class A Principal Distribution Amount, allocated between the Class A Certificates as described below, until the Certificate Principal Balances thereof have been reduced to zero; (ii) to the Class M-1 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-1 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (iii) to the Class M-2 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-2 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (iv) to the Class M-3 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-3 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (v) to the Class B-1 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-1 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (vi) to the Class B-2 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-2 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; and (vii) to the Class B-3 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-3 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero. ________________________________________________________________________________ This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information 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 trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ________________________________________________________________________________ Page 7 Class A Principal Allocation: Except as described below, the Group II Class A Certificates will receive principal sequentially, and the Class A-3 Certificates will not receive principal distributions until the Certificate Principal Balance of the Class A-2 Certificates has been reduced to zero. The Group II Class A Certificates will receive principal sequentially, and the Class A-3 Certificates will not receive principal distributions until the Certificate Principal Balance of the Class A-2 Certificates has been reduced to zero. All principal distributions to the holders of the Class A Certificates on any Distribution Date will be allocated concurrently between the Class A-1 Certificates, on the one hand, and the Group II Class A Certificates, on the other hand, based on the Class A Principal Allocation Percentage for the Class A-1 Certificates and the Group II Class A Certificates, as applicable. However, if the Class Certificate Balances of the Class A Certificates in either Class A Certificate Group are reduced to zero, then the remaining amount of principal distributions distributable to the Class A Certificates on that Distribution Date, and the amount of those principal distributions distributable on all subsequent Distribution Dates, will be distributed to the holders of the Class A certificates in the other Class A Certificate Group remaining outstanding, in accordance with the principal distribution allocations described herein, until their Class Certificate Balances have been reduced to zero. Any payments of principal to the Class A-1 Certificates will be made first from payments relating to the Group I Mortgage Loans, and any payments of principal to the Group II Class A Certificates will be made first from payments relating to the Group II Mortgage Loans. Notwithstanding the above, in the event that all subordinate classes, including the Class X certificates, have been reduced to zero, principal distributions to the Group II Class A Certificates will be distributed pro rata between the Group II Class A Certificates. Class A-2 and Class A-3 Beginning on the first Distribution Date, and Interest Rate Cap: for a period of 35 months thereafter, an Interest Rate Cap will be pledged to the Trust for the benefit of the Class A-2 and Class A-3 Certificates. For its duration, the Class A-2 and Class A-3 Interest Rate Cap pays the Trust the product of (i) the difference between the then current 1-month LIBOR rate (not to exceed the cap ceiling) and the cap strike (on an Actual/360 day count basis) and (ii) the Class A-2 and Class A-3 Interest Rate Cap Notional Balance ("the Class A-2 and Class A-3 Interest Rate Cap Payment") as described on the schedule herein. Class A-2 and Class A-3 The Class A-2 and Class A-3 Interest Rate Cap Carry Interest Rate Payment shall be available to pay any Basis Risk Cap Allocation: Payment Forward Amount due to the Class A-2 and Class A-3 Certificates on a pro rata basis. Class M Interest Rate Cap: Beginning on the first Distribution Date, and for a period of 51 months thereafter, an Interest Rate Cap will be pledged to the Trust for the benefit of the Class M Certificates. For its duration, the Class M Interest Rate Cap pays the Trust the product of (i) the difference between the then current 1-month LIBOR rate (not to exceed the cap ceiling) and the cap strike (on an Actual/360 day count basis) and (ii) the Class M Interest Rate Cap Notional Balance ("the Class M Interest Rate Cap Payment") as described on the schedule herein. ________________________________________________________________________________ This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information 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 trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ________________________________________________________________________________ Page 8 Class M Interest Rate Cap The Class M Interest Rate Cap Payment shall Payment Allocation: be available to pay any Basis Risk Carry Forward Amount due to the Class M-1, Class M-2 and Class M-3 Certificates on a pro rata basis. Class B Interest Rate Cap: Beginning on the first Distribution Date, and for a period of 51 months thereafter, an Interest Rate Cap will be pledged to the Trust for the benefit of the Class B Certificates. For its duration, the Class B Interest Rate Cap pays the Trust the product of (i) the difference between the then current 1-month