EX-99.1 3 mo746301-ex99_1.txt COMPUTATIONAL MATERIALS EXHIBIT 99.1 -------------------------------------------------------------------------------- Morgan Stanley December 9, 2003 Securitized Products Group [MORGAN STANLEY LOGO] -------------------------------------------------------------------------------- Computational Materials $692,991,000 Approximately Morgan Stanley ABS Capital I Inc. Series 2004-NC1 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 In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum.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 December 9, 2003 Securitized Products Group [MORGAN STANLEY LOGO] -------------------------------------------------------------------------------- Approximately $692,991,000 Morgan Stanley ABS Capital I Inc., Series 2004-NC1 Morgan Stanley ABS Capital I Inc. Depositor HomEq Servicing Corp. Servicer Transaction Highlights
--------------- ----------------- ------------------ -------------------------- ---------------- --------------- Modified Avg Life to Duration To Offered Expected Ratings Call/ Call/ Classes Description Balance(4) (S&P/Fitch/ Moody's) Mty(1)(2) Mty(1)(2)(3) =============== ================= ================== ========================== ================ =============== A-1 Not Offered 733,506,000 ****Not Offered**** --------------- ----------------- ------------------ ----------------------------------------------------------- A-2 Floater [250,000,000] AAA/AAA/Aaa 2.77 / 3.03 2.69 / 2.91 --------------- ----------------- ------------------ -------------------------- ---------------- --------------- A-3 Floater [147,711,000] AAA/AAA/Aaa 1.49 / 1.49 1.48 / 1.48 --------------- ----------------- ------------------ -------------------------- ---------------- --------------- A-4 Floater [54,500,000] AAA/AAA/Aaa 6.23 / 7.18 5.93 / 6.73 --------------- ----------------- ------------------ -------------------------- ---------------- --------------- M-1 Floater 91,657,000 AA/AA/Aa2 5.31 / 5.85 5.06 / 5.52 --------------- ----------------- ------------------ -------------------------- ---------------- --------------- M-2 Floater 72,743,000 A/A/A2 5.29 / 5.77 4.90 / 5.27 --------------- ----------------- ------------------ -------------------------- ---------------- --------------- M-3 Floater 21,822,000 A-/A-/A3 5.28 / 5.68 4.85 / 5.16 --------------- ----------------- ------------------ -------------------------- ---------------- --------------- B-1 Floater 18,186,000 BBB+/BBB+/Baa1 5.28 / 5.60 4.80 / 5.05 --------------- ----------------- ------------------ -------------------------- ---------------- --------------- B-2 Floater 18,186,000 BBB/BBB/Baa2 5.28 / 5.49 4.71 / 4.87 --------------- ----------------- ------------------ -------------------------- ---------------- --------------- B-3 Floater 18,186,000 BBB-/BBB-/Baa3 5.23 / 5.27 4.51 / 4.54 --------------- ----------------- ------------------ -------------------------- ---------------- --------------- --------------- ----------------------------------- -------------------- ------------------ Offered Payment Window To Call/ Initial Classes Mty(1)(2) Subordination Level Benchmark =============== =================================== ==================== ================== A-1 ****Not Offered***** --------------- --------------------------------------------------------------------------- A-2 02/04 - 01/12 / 02/04 - 07/21 18.50% 1 Mo. LIBOR --------------- ----------------------------------- -------------------- ------------------ A-3 02/04 - 11/07 / 02/04 - 11/07 18.50% 1 Mo. LIBOR --------------- ----------------------------------- -------------------- ------------------ A-4 11/07 - 01/12 / 11/07 - 07/21 18.50% 1 Mo. LIBOR --------------- ----------------------------------- -------------------- ------------------ M-1 04/07 - 01/12 / 04/07 - 06/18 12.20% 1 Mo. LIBOR --------------- ----------------------------------- -------------------- ------------------ M-2 03/07 - 01/12 / 03/07 - 02/17 7.20% 1 Mo. LIBOR --------------- ----------------------------------- -------------------- ------------------ M-3 02/07 - 01/12 / 02/07 - 06/15 5.70% 1 Mo. LIBOR --------------- ----------------------------------- -------------------- ------------------ B-1 02/07 - 01/12 / 02/07 - 09/14 4.45% 1 Mo. LIBOR --------------- ----------------------------------- -------------------- ------------------ B-2 02/07 - 01/12 / 02/07 - 11/13 3.20% 1 Mo. LIBOR --------------- ----------------------------------- -------------------- ------------------ B-3 02/07 - 01/12 / 02/07 - 10/12 1.95% 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 2004-NC1. Depositor: Morgan Stanley ABS Capital I Inc. Originator: NC Capital Corporation. Servicer: HomEq Servicing Corp. Trustee: Deutsche Bank National Trust Company. Managers: Morgan Stanley (lead manager), Utendahl Capital Partners, L.P. and The Williams Capital Group, 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, A-4, M-1, M-2, M-3, B-1, B-2 and B-3 Certificates. Class A Certificates: Classes A-1, A-2, A-3 and A-4 Certificates. Group II Class A The Class A-2, Class A-3 and Class A-4 Certificates. Certificates: Group II Class A The Class A-3 and Class A-4 Certificates. Sequential Certificates: Class A Certificate Group: The Class A-1 Certificates and Group II Class A Certificates, as applicable. Expected Closing Date: January 29, 2004 through DTC and Euroclear or Clearstream. The Certificates will be sold without accrued interest. Cut-off Date: January 1, 2004 Distribution Dates: The 25th of each month, or if such day is not a business day, on the next business day, beginning February 25, 2004. Final Scheduled The Distribution Date occurring