EX-99.1 3 file002.txt RELATED COMPUTATIONAL MATERIALS -------------------------------------------------------------------------------- MORGAN STANLEY July 28, 2003 Securitized Products Group [MORGAN STANLEY LOGO] -------------------------------------------------------------------------------- COMPUTATIONAL MATERIALS $700,000,000 APPROXIMATELY CDC MORTGAGE CAPITAL TRUST SERIES 2003-HE3 MORTGAGE PASS-THROUGH CERTIFICATES This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley and the Seller make 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 In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum.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 and the Seller disclaim 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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 1 -------------------------------------------------------------------------------- MORGAN STANLEY July 28, 2003 Securitized Products Group [MORGAN STANLEY LOGO] -------------------------------------------------------------------------------- APPROXIMATELY $700,000,000 CDC MORTGAGE CAPITAL TRUST SERIES 2003-HE3 CDC MORTGAGE CAPITAL INC. SELLER OCWEN FEDERAL BANK FSB SERVICER TRANSACTION HIGHLIGHTS ----------------------
------------------------------------------------------------------------------------------------------------------------------------ MODIFIED EXPECTED RATINGS AVG LIFE DURATION INITIAL FINAL OFFERED (FITCH/MOODY'S/ TO CALL/ TO CALL/ PAYMENT WINDOW TO SUBORDINATION LEGAL CLASSES DESCRIPTION BALANCE $ S&P) MTY(1)(2) MTY(1)(2)(3) CALL /MTY(1)(2) LEVEL BENCHMARK MATURITY ==================================================================================================================================== A-1(4) Floater 200,000,000 AAA/Aaa/AAA 2.72/2.93 2.66/2.84 09/03-08/11/ 18.75% 1 M LIBOR 11/25/2033 09/03-01/20 ------------------------------------------------------------------------------------------------------------------------------------ A-2 Floater 110,000,000 AAA/Aaa/AAA 2.80/3.05 2.72/2.94 09/03-08/11/ 18.75% 1 M LIBOR 11/25/2033 09/03-03/21 ------------------------------------------------------------------------------------------------------------------------------------ A-3(4) Floater 145,000,000 AAA/Aaa/AAA 2.80/3.05 2.73/2.95 09/03-08/11/ 18.75% 1 M LIBOR 11/25/2033 09/03-03/21 ------------------------------------------------------------------------------------------------------------------------------------ A-4 Floater 80,000,000 AAA/Aaa/AAA 1.29/1.29 1.29/1.29 09/03-05/06/ 18.75% 1 M LIBOR 11/25/2033 09/03-05/06 ------------------------------------------------------------------------------------------------------------------------------------ A-5 Floater 44,765,000 AAA/Aaa/AAA 5.49/6.19 5.26/5.86 05/06-08/11/ 18.75% 1 M LIBOR 11/25/2033 05/06-03/21 ------------------------------------------------------------------------------------------------------------------------------------ M-1 Floater 45,311,000 AA/Aa2/AA 5.36/5.92 5.11/5.58 11/06-08/11/ 12.40% 1 M LIBOR 11/25/2033 11/06-03/18 ------------------------------------------------------------------------------------------------------------------------------------ M-2 Floater 35,321,000 A/A2/A 5.34/5.84 4.90/5.29 10/06-08/11/ 7.45% 1 M LIBOR 11/25/2033 10/06-12/16 ------------------------------------------------------------------------------------------------------------------------------------ M-3 Floater 7,849,000 A-/A3/A- 5.33/5.76 4.85/5.17 09/06-08/11/ 6.35% 1 M LIBOR 11/25/2033 09/06-04/15 ------------------------------------------------------------------------------------------------------------------------------------ B-1 Floater 9,276,000 BBB+/Baa1/BBB+ 5.32/5.70 4.65/4.91 09/06-08/11/ 5.05% 1 M LIBOR 11/25/2033 09/06-10/14 ------------------------------------------------------------------------------------------------------------------------------------ B-2 Floater 9,276,000 BBB/Baa2/BBB 5.32/5.62 4.59/4.78 09/06-08/11/ 3.75% 1 M LIBOR 11/25/2033 09/06-12/13 ------------------------------------------------------------------------------------------------------------------------------------ B-3 Floater 13,202,000 BBB-/Baa3/BBB- 5.29/5.38 4.57/4.63 09/06-08/11/ 1.90% 1 M LIBOR 11/25/2033 09/06-01/13 ------------------------------------------------------------------------------------------------------------------------------------
Notes: (1) Certificates are priced to the 10% optional clean-up call. ----- (2) Based on the pricing prepayment speed. See details below. (3) Run at par. (4) The Class A-1 and A-3 are each insured by FSA. ISSUER: CDC Mortgage Capital Trust Series 2003-HE3 DEPOSITOR: Morgan Stanley ABS Capital I Inc. SELLER: CDC Mortgage Capital Inc. 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 and the Seller make 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 and the Seller disclaim 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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 2 TRANSACTION HIGHLIGHTS (CONT'D) ---------------------- ORIGINAL LOAN SELLERS: Aames Capital Corporation, Aegis Mortgage Corporation, Ameriquest Mortgage Company, BNC Mortgage, Inc., Chapel Mortgage Corporation, Encore Credit Corp., First Banc Mortgage, Inc., First NLC Financial Services, LLC, Impac Funding Corporation (and it's affiliate, Novelle Financial Services, Inc.), Master Financial, Inc., People's Choice Home Loan, Inc., and SIB Mortgage Corp. SERVICER: Ocwen Federal Bank FSB CLASS A-1/A-3 INSURER: Financial Security Assurance Inc. TRUSTEE: Deutsche Bank National Trust Company MANAGERS: Morgan Stanley (lead manager); CDC Securities, Banc of America Securities LLC and Countrywide Securities, Inc. (co-managers) RATING AGENCIES: Fitch Ratings, Moody's Investors Service, Standard & Poor's Ratings Services OFFERED CERTIFICATES: Class A-1, A-2, A-3, A-4, A-5, M-1, M-2, M-3, B-1, B-2 and B-3 Certificates EXPECTED PRICING DATE: July 30, 2003 EXPECTED CLOSING DATE: August 25, 2003 through DTC, Euroclear and Clearstream, Luxembourg. The Offered Certificates will be settled without accrued interest. DISTRIBUTION DATES: The 25th of each month, or if such day is not a business day, on the next business day, beginning September 25, 2003. CUT-OFF DATE: August 1, 2003, for each Mortgage Loan in the mortgage pool on the Closing Date. For each Mortgage Loan subsequently acquired by the Trust with funds from the Pre-Funding Account (as described below), the first day of the month in which such loan was acquired. CLASS A-1/A-3 INSURANCE: Financial Security Assurance Inc., a AAA/Aaa/AAA rated surety bond provider, guarantees timely interest and ultimate principal to the Class A-1 and Class A-3 Certificateholders. DUE PERIOD FOR MORTGAGE LOANS: For any Distribution Date, the period commencing on the second day of the calendar month preceding the calendar month in which such Distribution Date occurs and ending on the first day of the calendar month in which such Distribution Date occurs. INTEREST ACCRUAL PERIOD FOR THE OFFERED CERTIFICATES: The interest accrual period for the Offered Certificates with respect to any Distribution Date will be the period beginning with the immediately preceding 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). 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 and the Seller make 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 and the Seller disclaim 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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 3 TRANSACTION HIGHLIGHTS (CONT'D) ---------------------- MORTGAGE LOANS: The Mortgage Loans will consist of two groups, totaling approximately $714 million, of fixed and adjustable rate, sub-prime, first-lien, and second-lien residential mortgage loans. The information on the Mortgage Loans described herein is based on the Cut-Off Date pool of approximately $559 million. It is expected that up to approximately $155 million of Mortgage Loans may be purchased by the trust for a period of up to 3 months after the closing date (the "Pre-Funding Period") as described below. The Class A-1 Certificates will primarily represent interests in the Group I Mortgage Loans. The Class A-2, A-3, A-4, and A-5 Certificates will primarily represent interests in the Group II Mortgage Loans. The Class M Certificates, the Class B Certificates, the Class X Certificates, the Class P Certificates and the Residual Certificates will represent interests in both the Group I Mortgage Loans and the Group II Mortgage Loans. GROUP I MORTGAGE LOANS: At the Cut-Off date, approximately $193 million of Mortgage Loans with original principal balance that conform to the original principal balance limits for one- to four-family residential mortgage loans guidelines for purchase by Freddie Mac. GROUP II MORTGAGE LOANS: At the Cut-Off date, approximately $366 million of Mortgage Loans with original principal balance that may or may not conform to the original principal balance limits for one- to four-family residential mortgage loans guidelines for purchase by Freddie Mac. PREFUNDING: On the Closing Date, approximately $155 million from the sale of the Offered Certificates (the "Pre-Funded Amount") will be deposited with the Trustee into a separate account (the "Pre-Funding Account") and be used by the Trust to purchase additional Mortgage Loans during the Pre-Funding Period. Approximately $53 million and $101 million of the Pre-Funded Amount will be allocated to purchase additional Mortgage Loans for Group I and Group II, respectively. 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 Adjustable Rate 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 and the Seller make 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 and the Seller disclaim 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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 4 TRANSACTION HIGHLIGHTS (CONT'D) ---------------------- CREDIT ENHANCEMENT: The Offered Certificates are credit enhanced by: 1) Net monthly excess cashflow from the Mortgage Loans; 2) 1.90% overcollateralization (funded upfront ) based on the sum of the aggregate principal balance as of the Cut-Off Date of the Mortgage Loans acquired by the Trust on the Closing Date and the Pre-Funded Amount. After the Step-down Date, so long as a Trigger Event is not in effect, the required overcollateralization will equal 3.80% 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 sum of the aggregate principal balance as of the Cut-Off Date of the Mortgage Loans acquired by the Trust on the Closing Date and the Pre-Funded Amount; 3) Subordination of distributions on the more subordinate classes of certificates to the required distributions on the more senior classes of certificates; and 4) An insurance policy issued by Financial Security Assurance Inc. for the benefit of the holders of the Class A-1 and Class A-3 Certificates only. CREDIT ENHANCEMENT PERCENTAGE: For any Distribution Date, the percentage obtained by dividing (x) the aggregate Certificate Principal Balance of the subordinate certificates (including 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 September 2006; and (b) The Distribution Date on which the aggregate balance of the Class A Certificates is reduced to zero; and (y) the first Distribution Date on which the Credit Enhancement Percentage (calculated for this purpose only after taking into account scheduled and unscheduled payments of principal on the mortgage loans on the last day of the related Due Period but prior to any applications of Principal