LIBOR rate (not to exceed the cap ceiling) and the cap strike (on an Actual/360 day count basis) and (ii) the Class B Interest Rate Cap Notional Balance ("the Class B Interest Rate Cap Payment") as described on the schedule herein. Class B Interest Rate Cap The Class B Interest Rate Cap Payment shall Payment Allocation: be available to pay any Basis Risk Carry Forward Amount due to the Class B-1, Class B-2 and Class B-3 Certificates on a pro rata basis. Allocation of Net Monthly For any Distribution Date, any Net Monthly Excess Excess Cashflow: Cashflow shall be paid as follows: (i) to the Class M-1 Certificates, the unpaid interest shortfall amount; (ii) to the Class M-1 Certificates, the allocated unreimbursed realized loss amount; (iii) to the Class M-2 Certificates, the unpaid interest shortfall amount; (iv) to the Class M-2 Certificates, the allocated unreimbursed realized loss amount; (v) to the Class M-3 Certificates, the unpaid interest shortfall amount; (vi) to the Class M-3 Certificates, the allocated unreimbursed realized loss amount; (vii) to the Class B-1 Certificates, the unpaid interest shortfall amount; (viii) to the Class B-1 Certificates, the allocated unreimbursed realized loss amount; (ix) to the Class B-2 Certificates, the unpaid interest shortfall amount; (x) to the Class B-2 Certificates, the allocated unreimbursed realized loss amount; (xi) to the Class B-3 Certificates, the unpaid interest shortfall amount; (xii) to the Class B-3 Certificates, the allocated unreimbursed realized loss amount; (xiii) concurrently, any Class A-1 Basis Risk Carry Forward Amount to the Class A-1 Certificates, and any Class A-2 and Class A-3 Basis Risk Carry Forward Amount to the Class A-2 and Class A-3 Certificates; and (xiv) sequentially, to Classes M-1, M-2, M-3, B-1, B-2 and B-3 Certificates, in such order, any Basis Risk Carry Forward Amount for such classes. Interest Remittance Amount: For any Distribution Date, the portion of available funds for such Distribution Date attributable to interest received or advanced on the Mortgage Loans. Accrued Certificate Interest: For any Distribution Date and each class of Offered Certificates, equals the amount of interest accrued during the related interest accrual period at the related Pass-through Rate, reduced by any prepayment interest shortfalls and shortfalls resulting from the application of the Soldiers' and Sailors' Civil Relief Act of 1940 or similar state law allocated to such class. Principal Distribution On any Distribution Date, the sum of (i) the Amount: Basic Principal Distribution Amount and (ii) the Extra Principal Distribution Amount. Basic Principal Distribution On any Distribution Date, the excess of (i) the Amount: aggregate principal remittance amount over (ii) the Excess Subordinated Amount, if any. Net Monthly Excess Cashflow: For any Distribution Date is the amount of funds available for distribution on such Distribution Date remaining after making all distributions of interest and principal on the certificates. ________________________________________________________________________________ This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information 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 trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ________________________________________________________________________________ Page 9 Extra Principal Distribution For any Distribution Date, the lesser of (i) the Amount: excess of (x) interest collected or advanced with respect to the Mortgage Loans with due dates in the related Due Period (less servicing and trustee fees and expenses), over (y) the sum of interest payable on the Certificates on such Distribution Date and (ii) the overcollateralization deficiency amount for such Distribution Date. Excess Subordinated Amount: For any Distribution Date, means the excess, if any of (i) the overcollateralization and (ii) the required overcollateralization for such Distribution Date. Class A Principal Allocation For any Distribution Date, the percentage Percentage: equivalent of a fraction, determined as follows: (i) in the case of the Class A-1 Certificates the numerator of which is (x) the portion of the principal remittance amount for such Distribution Date that is attributable to principal received or advanced on the Group I Mortgage Loans and the denominator of which is (y) the principal remittance amount for such Distribution Date and (ii) in the case of the Class A-2 and Class A-3 Certificates, the numerator of which is (x) the portion of the principal remittance amount for such Distribution Date that is attributable to principal received or advanced on the Group II Mortgage Loans and the denominator of which is (y) the principal remittance amount for such Distribution Date. Class A Principal For any Distribution Date, an amount equal to the Distribution Amount: excess of (x) the aggregate Certificate Principal Balance of the Class A Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 60.50% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $2,877,125. Class M-1 Principal For any Distribution Date, an amount equal to the Distribution Amount: excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date) and (ii) the Certificate Principal Balance of the Class M-1 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 73.50% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $2,877,125. Class M-2 Principal For any Distribution Date, an amount equal to the Distribution Amount: excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date) and (iii) the Certificate Principal Balance of the Class M-2 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 