in November 2033. Distribution Date: 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. Prepayment Period: For any Distribution Date, the period commencing on the 16th day of the month preceding the month in which such Distribution Date occurs (or in the case of the first Distribution Date, commencing on the Cut-off date, and ending on the 15th 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, first-lien and second-lien mortgage loans. Group I Mortgage Loans: Approximately $900.0 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 $554.9 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% -------------------------------------------------------------------------------- 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 Credit Enhancement: The Offered Certificates are credit enhanced by: 1) Net monthly excess cashflow from the Mortgage Loans, 2) 1.95% 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 3.90% 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 obtained by Percentage: 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. Step-down Date: The later to occur of: (x) The earlier of: (a) The Distribution Date occurring in February 2007; 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 37.00%. 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 A Cumulative Loss Trigger Event is in effect on any Trigger Event: Distribution Date if the aggregate amount of Realized 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 [ ] for the first month, plus an additional 1/12th of [ ] for each month thereafter (e.g., [ ] in Month 43) Months 49- 60 [ ] for the first month, plus an additional 1/12th of [ ] for each month thereafter (e.g., [ ] in Month 55) Months 60- 72 [ ] for the first month, plus an additional 1/12th of [ ] for each month thereafter (e.g., [ ] in Month 67) Months 73- thereafter [ ] -------------------------------------------------------------------------------- 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 Initial Subordination Class A: 18.50% Percentage: Class M-1: 12.20% Class M-2: 7.20% Class M-3: 5.70% Class B-1: 4.45% Class B-2: 3.20% Class B-3: 1.95% 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. The applicable fixed margin will increase by 2x on the Class A Certificates and by 1.5x on all other Certificates after the first distribution date on which the Optional Clean-up Call is exercisable. Step-up Coupons: For all Offered Certificates the coupon will increase after the optional clean-up call date, should the call not be exercised. Class A-1 The Class A-1 Certificates will accrue interest at a Pass-Through Rate: 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, Class A-3 and The Class A-2, Class A-3 and Class A-4 Certificates Class A-4 Pass-Through will accrue interest at a variable rate equal to the Rate: 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 The Class M-1 Certificates will accrue interest at a Pass-Through Rate: 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 The Class M-2 Certificates will accrue interest at a Pass-Through Rate: 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 The Class M-3 Certificates will accrue interest at a Pass-Through Rate: 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 The Class B-1 Certificates will accrue interest at a Pass-Through Rate: 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 The Class B-2 Certificates will accrue interest at a Pass-Through Rate: 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 The Class B-3 Certificates will accrue interest at a Pass-Through Rate: 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. -------------------------------------------------------------------------------- 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 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. 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 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, Class A-3 and As to any Distribution Date, the supplemental Class A-4 Basis Risk interest amount for the Class A-2, Class A-3 and Carry Forward Amount: Class A-4 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, Class A-3 and Class A-4 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, Class A-3 and Class A-4 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, Class A-3 and Class A-4 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 interest amount for each of the Class M-1, M-2, M-3, Risk Carry Forward B-1, B-2 and B-3 Certificates will equal the sum of: Amounts: (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). -------------------------------------------------------------------------------- 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 Interest Distributions On each Distribution Date and after payments of on Offered Certificates: 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, pro rata to the Class A-2, Class A-3 and Class A-4 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, pro rata to the Class A-2, Class A-3 and Class A-4 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 7 Principal Distributions On each Distribution Date (a) prior to the Stepdown on Offered Certificates: 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 8 Class A Principal Except as described below, the Class A-3 and Class Allocation: A-4 Certificates will receive principal sequentially, and the Class A-4 Certificates will not receive principal distributions until the Certificate Principal Balance of the Class A-3 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 Class A-2, Class A-3 and Class A-4 Certificates (collectively, 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. Any principal distributions allocated to the Group II Class A Certificates are required to be distributed pro rata between the Class A-2 Certificates and the Group II Class A Sequential Certificates. Principal distributions to the Group II Class A Sequential Certificates will be allocated first to the Class A-3 Certificates, until their Class Certificate Balance has been reduced to zero, and then to the Class A-4 Certificates, until their Class Certificate Balance has been reduced to zero. 