Distribution to the Offered Certificates on the applicable Distribution Date) is greater than or equal to 37.50%. This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley and the Seller make 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 and the Seller disclaim 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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 5 TRANSACTION HIGHLIGHTS (CONT'D) ---------------------- TRIGGER EVENT: A Delinquency Trigger Event is in effect if the quotient (expressed as a percentage) of (x) the three month rolling daily average of 60+ day Delinquent Loans as of the last day of the Due Period, over (y) the aggregate principal balance of the Mortgage Loans equals or exceeds [37.5]% of the prior period's Credit Enhancement Percentage. A Loss Trigger Event is in effect if the aggregate amount of realized losses incurred since the Cut-Off Date through the last day of the related Due Period divided by the sum of the aggregate principal balance as of the Cut-Off Date of the Mortgage Loans acquired by the Trust on the Closing Date and the Pre-Funded Amount exceeds the applicable percentages described below with respect to such Distribution Date: Distribution Date Occurring In Loss Percentage ------------------------------ --------------- September 2005 to August 2006 [3.00]% September 2006 to August 2007 [4.25]% September 2007 to August 2008 [5.25]% September 2008 and Thereafter [6.00]% INITIAL SUBORDINATION Class A-1: 18.75% PERCENTAGE: Class A-2: 18.75% Class A-3: 18.75% Class A-4: 18.75% Class A-5: 18.75% Class M-1: 12.40% Class M-2: 7.45% Class M-3: 6.35% Class B-1: 5.05% Class B-2: 3.75% Class B-3: 1.90% OPTIONAL CLEAN-UP CALL: If the Class X certificates are 100% owned, directly or indirectly, by CDC Mortgage Capital Inc. or any of its affiliates, the servicer may exercise a clean-up call when the current aggregate principal balance of the Mortgage Loans is less than or equal to 10% of the sum of the aggregate principal balance as of the Cut-Off Date of the Mortgage Loans acquired by the Trust on the Closing Date and the Pre-Funded Amount. If the Class X certificates are not 100% owned, directly or indirectly, by CDC Mortgage Capital Inc. or any of its affiliates, then the majority owner of the Class X certificates may exercise a clean-up call when the current aggregate principal balance of the Mortgage Loans is less than or equal to 10% of the sum of the aggregate principal balance as of the Cut-Off Date of the Mortgage Loans acquired by the Trust on the Closing Date and the Pre-Funded Amount. 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 and the Seller make 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 and the Seller disclaim 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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 6 TRANSACTION HIGHLIGHTS (CONT'D) ---------------------- STEP-UP COUPONS: For the Offered Certificates the coupon will increase after the Optional Clean-up Call Date, should the call not be exercised. The applicable coupon for the Class A Certificates will increase by 2 times its margin and the coupons for the Class M-1, M-2, M-3, B-1, B-2 and B-3 Certificates will each increase by 1.5 times their respective margins. CLASS A-1 PASS-THROUGH RATE: The Class A-1 Certificates will accrue interest at a variable rate equal to the least of (i) one-month LIBOR plus [ ] bps ([ ] bps after the first distribution date on which the Optional Clean-up Call is exercisable), (ii) the Net WAC Cap and (iii) the Loan Group I Cap. CLASS A-2 PASS-THROUGH RATE: The Class A-2 Certificates will accrue interest at a variable rate equal to the least of (i) one-month LIBOR plus [ ] bps ([ ] bps after the first distribution date on which the Optional Clean-up Call is exercisable), (ii) the Net WAC Cap and (iii) the Loan Group II Cap. CLASS A-3 PASS-THROUGH RATE: The Class A-3 Certificates will accrue interest at a variable rate equal to the least of (i) one-month LIBOR plus [ ] bps ([ ] bps after the first distribution date on which the Optional Clean-up Call is exercisable), (ii) the Net WAC Cap and (iii) the Loan Group II Cap. CLASS A-4 PASS-THROUGH RATE: The Class A-4 Certificates will accrue interest at a variable rate equal to the least of (i) one-month LIBOR plus [ ] bps ([ ] bps after the first distribution date on which the Optional Clean-up Call is exercisable), (ii) the Net WAC Cap and (iii) the Loan Group II Cap. CLASS A-5 PASS-THROUGH RATE: The Class A-5 Certificates will accrue interest at a variable rate equal to the least of (i) one-month LIBOR plus [ ] bps ([ ] bps after the first distribution date on which the Optional Clean-up Call is exercisable), (ii) the Net WAC Cap and (iii) the Loan Group II Cap. CLASS M-1 PASS-THROUGH RATE: The Class M-1 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ] bps ([ ] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net WAC Cap. CLASS M-2 PASS-THROUGH RATE: The Class M-2 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ] bps ([ ] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net WAC Cap. CLASS M-3 PASS-THROUGH RATE: The Class M-3 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ] bps ([ ] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net WAC Cap. CLASS B-1 PASS-THROUGH RATE: The Class B-1 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ] bps ([ ] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net WAC Cap. CLASS B-2 PASS-THROUGH RATE: The Class B-2 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ] bps ([ ] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net 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 and the Seller make 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 and the Seller disclaim 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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 7 TRANSACTION HIGHLIGHTS (CONT'D) ---------------------- CLASS B-3 PASS-THROUGH RATE: The Class B-3 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ] bps ([ ] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net WAC Cap. NET WAC CAP: As to any Distribution Date, a per annum rate (on an Actual/360 basis) equal to the weighted average gross rate of the Mortgage Loans in effect on the beginning of the related Due Period less servicing, trustee fee, and other rates, and in regards to the A-1 and the A-3 Certificates, the FSA fee rate. LOAN GROUP I CAP: As to any Distribution Date, a per annum rate equal to the 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 (including the FSA fee rate). LOAN GROUP II CAP: As to any Distribution Date, a per annum rate equal to the 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 (including the FSA fee rate in regards to the Class A-3 Certificates). GROUP II CLASS A CERTIFICATES: The Class A-2, A-3, A-4 and A-5 Certificates. GROUP II CLASS A SEQUENTIAL CERTIFICATES: The Class A-4 and A-5 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 and the Seller make 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 and the Seller disclaim 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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 8 TRANSACTION HIGHLIGHTS (CONT'D) ---------------------- INTEREST DISTRIBUTIONS ON On each Distribution Date and after payment of OFFERED CERTIFICATES: fees and reimbursements to the Servicer, FSA and the Trustee, interest distributions from the Interest Remittance Amount will be allocated as follows: (i) concurrently, with equal priority of payments; (A) payable solely from the remaining Interest Remittance Amount relating to the Group I Mortgage Loans or, to the extent such amount is less than the Accrued Certificate Interest for the Class A-1 Certificates, from the amounts available with respect to the Group II Mortgage Loans for that Distribution Date after giving effect to the payment of the Accrued Certificate Interest for the Group II Class A Certificates Certificates for that Distribution Date, to the Class A-1 Certificates, its Accrued Certificate Interest and any unpaid interest shortfalls. (B) payable solely from the remaining Interest Remittance Amount relating to the Group II Mortgage Loans or, to the extent such amount is less than the Accrued Certificate Interest for each of the Group II Class A Certificates, from the amounts available with respect to the Group I Mortgage Loans for that Distribution Date after giving effect to the payment of the Accrued Certificate Interest for the Class A-1 Certificates for that Distribution Date, to the holders of each of the Group II Class A Certificates, its Accrued Certificate Interest and any Unpaid Interest Shortfall; (ii) payable from the remaining Interest Remittance Amount for both Groups, to the Class M-1 Certificates, its Accrued Certificate Interest; (iii) payable from the remaining Interest Remittance Amount for both Groups, to the Class M-2 Certificates, its Accrued Certificate Interest; (iv) payable from the remaining Interest Remittance Amount for both Groups, to the Class M-3 Certificates, its Accrued Certificate Interest; (v) payable from the remaining Interest Remittance Amount for both Groups, to the Class B-1 Certificates, its Accrued Certificate Interest; (vi) payable from the remaining Interest Remittance Amount for both Groups, to the Class B-2 Certificates, its Accrued Certificate Interest; and (vii) payable from the remaining Interest Remittance Amount for both Groups, to the Class B-3 Certificates, its Accrued Certificate Interest. PRINCIPAL DISTRIBUTIONS ON On each Distribution Date (a) prior to the OFFERED CERTIFICATES: Stepdown Date or (b) on which a Trigger Event is in effect, principal distributions from the Principal Distribution Amount will be allocated as follows: (i) to the Class A Certificates, allocated between the Class A Certificates as described below, until the Certificate Principal Balances thereof have been reduced to zero; (ii) to the Class M-1 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (iii) to the Class M-2 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (iv) to the Class M-3 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (v) to the Class B-1 Certificates, until the Certificate Principal Balance thereof has beenreduced 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. 