84.00% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $2,877,125. ________________________________________________________________________________ This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information 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 trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ________________________________________________________________________________ Page 10 Class M-3 Principal For any Distribution Date, an amount equal to the Distribution Amount: excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date) and (iv) the Certificate Principal Balance of the Class M-3 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 87.00% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $2,877,125. Class B-1 Principal For any Distribution Date, an amount equal to the Distribution Amount: excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date) and (v) the Certificate Principal Balance of the Class B-1 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 90.00% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $2,877,125. Class B-2 Principal For any Distribution Date, an amount equal to the Distribution Amount: excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (v) the Certificate Principal Balance of the Class B-1 Certificates (after taking into account the payment of the Class B-1 Principal Distribution Amount on such Distribution Date) and (vi) the Certificate Principal Balance of the Class B-2 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 93.00% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $2,877,125. ________________________________________________________________________________ This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information 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 trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ________________________________________________________________________________ Page 11 Class B-3 Principal For any Distribution Date, an amount equal to the Distribution Amount: excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (v) the Certificate Principal Balance of the Class B-1 Certificates (after taking into account the payment of the Class B-1 Principal Distribution Amount on such Distribution Date), (vi) the Certificate Principal Balance of the Class B-2 Certificates (after taking into account the payment of the Class B-2 Principal Distribution Amount on such Distribution Date) and (vii) the Certificate Principal Balance of the Class B-3 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 95.50% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $2,877,125. Trust Tax Status: REMIC. ERISA Eligibility: Subject to the considerations in the Prospectus, all Offered Certificates are ERISA eligible. SMMEA Eligibility: It is anticipated that the Class A-2, Class A-3 and Class M-1 Certificates will be SMMEA eligible. Prospectus: The Class A-2, Class A-3, Class M-1, Class M-2, Class M-3, Class B-1, Class B-2 and Class B-3 Certificates are being offered pursuant to a prospectus supplemented by a prospectus supplement (together, the "Prospectus"). Complete information with respect to the Offered Certificates and the collateral securing them is contained in the Prospectus. The information herein is qualified in its entirety by the information appearing in the Prospectus. To the extent that the information herein is inconsistent with the Prospectus, the Prospectus shall govern in all respects. Sales of the Offered Certificates may not be consummated unless the purchaser has received the Prospectus. PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A DESCRIPTION OF INFORMATION THAT SHOULD BE CONSIDERED IN CONNECTION WITH AN INVESTMENT IN THE OFFERED CERTIFICATES. ________________________________________________________________________________ This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information 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 trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ________________________________________________________________________________ Page 12
Weighted Average Life Sensitivity To CALL ---------------------------------------------------------------------------------------------------------------------------------- PPC (%) 50 60 75 100 125 150 175 ---------------------------------------------------------------------------------------------------------------------------------- A-2 WAL (yrs) 2.87 2.44 1.98 1.49 1.19 0.99 0.85 First Payment Date 11/25/2003 11/25/2003 11/25/2003 11/25/2003 11/25/2003 11/25/2003 11/25/2003 Expected Final Maturity 12/25/2010 11/25/2009 9/25/2008 7/25/2007 5/25/2006 11/25/2005 8/25/2005 Window 1 - 86 1 - 73 1 - 59 1 - 45 1 - 31 1 - 25 1 - 22 ---------------------------------------------------------------------------------------------------------------------------------- A-3 WAL 11.85 10.14 8.25 6.20 4.71 3.44 2.43 First Payment Date 12/25/2010 11/25/2009 9/25/2008 7/25/2007 5/25/2006 11/25/2005 8/25/2005 Expected Final Maturity 2/25/2019 12/25/2016 7/25/2014 11/25/2011 2/25/2010 12/25/2008 2/25/2008 Window 86 - 184 73 - 158 59 - 129 45 - 97 31 - 76 25 - 62 22 - 52 ---------------------------------------------------------------------------------------------------------------------------------- M-1 WAL 10.26 8.74 7.09 5.37 4.60 4.49 4.32 First Payment Date 11/25/2008 1/25/2008 3/25/2007 1/25/2007 4/25/2007 8/25/2007 2/25/2008 Expected Final Maturity 2/25/2019 12/25/2016 7/25/2014 11/25/2011 2/25/2010 12/25/2008 2/25/2008 Window 61 - 184 51 - 158 41 - 129 39 - 97 42 - 76 46 - 62 52 - 52 ---------------------------------------------------------------------------------------------------------------------------------- M-2 WAL 10.26 8.74 7.09 5.35 4.46 4.06 4.03 First Payment Date 11/25/2008 1/25/2008 