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 Class A-2, Class A-3 and Class A-4 Certificates. Class A-2, Class A-3 and Beginning on the first Distribution Date, and for a Class A-4 Interest period of 35 months thereafter, an Interest Rate Cap Rate Cap: will be entered into by the Trust for the benefit of the Class A-2, Class A-3 and Class A-4 Certificates. For its duration, the Class A-2, Class A-3 and Class A-4 Interest Rate Cap pays the Trust the product of (i) the excess, if any, of the then current 1-month LIBOR rate (not to exceed the cap ceiling) over the cap strike (on an Actual/360 day count basis) and (ii) the Class A-2, Class A-3 and Class A-4 Interest Rate Cap Notional Balance ("the Class A-2, Class A-3 and Class A-4 Interest Rate Cap Payment") as described on the schedule herein. Class A-2, Class A-3 and The Class A-2, Class A-3 and Class A-4 Interest Rate Class A-4 Interest Rate Cap Payment shall be available to pay any Basis Risk Cap Payment Allocation: Carry Forward Amount due to the Class A-2, Class A-3 and Class A-4 Certificates pro rata. -------------------------------------------------------------------------------- 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 Class M Interest Rate Cap: Beginning on the first Distribution Date, and for a period of 43 months thereafter, an Interest Rate Cap will be entered into by 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 excess, if any, of the then current 1-month LIBOR rate (not to exceed the cap ceiling) over 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. Class M Interest Rate The Class M Interest Rate Cap Payment shall be Cap Payment Allocation: 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 43 months thereafter, an Interest Rate Cap will be entered into by 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 excess, if any, of the then current 1-month LIBOR rate (not to exceed the cap ceiling) over 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 The Class B Interest Rate Cap Payment shall be Cap Payment Allocation: 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 For any Distribution Date, any Net Monthly Excess Monthly 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, Class A-3 and Class A-4 Basis Risk Carry Forward Amount to the Class A-2, Class A-3 and Class A-4 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 For any Distribution Date, the portion of available Amount: funds for such Distribution Date attributable to interest received or advanced on the Mortgage Loans. Accrued Certificate For any Distribution Date and each class of Offered Interest: 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. -------------------------------------------------------------------------------- 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 Principal Distribution On any Distribution Date, the sum of (i) the Basic Amount: Principal Distribution Amount and (ii) the Extra Principal Distribution Amount. Basic Principal On any Distribution Date, the excess of (i) the Distribution Amount: aggregate principal remittance amount over (ii) the Excess Subordinated Amount, if any. Net Monthly Excess For any Distribution Date is the amount of funds Cashflow: available for distribution on such Distribution Date remaining after making all distributions of interest and principal on the certificates. Extra Principal For any Distribution Date, the lesser of (i) the Distribution 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 For any Distribution Date, means the excess, if any Amount: of (i) the overcollateralization and (ii) the required overcollateralization for such Distribution Date. Class A Principal For any Distribution Date, the percentage equivalent Allocation Percentage: 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, Class A-3 and Class A-4 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 63.00% 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 $7,274,338. 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 75.60% 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 $7,274,338. 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 85.60% 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 $7,274,338. -------------------------------------------------------------------------------- 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 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 88.60% 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 $7,274,338. 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 91.10% 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 $7,274,338. 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 93.60% 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 $7,274,338. -------------------------------------------------------------------------------- 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 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 96.10% 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 $7,274,338. Trust Tax Status: REMIC. ERISA Eligibility: Subject to the considerations in the Prospectus, all Offered Certificates are ERISA eligible. SMMEA Eligibility: It is not anticipated that any of the Offered Certificates will be SMMEA eligible. Prospectus: The Class A-2, Class A-3, Class A-4, 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 13 Weighted Average Life Sensitivity To CALL