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 and the Seller make 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 and the Seller disclaim 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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 9 TRANSACTION HIGHLIGHTS (CONT'D) ---------------------- 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. All principal distributions to the Class A Certificates on any Distribution Date will be allocated between the Class A-1 Certificates and the Group II Class A Certificates on a pro rata basis based on the Class A Principal Allocation Percentage for each such group on such Distribution Date; 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. The principal distribution to the Group II Class A Certificates will be allocated pro rata to the Class A-2, Class A-3 and the Group II Class A Sequential Certificates. The principal distribution to the Group II Class A Sequential Certificates will be allocated first to the Class A-4 Certificates until those Certificates are reduced to zero, then to the Class A-5 Certificates. Notwithstanding the above, in the event that all subordinate classes, including the Class X 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 and the Seller make 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 and the Seller disclaim 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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 10 TRANSACTION HIGHLIGHTS (CONT'D) ---------------------- Certificate have been reduced to zero, principal distributions to the Group II Class A Certificates will be distributed pro rata to the Class A-2, Class A-3, Class A-4 and Class A-5 Certificates. INTEREST RATE CAP: Beginning on the first Distribution Date, an Interest Rate Cap will be pledged to the Trust, for the benefit of the Offered Certificates (other than the Class A-1 Certificates) for a period of 30 months. During months 1 to 21, if the 1-month LIBOR rate exceeds 6.75%, the Interest Rate Cap pays the Trust the product of (i) the difference between the then current 1-month LIBOR rate and 6.75% (on an Actual/360 day count basis) up to a maximum of 200 bps and (ii) the Interest Rate Cap notional balance equal to the balance of the Group II Class A Certificates, M-1, M-2, M-3, B-1, B-2 and B-3 Certificates at the pricing speed ("Interest Rate Cap Payment"). During months 22 to 30, if the 1-month LIBOR rate exceeds 7.75%, the Interest Rate Cap pays the Trust the product of (i) the difference between the then current 1-month LIBOR rate and 7.75% (on an Actual/360 day count basis) up to a maximum of 100 bps and (ii) the Interest Rate Cap notional balance equal to the balance of the Group II Class A Certificates, M-1, M-2, M-3, B-1, B-2 and B-3 Certificates at the pricing speed ("Interest Rate Cap Payment"). CLASS A-1, A-2, A-3, A-4, As to any Distribution Date, any remaining A-5, M-1, M-2, M-3, B-1, B-2 available funds and, with respect to the Offered AND B-3 BASIS RISK CARRY Certificates other than the Class A-1 FORWARD AMOUNT: Certificates, any Interest Rate Cap Payment received after payments of interest and principal as described, and after payments in respect of Unpaid Interest Shortfalls, and realized loss amounts as described herein, will be available to pay a supplemental interest amount for the Class A Certificates, Class M-1, M-2, M-3, B-1, B-2 and B-3 Certificates (in that order) which equal the sum of: (i) the excess, if any, of interest that would otherwise be due on such Certificates at the respective Pass-Through Rate (without regard to the Net WAC Cap or Loan Group I Cap with respect to the Class A-1, or Loan Group II Cap with respect to the Group II Class A Certificates) over interest due such Certificates at a rate equal to the Net WAC Cap (or Loan Group I Cap with respect to the Class A-1 , or Loan Group II Cap with respect to the Group II Class A Certificates); (ii) any respective Basis Risk Carry Forward Amount remaining unpaid from prior Distribution Dates; and (iii) interest on the amount in clause (ii) at the respective Pass-Through Rate (without regard to the Net WAC Cap or Loan Group I Cap with respect to the Class A-1 , or Loan Group II Cap with respect to the Group II Class A Certificates). PRE-FUNDING ACCOUNT PAYMENT: Any funds in the Pre-Funding Account not used to purchase additional Mortgage Loans during the Pre-Funding Period will be paid to the Offered 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 and the Seller make 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 and the Seller disclaim 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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 11 TRANSACTION HIGHLIGHTS (CONT'D) ---------------------- ALLOCATION OF NET MONTHLY For any Distribution Date, any Net Monthly EXCESS CASHFLOW: Excess Cashflow shall be paid as follows: (i) to the Class M-1 Certificates, their Unpaid Interest Shortfall; (ii) to the Class M-1 Certificates, their realized loss amount reimbursement; (iii) to the Class M-2 Certificates, their Unpaid Interest Shortfall; (iv) to the Class M-2 Certificates, their realized loss amount reimbursement; (v) to the Class M-3 Certificates, their Unpaid Interest Shortfall; (vi) to the Class M-3 Certificates, their realized loss amount reimbursement (vii) to the Class B-1 Certificates, their Unpaid Interest Shortfall; (viii) to the Class B-1 Certificates, their realized loss amount reimbursement; (ix) to the Class B-2 Certificates, their Unpaid Interest Shortfall; (x) to the Class B-2 Certificates, their realized loss amount reimbursement; (xi) to the Class B-3 Certificates, their Unpaid Interest Shortfall; (xii) to the Class B-3 Certificates, their realized loss amount reimbursement; (xiii) concurrently, to the Class A-1 and Group II Class A Certificates, any Basis Risk Carry Forward Amount for such classes; provided that the Class A-1 Certificates shall not be entitled to any Interest Rate Cap Payment; and (xiv) sequentially, to the Class M-1, M-2, M-3, B-1, B-2 and B-3 Certificates, in such order, any Basis Risk Carry Forward Amount for such classes. INTEREST REMITTANCE AMOUNT: For any Distribution Date, the portion of available funds for such Distribution Date attributable to interest received or advanced on the Mortgage Loans. ACCRUED CERTIFICATE INTEREST: For any Distribution Date and each class of Offered Certificates, equals the amount of interest accrued during the related interest accrual period at the related Pass-Through Rate, reduced by that class share of net interest shortfalls and any shortfalls resulting from the application of the Soldiers' and Sailors' Civil Relief Act of 1940 or similar state or local law. PRINCIPAL DISTRIBUTION AMOUNT: On any Distribution Date, the sum of (i) the Basic Principal Distribution Amount and (ii) the Extra Principal Distribution Amount. BASIC PRINCIPAL DISTRIBUTION On any Distribution Date, the excess of (i) the AMOUNT: aggregate Principal Remittance Amount over (ii) the Excess Subordinated Amount, if any. PRINCIPAL REMITTANCE AMOUNT: On any Distribution Date, the sum of (i) all scheduled payments of principal collected or advanced on the Mortgage Loans during the prior Due Period, (ii) the principal portion of all partial and full prepayments received during the month prior to the month during which such Distribution Date occurs, (iii) the principal portion of all net liquidation proceeds and net insurance proceeds received during the month prior to the month during which such Distribution Date occurs, (iv) the principal portion of repurchased Mortgage Loans with respect to such Distribution Date, (v) the principal portion of substitution adjustments received in connection with the substitution of a Mortgage Loan with respect to such Distribution Date, and (vi) the principal portion of the termination price if the Optional Clean Up Call is exercised. NET MONTHLY EXCESS CASHFLOW: For any Distribution Date is the amount of funds available for distribution on such Distribution Date remaining after making all payments of interest and principal to the Certificates. This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley and the Seller make 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 and the Seller disclaim 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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 12 TRANSACTION HIGHLIGHTS (CONT'D) ---------------------- EXTRA PRINCIPAL DISTRIBUTION For any Distribution Date, the lesser of (i) the AMOUNT: excess of (x) interest collected or advanced on the Mortgage Loans during the related Due Period (less fees and reimbursements owed to the Servicer, the Trustee and FSA), over (y) the sum of interest distribution on the Certificates on such Distribution Date and (ii) the amount by which the overcollateralization is deficient for such Distribution Date. EXCESS SUBORDINATED AMOUNT: For any Distribution Date, means the excess, if any of (i) the overcollateralization and (ii) the required overcollateralization for such Distribution Date. CLASS A PRINCIPAL For any Distribution Date, an amount equal to DISTRIBUTION AMOUNT: the excess of (x) the 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 62.50% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period minus approximately $3,567,788. CLASS A PRINCIPAL ALLOCATION For any Distribution Date, the percentage PERCENTAGE: equivalent of a fraction, determined as follows: (i) in the case of the Class A-1 Certificates the numerator of which is (x) the portion of the principal remittance amount for such Distribution Date that is attributable to principal received or advanced on the Group I Mortgage Loans and the denominator of which is (y) the principal remittance amount for such Distribution Date and (ii) in the case of the Group II Class A 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 M-1 PRINCIPAL For any Distribution Date, an amount equal to DISTRIBUTION AMOUNT: the excess of (x) the sum of (i) the 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 75.20% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period minus approximately $3,567,788. CLASS M-2 PRINCIPAL For any Distribution Date, an amount equal to DISTRIBUTION AMOUNT: the excess of (x) the sum of (i) the 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 85.10% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period minus approximately $3,567,788. 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 and the Seller make 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 and the Seller disclaim 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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 13 TRANSACTION HIGHLIGHTS (CONT'D) ---------------------- CLASS M-3 PRINCIPAL For any Distribution Date, an amount equal to DISTRIBUTION AMOUNT: the excess of (x) the sum of (i) the Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), ), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), and (iv) the Certificate Principal Balance of the Class M-3 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 87.30% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period minus approximately $3,567,788. CLASS B-1 PRINCIPAL For any Distribution Date, an amount equal to DISTRIBUTION AMOUNT: the excess of (x) the sum of (i) the 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 89.90% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period minus approximately $3,567,788. CLASS B-2 PRINCIPAL For any Distribution Date, an amount equal to DISTRIBUTION AMOUNT: the excess of (x) the sum of (i) the 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 and over (y) the lesser of (A) the product of (i) approximately 92.50% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period minus approximately $3,567,788. 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 and the Seller make 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 and the Seller disclaim 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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 14 TRANSACTION HIGHLIGHTS (CONT'D) ---------------------- CLASS B-3 PRINCIPAL For any Distribution Date, an amount equal to DISTRIBUTION AMOUNT: the excess of (x) the sum of (I) the 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 and over (y) the lesser of (A) the product of (i) approximately 96.20% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period minus approximately $3,567,788. TRUST TAX STATUS: REMIC. ERISA ELIGIBILITY: Subject the considerations in the Prospectus, the Offered Certificates are ERISA eligible. SMMEA ELIGIBILITY: It is anticipated that none of the Certificates will be SMMEA eligible. PROSPECTUS: The Offered 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 and the Seller make 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 and the Seller disclaim 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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 15