3/25/2007 12/25/2006 1/25/2007 3/25/2007 5/25/2007 Expected Final Maturity 2/25/2019 12/25/2016 7/25/2014 11/25/2011 2/25/2010 12/25/2008 2/25/2008 Window 61 - 184 51 - 158 41 - 129 38 - 97 39 - 76 41 - 62 43 - 52 ---------------------------------------------------------------------------------------------------------------------------------- M-3 WAL 10.26 8.74 7.09 5.35 4.40 3.92 3.73 First Payment Date 11/25/2008 1/25/2008 3/25/2007 11/25/2006 1/25/2007 2/25/2007 4/25/2007 Expected Final Maturity 2/25/2019 12/25/2016 7/25/2014 11/25/2011 2/25/2010 12/25/2008 2/25/2008 Window 61 - 184 51 - 158 41 - 129 37 - 97 39 - 76 40 - 62 42 - 52 ---------------------------------------------------------------------------------------------------------------------------------- B-1 WAL 10.26 8.74 7.09 5.34 4.39 3.88 3.64 First Payment Date 11/25/2008 1/25/2008 3/25/2007 11/25/2006 12/25/2006 1/25/2007 2/25/2007 Expected Final Maturity 2/25/2019 12/25/2016 7/25/2014 11/25/2011 2/25/2010 12/25/2008 2/25/2008 Window 61 - 184 51 - 158 41 - 129 37 - 97 38 - 76 39 - 62 40 - 52 ---------------------------------------------------------------------------------------------------------------------------------- B-2 WAL 10.26 8.74 7.09 5.34 4.38 3.84 3.56 First Payment Date 11/25/2008 1/25/2008 3/25/2007 11/25/2006 12/25/2006 12/25/2006 1/25/2007 Expected Final Maturity 2/25/2019 12/25/2016 7/25/2014 11/25/2011 2/25/2010 12/25/2008 2/25/2008 Window 61 - 184 51 - 158 41 - 129 37 - 97 38 - 76 38 - 62 39 - 52 ---------------------------------------------------------------------------------------------------------------------------------- B-3 WAL 10.25 8.73 7.08 5.33 4.35 3.81 3.50 First Payment Date 11/25/2008 1/25/2008 3/25/2007 11/25/2006 11/25/2006 12/25/2006 12/25/2006 Expected Final Maturity 2/25/2019 12/25/2016 7/25/2014 11/25/2011 2/25/2010 12/25/2008 2/25/2008 Window 61 - 184 51 - 158 41 - 129 37 - 97 37 - 76 38 - 62 38 - 52 ----------------------------------------------------------------------------------------------------------------------------------
________________________________________________________________________________ This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information 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 trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ________________________________________________________________________________ Page 13
Weighted Average Life Sensitivity To MATURITY ----------------------------------------------------------------------------------------------------------------------------------- PPC (%) 50 60 75 100 125 150 175 ----------------------------------------------------------------------------------------------------------------------------------- A-2 WAL (yrs) 2.87 2.44 1.98 1.49 1.19 0.99 0.85 First Payment Date 11/25/2003 11/25/2003 11/25/2003 11/25/2003 11/25/2003 11/25/2003 11/25/2003 Expected Final Maturity 12/25/2010 11/25/2009 9/25/2008 7/25/2007 5/25/2006 11/25/2005 8/25/2005 Window 1 - 86 1 - 73 1 - 59 1 - 45 1 - 31 1 - 25 1 - 22 ----------------------------------------------------------------------------------------------------------------------------------- A-3 WAL 13.19 11.45 9.43 7.17 5.52 4.14 2.65 First Payment Date 12/25/2010 11/25/2009 9/25/2008 7/25/2007 5/25/2006 11/25/2005 8/25/2005 Expected Final Maturity 4/25/2031 7/25/2029 4/25/2026 6/25/2021 11/25/2017 4/25/2015 5/25/2013 Window 86 - 330 73 - 309 59 - 270 45 - 212 31 - 169 25 - 138 22 - 115 ----------------------------------------------------------------------------------------------------------------------------------- M-1 WAL 11.14 9.56 7.80 5.93 5.05 4.85 5.74 First Payment Date 11/25/2008 1/25/2008 3/25/2007 1/25/2007 4/25/2007 8/25/2007 3/25/2008 Expected Final Maturity 11/25/2028 6/25/2026 1/25/2023 7/25/2018 7/25/2015 5/25/2013 2/25/2012 Window 61 - 301 51 - 272 41 - 231 39 - 177 42 - 141 46 - 115 53 - 100 ----------------------------------------------------------------------------------------------------------------------------------- M-2 WAL 11.07 9.49 7.73 5.85 4.86 4.39 4.29 First Payment Date 11/25/2008 1/25/2008 3/25/2007 12/25/2006 1/25/2007 3/25/2007 5/25/2007 Expected Final Maturity 5/25/2027 11/25/2024 6/25/2021 5/25/2017 7/25/2014 7/25/2012 1/25/2011 Window 61 - 283 51 - 253 41 - 212 38 - 163 39 - 129 41 - 105 43 - 87 ----------------------------------------------------------------------------------------------------------------------------------- M-3 WAL 10.97 9.39 7.64 5.78 4.75 4.20 3.95 First Payment Date 11/25/2008 1/25/2008 3/25/2007 11/25/2006 1/25/2007 2/25/2007 4/25/2007 Expected Final Maturity 4/25/2025 9/25/2022 6/25/2019 9/25/2015 3/25/2013 6/25/2011 2/25/2010 Window 61 - 258 51 - 227 41 - 188 37 - 143 39 - 113 40 - 92 42 - 76 ----------------------------------------------------------------------------------------------------------------------------------- B-1 WAL 10.88 9.31 7.57 5.71 4.69 4.12 3.83 First Payment Date 11/25/2008 1/25/2008 3/25/2007 11/25/2006 12/25/2006 1/25/2007 2/25/2007 Expected Final Maturity 4/25/2024 9/25/2021 7/25/2018 1/25/2015 8/25/2012 1/25/2011 10/25/2009 Window 61 - 246 51 - 215 41 - 177 37 - 135 38 - 106 39 - 87 40 - 72 ----------------------------------------------------------------------------------------------------------------------------------- B-2 WAL 10.72 9.15 7.44 5.61 4.59 4.01 3.70 First Payment Date 11/25/2008 1/25/2008 3/25/2007 11/25/2006 12/25/2006 12/25/2006 1/25/2007 Expected Final Maturity 12/25/2022 6/25/2020 7/25/2017 2/25/2014 12/25/2011 6/25/2010 4/25/2009 Window 61 - 230 51 - 200 41 - 165 37 - 124 38 - 98 38 - 80 39 - 66 ----------------------------------------------------------------------------------------------------------------------------------- B-3 WAL 10.39 8.87 7.19 5.41 4.42 3.86 3.54 First Payment Date 11/25/2008 1/25/2008 3/25/2007 11/25/2006 11/25/2006 12/25/2006 12/25/2006 Expected Final Maturity 1/25/2021 8/25/2018 1/25/2016 12/25/2012 1/25/2011 9/25/2009 9/25/2008 Window 61 - 207 51 - 178 41 - 147 37 - 110 37 - 87 38 - 71 38 - 59 -----------------------------------------------------------------------------------------------------------------------------------