----------------------------------------------------------------------------------------------------------------------------------- PPC (%) 50 60 75 100 125 150 175 ----------------------------------------------------------------------------------------------------------------------------------- A-2 WAL (yrs) 5.36 4.56 3.70 2.77 2.13 1.64 1.27 First Payment Date 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 Expected Final Maturity 3/25/2019 1/25/2017 8/25/2014 1/25/2012 4/25/2010 2/25/2009 4/25/2008 Window 1 - 182 1 - 156 1 - 127 1 - 96 1 - 75 1 - 61 1 - 51 ----------------------------------------------------------------------------------------------------------------------------------- A-3 WAL 2.92 2.47 2.00 1.49 1.18 0.97 0.82 First Payment Date 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 Expected Final Maturity 7/25/2011 5/25/2010 2/25/2009 11/25/2007 8/25/2006 3/25/2006 10/25/2005 Window 1 - 90 1 - 76 1 - 61 1 - 46 1 - 31 1 - 26 1 - 21 ----------------------------------------------------------------------------------------------------------------------------------- A-4 WAL 11.96 10.21 8.29 6.23 4.72 3.46 2.46 First Payment Date 7/25/2011 5/25/2010 2/25/2009 11/25/2007 8/25/2006 3/25/2006 10/25/2005 Expected Final Maturity 3/25/2019 1/25/2017 8/25/2014 1/25/2012 4/25/2010 2/25/2009 4/25/2008 Window 90 - 182 76 - 156 61 - 127 46 - 96 31 - 75 26 - 61 21 - 51 ----------------------------------------------------------------------------------------------------------------------------------- M-1 WAL 10.14 8.63 6.98 5.31 4.55 4.41 4.24 First Payment Date 1/25/2009 3/25/2008 5/25/2007 4/25/2007 7/25/2007 11/25/2007 4/25/2008 Expected Final Maturity 3/25/2019 1/25/2017 8/25/2014 1/25/2012 4/25/2010 2/25/2009 4/25/2008 Window 60 - 182 50 - 156 40 - 127 39 - 96 42 - 75 46 - 61 51 - 51 ----------------------------------------------------------------------------------------------------------------------------------- M-2 WAL 10.14 8.63 6.98 5.29 4.41 4.01 3.96 First Payment Date 1/25/2009 3/25/2008 5/25/2007 3/25/2007 4/25/2007 6/25/2007 8/25/2007 Expected Final Maturity 3/25/2019 1/25/2017 8/25/2014 1/25/2012 4/25/2010 2/25/2009 4/25/2008 Window 60 - 182 50 - 156 40 - 127 38 - 96 39 - 75 41 - 61 43 - 51 ----------------------------------------------------------------------------------------------------------------------------------- M-3 WAL 10.14 8.63 6.98 5.28 4.36 3.88 3.68 First Payment Date 1/25/2009 3/25/2008 5/25/2007 2/25/2007 4/25/2007 5/25/2007 6/25/2007 Expected Final Maturity 3/25/2019 1/25/2017 8/25/2014 1/25/2012 4/25/2010 2/25/2009 4/25/2008 Window 60 - 182 50 - 156 40 - 127 37 - 96 39 - 75 40 - 61 41 - 51 ----------------------------------------------------------------------------------------------------------------------------------- B-1 WAL 10.14 8.63 6.98 5.28 4.33 3.83 3.59 First Payment Date 1/25/2009 3/25/2008 5/25/2007 2/25/2007 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 3/25/2019 1/25/2017 8/25/2014 1/25/2012 4/25/2010 2/25/2009 4/25/2008 Window 60 - 182 50 - 156 40 - 127 37 - 96 38 - 75 39 - 61 40 - 51 ----------------------------------------------------------------------------------------------------------------------------------- B-2 WAL 10.14 8.63 6.98 5.28 4.33 3.80 3.53 First Payment Date 1/25/2009 3/25/2008 5/25/2007 2/25/2007 3/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 3/25/2019 1/25/2017 8/25/2014 1/25/2012 4/25/2010 2/25/2009 4/25/2008 Window 60 - 182 50 - 156 40 - 127 37 - 96 38 - 75 38 - 61 39 - 51 ----------------------------------------------------------------------------------------------------------------------------------- B-3 WAL 10.07 8.57 6.94 5.23 4.27 3.75 3.45 First Payment Date 1/25/2009 3/25/2008 5/25/2007 2/25/2007 2/25/2007 2/25/2007 3/25/2007 Expected Final Maturity 3/25/2019 1/25/2017 8/25/2014 1/25/2012 4/25/2010 2/25/2009 4/25/2008 Window 60 - 182 50 - 156 40 - 127 37 - 96 37 - 75 37 - 61 38 - 51 -----------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 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 Weighted Average Life Sensitivity To MATURITY
----------------------------------------------------------------------------------------------------------------------------------- PPC (%) 50 60 75 100 125 150 175 ----------------------------------------------------------------------------------------------------------------------------------- A-2 WAL (yrs) 5.73 4.92 4.02 3.03 2.34 1.82 1.35 First Payment Date 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 Expected Final Maturity 5/25/2031 7/25/2029 5/25/2026 7/25/2021 12/25/2017 6/25/2015 7/25/2013 Window 1 - 328 1 - 306 1 - 268 1 - 210 1 - 167 1 - 137 1 - 114 ----------------------------------------------------------------------------------------------------------------------------------- A-3 WAL 2.92 2.47 2.00 1.49 1.18 0.97 0.82 First Payment Date 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 Expected Final Maturity 7/25/2011 5/25/2010 2/25/2009 11/25/2007 8/25/2006 3/25/2006 10/25/2005 Window 1 - 90 1 - 76 1 - 61 1 - 46 1 - 31 1 - 26 1 - 21 ----------------------------------------------------------------------------------------------------------------------------------- A-4 WAL 13.32 11.54 9.49 7.18 5.51 4.12 2.76 First Payment Date 7/25/2011 5/25/2010 2/25/2009 11/25/2007 8/25/2006 3/25/2006 10/25/2005 Expected Final Maturity 5/25/2031 7/25/2029 5/25/2026 7/25/2021 12/25/2017 6/25/2015 7/25/2013 Window 90 - 328 76 - 306 61 - 268 46 - 210 31 - 167 26 - 137 21 - 