SENSITIVITY ANALYSIS -------------------- ----------------------------------------------------------------------------------------------------------------------------- TO 10% CALL %PPC 50 60 75 100 125 150 175 ----------------------------------------------------------------------------------------------------------------------------- A-1 WAL 5.35 4.54 3.67 2.72 2.09 1.60 1.23 FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 EXPECTED FINAL MATURITY 11/25/2018 11/25/2016 5/25/2014 8/25/2011 12/25/2009 9/25/2008 11/25/2007 WINDOW 1 - 183 1 - 159 1 - 129 1 - 96 1 - 76 1 - 61 1 - 51 ----------------------------------------------------------------------------------------------------------------------------- A-2 WAL 5.42 4.62 3.74 2.80 2.16 1.67 1.29 FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 EXPECTED FINAL MATURITY 11/25/2018 11/25/2016 5/25/2014 8/25/2011 12/25/2009 9/25/2008 11/25/2007 WINDOW 1 - 183 1 - 159 1 - 129 1 - 96 1 - 76 1 - 61 1 - 51 ----------------------------------------------------------------------------------------------------------------------------- A-3 WAL 5.42 4.62 3.74 2.80 2.16 1.67 1.29 FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 EXPECTED FINAL MATURITY 11/25/2018 11/25/2016 5/25/2014 8/25/2011 12/25/2009 9/25/2008 11/25/2007 WINDOW 1 - 183 1 - 159 1 - 129 1 - 96 1 - 76 1 - 61 1 - 51 ----------------------------------------------------------------------------------------------------------------------------- A-4 WAL 2.48 2.10 1.70 1.29 1.04 0.87 0.74 FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 EXPECTED FINAL MATURITY 3/25/2009 4/25/2008 5/25/2007 5/25/2006 10/25/2005 5/25/2005 2/25/2005 WINDOW 1 - 67 1 - 56 1 - 45 1 - 33 1 - 26 1 - 21 1 - 18 ----------------------------------------------------------------------------------------------------------------------------- A-5 WAL 10.68 9.13 7.39 5.49 4.17 3.10 2.27 FIRST PAYMENT DATE 3/25/2009 4/25/2008 5/25/2007 5/25/2006 10/25/2005 5/25/2005 2/25/2005 EXPECTED FINAL MATURITY 11/25/2018 11/25/2016 5/25/2014 8/25/2011 12/25/2009 9/25/2008 11/25/2007 WINDOW 67 - 183 56 - 159 45 - 129 33 - 96 26 - 76 21 - 61 18 - 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 and the Seller make 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 and the Seller disclaim 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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 16
SENSITIVITY ANALYSIS (CONT) --------------------------- ----------------------------------------------------------------------------------------------------------------------------- TO 10% CALL %PPC 50 60 75 100 125 150 175 ----------------------------------------------------------------------------------------------------------------------------- M-1 WAL 10.28 8.78 7.09 5.36 4.58 4.41 4.25 FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 11/25/2006 2/25/2007 5/25/2007 11/25/2007 EXPECTED FINAL MATURITY 11/25/2018 11/25/2016 5/25/2014 8/25/2011 12/25/2009 9/25/2008 11/25/2007 WINDOW 61 - 183 51 - 159 41 - 129 39 - 96 42 - 76 45 - 61 51 - 51 ----------------------------------------------------------------------------------------------------------------------------- M-2 WAL 10.28 8.78 7.09 5.34 4.45 4.03 3.97 FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 10/25/2006 11/25/2006 1/25/2007 3/25/2007 EXPECTED FINAL MATURITY 11/25/2018 11/25/2016 5/25/2014 8/25/2011 12/25/2009 9/25/2008 11/25/2007 WINDOW 61 - 183 51 - 159 41 - 129 38 - 96 39 - 76 41 - 61 43 - 51 ----------------------------------------------------------------------------------------------------------------------------- M-3 WAL 10.28 8.78 7.09 5.33 4.41 3.91 3.71 FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 9/25/2006 11/25/2006 12/25/2006 2/25/2007 EXPECTED FINAL MATURITY 11/25/2018 11/25/2016 5/25/2014 8/25/2011 12/25/2009 9/25/2008 11/25/2007 WINDOW 61 - 183 51 - 159 41 - 129 37 - 96 39 - 76 40 - 61 42 - 51 ----------------------------------------------------------------------------------------------------------------------------- B-1 WAL 10.28 8.78 7.09 5.32 4.39 3.87 3.64 FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 9/25/2006 10/25/2006 11/25/2006 12/25/2006 EXPECTED FINAL MATURITY 11/25/2018 11/25/2016 5/25/2014 8/25/2011 12/25/2009 9/25/2008 11/25/2007 WINDOW 61 - 183 51 - 159 41 - 129 37 - 96 38 - 76 39 - 61 40 - 51 ----------------------------------------------------------------------------------------------------------------------------- B-2 WAL 10.28 8.78 7.09 5.32 4.38 3.84 3.56 FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 9/25/2006 10/25/2006 10/25/2006 11/25/2006 EXPECTED FINAL MATURITY 11/25/2018 11/25/2016 5/25/2014 8/25/2011 12/25/2009 9/25/2008 11/25/2007 WINDOW 61 - 183 51 - 159 41 - 129 37 - 96 38 - 76 38 - 61 39 - 51 ----------------------------------------------------------------------------------------------------------------------------- B-3 WAL 10.23 8.73 7.05 5.29 4.33 3.78 3.48 FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 9/25/2006 9/25/2006 9/25/2006 10/25/2006 EXPECTED FINAL MATURITY 11/25/2018 11/25/2016 5/25/2014 8/25/2011 12/25/2009 9/25/2008 11/25/2007 WINDOW 61 - 183 51 - 159 41 - 129 37 - 96 37 - 76 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 and the Seller make 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 and the Seller disclaim 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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 17
SENSITIVITY ANALYSIS (CONT) --------------------------- ----------------------------------------------------------------------------------------------------------------------------- TO MATURITY %PPC 50 60 75 100 125 150 175 ----------------------------------------------------------------------------------------------------------------------------- A-1 WAL 5.69 4.85 3.93 2.93 2.24 1.72 1.25 FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 EXPECTED FINAL MATURITY 8/25/2030 8/25/2028 2/25/2025 1/25/2020 6/25/2016 11/25/2013 10/25/2011 WINDOW 1 - 324 1 - 300 1 - 258 1 - 197 1 - 154 1 - 123 1 - 98 ----------------------------------------------------------------------------------------------------------------------------- A-2 WAL 5.78 4.96 4.05 3.05 2.36 1.84 1.37 FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 EXPECTED FINAL MATURITY 1/25/2031 4/25/2029 2/25/2026 3/25/2021 9/25/2017 2/25/2015 2/25/2013 WINDOW 1 - 329 1 - 308 1 - 270 1 - 211 1 - 169 1 - 138 1 - 114 ----------------------------------------------------------------------------------------------------------------------------- A-3 WAL 5.78 4.96 4.05 3.05 2.36 1.84 1.37 FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 EXPECTED FINAL MATURITY 1/25/2031 4/25/2029 2/25/2026 3/25/2021 9/25/2017 2/25/2015 2/25/2013 WINDOW 1 - 329 1 - 308 1 - 270 1 - 211 1 - 169 1 - 138 1 - 114 ----------------------------------------------------------------------------------------------------------------------------- A-4 WAL 2.48 2.10 1.70 1.29 1.04 0.87 0.74 FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 EXPECTED FINAL MATURITY 3/25/2009 4/25/2008 5/25/2007 5/25/2006 10/25/2005 5/25/2005 2/25/2005 WINDOW 1 - 67 1 - 56 1 - 45 1 - 33 1 - 26 1 - 21 1 - 18 ----------------------------------------------------------------------------------------------------------------------------- A-5 WAL 11.69 10.08 8.25 6.19 4.73 3.57 2.48 FIRST PAYMENT DATE 3/25/2009 4/25/2008 5/25/2007 5/25/2006 10/25/2005 5/25/2005 2/25/2005 EXPECTED FINAL MATURITY 1/25/2031 4/25/2029 2/25/2026 3/25/2021 9/25/2017 2/25/2015 2/25/2013 WINDOW 67 - 329 56 - 308 45 - 270 33 - 211 26 - 169 21 - 138 18 - 114 -----------------------------------------------------------------------------------------------------------------------------
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 and the Seller make 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 and the Seller disclaim 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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 18
SENSITIVITY ANALYSIS (CONT) --------------------------- ----------------------------------------------------------------------------------------------------------------------------- TO MATURITY %PPC 50 60 75 100 125 150 175 ----------------------------------------------------------------------------------------------------------------------------- M-1 WAL 11.15 9.57 7.79 5.92 5.02 4.77 5.42 FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 11/25/2006 2/25/2007 5/25/2007 11/25/2007 EXPECTED FINAL MATURITY 6/25/2028 1/25/2026 7/25/2022 3/25/2018 3/25/2015 1/25/2013 6/25/2011 WINDOW 61 - 298 51 - 269 41 - 227 39 - 175 42 - 139 45 - 113 51 - 94 ----------------------------------------------------------------------------------------------------------------------------- M-2 WAL 11.08 9.49 7.72 5.84 4.84 4.35 4.23 FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 10/25/2006 11/25/2006 1/25/2007 3/25/2007 EXPECTED FINAL MATURITY 12/25/2026 5/25/2024 12/25/2020 12/25/2016 2/25/2014 2/25/2012 9/25/2010 WINDOW 61 - 280 51 - 249 41 - 208 38 - 160 39 - 126 41 - 102 43 - 85 ----------------------------------------------------------------------------------------------------------------------------- M-3 WAL 10.98 9.39 7.63 5.76 4.74 4.19 3.94 FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 9/25/2006 11/25/2006 12/25/2006 2/25/2007 EXPECTED FINAL MATURITY 9/25/2024 2/25/2022 11/25/2018 4/25/2015 10/25/2012 1/25/2011 10/25/2009 WINDOW 61 - 253 51 - 222 41 - 183 37 - 140 39 - 110 40 - 89 42 - 74 ----------------------------------------------------------------------------------------------------------------------------- B-1 WAL 10.90 9.32 7.57 5.70 4.68 4.12 3.84 FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 9/25/2006 10/25/2006 11/25/2006 12/25/2006 EXPECTED FINAL MATURITY 12/25/2023 5/25/2021 4/25/2018 10/25/2014 5/25/2012 9/25/2010 7/25/2009 WINDOW 61 - 244 51 - 213 41 - 176 37 - 134 38 - 105 39 - 85 40 - 71 ----------------------------------------------------------------------------------------------------------------------------- B-2 WAL 10.76 9.19 7.46 5.62 4.60 4.03 3.72 FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 9/25/2006 10/25/2006 10/25/2006 11/25/2006 EXPECTED FINAL MATURITY 10/25/2022 4/25/2020 5/25/2017 12/25/2013 10/25/2011 3/25/2010 2/25/2009 WINDOW 61 - 230 51 - 200 41 - 165 37 - 124 38 - 98 38 - 79 39 - 66 ----------------------------------------------------------------------------------------------------------------------------- B-3 WAL 10.38 8.85 7.16 5.38 4.40 3.84 3.52 FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 9/25/2006 9/25/2006 9/25/2006 10/25/2006 EXPECTED FINAL MATURITY 3/25/2021 10/25/2018 2/25/2016 1/25/2013 1/25/2011 8/25/2009 8/25/2008 WINDOW 61 - 211 51 - 182 41 - 150 37 - 113 37 - 89 37 - 72 38 - 60 -----------------------------------------------------------------------------------------------------------------------------
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 and the Seller make 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 and the Seller disclaim 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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 19 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