________________________________________________________________________________ This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information 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 trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ________________________________________________________________________________ Page 14
CPR Sensitivity To CALL --------------------------------------------------------------------------------- CPR (%) 20 25 30 --------------------------------------------------------------------------------- A-2 WAL (yrs) 1.64 1.27 1.03 First Payment Date 11/25/2003 11/25/2003 11/25/2003 Expected Final Maturity 1/25/2008 9/25/2006 3/25/2006 Window 1 - 51 1 - 35 1 - 29 --------------------------------------------------------------------------------- A-3 WAL 7.25 5.70 4.41 First Payment Date 1/25/2008 9/25/2006 3/25/2006 Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010 Window 51 - 116 35 - 92 29 - 75 --------------------------------------------------------------------------------- M-1 WAL 6.32 5.15 4.61 First Payment Date 11/25/2006 2/25/2007 5/25/2007 Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010 Window 37 - 116 40 - 92 43 - 75 --------------------------------------------------------------------------------- M-2 WAL 6.32 5.10 4.43 First Payment Date 11/25/2006 12/25/2006 2/25/2007 Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010 Window 37 - 116 38 - 92 40 - 75 --------------------------------------------------------------------------------- M-3 WAL 6.32 5.08 4.36 First Payment Date 11/25/2006 12/25/2006 1/25/2007 Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010 Window 37 - 116 38 - 92 39 - 75 --------------------------------------------------------------------------------- B-1 WAL 6.32 5.08 4.34 First Payment Date 11/25/2006 12/25/2006 12/25/2006 Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010 Window 37 - 116 38 - 92 38 - 75 --------------------------------------------------------------------------------- B-2 WAL 6.32 5.07 4.32 First Payment Date 11/25/2006 11/25/2006 12/25/2006 Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010 Window 37 - 116 37 - 92 38 - 75 --------------------------------------------------------------------------------- B-3 WAL 6.31 5.06 4.30 First Payment Date 11/25/2006 11/25/2006 11/25/2006 Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010 Window 37 - 116 37 - 92 37 - 75 ---------------------------------------------------------------------------------
________________________________________________________________________________ This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information 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 trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ________________________________________________________________________________ Page 15 CPR Sensitivity To MATURITY -------------------------------------------------------------------------------- CPR (%) 20 25 30 -------------------------------------------------------------------------------- A-2 WAL (yrs) 1.64 1.27 1.03 First Payment Date 11/25/2003 11/25/2003 11/25/2003 Expected Final Maturity 1/25/2008 9/25/2006 3/25/2006 Window 1 - 51 1 - 35 1 - 29 -------------------------------------------------------------------------------- A-3 WAL 8.21 6.49 5.06 First Payment Date 1/25/2008 9/25/2006 3/25/2006 Expected Final Maturity 7/25/2024 9/25/2020 11/25/2017 Window 51 - 249 35 - 203 29 - 169 -------------------------------------------------------------------------------- M-1 WAL 6.99 5.69 5.06 First Payment Date 11/25/2006 2/25/2007 5/25/2007 Expected Final Maturity 5/25/2021 1/25/2018 7/25/2015 Window 37 - 211 40 - 171 43 - 141 -------------------------------------------------------------------------------- M-2 WAL 6.92 5.59 4.83 First Payment Date 11/25/2006 12/25/2006 2/25/2007 Expected Final Maturity 12/25/2019 10/25/2016 6/25/2014 Window 37 - 194 38 - 156 40 - 128 -------------------------------------------------------------------------------- M-3 WAL 6.84 5.50 4.71 First Payment Date 11/25/2006 12/25/2006 1/25/2007 Expected Final Maturity 1/25/2018 3/25/2015 2/25/2013 Window 37 - 171 38 - 137 39 - 112 -------------------------------------------------------------------------------- B-1 WAL 6.77 5.45 4.64 First Payment Date 11/25/2006 12/25/2006 12/25/2006 Expected Final Maturity 4/25/2017 7/25/2014 8/25/2012 Window 37 - 162 38 - 129 38 - 106 -------------------------------------------------------------------------------- B-2 WAL 6.65 5.33 4.53 First Payment Date 11/25/2006 11/25/2006 12/25/2006 Expected Final Maturity 3/25/2016 9/25/2013 11/25/2011 Window 37 - 149 37 - 119 38 - 97 -------------------------------------------------------------------------------- B-3 WAL 6.42 5.14 4.37 First Payment Date 11/25/2006 11/25/2006 11/25/2006 Expected Final Maturity 10/25/2014 7/25/2012 12/25/2010 Window 37 - 132 37 - 105 37 - 86 -------------------------------------------------------------------------------- ________________________________________________________________________________ This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information 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 trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ________________________________________________________________________________ Page 16
Schedule of Available Funds and Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2) A-2 Cap (%) A-3 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%) Period Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 ------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 0 - - - - - - - - 1 10.73 10.73 10.49 10.49 10.49 10.49 10.49 10.49 2 9.65 9.65 9.44 9.44 9.44 9.44 9.44 9.44 3 9.43 9.43 9.21 9.21 9.21 9.21 9.21 9.21 4 9.43 9.43 9.21 9.21 9.21 9.21 9.21 9.21 5 9.90 9.90 9.67 9.67 9.67 9.67 9.67 9.67 6 9.44 9.44 9.21 9.21 9.21 9.21 9.21 9.21 7 9.67 9.67 9.43 9.43 9.43 9.43 9.43 9.43 8 9.45 9.45 9.21 9.21 9.21 9.21 9.21 9.21 9 9.68 9.68 9.43 9.43 9.43 9.43 9.43 9.43 10 9.46 9.46 9.21 9.21 9.21 9.21 9.21 9.21 11 9.46 9.46 9.21 9.21 9.21 9.21 9.21 9.21 12 9.70 9.70 9.43 9.43 9.43 9.43 9.43 9.43 13 9.48 9.48 9.21 9.21 9.21 9.21 9.21 9.21 14 9.72 9.72 9.43 9.43 9.43 9.43 9.43 9.43 15 9.49 9.49 9.21 9.21 9.21 9.21 9.21 9.21 16 9.50 9.50 9.21 9.21 9.21 9.21 9.21 9.21 17 10.25 10.25 9.91 9.91 9.91 9.91 9.91 9.91 18 9.52 9.52 9.20 9.20 9.20 9.20 9.20 9.20 19 9.76 9.76 9.42 9.42 9.42 9.42 9.42 9.42 20 9.54 9.54 9.20 9.20 9.20 9.20 9.20 9.20 21 9.80 9.80 9.43 9.43 9.43 9.43 9.43 9.43 22 9.61 9.61 9.25 9.25 9.25 9.25 9.25 9.25 23 10.06 10.06 9.74 9.74 9.74 9.74 9.74 9.74 24 10.34 10.34 10.00 10.00 10.00 10.00 10.00 10.00 25 10.09 10.09 9.74 9.74 9.74 9.74 9.74 9.74 26 10.38 10.38 10.00 10.00 10.00 10.00 10.00 10.00 27 10.13 10.13 9.75 9.75 9.75 9.75 9.75 9.75 28 10.18 10.18 9.77 9.77 9.77 9.77 9.77 9.77 29 11.34 11.34 10.89 10.89 10.89 10.89 10.89 10.89 30 10.44 10.44 10.01 10.01 10.01 10.01 10.01 10.01 31 10.75 10.75 10.29 10.29 10.29 10.29 10.29 10.29 32 10.49 10.49 10.01 10.01 10.01 10.01 10.01 10.01 33 10.81 10.81 10.29 10.29 10.29 10.29 10.29 10.29 34 10.78 10.78 10.27 10.27 10.27 10.27 10.27 10.27 35 11.30 11.30 10.24 10.24 10.24 10.24 10.24 10.24 36 11.65 11.65 10.54 10.54 10.54 10.54 10.54 10.54 37 25.09 25.09 10.24 10.24 10.24 10.24 10.24 10.24
1 Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current certificate balance 2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR rate of 20% ________________________________________________________________________________ This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information 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 trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ________________________________________________________________________________
Schedule of Available Funds and Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2) A-2 Cap (%) A-3 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%) Period Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 ------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 38 11.99 11.99 10.54 10.54 10.54 10.53 10.53 10.53 39 11.55 11.55 10.25 10.25 10.25 10.24 10.24 10.24 40 11.70 11.70 10.48 10.48 10.48 10.48 10.48 10.48 41 13.39 13.39 11.27 11.27 11.27 11.27 11.27 11.27 42 12.10 12.10 10.24 10.24 10.24 10.24 10.24 10.24 43 12.50 12.50 10.56 10.56 10.56 10.56 10.56 10.56 44 12.10 12.10 10.24 10.24 10.24 10.24 10.24 10.24 45 12.51 12.51 10.56 10.56 10.56 10.56 10.56 10.56 46 - 12.31 10.47 10.47 10.47 10.47 10.47 10.47 47 - 12.43 10.26 10.26 10.26 10.26 10.26 10.26 48 - 12.84 10.59 10.59 10.59 10.59 10.59 10.59 49 - 12.43 10.26 10.26 10.26 10.26 10.26 10.26 50 - 12.84 10.59 10.59 10.59 10.59 10.59 10.59 51 - 12.43 10.26 10.26 10.26 10.26 10.26 10.26 52 - 12.62 10.47 10.47 10.47 10.47 10.47 10.47 53 - 13.59 10.89 10.89 10.89 10.89 10.89 10.89 54 - 12.71 10.19 10.19 10.19 10.19 10.19 10.19 55 - 13.13 10.53 10.53 10.53 10.53 10.53 10.53 56 - 12.71 10.18 10.18 10.18 10.18 10.18 10.18 57 - 13.13 10.52 10.52 10.52 10.52 10.52 10.52 58 - 12.83 10.32 10.32 10.32 10.32 10.32 10.32 59 - 12.89 10.36 10.36 10.36 10.36 10.36 10.36 60 - 13.32 10.71 10.71 10.71 10.71 10.71 10.71 61 - 12.89 10.36 10.36 10.36 10.36 10.36 10.36 62 - 13.32 10.71 10.71 10.71 10.71 10.71 10.71 63 - 12.89 10.36 10.36 10.36 10.36 10.36 10.36 64 - 12.89 10.36 10.36 10.36 10.36 10.36 10.36 65 - 14.27 11.47 11.47 11.47 11.47 11.47 11.47 66 - 12.89 10.36 10.36 10.36 10.36 10.36 10.36 67 - 13.32 10.70 10.70 10.70 10.70 10.70 10.70 68 - 12.89 10.35 10.35 10.35 10.35 10.35 10.35 69 - 13.32 10.70 10.70 10.70 10.70 10.70 10.70 70 - 12.89 10.35 10.35 10.35 10.35 10.35 10.35 71 - 12.89 10.35 10.35 10.35 10.35 10.35 10.35 72 - 13.32 10.70 10.70 10.70 10.70 10.70 10.70 73 - 12.89 10.35 10.35 10.35 10.35 10.35 10.35 74 - 13.32 10.69 10.69 10.69 10.69 10.69 10.69 75 - 12.89 10.35 10.35 10.35 10.35 10.35 10.35
1 Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current certificate balance 2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR rate of 20% ________________________________________________________________________________ This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information 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 trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ________________________________________________________________________________ Page 18