114 ----------------------------------------------------------------------------------------------------------------------------------- M-1 WAL 10.99 9.44 7.69 5.85 4.98 4.76 5.46 First Payment Date 1/25/2009 3/25/2008 5/25/2007 4/25/2007 7/25/2007 11/25/2007 4/25/2008 Expected Final Maturity 9/25/2028 4/25/2026 10/25/2022 6/25/2018 6/25/2015 5/25/2013 10/25/2011 Window 60 - 296 50 - 267 40 - 225 39 - 173 42 - 137 46 - 112 51 - 93 ----------------------------------------------------------------------------------------------------------------------------------- M-2 WAL 10.91 9.35 7.61 5.77 4.79 4.32 4.21 First Payment Date 1/25/2009 3/25/2008 5/25/2007 3/25/2007 4/25/2007 6/25/2007 8/25/2007 Expected Final Maturity 2/25/2027 7/25/2024 3/25/2021 2/25/2017 6/25/2014 6/25/2012 1/25/2011 Window 60 - 277 50 - 246 40 - 206 38 - 157 39 - 125 41 - 101 43 - 84 ----------------------------------------------------------------------------------------------------------------------------------- M-3 WAL 10.80 9.24 7.51 5.68 4.68 4.14 3.89 First Payment Date 1/25/2009 3/25/2008 5/25/2007 2/25/2007 4/25/2007 5/25/2007 6/25/2007 Expected Final Maturity 10/25/2024 3/25/2022 2/25/2019 6/25/2015 1/25/2013 5/25/2011 2/25/2010 Window 60 - 249 50 - 218 40 - 181 37 - 137 39 - 108 40 - 88 41 - 73 ----------------------------------------------------------------------------------------------------------------------------------- B-1 WAL 10.69 9.14 7.42 5.60 4.60 4.05 3.76 First Payment Date 1/25/2009 3/25/2008 5/25/2007 2/25/2007 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 8/25/2023 2/25/2021 2/25/2018 9/25/2014 6/25/2012 11/25/2010 9/25/2009 Window 60 - 235 50 - 205 40 - 169 37 - 128 38 - 101 39 - 82 40 - 68 ----------------------------------------------------------------------------------------------------------------------------------- B-2 WAL 10.52 8.98 7.28 5.49 4.51 3.94 3.64 First Payment Date 1/25/2009 3/25/2008 5/25/2007 2/25/2007 3/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 5/25/2022 12/25/2019 2/25/2017 11/25/2013 10/25/2011 5/25/2010 4/25/2009 Window 60 - 220 50 - 191 40 - 157 37 - 118 38 - 93 38 - 76 39 - 63 ----------------------------------------------------------------------------------------------------------------------------------- B-3 WAL 10.14 8.64 7.00 5.27 4.31 3.78 3.47 First Payment Date 1/25/2009 3/25/2008 5/25/2007 2/25/2007 2/25/2007 2/25/2007 3/25/2007 Expected Final Maturity 8/25/2020 4/25/2018 9/25/2015 10/25/2012 12/25/2010 8/25/2009 9/25/2008 Window 60 - 199 50 - 171 40 - 140 37 - 105 37 - 83 37 - 67 38 - 56 -----------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 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 CALL -------------------------------------------------------------------------------- CPR (%) 20 25 30 -------------------------------------------------------------------------------- A-2 WAL (yrs) 3.26 2.55 2.02 First Payment Date 2/25/2004 2/25/2004 2/25/2004 Expected Final Maturity 9/25/2013 9/25/2011 4/25/2010 Window 1 - 116 1 - 92 1 - 75 -------------------------------------------------------------------------------- A-3 WAL 1.71 1.32 1.08 First Payment Date 2/25/2004 2/25/2004 2/25/2004 Expected Final Maturity 7/25/2008 8/25/2007 7/25/2006 Window 1 - 54 1 - 43 1 - 30 -------------------------------------------------------------------------------- A-4 WAL 7.44 5.89 4.58 First Payment Date 7/25/2008 8/25/2007 7/25/2006 Expected Final Maturity 9/25/2013 9/25/2011 4/25/2010 Window 54 - 116 43 - 92 30 - 75 -------------------------------------------------------------------------------- M-1 WAL 6.31 5.14 4.57 First Payment Date 2/25/2007 5/25/2007 7/25/2007 Expected Final Maturity 9/25/2013 9/25/2011 4/25/2010 Window 37 - 116 40 - 92 42 - 75 -------------------------------------------------------------------------------- M-2 WAL 6.31 5.09 4.41 First Payment Date 2/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 9/25/2013 9/25/2011 4/25/2010 Window 37 - 116 38 - 92 39 - 75 -------------------------------------------------------------------------------- M-3 WAL 6.31 5.08 4.35 First Payment Date 2/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 9/25/2013 9/25/2011 4/25/2010 Window 37 - 116 38 - 92 39 - 75 -------------------------------------------------------------------------------- B-1 WAL 6.31 5.07 4.33 First Payment Date 2/25/2007 2/25/2007 3/25/2007 Expected Final Maturity 9/25/2013 9/25/2011 4/25/2010 Window 37 - 116 37 - 92 38 - 75 -------------------------------------------------------------------------------- B-2 WAL 6.31 5.06 4.31 First Payment Date 2/25/2007 2/25/2007 3/25/2007 Expected Final Maturity 9/25/2013 9/25/2011 4/25/2010 Window 37 - 116 37 - 92 38 - 75 -------------------------------------------------------------------------------- B-3 WAL 6.26 5.02 4.26 First Payment Date 2/25/2007 2/25/2007 2/25/2007 Expected Final Maturity 9/25/2013 9/25/2011 4/25/2010 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 16 CPR Sensitivity To MATURITY -------------------------------------------------------------------------------- CPR (%) 20 25 30 -------------------------------------------------------------------------------- A-2 WAL (yrs) 3.53 2.77 2.21 First Payment Date 2/25/2004 2/25/2004 2/25/2004 Expected Final Maturity 10/25/2024 12/25/2020 1/25/2018 Window 1 - 249 1 - 203 1 - 168 -------------------------------------------------------------------------------- A-3 WAL 1.71 1.32 1.08 First Payment Date 2/25/2004 2/25/2004 2/25/2004 Expected Final Maturity 7/25/2008 8/25/2007 7/25/2006 Window 1 - 54 1 - 43 1 - 30 -------------------------------------------------------------------------------- A-4 WAL 8.45 6.72 5.28 First