SENSITIVITY ANALYSIS (CONT) ------------------------------------------------------------------------------------------------------------------------------------ TO 10% CALL TO MATURITY ------------------------------------------------------------------------------------------------------------------------------------ CPR 20 25 30 CPR 20 25 30 ------------------------------------------------------------------------------------------------------------------------------------ A-1 WAL 3.32 2.61 2.08 A-1 WAL 3.61 2.84 2.27 FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 EXPECTED FINAL EXPECTED FINAL MATURITY 5/25/2013 5/25/2011 12/25/2009 MATURITY 7/25/2024 9/25/2020 10/25/2017 WINDOW 1 - 117 1 - 93 1 - 76 WINDOW 1 - 251 1 - 205 1 - 170 ------------------------------------------------------------------------------------------------------------------------------------ A-2 WAL 3.32 2.61 2.08 A-2 WAL 3.59 2.83 2.27 FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 EXPECTED FINAL EXPECTED FINAL MATURITY 5/25/2013 5/25/2011 12/25/2009 MATURITY 7/25/2024 8/25/2020 10/25/2017 WINDOW 1 - 117 1 - 93 1 - 76 WINDOW 1 - 251 1 - 204 1 - 170 ------------------------------------------------------------------------------------------------------------------------------------ A-3 WAL 3.32 2.61 2.08 A-3 WAL 3.59 2.83 2.27 FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 EXPECTED FINAL EXPECTED FINAL MATURITY 5/25/2013 5/25/2011 12/25/2009 MATURITY 7/25/2024 8/25/2020 10/25/2017 WINDOW 1 - 117 1 - 93 1 - 76 WINDOW 1 - 251 1 - 204 1 - 170 ------------------------------------------------------------------------------------------------------------------------------------ A-4 WAL 1.47 1.16 0.96 A-4 WAL 1.47 1.16 0.96 FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 EXPECTED FINAL EXPECTED FINAL MATURITY 12/25/2006 3/25/2006 9/25/2005 MATURITY 12/25/2006 3/25/2006 9/25/2005 WINDOW 1 - 40 1 - 31 1 - 25 WINDOW 1 - 40 1 - 31 1 - 25 ------------------------------------------------------------------------------------------------------------------------------------ A-5 WAL 6.63 5.19 4.08 A-5 WAL 7.39 5.81 4.60 FIRST PAYMENT DATE 12/25/2006 3/25/2006 9/25/2005 FIRST PAYMENT DATE 12/25/2006 3/25/2006 9/25/2005 EXPECTED FINAL EXPECTED FINAL MATURITY 5/25/2013 5/25/2011 12/25/2009 MATURITY 7/25/2024 8/25/2020 10/25/2017 WINDOW 40 - 117 31 - 93 25 - 76 WINDOW 40 - 251 31 - 204 25 - 170 ------------------------------------------------------------------------------------------------------------------------------------
1. Cash available to pay current and prior interest and basis risk carry forward amount divided by the current bond balance 2. Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR rate of 20% 3. A prefunding period exists for Periods 1 through 3 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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 20 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
SENSITIVITY ANALYSIS (CONT) --------------------------- --------------------------------------------------------------------------------------------------------------------------------- TO 10% CALL TO MATURITY M-1 WAL 6.40 5.20 4.60 M-1 WAL 7.06 5.73 5.04 FIRST PAYMENT DATE 9/25/2006 11/25/2006 2/25/2007 FIRST PAYMENT DATE 9/25/2006 11/25/2006 2/25/2007 EXPECTED FINAL EXPECTED FINAL MATURITY 5/25/2013 5/25/2011 12/25/2009 MATURITY 2/25/2021 10/25/2017 4/25/2015 WINDOW 37 - 117 39 - 93 42 - 76 WINDOW 37 - 210 39 - 170 42 - 140 --------------------------------------------------------------------------------------------------------------------------------- M-2 WAL 6.40 5.16 4.45 M-2 WAL 6.99 5.63 4.85 FIRST PAYMENT DATE 9/25/2006 10/25/2006 11/25/2006 FIRST PAYMENT DATE 9/25/2006 10/25/2006 11/25/2006 EXPECTED FINAL EXPECTED FINAL MATURITY 5/25/2013 5/25/2011 12/25/2009 MATURITY 7/25/2019 6/25/2016 3/25/2014 WINDOW 37 - 117 38 - 93 39 - 76 WINDOW 37 - 191 38 - 154 39 - 127 --------------------------------------------------------------------------------------------------------------------------------- M-3 WAL 6.40 5.15 4.40 M-3 WAL 6.91 5.56 4.74 FIRST PAYMENT DATE 9/25/2006 10/25/2006 11/25/2006 FIRST PAYMENT DATE 9/25/2006 10/25/2006 11/25/2006 EXPECTED FINAL EXPECTED FINAL MATURITY 5/25/2013 5/25/2011 12/25/2009 MATURITY 9/25/2017 11/25/2014 11/25/2012 WINDOW 37 - 117 38 - 93 39 - 76 WINDOW 37 - 169 38 - 135 39 - 111 --------------------------------------------------------------------------------------------------------------------------------- B-1 WAL 6.40 5.14 4.39 B-1 WAL 6.85 5.50 4.68 FIRST PAYMENT DATE 9/25/2006 9/25/2006 10/25/2006 FIRST PAYMENT DATE 9/25/2006 9/25/2006 10/25/2006 EXPECTED FINAL EXPECTED FINAL MATURITY 5/25/2013 5/25/2011 12/25/2009 MATURITY 2/25/2017 5/25/2014 6/25/2012 WINDOW 37 - 117 37 - 93 38 - 76 WINDOW 37 - 162 37 - 129 38 - 106 --------------------------------------------------------------------------------------------------------------------------------- B-2 WAL 6.40 5.13 4.37 B-2 WAL 6.75 5.41 4.59 FIRST PAYMENT DATE 9/25/2006 9/25/2006 10/25/2006 FIRST PAYMENT DATE 9/25/2006 9/25/2006 10/25/2006 EXPECTED FINAL EXPECTED FINAL MATURITY 5/25/2013 5/25/2011 12/25/2009 MATURITY 3/25/2016 8/25/2013 10/25/2011 WINDOW 37 - 117 37 - 93 38 - 76 WINDOW 37 - 151 37 - 120 38 - 98 --------------------------------------------------------------------------------------------------------------------------------- B-3 WAL 6.36 5.10 4.33 B-3 WAL 6.47 5.18 4.39 FIRST PAYMENT DATE 9/25/2006 9/25/2006 9/25/2006 FIRST PAYMENT DATE 9/25/2006 9/25/2006 9/25/2006 EXPECTED FINAL EXPECTED FINAL MATURITY 5/25/2013 5/25/2011 12/25/2009 MATURITY 1/25/2015 9/25/2012 1/25/2011 WINDOW 37 - 117 37 - 93 37 - 76 WINDOW 37 - 137 37 - 109 37 - 89 ---------------------------------------------------------------------------------------------------------------------------------
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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 21 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
-------------------------------------------------------------------------------------------------------------------------------- PERIOD A-1 CAP % A-2 CAP % A-3 CAP % A-4 CAP % A-5 CAP % M-1 CAP % M-2 CAP % M-3 CAP % B-1 CAP % B-2 CAP % B-3 CAP % ------ --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL /360 /360 /360 /360 /360 /360 /360 /360 /360 /360 /360 -------------------------------------------------------------------------------------------------------------------------------- 1 (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) 2 (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) 3 (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) 4 7.58 9.67 9.60 9.67 9.67 9.47 9.47 9.47 9.47 9.47 9.47 5 7.34 9.42 9.35 9.42 9.42 9.23 9.23 9.23 9.23 9.23 9.23 6 7.34 9.43 9.36 9.43 9.43 9.23 9.23 9.23 9.23 9.23 9.23 7 7.86 9.95 9.87 9.95 9.95 9.73 9.73 9.73 9.73 9.73 9.73 8 7.35 9.44 9.37 9.44 9.44 9.23 9.23 9.23 9.23 9.23 9.23 9 7.60 9.69 9.62 9.69 9.69 9.47 9.47 9.47 9.47 9.47 9.47 10 7.36 9.45 9.38 9.45 9.45 9.23 9.23 9.23 9.23 9.23 9.23 11 7.61 9.70 9.63 9.70 9.70 9.47 9.47 9.47 9.47 9.47 9.47 12 7.37 9.46 9.39 9.46 9.46 9.23 9.23 9.23 9.23 9.23 9.23 13 7.38 9.47 9.40 9.47 9.47 9.23 9.23 9.23 9.23 9.23 9.23 14 7.64 9.72 9.65 9.72 9.72 9.47 9.47 9.47 9.47 9.47 9.47 15 7.40 9.48 9.41 9.48 9.48 9.23 9.23 9.23 9.23 9.23 9.23 16 7.65 9.74 9.67 9.74 9.74 9.47 9.47 9.47 9.47 9.47 9.47 17 7.41 9.50 9.43 9.50 9.50 9.23 9.23 9.23 9.23 9.23 9.23 18 7.42 9.51 9.44 9.51 9.51 9.23 9.23 9.23 9.23 9.23 9.23 19 8.23 10.33 10.25 10.33 10.33 10.00 10.00 10.00 10.00 10.00 10.00 20 7.44 9.53 9.46 9.53 9.53 9.23 9.23 9.23 9.23 9.23 9.23 21 7.70 9.79 9.72 9.79 9.79 9.47 9.47 9.47 9.47 9.47 9.47 22 8.54 9.57 9.50 9.57 9.57 9.23 9.23 9.23 9.23 9.23 9.23 23 8.95 9.97 9.90 9.97 9.97 9.60 9.60 9.60 9.60 9.60 9.60 24 8.77 9.79 9.72 9.79 9.79 9.42 9.42 9.42 9.42 9.42 9.42 25 8.90 9.90 9.84 9.90 9.90 9.52 9.52 9.52 9.52 9.52 9.52 26 9.21 10.22 10.15 10.22 10.22 9.80 9.80 9.80 9.80 9.80 9.80 27 8.92 9.93 9.86 9.93 9.93 9.51 9.51 9.51 9.51 9.51 9.51 28 9.80 10.78 10.71 10.78 10.78 10.31 10.31 10.31 10.31 10.31 10.31 29 9.55 10.53 10.46 10.53 10.53 10.06 10.06 10.06 10.06 10.06 10.06 30 9.62 10.60 10.53 10.60 10.60 10.10 10.10 10.10 10.10 10.10 10.10 31 10.74 10.71 10.63 10.71 10.71 10.13 10.13 10.13 10.13 10.13 10.13 32 9.72 9.69 9.62 9.69 9.69 9.15 9.15 9.15 9.15 9.15 9.15 33 10.07 10.04 9.97 10.04 10.04 9.46 9.46 9.46 9.46 9.46 9.46 34 10.57 10.49 10.42 - 10.49 9.88 9.88 9.88 9.88 9.88 9.88 35 11.03 10.94 10.87 - 10.94 10.28 10.28 10.28 10.28 10.28 10.28 36 10.78 10.69 10.62 - 10.69 10.01 10.01 10.01 10.01 10.01 10.01 37 23.89 23.79 23.72 - 23.79 10.08 10.08 10.08 10.08 10.08 10.08
1. Cash available to pay current and prior interest and basis risk carry forward amount divided by the current bond balance 2. Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR rate of 20% 3. A prefunding period exists for Periods 1 through 3 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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 22 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
-------------------------------------------------------------------------------------------------------------------------------- PERIOD A-1 CAP % A-2 CAP % A-3 CAP % A-4 CAP % A-5 CAP % M-1 CAP % M-2 CAP % M-3 CAP % B-1 CAP % B-2 CAP % B-3 CAP % ------ --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL /360 /360 /360 /360 /360 /360 /360 /360 /360 /360 /360 -------------------------------------------------------------------------------------------------------------------------------- 38 12.98 12.89 12.82 - 12.89 10.42 10.42 10.42 10.42 10.42 10.42 39 12.51 12.41 12.34 - 12.41 10.08 10.08 10.08 10.08 10.08 10.08 40 13.53 13.40 13.33 - 13.40 11.03 11.03 11.03 11.03 11.03 11.03 41 13.11 12.98 12.91 - 12.98 10.72 10.72 10.72 10.72 10.72 10.72 42 13.17 13.03 12.97 - 13.03 10.78 10.78 10.78 10.78 10.78 10.78 43 14.66 14.50 14.43 - 14.50 12.00 12.00 12.00 12.00 12.00 12.00 44 13.23 13.09 13.03 - 13.09 10.84 10.84 10.84 10.84 10.84 10.84 45 13.68 13.53 13.46 - 13.53 11.20 11.20 11.20 11.20 11.20 11.20 46 13.66 13.48 13.41 - 13.48 11.21 11.21 11.21 11.21 11.21 11.21 47 14.15 13.97 13.90 - 13.97 11.62 11.62 11.62 11.62 11.62 11.62 48 13.74 13.55 13.49 - 13.55 11.28 11.28 11.28 11.28 11.28 11.28 49 13.78 13.59 13.52 - 13.59 11.32 11.32 11.32 11.32 11.32 11.32 50 14.24 14.04 13.97 - 14.04 11.69 11.69 11.69 11.69 11.69 11.69 51 13.77 13.59 13.52 - 13.59 11.32 11.32 11.32 11.32 11.32 11.32 52 14.34 14.14 14.07 - 14.14 11.79 11.79 11.79 11.79 11.79 11.79 53 13.88 13.69 13.62 - 13.69 11.42 11.42 11.42 11.42 11.42 11.42 54 13.89 13.70 13.63 - 13.70 11.42 11.42 11.42 11.42 11.42 11.42 55 14.86 14.66 14.58 - 14.66 12.22 12.22 12.22 12.22 12.22 12.22 56 13.90 13.71 13.64 - 13.71 11.43 11.43 11.43 11.43 11.43 11.43 57 14.37 14.16 14.09 - 14.16 11.81 11.81 11.81 11.81 11.81 11.81 58 13.95 13.76 13.69 - 13.76 11.48 11.48 11.48 11.48 11.48 11.48 59 14.42 14.23 14.16 - 14.23 11.87 11.87 11.87 11.87 11.87 11.87 60 13.96 13.77 13.70 - 13.77 11.49 11.49 11.49 11.49 11.49 11.49 61 13.96 13.78 13.71 - 13.78 11.49 11.49 11.49 11.49 11.49 11.49 62 14.43 14.24 14.17 - 14.24 11.87 11.87 11.87 11.87 11.87 11.87 63 13.96 13.77 13.71 - 13.77 11.49 11.49 11.49 11.49 11.49 11.49 64 14.43 14.24 14.17 - 14.24 11.87 11.87 11.87 11.87 11.87 11.87 65 13.96 13.77 13.71 - 13.77 11.49 11.49 11.49 11.49 11.49 11.49 66 13.96 13.77 13.71 - 13.77 11.48 11.48 11.48 11.48 11.48 11.48 67 15.46 15.25 15.18 - 15.25 12.71 12.71 12.71 12.71 12.71 12.71 68 13.95 13.77 13.70 - 13.77 11.48 11.48 11.48 11.48 11.48 11.48 69 14.42 14.23 14.16 - 14.23 11.86 11.86 11.86 11.86 11.86 11.86 70 13.95 13.77 13.70 - 13.77 11.48 11.48 11.48 11.48 11.48 11.48 71 14.42 14.23 14.16 - 14.23 11.86 11.86 11.86 11.86 11.86 11.86 72 13.95 13.77 13.70 - 13.77 11.48 11.48 11.48 11.48 11.48 11.48 73 13.95 13.77 13.70 - 13.77 11.47 11.47 11.47 11.47 11.47 11.47 74 14.42 14.23 14.16 - 14.23 11.86 11.86 11.86 11.86 11.86 11.86 75 13.95 13.76 13.70 - 13.76 11.47 11.47 11.47 11.47 11.47 11.47 76 14.41 14.22 14.15 - 14.22 11.85 11.85 11.85 11.85 11.85 11.85 77 13.95 13.76 13.70 - 13.76 11.47 11.47 11.47 11.47 11.47 11.47 78 13.95 13.76 13.69 - 13.76 11.47 11.47 11.47 11.47 11.47 11.47