Schedule of Available Funds and Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2) A-2 Cap (%) A-3 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%) Period Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 ------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 76 - 12.89 10.35 10.35 10.35 10.35 10.35 10.35 77 - 14.27 11.45 11.45 11.45 11.45 11.45 11.45 78 - 12.89 10.34 10.34 10.34 10.34 10.34 10.34 79 - 13.32 10.69 10.69 10.69 10.69 10.69 10.69 80 - 12.89 10.34 10.34 10.34 10.34 10.34 10.34 81 - 13.32 10.69 10.69 10.69 10.69 10.69 10.69 82 - 12.89 10.34 10.34 10.34 10.34 10.34 10.34 83 - 12.89 10.34 10.34 10.34 10.34 10.34 10.34 84 - 13.32 10.68 10.68 10.68 10.68 10.68 10.68 85 - 12.89 10.34 10.34 10.34 10.34 10.34 10.34 86 - 13.32 10.68 10.68 10.68 10.68 10.68 10.68 87 - 12.89 10.33 10.33 10.33 10.33 10.33 10.33 88 - 12.89 10.33 10.33 10.33 10.33 10.33 10.33 89 - 14.27 11.44 11.44 11.44 11.44 11.44 11.44 90 - 12.88 10.33 10.33 10.33 10.33 10.33 10.33 91 - 13.31 10.67 10.67 10.67 10.67 10.67 10.67 92 - 12.88 10.33 10.33 10.33 10.33 10.33 10.33 93 - 13.31 10.67 10.67 10.67 10.67 10.67 10.67 94 - 11.10 10.33 10.33 10.33 10.33 10.33 10.33 95 - 10.83 10.33 10.33 10.33 10.33 10.33 10.33 96 - 11.21 10.67 10.67 10.67 10.67 10.67 10.67 97 - 10.87 10.32 10.32 10.32 10.32 10.32 10.32 98 - 11.25 10.67 10.67 10.67 10.67 10.67 10.67 99 - 10.91 10.32 10.32 10.32 10.32 10.32 10.32 100 - 10.93 10.32 10.32 10.32 10.32 10.32 10.32 101 - 11.70 11.03 11.03 11.03 11.03 11.03 11.03 102 - 10.97 10.32 10.32 10.32 10.32 10.32 10.32 103 - 11.36 10.66 10.66 10.66 10.66 10.66 10.66 104 - 11.02 10.32 10.32 10.32 10.32 10.32 10.32 105 - 11.41 10.66 10.66 10.66 10.66 10.66 10.66 106 - 11.06 10.31 10.31 10.31 10.31 10.31 10.31 107 - 11.09 10.31 10.31 10.31 10.31 10.31 10.31 108 - 11.48 10.66 10.66 10.66 10.66 10.66 10.66 109 - 11.14 10.31 10.31 10.31 10.31 10.31 10.31 110 - 11.54 10.65 10.65 10.65 10.65 10.65 10.65 111 - 11.19 10.31 10.31 10.31 10.31 10.31 10.31 112 - 11.22 10.31 10.31 10.31 10.31 10.31 10.31 113 - 12.45 11.41 11.41 11.41 11.41 11.41 -
1 Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current certificate balance 2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR rate of 20% ________________________________________________________________________________ This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information 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 trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ________________________________________________________________________________ Page 19
Schedule of Available Funds and Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2) A-2 Cap (%) A-3 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%) Period Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 ------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 114 - 11.28 10.31 10.31 10.31 10.31 10.31 - 115 - 11.69 10.65 10.65 10.65 10.65 10.65 - 116 - 11.34 10.30 10.30 10.30 10.30 10.30 - 117 - 11.75 10.65 10.65 10.65 10.65 10.65 - 118 - 11.41 10.30 10.30 10.30 10.30 10.30 - 119 - 11.44 10.30 10.30 10.30 10.30 10.30 - 120 - 11.86 10.64 10.64 10.64 10.64 10.64 - 121 - 11.51 10.30 10.30 10.30 10.30 10.30 - 122 - 11.93 10.64 10.64 10.64 10.64 10.64 - 123 - 11.58 10.30 10.30 10.30 10.30 10.30 - 124 - 11.62 10.30 10.30 10.30 10.30 10.30 - 125 - 12.91 11.40 11.40 11.40 11.40 11.40 - 126 - 11.70 10.30 10.30 10.30 10.30 10.30 - 127 - 12.14 10.64 10.64 10.64 10.64 - - 128 - 11.79 10.30 10.30 10.30 10.30 - - 129 - 12.22 10.64 10.64 10.64 10.64 - - 130 - 11.88 10.29 10.29 10.29 10.29 - - 131 - 11.92 10.29 10.29 10.29 10.29 - - 132 - 12.37 10.64 10.64 10.64 10.64 - - 133 - 12.02 10.29 10.29 10.29 10.29 - - 134 - 12.47 10.64 10.64 10.64 10.64 - - 135 - 12.12 10.29 10.29 10.29 10.29 - - 136 - 12.17 10.29 10.29 10.29 10.29 - - 137 - 13.54 11.39 11.39 11.39 11.39 - - 138 - 12.28 10.29 10.29 10.29 - - - 139 - 12.75 10.63 10.63 10.63 - - - 140 - 12.40 10.29 10.29 10.29 - - - 141 - 12.87 10.63 10.63 10.63 - - - 142 - 12.52 10.29 10.29 10.29 - - - 143 - 12.58 10.29 10.29 10.29 - - - 144 - 13.07 10.63 10.63 10.63 - - - 145 - 12.71 10.29 10.29 10.29 - - - 146 - 13.21 10.63 10.63 - - - - 147 - 12.85 10.29 10.29 - - - - 148 - 12.92 10.29 10.29 - - - - 149 - 13.89 11.00 11.00 - - - - 150 - 13.07 10.29 10.29 - - - - 151 - 13.59 10.63 10.63 - - - -
1 Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current certificate balance 2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR rate of 20% ________________________________________________________________________________ This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information 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 trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ________________________________________________________________________________ Page 20
Schedule of Available Funds and Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2) A-2 Cap (%) A-3 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%) Period Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 ------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 152 - 13.23 10.29 10.29 - - - - 153 - 13.76 10.63 10.63 - - - - 154 - 13.40 10.29 10.29 - - - - 155 - 13.48 10.29 10.29 - - - - 156 - 14.02 10.63 10.63 - - - - 157 - 13.66 10.29 10.29 - - - - 158 - 14.22 10.63 10.63 - - - - 159 - 13.85 10.29 10.29 - - - - 160 - 13.95 10.29 10.29 - - - - 161 - 15.56 11.39 11.39 - - - - 162 - 14.16 10.29 10.29 - - - - 163 - 14.74 10.63 10.63 - - - - 164 - 14.37 10.29 10.29 - - - - 165 - 14.97 10.63 10.63 - - - - 166 - 14.60 10.29 - - - - - 167 - 14.72 10.29 - - - - - 168 - 15.34 10.63 - - - - - 169 - 14.97 10.29 - - - - - 170 - 15.60 10.63 - - - - - 171 - 15.23 10.29 - - - - - 172 - 15.37 10.29 - - - - - 173 - 17.17 11.39 - - - - - 174 - 15.65 10.29 - - - - - 175 - 16.32 10.63 - - - - - 176 - 15.95 10.29 - - - - - 177 - 16.68 10.65 - - - - - 178 - 16.44 10.34 - - - - - 179 - 16.61 10.34 - - - - - 180 - 17.34 10.69 - - - - - 181 - 16.97 - - - - - - 182 - 17.84 - - - - - - 183 - 17.59 - - - - - - 184 - 17.93 - - - - - - 185 - 20.25 - - - - - - 186 - 18.68 - - - - - - 187 - 19.73 - - - - - - 188 - 19.54 - - - - - - 189 - 20.68 - - - - - -