Payment Date 7/25/2008 8/25/2007 7/25/2006 Expected Final Maturity 10/25/2024 12/25/2020 1/25/2018 Window 54 - 249 43 - 203 30 - 168 -------------------------------------------------------------------------------- M-1 WAL 6.96 5.67 5.01 First Payment Date 2/25/2007 5/25/2007 7/25/2007 Expected Final Maturity 5/25/2021 1/25/2018 7/25/2015 Window 37 - 208 40 - 168 42 - 138 -------------------------------------------------------------------------------- M-2 WAL 6.89 5.56 4.80 First Payment Date 2/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 11/25/2019 9/25/2016 6/25/2014 Window 37 - 190 38 - 152 39 - 125 -------------------------------------------------------------------------------- M-3 WAL 6.79 5.47 4.67 First Payment Date 2/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 11/25/2017 1/25/2015 2/25/2013 Window 37 - 166 38 - 132 39 - 109 -------------------------------------------------------------------------------- B-1 WAL 6.71 5.39 4.59 First Payment Date 2/25/2007 2/25/2007 3/25/2007 Expected Final Maturity 12/25/2016 5/25/2014 6/25/2012 Window 37 - 155 37 - 124 38 - 101 -------------------------------------------------------------------------------- B-2 WAL 6.58 5.28 4.50 First Payment Date 2/25/2007 2/25/2007 3/25/2007 Expected Final Maturity 12/25/2015 7/25/2013 10/25/2011 Window 37 - 143 37 - 114 38 - 93 -------------------------------------------------------------------------------- B-3 WAL 6.31 5.06 4.30 First Payment Date 2/25/2007 2/25/2007 2/25/2007 Expected Final Maturity 9/25/2014 6/25/2012 12/25/2010 Window 37 - 128 37 - 101 37 - 83 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 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 17 Schedule of Available Funds and Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%) Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 ------------------------------------------------------------------------------------------------------------------------------------ 0 - - - - - - - - - 1 10.25 10.25 10.25 10.07 10.07 10.07 10.07 10.07 10.07 2 9.77 9.77 9.77 9.59 9.59 9.59 9.59 9.59 9.59 3 9.35 9.35 9.35 9.17 9.17 9.17 9.17 9.17 9.17 4 9.59 9.59 9.59 9.39 9.39 9.39 9.39 9.39 9.39 5 9.37 9.37 9.37 9.17 9.17 9.17 9.17 9.17 9.17 6 9.60 9.60 9.60 9.39 9.39 9.39 9.39 9.39 9.39 7 9.38 9.38 9.38 9.17 9.17 9.17 9.17 9.17 9.17 8 9.38 9.38 9.38 9.17 9.17 9.17 9.17 9.17 9.17 9 9.61 9.61 9.61 9.38 9.38 9.38 9.38 9.38 9.38 10 9.39 9.39 9.39 9.17 9.17 9.17 9.17 9.17 9.17 11 9.62 9.62 9.62 9.38 9.38 9.38 9.38 9.38 9.38 12 9.41 9.41 9.41 9.17 9.17 9.17 9.17 9.17 9.17 13 9.41 9.41 9.41 9.17 9.17 9.17 9.17 9.17 9.17 14 10.14 10.14 10.14 9.86 9.86 9.86 9.86 9.86 9.86 15 9.43 9.43 9.43 9.17 9.17 9.17 9.17 9.17 9.17 16 9.66 9.66 9.66 9.38 9.38 9.38 9.38 9.38 9.38 17 9.44 9.44 9.44 9.17 9.17 9.17 9.17 9.17 9.17 18 9.67 9.67 9.67 9.38 9.38 9.38 9.38 9.38 9.38 19 9.46 9.46 9.46 9.17 9.17 9.17 9.17 9.17 9.17 20 9.47 9.47 9.47 9.17 9.17 9.17 9.17 9.17 9.17 21 9.70 9.70 9.70 9.38 9.38 9.38 9.38 9.38 9.38 22 10.39 10.39 10.39 10.07 10.07 10.07 10.07 10.07 10.07 23 10.66 10.66 10.66 10.32 10.32 10.32 10.32 10.32 10.32 24 10.41 10.41 10.41 10.07 10.07 10.07 10.07 10.07 10.07 25 10.42 10.42 10.42 10.07 10.07 10.07 10.07 10.07 10.07 26 11.26 11.26 11.26 10.86 10.86 10.86 10.86 10.86 10.86 27 10.45 10.45 10.45 10.07 10.07 10.07 10.07 10.07 10.07 28 11.15 11.15 11.15 10.75 10.75 10.75 10.75 10.75 10.75 29 10.87 10.87 10.87 10.47 10.47 10.47 10.47 10.47 10.47 30 11.18 11.18 11.18 10.75 10.75 10.75 10.75 10.75 10.75 31 10.91 10.91 10.91 10.47 10.47 10.47 10.47 10.47 10.47 32 10.92 10.92 10.92 10.47 10.47 10.47 10.47 10.47 10.47 33 11.24 11.24 11.24 10.75 10.75 10.75 10.75 10.75 10.75 34 10.84 10.84 10.84 10.49 10.49 10.49 10.49 10.49 10.49 35 11.20 11.20 11.20 10.80 10.80 10.80 10.80 10.80 10.80 36 10.90 10.90 10.90 10.49 10.49 10.49 10.49 10.49 10.49 37 24.38 24.38 24.38 10.49 10.49 10.49 10.49 10.49 10.49 38 12.79 12.79 12.79 11.48 11.48 11.48 11.47 11.47 11.47
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)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%) Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 ------------------------------------------------------------------------------------------------------------------------------------ 39 11.50 11.50 11.50 10.49 10.49 10.49 10.48 10.48 10.48 40 12.81 12.81 12.81 10.85 10.85 10.85 10.85 10.85 10.85 41 12.34 12.34 12.34 10.51 10.51 10.51 10.50 10.50 10.50 42 12.75 12.75 12.75 10.84 10.84 10.84 10.84 10.84 10.84 43 12.33 12.33 12.33 10.50 10.50 10.50 10.50 10.50 10.50 44 12.33 12.33 12.33 10.50 10.50 10.50 10.50 10.50 10.50 45 12.74 12.74 12.74 10.54 10.54 10.54 10.54 10.54 10.54 46 12.99 12.99 12.99 10.87 10.87 10.87 10.87 10.87 10.87 47 13.43 - 13.43 11.23 11.23 11.23 11.23 11.23 11.23 48 12.99 - 12.99 10.87 10.87 10.87 10.87 10.87 10.87 49 12.99 - 12.99 10.87 10.87 10.87 10.87 10.87 10.87 50 13.89 - 13.89 11.62 11.62 11.62 11.62 11.62 11.62 51 12.99 - 12.99 10.87 10.87 10.87 10.87 10.87 10.87 52 13.49 - 13.49 11.30 11.30 11.30 11.30 11.30 11.30 53 13.06 - 13.06 10.93 10.93 10.93 10.93 10.93 10.93 54 13.49 - 13.49 11.29 11.29 11.29 11.29 11.29 11.29 55 13.05 - 13.05 10.93 10.93 10.93 10.93 10.93 10.93 56 13.05 - 13.05 10.93 10.93 10.93 10.93 10.93 10.93 57 13.49 - 13.49 11.29 11.29 11.29 11.29 11.29 11.29 58 13.10 - 13.10 10.97 10.97 10.97 10.97 10.97 10.97 59 13.53 - 13.53 11.34 11.34 11.34 11.34 11.34 11.34 60 13.10 - 13.10 10.97 10.97 10.97 10.97 10.97 10.97 61 13.10 - 13.10 10.97 10.97 10.97 10.97 10.97 10.97 62 14.50 - 14.50 12.14 12.14 12.14 12.14 12.14 12.14 63 13.09 - 13.09 10.97 10.97 10.97 10.97 10.97 10.97 64 13.53 - 13.53 11.33 11.33 11.33 11.33 11.33 11.33 65 13.09 - 13.09 10.96 10.96 10.96 10.96 10.96 10.96 66 13.53 - 13.53 11.33 11.33 11.33 11.33 11.33 11.33 67 13.09 - 13.09 10.96 10.96 10.96 10.96 10.96 10.96 68 13.09 - 13.09 10.96 10.96 10.96 10.96 10.96 10.96 69 13.53 - 13.53 11.32 11.32 11.32 11.32 11.32 11.32 70 13.09 - 13.09 10.96 10.96 10.96 10.96 10.96 10.96 71 13.52 - 13.52 11.32 11.32 11.32 11.32 11.32 11.32 72 13.09 - 13.09 10.96 10.96 10.96 10.96 10.96 10.96 73 13.09 - 13.09 10.95 10.95 10.95 10.95 10.95 10.95 74 14.49 - 14.49 12.13 12.13 12.13 12.13 12.13 12.13 75 13.09 - 13.09 10.95 10.95 10.95 10.95 10.95 10.95 76 13.52 - 13.52 11.32 11.32 11.32 11.32 11.32 11.32