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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 23 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
-------------------------------------------------------------------------------------------------------------------------------- PERIOD A-1 CAP % A-2 CAP % A-3 CAP % A-4 CAP % A-5 CAP % M-1 CAP % M-2 CAP % M-3 CAP % B-1 CAP % B-2 CAP % B-3 CAP % ------ --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL /360 /360 /360 /360 /360 /360 /360 /360 /360 /360 /360 -------------------------------------------------------------------------------------------------------------------------------- 79 15.44 15.24 15.17 - 15.24 12.69 12.69 12.69 12.69 12.69 12.69 80 13.95 13.76 13.69 - 13.76 11.46 11.46 11.46 11.46 11.46 11.46 81 14.41 14.22 14.15 - 14.22 11.85 11.85 11.85 11.85 11.85 11.85 82 13.94 13.76 13.69 - 13.76 11.46 11.46 11.46 11.46 11.46 11.46 83 14.41 14.22 14.15 - 14.22 11.84 11.84 11.84 11.84 11.84 11.84 84 13.94 13.76 13.69 - 13.76 11.46 11.46 11.46 11.46 11.46 11.46 85 13.94 13.76 13.69 - 13.76 11.46 11.46 11.46 11.46 11.46 11.46 86 14.34 14.15 14.08 - 14.15 11.84 11.84 11.84 11.84 11.84 11.84 87 12.25 12.07 12.00 - 12.07 11.46 11.46 11.46 11.46 11.46 11.46 88 12.68 12.49 12.42 - 12.49 11.84 11.84 11.84 11.84 11.84 11.84 89 12.29 12.10 12.03 - 12.10 11.45 11.45 11.45 11.45 11.45 11.45 90 12.30 12.12 12.05 - 12.12 11.45 11.45 11.45 11.45 11.45 11.45 91 13.64 13.44 13.36 - 13.44 12.68 12.68 12.68 12.68 12.68 12.68 92 12.34 12.15 12.08 - 12.15 11.45 11.45 11.45 11.45 11.45 11.45 93 12.77 12.58 12.51 - 12.58 11.83 11.83 11.83 11.83 11.83 11.83 94 12.37 12.19 12.12 - 12.19 11.45 11.45 11.45 11.45 11.45 11.45 95 12.81 12.62 12.55 - 12.62 11.83 11.83 11.83 11.83 11.83 11.83 96 12.41 12.23 12.16 - 12.23 11.45 11.45 11.45 11.45 11.45 11.45 97 12.43 12.25 12.18 - 12.25 11.44 11.44 11.44 11.44 11.44 11.44 98 12.87 12.68 12.61 - 12.68 11.83 11.83 11.83 11.83 11.83 11.83 99 12.48 12.29 12.22 - 12.29 11.44 11.44 11.44 11.44 11.44 11.44 100 12.92 12.72 12.65 - 12.72 11.82 11.82 11.82 11.82 11.82 11.82 101 12.52 12.33 12.27 - 12.33 11.44 11.44 11.44 11.44 11.44 11.44 102 12.54 12.36 12.29 - 12.36 11.44 11.44 11.44 11.44 11.44 11.44 103 13.44 13.24 13.17 - 13.24 12.23 12.23 12.23 12.23 12.23 12.23 104 12.59 12.41 12.34 - 12.41 11.44 11.44 11.44 11.44 11.44 11.44 105 13.04 12.85 12.78 - 12.85 11.82 11.82 11.82 11.82 11.82 11.82 106 12.64 12.46 12.39 - 12.46 11.44 11.44 11.44 11.44 11.44 11.44 107 13.09 12.90 12.83 - 12.90 11.82 11.82 11.82 11.82 11.82 11.82 108 12.70 12.51 12.44 - 12.51 11.43 11.43 11.43 11.43 11.43 11.43 109 12.72 12.54 12.47 - 12.54 11.43 11.43 11.43 11.43 11.43 11.43 110 13.18 12.99 12.92 - 12.99 11.81 11.81 11.81 11.81 11.81 11.81 111 12.78 12.59 12.53 - 12.59 11.43 11.43 11.43 11.43 11.43 11.43 112 13.24 13.05 12.98 - 13.05 11.81 11.81 11.81 11.81 11.81 11.81 113 12.84 12.66 12.59 - 12.66 11.43 11.43 11.43 11.43 11.43 11.43 114 12.87 12.69 12.62 - 12.69 11.43 11.43 11.43 11.43 11.43 11.43 115 14.29 14.09 14.01 - 14.09 12.65 12.65 12.65 12.65 12.65 - 116 12.94 12.75 12.68 - 12.75 11.43 11.43 11.43 11.43 11.43 - 117 13.41 13.21 13.14 - 13.21 11.81 11.81 11.81 11.81 11.81 - 118 13.01 12.82 12.75 - 12.82 11.43 11.43 11.43 11.43 11.43 - 119 13.48 13.29 13.22 - 13.29 11.81 11.81 11.81 11.81 11.81 -
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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 24 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
-------------------------------------------------------------------------------------------------------------------------------- PERIOD A-1 CAP % A-2 CAP % A-3 CAP % A-4 CAP % A-5 CAP % M-1 CAP % M-2 CAP % M-3 CAP % B-1 CAP % B-2 CAP % B-3 CAP % ------ --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL /360 /360 /360 /360 /360 /360 /360 /360 /360 /360 /360 -------------------------------------------------------------------------------------------------------------------------------- 120 13.08 12.89 12.83 - 12.89 11.42 11.42 11.42 11.42 11.42 - 121 13.12 12.93 12.86 - 12.93 11.42 11.42 11.42 11.42 11.42 - 122 13.60 13.40 13.33 - 13.40 11.80 11.80 11.80 11.80 11.80 - 123 13.20 13.01 12.94 - 13.01 11.42 11.42 11.42 11.42 11.42 - 124 13.68 13.49 13.42 - 13.49 11.80 11.80 11.80 11.80 11.80 - 125 13.28 13.09 13.03 - 13.09 11.42 11.42 11.42 11.42 11.42 - 126 13.32 13.14 13.07 - 13.14 11.42 11.42 11.42 11.42 11.42 - 127 14.81 14.60 14.52 - 14.60 12.64 12.64 12.64 12.64 12.64 - 128 13.41 13.23 13.16 - 13.23 11.42 11.42 11.42 11.42 - - 129 13.91 13.72 13.65 - 13.72 11.80 11.80 11.80 11.80 - - 130 13.51 13.32 13.25 - 13.32 11.42 11.42 11.42 11.42 - - 131 14.01 13.82 13.75 - 13.82 11.80 11.80 11.80 11.80 - - 132 13.61 13.42 13.35 - 13.42 11.42 11.42 11.42 11.42 - - 133 13.66 13.47 13.40 - 13.47 11.41 11.41 11.41 11.41 - - 134 14.17 13.98 13.91 - 13.98 11.79 11.79 11.79 11.79 - - 135 13.77 13.58 13.51 - 13.58 11.41 11.41 11.41 11.41 - - 136 14.29 14.09 14.02 - 14.09 11.79 11.79 11.79 11.79 - - 137 13.88 13.69 13.62 - 13.69 11.41 11.41 11.41 - - - 138 13.94 13.75 13.68 - 13.75 11.41 11.41 11.41 - - - 139 15.50 15.30 15.22 - 15.30 12.63 12.63 12.63 - - - 140 14.06 13.87 13.81 - 13.87 11.41 11.41 11.41 - - - 141 14.60 14.40 14.33 - 14.40 11.79 11.79 11.79 - - - 142 14.19 14.00 13.93 - 14.00 11.41 11.41 11.41 - - - 143 14.73 14.54 14.47 - 14.54 11.79 11.79 - - - - 144 14.33 14.14 14.07 - 14.14 11.41 11.41 - - - - 145 14.40 14.21 14.14 - 14.21 11.41 11.41 - - - - 146 14.95 14.76 14.69 - 14.76 11.79 11.79 - - - - 147 14.54 14.36 14.29 - 14.36 11.41 11.41 - - - - 148 15.11 14.91 14.84 - 14.91 11.79 11.79 - - - - 149 14.70 14.51 14.44 - 14.51 11.41 11.41 - - - - 150 14.78 14.59 14.52 - 14.59 11.41 11.41 - - - - 151 15.89 15.69 15.62 - 15.69 12.19 12.19 - - - - 152 14.95 14.76 14.69 - 14.76 11.41 11.41 - - - - 153 15.54 15.34 15.27 - 15.34 11.79 11.79 - - - - 154 15.12 14.93 14.87 - 14.93 11.41 11.41 - - - - 155 15.72 15.53 15.46 - 15.53 11.79 11.79 - - - - 156 15.31 15.12 15.05 - 15.12 11.41 11.41 - - - - 157 15.41 15.22 15.15 - 15.22 11.41 11.41 - - - - 158 16.02 15.83 15.76 - 15.83 11.79 11.79 - - - - 159 15.61 15.42 15.35 - 15.42 11.41 11.41 - - - - 160 16.24 16.04 15.97 - 16.04 11.79 11.79 - - - -
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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 25 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
-------------------------------------------------------------------------------------------------------------------------------- PERIOD A-1 CAP % A-2 CAP % A-3 CAP % A-4 CAP % A-5 CAP % M-1 CAP % M-2 CAP % M-3 CAP % B-1 CAP % B-2 CAP % B-3 CAP % ------ --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL /360 /360 /360 /360 /360 /360 /360 /360 /360 /360 /360 -------------------------------------------------------------------------------------------------------------------------------- 161 15.82 15.63 15.56 - 15.63 11.41 11.41 - - - - 162 15.93 15.74 15.67 - 15.74 11.41 11.41 - - - - 163 17.77 17.56 17.48 - 17.56 12.63 12.63 - - - - 164 16.16 15.97 15.90 - 15.97 11.41 - - - - - 165 16.82 16.63 16.56 - 16.63 11.79 - - - - - 166 16.40 16.21 16.15 - 16.21 11.41 - - - - - 167 17.08 16.89 16.82 - 16.89 11.79 - - - - - 168 16.66 16.47 16.40 - 16.47 11.41 - - - - - 169 16.79 16.60 16.53 - 16.60 11.41 - - - - - 170 17.49 17.30 17.23 - 17.30 11.79 - - - - - 171 17.07 16.88 16.81 - 16.88 11.41 - - - - - 172 17.79 17.59 17.52 - 17.59 11.79 - - - - - 173 17.36 17.17 17.10 - 17.17 11.41 - - - - - 174 17.51 17.32 17.25 - 17.32 11.41 - - - - - 175 19.57 19.36 19.28 - 19.36 12.63 - - - - - 176 17.83 17.64 17.57 - 17.64 11.41 - - - - - 177 18.86 18.67 18.60 - 18.67 11.85 - - - - - 178 18.46 18.27 18.20 - 18.27 11.48 - - - - - 179 19.41 19.21 19.14 - 19.21 - - - - - - 180 19.13 18.94 18.87 - 18.94 - - - - - - 181 19.46 19.27 19.20 - 19.27 - - - - - - 182 20.47 20.27 20.20 - 20.27 - - - - - - 183 20.17 19.98 19.92 - 19.98 - - - - - - 184 21.25 21.06 20.99 - 21.06 - - - - - - 185 20.99 20.80 20.73 - 20.80 - - - - - - 186 21.44 21.25 21.18 - 21.25 - - - - - - 187 24.27 24.06 23.99 - 24.06 - - - - - - 188 22.44 22.25 22.18 - 22.25 - - - - - - 189 23.77 23.57 23.50 - 23.57 - - - - - - 190 23.60 23.41 23.35 - 23.41 - - - - - - 191 25.07 24.87 24.80 - 24.87 - - - - - - 192 24.97 24.78 24.72 - 24.78 - - - - - - 193 25.75 25.56 25.49 - 25.56 - - - - - - 194 27.49 27.29 27.22 - 27.29 - - - - - - 195 27.54 27.35 27.28 - 27.35 - - - - - - 196 29.52 29.33 29.26 - 29.33 - - - - - - 197 29.72 29.53 29.46 - 29.53 - - - - - - 198 30.99 30.80 30.74 - 30.80 - - - - - - 199 34.67 34.46 34.39 - 34.46 - - - - - - 200 34.04 33.85 33.79 - 33.85 - - - - - - 201 37.08 36.89 36.82 - 36.89 - - - - - -
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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 26 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
-------------------------------------------------------------------------------------------------------------------------------- PERIOD A-1 CAP % A-2 CAP % A-3 CAP % A-4 CAP % A-5 CAP % M-1 CAP % M-2 CAP % M-3 CAP % B-1 CAP % B-2 CAP % B-3 CAP % ------ --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL /360 /360 /360 /360 /360 /360 /360 /360 /360 /360 /360 -------------------------------------------------------------------------------------------------------------------------------- 202 - 37.80 37.74 - 37.80 - - - - - - 203 - 41.59 41.52 - 41.59 - - - - - - 204 - 43.10 43.03 - 43.10 - - - - - - 205 - 46.50 46.43 - 46.50 - - - - - - 206 - 52.28 52.21 - 52.28 - - - - - - 207 - 55.63 55.57 - 55.63 - - - - - - 208 - 64.05 63.98 - 64.05 - - - - - - 209 - 70.22 70.15 - 70.22 - - - - - - 210 - 81.34 81.27 - 81.34 - - - - - - 211 - 107.57 107.49 - 107.57 - - - - - - 212 - 121.44 121.38 - 121.44 - - - - - - 213 - 168.93 168.86 - 168.93 - - - - - - 214 - 253.84 253.77 - 253.84 - - - - - - 215 - * ** - *** - - - - - -
* In period 215, the Class A-2 has a balance of $20,549 and is paid $17,526 in interest ** In period 215, the Class A-3 has a balance of $27,087 and is paid $23,101 in interest *** In period 215, the Class A-5 has a balance of $23,307 and is paid $19,878 in 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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 27 COLLATERAL SUMMARY AS OF CUT-OFF DATE OF AUGUST 1, 2003 TOTAL POOL