1 Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current certificate balance 2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR rate of 20% ________________________________________________________________________________ This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information 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 trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ________________________________________________________________________________ Page 21
Schedule of Available Funds and Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2) A-2 Cap (%) A-3 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%) Period Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 ------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 190 - 20.53 - - - - - - 191 - 21.09 - - - - - - 192 - 22.42 - - - - - - 193 - 22.36 - - - - - - 194 - 23.85 - - - - - - 195 - 23.87 - - - - - - 196 - 24.74 - - - - - - 197 - 27.47 - - - - - - 198 - 26.76 - - - - - - 199 - 28.87 - - - - - - 200 - 29.25 - - - - - - 201 - 31.76 - - - - - - 202 - 32.43 - - - - - - 203 - 34.38 - - - - - - 204 - 37.86 - - - - - - 205 - 39.30 - - - - - - 206 - 43.88 - - - - - - 207 - 46.31 - - - - - - 208 - 51.05 - - - - - - 209 - 63.18 - - - - - - 210 - 64.94 - - - - - - 211 - 78.18 - - - - - - 212 - 91.15 - - - - - - 213 - 119.30 - - - - - - 214 - 159.08 - - - - - - 215 - 260.25 - - - - - - 216 - * - - - - - - 217 - - - - - - - -
* In Period 216 the Class A-3 has a balnance of $40,027 and is paid $62,834 in interest. 1 Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current certificate balance 2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR rate of 20% ________________________________________________________________________________ This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information 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 trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ________________________________________________________________________________ Page 23
Interest Rate Schedules Class A-2 and A-3 Cap Class M Cap Class B Cap ------------------------------------ ------------------------------------- -------------------------------------- Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % 1 220,980,000.00 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50 2 216,568,549.38 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50 3 212,088,412.80 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50 4 207,538,345.18 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50 5 202,917,397.46 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50 6 198,225,305.07 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50 7 193,462,491.56 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50 8 188,630,068.54 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50 9 183,729,831.37 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50 10 178,764,250.90 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50 11 173,736,460.80 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50 12 168,650,240.73 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50 13 163,512,655.49 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50 14 158,374,821.02 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50 15 153,352,351.11 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50 16 148,447,256.41 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50 17 143,656,810.84 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50 18 138,978,351.37 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50 19 134,409,276.62 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50 20 129,947,045.41 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50 21 125,589,175.35 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50 22 121,333,241.54 6.40 9.00 76,243,000.00 5.40 8.00 24,456,000.00 2.90 5.50 23 117,176,877.28 7.50 9.50 76,243,000.00 6.50 8.50 24,456,000.00 4.00 6.00 24 113,117,838.60 7.50 9.50 76,243,000.00 6.50 8.50 24,456,000.00 4.00 6.00 25 109,153,789.61 7.50 9.50 76,243,000.00 6.50 8.50 24,456,000.00 4.00 6.00 26 105,282,522.33 7.50 9.50 76,243,000.00 6.50 8.50 24,456,000.00 4.00 6.00 27 101,501,879.93 7.50 9.50 76,243,000.00 6.50 8.50 24,456,000.00 4.00 6.00 28 97,809,755.49 7.50 9.50 76,243,000.00 6.50 8.50 24,456,000.00 4.00 6.00 29 94,204,090.89 7.90 9.75 76,243,000.00 6.90 8.75 24,456,000.00 4.40 6.25 30 90,682,875.64 7.90 9.75 76,243,000.00 6.90 8.75 24,456,000.00 4.40 6.25 31 87,244,145.83 7.90 9.75 76,243,000.00 6.90 8.75 24,456,000.00 4.40 6.25 32 83,885,983.00 7.90 9.75 76,243,000.00 6.90 8.75 24,456,000.00 4.40 6.25 33 80,606,513.14 7.90 9.75 76,243,000.00 6.90 8.75 24,456,000.00 4.40 6.25 34 77,403,915.28 7.90 9.75 76,243,000.00 6.90 8.75 24,456,000.00 4.40 6.25 35 74,276,391.11 7.90 9.75 76,243,000.00 7.65 9.00 24,456,000.00 5.15 6.50 36 71,222,200.21 7.90 9.75 76,243,000.00 7.65 9.00 24,456,000.00 5.15 6.50 37 76,243,000.00 7.65 9.00 24,456,000.00 5.15 6.50 38 75,684,910.33 7.65 9.00 20,880,431.25 5.15 6.50 39 70,565,862.18 7.65 9.00 20,380,284.51 5.15 6.50 40 65,567,961.28 7.65 9.00 19,891,974.21 5.15 6.50 41 60,688,362.26 8.35 9.00 19,415,222.36 5.85 6.50 42 59,076,969.21 8.35 9.00 18,949,757.47 5.85 6.50 43 57,660,216.50 8.35 9.00 18,495,314.38 5.85 6.50 44 56,277,017.57 8.35 9.00 18,051,634.14 5.85 6.50 45 54,926,583.96 8.35 9.00 17,618,463.82 5.85 6.50 46 53,608,145.70 8.35 9.00 17,195,556.47 5.85 6.50 47 52,320,950.79 8.65 9.00 16,782,670.84 6.15 6.50 48 51,064,264.80 8.65 9.00 16,379,571.37 6.15 6.50 49 49,837,370.51 8.65 9.00 15,986,028.00 6.15 6.50 50 48,639,567.47 8.65 9.00 15,601,816.07 6.15 6.50 51 47,470,171.59 8.65 9.00 15,226,716.12 6.15 6.50 52 46,328,514.79 8.65 9.00 14,860,513.86 6.15 6.50
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information 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 trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.