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)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%) Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 ------------------------------------------------------------------------------------------------------------------------------------ 77 13.09 - 13.09 10.95 10.95 10.95 10.95 10.95 10.95 78 13.52 - 13.52 11.31 11.31 11.31 11.31 11.31 11.31 79 13.08 - 13.08 10.95 10.95 10.95 10.95 10.95 10.95 80 13.08 - 13.08 10.95 10.95 10.95 10.95 10.95 10.95 81 13.52 - 13.52 11.31 11.31 11.31 11.31 11.31 11.31 82 13.08 - 13.08 10.95 10.95 10.95 10.95 10.95 10.95 83 13.52 - 13.52 11.31 11.31 11.31 11.31 11.31 11.31 84 13.08 - 13.08 10.94 10.94 10.94 10.94 10.94 10.94 85 13.08 - 13.08 10.94 10.94 10.94 10.94 10.94 10.94 86 14.48 - 14.48 12.12 12.12 12.12 12.12 12.12 12.12 87 11.83 - 11.83 10.94 10.94 10.94 10.94 10.94 10.94 88 11.75 - 11.75 11.31 11.31 11.31 11.31 11.31 11.31 89 11.38 - 11.38 10.94 10.94 10.94 10.94 10.94 10.94 90 11.78 - 11.78 11.30 11.30 11.30 11.30 11.30 11.30 91 11.42 - 11.42 10.94 10.94 10.94 10.94 10.94 10.94 92 11.43 - 11.43 10.94 10.94 10.94 10.94 10.94 10.94 93 11.83 - 11.83 11.30 11.30 11.30 11.30 11.30 11.30 94 11.47 - 11.47 10.94 10.94 10.94 10.94 10.94 10.94 95 11.87 - 11.87 11.30 11.30 11.30 11.30 11.30 11.30 96 11.51 - 11.51 10.94 10.94 10.94 10.94 10.94 10.94 97 11.53 - 11.53 10.93 10.93 10.93 10.93 10.93 10.93 98 12.35 - 12.35 11.69 11.69 11.69 11.69 11.69 11.69 99 11.57 - 11.57 10.93 10.93 10.93 10.93 10.93 10.93 100 11.98 - 11.98 11.30 11.30 11.30 11.30 11.30 11.30 101 11.61 - 11.61 10.93 10.93 10.93 10.93 10.93 10.93 102 12.03 - 12.03 11.30 11.30 11.30 11.30 11.30 11.30 103 11.66 - 11.66 10.93 10.93 10.93 10.93 10.93 10.93 104 11.69 - 11.69 10.93 10.93 10.93 10.93 10.93 10.93 105 12.10 - 12.10 11.29 11.29 11.29 11.29 11.29 11.29 106 11.74 - 11.74 10.93 10.93 10.93 10.93 10.93 10.93 107 12.15 - 12.15 11.29 11.29 11.29 11.29 11.29 11.29 108 11.79 - 11.79 10.93 10.93 10.93 10.93 10.93 - 109 11.82 - 11.82 10.93 10.93 10.93 10.93 10.93 - 110 13.11 - 13.11 12.10 12.10 12.10 12.10 12.10 - 111 11.87 - 11.87 10.93 10.93 10.93 10.93 10.93 - 112 12.30 - 12.30 11.29 11.29 11.29 11.29 11.29 - 113 11.93 - 11.93 10.93 10.93 10.93 10.93 10.93 - 114 12.36 - 12.36 11.29 11.29 11.29 11.29 11.29 -
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)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%) Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 ------------------------------------------------------------------------------------------------------------------------------------ 115 12.00 - 12.00 10.93 10.93 10.93 10.93 10.93 - 116 12.03 - 12.03 10.93 10.93 10.93 10.93 10.93 - 117 12.47 - 12.47 11.29 11.29 11.29 11.29 11.29 - 118 12.10 - 12.10 10.93 10.93 10.93 10.93 10.93 - 119 12.54 - 12.54 11.29 11.29 11.29 11.29 11.29 - 120 12.17 - 12.17 10.93 10.93 10.93 10.93 10.93 - 121 12.21 - 12.21 10.93 10.93 10.93 10.93 - - 122 13.56 - 13.56 12.10 12.10 12.10 12.10 - - 123 12.29 - 12.29 10.93 10.93 10.93 10.93 - - 124 12.74 - 12.74 11.29 11.29 11.29 11.29 - - 125 12.37 - 12.37 10.93 10.93 10.93 10.93 - - 126 12.83 - 12.83 11.29 11.29 11.29 11.29 - - 127 12.46 - 12.46 10.93 10.93 10.93 10.93 - - 128 12.50 - 12.50 10.92 10.92 10.92 10.92 - - 129 12.97 - 12.97 11.29 11.29 11.29 11.29 - - 130 12.60 - 12.60 10.92 10.92 10.92 10.92 - - 131 13.07 - 13.07 11.29 11.29 11.29 - - - 132 12.70 - 12.70 10.93 10.93 10.93 - - - 133 12.75 - 12.75 10.93 10.93 10.93 - - - 134 14.17 - 14.17 12.10 12.10 12.10 - - - 135 12.85 - 12.85 10.93 10.93 10.93 - - - 136 13.34 - 13.34 11.29 11.29 11.29 - - - 137 12.97 - 12.97 10.93 10.93 10.93 - - - 138 13.46 - 13.46 11.29 11.29 11.29 - - - 139 13.09 - 13.09 10.93 10.93 10.93 - - - 140 13.15 - 13.15 10.93 10.93 10.93 - - - 141 13.65 - 13.65 11.29 11.29 - - - - 142 13.28 - 13.28 10.93 10.93 - - - - 143 13.79 - 13.79 11.29 11.29 - - - - 144 13.41 - 13.41 10.93 10.93 - - - - 145 13.48 - 13.48 10.93 10.93 - - - - 146 14.49 - 14.49 11.68 11.68 - - - - 147 13.63 - 13.63 10.93 10.93 - - - - 148 14.16 - 14.16 11.29 11.29 - - - - 149 13.78 - 13.78 10.93 10.93 - - - - 150 14.33 - 14.33 11.30 11.30 - - - - 151 13.95 - 13.95 10.93 10.93 - - - - 152 14.03 - 14.03 10.93 10.93 - - - -
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)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%) Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 ------------------------------------------------------------------------------------------------------------------------------------ 153 14.59 - 14.59 11.30 11.30 - - - - 154 14.21 - 14.21 10.93 10.93 - - - - 155 14.78 - 14.78 11.30 11.30 - - - - 156 14.40 - 14.40 10.94 10.94 - - - - 157 14.49 - 14.49 10.94 10.94 - - - - 158 16.16 - 16.16 12.11 12.11 - - - - 159 14.70 - 14.70 10.94 10.94 - - - - 160 15.29 - 15.29 11.30 11.30 - - - - 161 14.91 - 14.91 10.94 10.94 - - - - 162 15.52 - 15.52 11.31 - - - - - 163 15.13 - 15.13 10.94 - - - - - 164 15.25 - 15.25 10.94 - - - - - 165 15.88 - 15.88 11.31 - - - - - 166 15.49 - 15.49 10.94 - - - - - 167 16.14 - 16.14 11.31 - - - - - 168 15.75 - 15.75 10.95 - - - - - 169 15.89 - 15.89 10.95 - - - - - 170 17.74 - 17.74 12.12 - - - - - 171 16.17 - 16.17 10.95 - - - - - 172 16.85 - 16.85 11.32 - - - - - 173 16.46 - 16.46 10.95 - - - - - 174 17.17 - 17.17 11.32 - - - - - 175 16.77 - 16.77 10.96 - - - - - 176 16.93 - 16.93 10.96 - - - - - 177 17.67 - 17.67 11.33 - - - - - 178 17.34 - 17.34 - - - - - - 179 18.21 - 18.21 - - - - - - 180 17.92 - 17.92 - - - - - - 181 18.24 - 18.24 - - - - - - 182 20.56 - 20.56 - - - - - - 183 18.93 - 18.93 - - - - - - 184 19.96 - 19.96 - - - - - - 185 19.73 - 19.73 - - - - - - 186 20.84 - 20.84 - - - - - - 187 20.64 - 20.64 - - - - - - 188 21.15 - 21.15 - - - - - - 189 22.43 - 22.43 - - - - - - 190 22.30 - 22.30 - - - - - -