% OF MORTGAGE AGGREGATE POOL BY WEIGHTED WEIGHTED WEIGHTED CUT-OFF AGGREGATE AVERAGE AVERAGE AVERAGE NUMBER OF DATE CUT-OFF DATE GROSS REMAINING ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE PRODUCT TYPES: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE -------------------------------------------------------------------------------------------------------------------------------- Fixed-10 Year 4 302,301 0.05 8.522 116 52.87 584 Fixed-15 Year 148 11,934,787 2.14 8.115 177 74.26 632 Fixed-20 Year 65 4,649,132 0.83 9.308 237 84.84 633 Fixed-25 Year 2 164,443 0.03 9.118 273 87.88 661 Fixed-30 Year 841 122,186,107 21.86 7.522 357 76.77 629 Fixed Balloon-15/30 147 13,728,463 2.46 9.765 176 86.25 643 ARM-2 Year/6 Month LIBOR 2,082 335,071,146 59.95 8.026 357 81.63 605 ARM-3 Year/6 Month LIBOR 493 68,987,741 12.34 8.271 357 80.44 597 ARM-5 Year/6 Month LIBOR 8 1,925,059 0.34 6.661 357 72.44 685 -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611 ================================================================================================================================
% OF MORTGAGE POOL BY WEIGHTED WEIGHTED AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE ORIGINATOR: LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) FICO SCORE -------------------------------------------------------------------------------------------------------------------------------- Aames 198 28,750,138 5.14 6.878 344 75.81 644 Aegis 1,135 148,319,777 26.54 8.464 352 82.48 606 Ameriquest 401 19,867,098 3.55 9.009 339 80.58 608 BNC 284 54,223,247 9.70 7.667 354 80.83 599 Chapel 343 63,152,008 11.30 8.102 325 79.13 644 Encore 940 167,525,558 29.97 7.652 353 78.40 599 First Banc 97 14,087,300 2.52 8.327 341 86.01 629 First NLC 37 5,675,774 1.02 8.108 340 80.67 618 Impac 5 1,551,341 0.28 7.246 358 85.62 587 Master Financial 37 3,958,590 0.71 7.630 340 82.59 613 Peoples Choice 20 3,225,499 0.58 8.246 358 84.49 642 SIB 293 48,612,850 8.70 8.171 345 82.01 615 -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611 ================================================================================================================================
% OF MORTGAGE POOL BY WEIGHTED WEIGHTED AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE LIEN POSITION: LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) FICO SCORE -------------------------------------------------------------------------------------------------------------------------------- 1st Lien 3,584 548,695,993 98.17 7.931 350 80.04 611 2nd Lien 206 10,253,186 1.83 11.529 201 97.45 658 -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611 ================================================================================================================================
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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 28 COLLATERAL SUMMARY AS OF CUT-OFF DATE OF AUGUST 1, 2003 TOTAL POOL
% OF MORTGAGE POOL BY WEIGHTED WEIGHTED AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED RANGE OF GROSS MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE INTEREST RATES(%): LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) FICO SCORE -------------------------------------------------------------------------------------------------------------------------------- 5.000-5.999 74 15,007,160 2.68 5.818 344 69.63 679 6.000-6.999 591 119,542,325 21.39 6.657 349 76.93 640 7.000-7.999 1,008 177,414,838 31.74 7.557 352 81.04 616 8.000-8.999 1,027 147,037,402 26.31 8.542 350 82.34 595 9.000-9.999 663 71,520,813 12.80 9.477 348 81.72 580 10.000-10.999 220 16,929,667 3.03 10.407 325 79.49 572 11.000-11.999 135 8,025,155 1.44 11.494 262 85.09 607 12.000-12.999 64 2,982,506 0.53 12.455 223 91.09 629 13.000-13.999 8 489,314 0.09 13.512 240 94.18 637 -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611 ================================================================================================================================
Minimum: 5.250% Maximum: 13.750% Weighted Average: 7.997% 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. MORGAN STANLEY Page 29 COLLATERAL SUMMARY AS OF CUT-OFF DATE OF AUGUST 1, 2003 TOTAL POOL
% OF MORTGAGE POOL BY WEIGHTED WEIGHTED AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED RANGE OF CUT-OFF DATE MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE PRINCIPAL BALANCE ($): LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) FICO SCORE -------------------------------------------------------------------------------------------------------------------------------- 0.01-25,000.00 43 807,452 0.14 11.365 195 90.75 648 25,000.01-50,000.00 447 18,982,274 3.40 9.666 319 80.93 611 50,000.01-75,000.00 583 35,736,359 6.39 9.047 332 80.25 602 75,000.01-100,000.00 452 39,897,349 7.14 8.487 342 80.34 610 100,000.01-125,000.00 426 47,880,938 8.57 8.235 348 79.88 604 125,000.01-150,000.00 390 53,800,702 9.63 8.038 350 80.08 605 150,000.01-175,000.00 288 46,562,961 8.33 7.840 350 79.89 607 175,000.01-200,000.00 280 52,571,389 9.41 7.901 349 80.25 602 200,000.01-225,000.00 223 47,477,649 8.49 7.760 348 80.06 612 225,000.01-250,000.00 155 36,643,782 6.56 7.658 352 79.48 613 250,000.01-275,000.00 113 29,578,669 5.29 7.755 352 80.79 608 275,000.01-300,000.00 83 23,916,240 4.28 7.526 353 80.67 628 300,000.01-325,000.00 59 18,480,329 3.31 7.560 354 80.65 620 325,000.01-350,000.00 54 18,309,732 3.28 7.572 353 83.04 617 350,000.01-375,000.00 44 15,921,706 2.85 7.855 349 81.20 615 375,000.01-400,000.00 30 11,667,467 2.09 7.248 357 79.89 618 400,000.01-425,000.00 20 8,280,750 1.48 7.592 348 85.77 624 425,000.01-450,000.00 21 9,188,383 1.64 7.623 349 81.20 612 450,000.01-475,000.00 17 7,837,347 1.40 7.535 357 82.93 631 475,000.01-500,000.00 17 8,361,403 1.50 7.778 357 79.56 590 500,000.01-525,000.00 6 3,093,687 0.55 7.003 357 78.20 641 525,000.01-550,000.00 8 4,319,533 0.77 8.106 357 70.72 635 550,000.01-575,000.00 9 5,059,197 0.91 7.328 337 80.26 641 575,000.01-600,000.00 7 4,069,804 0.73 7.228 357 85.98 661 greater than or = 600,000.01 15 10,504,079 1.88 7.767 343 77.83 642 -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611 ================================================================================================================================
Minimum: $9,904 Maximum: $997,846 Average: $147,480 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. MORGAN STANLEY Page 30 COLLATERAL SUMMARY AS OF CUT-OFF DATE OF AUGUST 1, 2003 TOTAL POOL
% OF MORTGAGE POOL BY WEIGHTED WEIGHTED AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED ORIGINAL TERMS MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE (MONTHS): LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) FICO SCORE ----------------------------------------------------------------------------------------------------------------------------- 120 4 302,301 0.05 8.522 116 52.87 584 180 302 26,258,989 4.70 8.962 177 80.53 637 240 67 4,764,747 0.85 9.325 237 84.71 633 300 1 99,642 0.02 7.250 297 80.00 654 360 3,416 527,523,501 94.38 7.937 357 80.32 610 ----------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611 =============================================================================================================================
Minimum: 120 Maximum: 360 Weighted Average: 350
% OF MORTGAGE POOL BY WEIGHTED WEIGHTED AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE WEIGHTED CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL AVERAGE RANGE OF REMAINING NUMBER OF PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV FICO TERMS (MONTHS): MORTGAGE LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) SCORE --------------------------------------------------------------------------------------------------------------------------------- 109-120 4 302,301 0.05 8.522 116 52.87 584 169-180 302 26,258,989 4.70 8.962 177 80.53 637 229-240 67 4,764,747 0.85 9.325 237 84.71 633 289-300 1 99,642 0.02 7.250 297 80.00 654 349-360 3,416 527,523,501 94.38 7.937 357 80.32 610 --------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611 =================================================================================================================================
Minimum: 115 Maximum: 359 Weighted Average: 347 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. MORGAN STANLEY Page 31 COLLATERAL SUMMARY AS OF CUT-OFF DATE OF AUGUST 1, 2003 TOTAL POOL
% OF MORTGAGE POOL BY WEIGHTED WEIGHTED AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED RANGE OF ORIGINAL MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE COMBINED LTV RATIOS (%): LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) FICO SCORE -------------------------------------------------------------------------------------------------------------------------------- less than or = 30.00 20 1,581,382 0.28 8.205 333 25.31 604 30.01-40.00 50 5,988,959 1.07 7.633 326 36.47 605 40.01-50.00 77 8,962,877 1.60 7.674 336 45.52 603 50.01-60.00 147 20,614,295 3.69 7.583 347 56.48 597 60.01-70.00 405 63,788,649 11.41 7.874 349 66.28 592 70.01-80.00 1,292 198,663,871 35.54 7.842 348 77.93 610 80.01-90.00 1,175 181,375,703 32.45 8.010 352 87.40 610 90.01-100.00 624 77,973,443 13.95 8.634 336 96.46 642 -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611 ================================================================================================================================
Minimum: 11.97% Maximum: 100.00% Weighted Average: 80.36%
AGGREGATE % OF MORTGAGE WEIGHTED CUT-OFF POOL BY AVERAGE WEIGHTED WEIGHTED WEIGHTED NUMBER OF DATE AGGREGATE GROSS AVERAGE AVERAGE AVERAGE RANGE OF GROSS MORTGAGE PRINCIPAL CUT-OFF DATE INTEREST REMAINING TERM ORIGINAL FICO MARGINS (%): LOANS BALANCE ($) PRINCIPAL BALANCE RATE (%) (MONTHS) COMBINED LTV (%) SCORE -------------------------------------------------------------------------------------------------------------------------------- Fixed Rate Loans 1,207 152,965,233 27.37 7.827 323 77.63 630 less than or = 5.000 83 20,861,929 3.73 7.193 357 76.75 672 5.001-5.500 175 36,874,816 6.60 7.107 357 80.67 618 5.501-6.000 422 87,559,699 15.67 7.454 357 83.15 619 6.001-6.500 655 82,713,190 14.80 8.035 356 79.97 592 6.501-7.000 289 49,502,090 8.86 8.038 357 80.67 591 7.001-7.500 317 52,418,402 9.38 8.441 356 80.59 600 7.501-8.000 217 31,893,785 5.71 8.778 357 85.28 599 8.001-8.500 181 21,366,064 3.82 9.210 357 83.31 585 8.501-9.000 122 12,697,782 2.27 9.645 357 83.21 576 greater than or = 9.001 122 10,096,189 1.81 10.268 357 78.70 566 -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611 ================================================================================================================================
Non-Fixed Rate Minimum: 1.750% Non-Fixed Rate Maximum: 12.176% Non-Fixed Rate Weighted Average: 6.638% 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. MORGAN STANLEY Page 32 COLLATERAL SUMMARY AS OF CUT-OFF DATE OF AUGUST 1, 2003 TOTAL POOL
% OF MORTGAGE POOL BY WEIGHTED WEIGHTED AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED RANGE OF MINIMUM MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE MORTGAGE RATES(%): LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) FICO SCORE -------------------------------------------------------------------------------------------------------------------------------- Fixed Rate Loans 1,207 152,965,233 27.37 7.827 323 77.63 630 less than or = 5.000 10 1,394,978 0.25 7.153 357 78.96 689 5.001-5.500 10 2,346,372 0.42 5.761 357 65.20 626 5.501-6.000 31 6,643,034 1.19 6.148 356 73.28 645 6.001-6.500 108 24,177,768 4.33 6.547 357 79.79 649 6.501-7.000 246 51,746,311 9.26 6.915 356 79.80 632 7.001-7.500 341 68,709,815 12.29 7.443 357 82.60 621 7.501-8.000 398 68,614,728 12.28 7.843 357 82.15 604 8.001-8.500 358 56,820,155 10.17 8.377 357 82.15 595 8.501-9.000 430 59,894,559 10.72 8.805 357 83.20 585 9.001-9.500 260 29,226,892 5.23 9.291 356 82.17 574 9.501-10.000 229 22,669,687 4.06 9.781 357 81.49 568 10.001 -10.500 87 8,847,033 1.58 10.298 357 74.60 555 10.501-11.000 39 2,310,560 0.41 10.791 357 78.87 554 11.001-11.500 19 1,697,163 0.30 11.306 357 68.86 540 11.501-12.000 9 475,376 0.09 11.781 357 69.75 550 12.001-12.500 4 196,608 0.04 12.344 356 63.98 550 12.501-13.000 3 161,960 0.03 12.594 357 73.79 540 13.501-14.000 1 50,948 0.01 13.600 355 60.00 519 -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611 ================================================================================================================================