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 22 Schedule of Available Funds and Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%) Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 ------------------------------------------------------------------------------------------------------------------------------------ 191 23.71 - 23.71 - - - - - - 192 23.65 - 23.65 - - - - - - 193 24.41 - 24.41 - - - - - - 194 27.00 - 27.00 - - - - - - 195 26.19 - 26.19 - - - - - - 196 28.12 - 28.12 - - - - - - 197 28.36 - 28.36 - - - - - - 198 30.62 - 30.62 - - - - - - 199 31.07 - 31.07 - - - - - - 200 32.70 - 32.70 - - - - - - 201 35.71 - 35.71 - - - - - - 202 36.70 - 36.70 - - - - - - 203 40.50 - 40.50 - - - - - - 204 42.14 - 42.14 - - - - - - 205 45.67 - 45.67 - - - - - - 206 55.31 - 55.31 - - - - - - 207 55.29 - 55.29 - - - - - - 208 64.14 - 64.14 - - - - - - 209 71.01 - 71.01 - - - - - - 210 86.14 - 86.14 - - - - - - 211 101.52 - 101.52 - - - - - - 212 130.85 - 130.85 - - - - - - 213 192.38 - 192.38 - - - - - - 214 329.50 - 329.50 - - - - - - 215 * - ** - - - - - - 216 - - - - - - - - -
* In Period 215, the Class A-2 has a balance of $28,034.84 and is paid $117,992.83 in interest. ** In Period 215, the Class A-4 has a balance of $22,675.81 and is paid $95,437.79 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 Cap Schedules
Group II Class A Cap Class M Cap Class B Cap ------------------------------------ ------------------------------------ ------------------------------------- Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % 1 452,211,000.00 6.35 9.05 186,222,000.00 5.40 8.10 54,558,000.00 3.70 6.40 2 442,145,193.42 6.35 9.05 186,222,000.00 5.40 8.10 54,558,000.00 3.70 6.40 3 432,036,786.35 6.35 9.05 186,222,000.00 5.40 8.10 54,558,000.00 3.70 6.40 4 421,882,598.34 6.35 9.05 186,222,000.00 5.40 8.10 54,558,000.00 3.70 6.40 5 411,680,377.18 6.35 9.05 186,222,000.00 5.40 8.10 54,558,000.00 3.70 6.40 6 401,429,016.28 6.35 9.05 186,222,000.00 5.40 8.10 54,558,000.00 3.70 6.40 7 391,128,554.56 6.35 9.05 186,222,000.00 5.40 8.10 54,558,000.00 3.70 6.40 8 380,780,169.74 6.35 9.05 186,222,000.00 5.40 8.10 54,558,000.00 3.70 6.40 9 370,386,165.17 6.35 9.05 186,222,000.00 5.40 8.10 54,558,000.00 3.70 6.40 10 359,949,949.79 6.35 9.05 186,222,000.00 5.40 8.10 54,558,000.00 3.70 6.40 11 349,476,011.20 6.35 9.05 186,222,000.00 5.40 8.10 54,558,000.00 3.70 6.40 12 338,969,881.87 6.35 9.05 186,222,000.00 5.40 8.10 54,558,000.00 3.70 6.40 13 328,441,454.25 6.35 9.05 186,222,000.00 5.40 8.10 54,558,000.00 3.70 6.40 14 318,161,425.14 6.35 9.05 186,222,000.00 5.40 8.10 54,558,000.00 3.70 6.40 15 308,123,972.09 6.35 9.05 186,222,000.00 5.40 8.10 54,558,000.00 3.70 6.40 16 298,323,408.59 6.35 9.05 186,222,000.00 5.40 8.10 54,558,000.00 3.70 6.40 17 288,754,180.90 6.35 9.05 186,222,000.00 5.40 8.10 54,558,000.00 3.70 6.40 18 279,410,864.95 6.35 9.05 186,222,000.00 5.40 8.10 54,558,000.00 3.70 6.40 19 270,288,163.32 6.35 9.05 186,222,000.00 5.40 8.10 54,558,000.00 3.70 6.40 20 261,380,902.31 6.35 9.05 186,222,000.00 5.40 8.10 54,558,000.00 3.70 6.40 21 252,684,029.03 6.35 9.05 186,222,000.00 5.40 8.10 54,558,000.00 3.70 6.40 22 244,192,608.61 7.35 10.05 186,222,000.00 6.30 9.00 54,558,000.00 4.60 7.30 23 235,902,729.22 7.35 10.05 186,222,000.00 6.30 9.00 54,558,000.00 4.60 7.30 24 227,808,734.09 7.35 10.05 186,222,000.00 6.30 9.00 54,558,000.00 4.60 7.30 25 219,906,027.54 7.35 10.05 186,222,000.00 6.30 9.00 54,558,000.00 4.60 7.30 26 212,190,121.27 7.35 10.05 186,222,000.00 6.30 9.00 54,558,000.00 4.60 7.30 27 204,656,631.81 7.35 10.05 186,222,000.00 6.30 9.00 54,558,000.00 4.60 7.30 28 197,301,278.10 8.35 10.55 186,222,000.00 7.20 9.40 54,558,000.00 5.50 7.70 29 190,119,879.08 8.35 10.55 186,222,000.00 7.20 9.40 54,558,000.00 5.50 7.70 30 183,108,351.39 8.35 10.55 186,222,000.00 7.20 9.40 54,558,000.00 5.50 7.70 31 176,262,707.08 8.35 10.55 186,222,000.00 7.20 9.40 54,558,000.00 5.50 7.70 32 169,579,051.38 8.35 10.55 186,222,000.00 7.20 9.40 54,558,000.00 5.50 7.70 33 163,053,580.53 8.35 10.55 186,222,000.00 7.20 9.40 54,558,000.00 5.50 7.70 34 156,682,579.69 9.45 10.55 186,222,000.00 8.15 9.40 54,558,000.00 6.45 7.70 35 150,462,687.56 9.45 10.55 186,222,000.00 8.15 9.40 54,558,000.00 6.45 7.70 36 144,390,081.76 9.45 10.55 186,222,000.00 8.15 9.40 54,558,000.00 6.45 7.70 37 - - - 186,222,000.00 8.15 9.40 54,558,000.00 6.45 7.70 38 - - - 184,510,543.41 8.15 9.40 45,756,193.74 6.45 7.70 39 - - - 171,459,275.61 8.15 9.40 44,651,392.14 6.45 7.70 40 - - - 158,719,083.96 9.10 9.40 43,572,923.43 7.40 7.70 41 - - - 146,282,614.98 9.10 9.40 42,520,165.14 7.40 7.70 42 - - - 141,625,757.58 9.10 9.40 41,492,509.38 7.40 7.70 43 - - - 138,201,731.91 9.10 9.40 40,489,362.63 7.40 7.70 44 - - - 134,859,384.17 9.10 9.40 39,510,145.32 7.40 7.70 45 - - - - - - - - -
-------------------------------------------------------------------------------- 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 24