Non-Fixed Rate Minimum: 2.750% Non-Fixed Rate Maximum: 13.600% Non-Fixed Rate Weighted Average: 7.990% 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. MORGAN STANLEY Page 33 COLLATERAL SUMMARY AS OF CUT-OFF DATE OF AUGUST 1, 2003 TOTAL POOL
% OF MORTGAGE POOL BY WEIGHTED WEIGHTED AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED RANGE OF MAXIMUM MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE LOAN RATES(%): LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) FICO SCORE -------------------------------------------------------------------------------------------------------------------------------- Fixed Rate Loans 1,207 152,965,233 27.37 7.827 323 77.63 630 less than or = 13.000 178 38,897,808 6.96 6.646 357 75.33 648 13.001-13.500 196 40,344,473 7.22 7.015 356 80.32 635 13.501-14.000 363 67,546,849 12.08 7.378 356 82.28 625 14.001-14.500 416 70,749,581 12.66 7.827 357 83.26 613 14.501-15.000 504 74,460,897 13.32 8.346 357 83.74 594 15.001-15.500 349 47,399,808 8.48 8.811 357 82.37 578 15.501-16.000 304 37,462,376 6.70 9.247 357 81.42 568 16.001-16.500 123 13,833,955 2.47 9.694 357 79.92 553 16.501-17.000 83 8,695,684 1.56 10.016 357 78.21 548 17.001-17.500 35 4,008,854 0.72 10.572 357 67.19 544 17.501-18.000 17 1,074,150 0.19 11.366 357 69.79 546 18.001-18.500 11 1,296,605 0.23 11.477 357 66.35 536 18.501-19.000 3 161,960 0.03 12.594 357 73.79 540 19.501-20.000 1 50,948 0.01 13.600 355 60.00 519 -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611 ================================================================================================================================
Non-Fixed Rate Minimum: 9.000% Non-Fixed Rate Maximum: 19.600% Non-Fixed Rate Weighted Average: 14.479% 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. MORGAN STANLEY Page 34 COLLATERAL SUMMARY AS OF CUT-OFF DATE OF AUGUST 1, 2003 TOTAL POOL
% OF MORTGAGE POOL BY AGGREGATE WEIGHTED WEIGHTED WEIGHTED AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE INITIAL PERIODIC CAP (%): LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ------------------------------------------------------------------------------------------------------------------------------ Fixed Rate Loans 1,207 152,965,233 27.37 7.827 323 77.63 630 1.000 67 12,517,832 2.24 8.104 357 84.97 622 1.500 624 114,141,237 20.42 7.840 357 79.99 589 2.000 533 64,334,479 11.51 7.919 354 81.53 598 3.000 1,345 211,198,055 37.78 8.225 357 81.92 613 4.000 6 1,415,658 0.25 8.940 356 84.05 591 5.000 7 2,021,598 0.36 6.802 358 72.56 681 6.000 1 355,087 0.06 9.375 355 93.68 603 ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611 ==============================================================================================================================
Minimum: 1.000% Maximum: 6.000% Weighted Average: 2.374%
% OF MORTGAGE POOL BY WEIGHTED WEIGHTED AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED SUBSEQUENT PERIODIC MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE CAP (%): LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) FICO SCORE -------------------------------------------------------------------------------------------------------------------------------- Fixed Rate Loans 1,207 152,965,233 27.37 7.827 323 77.63 630 1.000 1,957 291,454,392 52.14 8.149 356 81.93 610 1.500 626 114,529,555 20.49 7.837 357 79.99 589 -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611 ================================================================================================================================
Minimum: 1.000% Maximum: 1.500% Weighted Average: 1.141% 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. MORGAN STANLEY Page 35 COLLATERAL SUMMARY AS OF CUT-OFF DATE OF AUGUST 1, 2003 TOTAL POOL
% OF MORTGAGE POOL BY AGGREGATE WEIGHTED WEIGHTED WEIGHTED AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE NEXT RATE ADJUSTMENT DATES: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE -------------------------------------------------------------------------------------------------------------------------------- Fixed Rate 1,207 152,965,233 27.37 7.827 323 77.63 630 December 2004 1 258,594 0.05 8.080 352 37.30 620 January 2005 8 1,245,491 0.22 7.991 353 83.56 674 February 2005 11 1,926,130 0.34 8.615 354 85.22 626 March 2005 126 15,803,996 2.83 8.550 354 80.69 613 April 2005 495 81,964,873 14.66 7.978 355 81.21 599 May 2005 1,071 171,324,500 30.65 8.050 357 82.24 609 June 2005 276 46,989,977 8.41 7.780 357 81.17 606 July 2005 94 15,557,585 2.78 8.143 359 79.56 575 March 2006 8 2,063,374 0.37 7.983 355 76.72 598 April 2006 76 13,555,031 2.43 7.676 356 80.67 600 May 2006 380 47,768,691 8.55 8.539 357 80.90 594 June 2006 25 4,782,553 0.86 7.600 358 76.21 612 July 2006 4 818,093 0.15 7.163 359 83.94 640 April 2008 1 299,481 0.05 6.875 356 77.05 687 May 2008 3 569,827 0.10 6.962 357 74.77 659 June 2008 4 1,055,752 0.19 6.437 358 69.87 699 -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611 ================================================================================================================================
Non-Fixed Rate Weighted Average: July 2005 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. MORGAN STANLEY Page 36 COLLATERAL SUMMARY AS OF CUT-OFF DATE OF AUGUST 1, 2003 TOTAL POOL
% OF MORTGAGE POOL BY WEIGHTED WEIGHTED AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED GEOGRAPHIC DISTRIBUTION MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE OF MORTGAGED PROPERTIES: LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) FICO SCORE -------------------------------------------------------------------------------------------------------------------------------- California 1,037 217,118,254 38.84 7.509 351 78.06 614 Florida 373 44,234,769 7.91 8.221 347 82.79 613 Illinois 217 33,725,133 6.03 8.158 348 81.60 610 New Jersey 130 23,003,484 4.12 8.208 337 78.86 605 Ohio 218 19,026,133 3.40 8.520 349 86.52 608 Michigan 172 17,607,119 3.15 8.550 350 83.58 599 Massachusetts 83 16,847,507 3.01 8.061 352 76.70 609 New York 85 15,552,458 2.78 8.383 347 79.34 598 Virginia 73 11,598,139 2.07 8.379 331 82.26 619 Maryland 75 11,429,746 2.04 8.329 322 83.69 613 Pennsylvania 97 10,953,963 1.96 8.238 348 83.60 601 Texas 108 10,779,384 1.93 8.478 336 78.54 621 Connecticut 70 9,693,936 1.73 8.335 350 80.23 602 Colorado 59 9,008,345 1.61 8.364 328 81.88 606 Nevada 60 8,954,222 1.60 8.158 347 82.39 637 Other 933 99,416,589 17.79 8.347 348 82.16 610 -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611 ================================================================================================================================
Number of States/District of Columbia Represented: 49
% OF MORTGAGE POOL BY AGGREGATE WEIGHTED WEIGHTED WEIGHTED AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE OCCUPANCY TYPE: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- Primary 3,295 508,583,621 90.99 7.959 348 80.59 609 Investment 447 42,780,060 7.65 8.482 341 79.00 637 Non-Owner Occupied 35 5,534,348 0.99 7.536 344 70.05 642 Second Home 13 2,051,151 0.37 8.410 334 79.76 631 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611 ==================================================================================================================================
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. MORGAN STANLEY Page 37 COLLATERAL SUMMARY AS OF CUT-OFF DATE OF AUGUST 1, 2003 TOTAL POOL
% OF MORTGAGE POOL BY AGGREGATE AGGREGATE WEIGHTED WEIGHTED WEIGHTED CUT-OFF CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE PROPERTY TYPE: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- Single Family Residence 2,953 419,581,109 75.07 7.998 348 80.07 607 2-4 Family 309 55,395,534 9.91 8.019 343 79.96 635 Planned Unit Development 249 47,555,876 8.51 7.990 340 83.04 622 Condominium 246 32,741,739 5.86 7.914 353 80.93 616 Manufactured Housing 33 3,674,922 0.66 8.361 356 79.72 606 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611 ==================================================================================================================================
% OF MORTGAGE AGGREGATE POOL BY WEIGHTED WEIGHTED WEIGHTED CUT-OFF AGGREGATE AVERAGE AVERAGE AVERAGE NUMBER OF DATE CUT-OFF DATE GROSS REMAINING ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE LOAN PURPOSE: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- Refinance-Cashout 2,397 370,366,287 66.26 7.911 349 78.11 601 Purchase 1,045 137,551,305 24.61 8.273 342 86.50 643 Refinance-Rate/Term 348 51,031,587 9.13 7.879 347 80.10 604 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611 ==================================================================================================================================
% OF MORTGAGE POOL BY AGGREGATE WEIGHTED WEIGHTED WEIGHTED AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE DOCUMENTATION LEVEL: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- Full Documentation 2,327 318,345,282 56.95 8.005 350 81.23 599 Stated Documentation 1,232 199,945,751 35.77 8.027 343 78.92 629 Limited/Alternate 204 37,369,358 6.69 7.746 354 80.51 617 No Ratio 27 3,288,788 0.59 8.253 275 81.71 660 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611 ==================================================================================================================================
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. MORGAN STANLEY Page 38 COLLATERAL SUMMARY AS OF CUT-OFF DATE OF AUGUST 1, 2003 TOTAL POOL
% OF MORTGAGE POOL BY AGGREGATE WEIGHTED WEIGHTED WEIGHTED AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE PREPAYMENT PENALTY TERM: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- No Prepayment Penalty 544 72,974,608 13.06 8.248 346 79.11 614 12 Months 219 41,447,767 7.42 8.228 339 80.69 611 24 Months 1,779 272,663,818 48.78 8.014 354 81.64 605 30 Months 18 2,308,354 0.41 9.330 357 73.57 583 36 Months 1,125 156,985,204 28.09 7.776 341 78.65 621 48 Months 1 179,514 0.03 6.550 357 90.00 642 60 Months 104 12,389,914 2.22 7.950 311 81.14 623 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611 ==================================================================================================================================
% OF MORTGAGE AGGREGATE POOL BY WEIGHTED WEIGHTED WEIGHTED CUT-OFF AGGREGATE AVERAGE AVERAGE AVERAGE NUMBER OF DATE CUT-OFF DATE GROSS REMAINING ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE RANGE OF CREDIT SCORES: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- 500-525 306 42,219,692 7.55 8.762 355 74.01 513 526-550 406 57,767,022 10.33 8.624 355 75.18 538 551-575 416 57,253,767 10.24 8.317 351 77.94 562 576-600 512 73,081,673 13.07 8.236 346 80.40 588 601-625 628 96,707,533 17.30 7.899 350 81.73 613 626-650 650 96,216,429 17.21 7.812 344 83.77 638 651-675 426 63,875,132 11.43 7.550 339 82.88 662 676-700 233 35,952,840 6.43 7.364 345 82.16 687 701-725 103 19,970,655 3.57 7.250 346 80.56 713 726-750 59 7,516,028 1.34 7.479 336 80.52 737 751-775 32 4,884,800 0.87 7.273 333 82.62 761 776-800 19 3,503,610 0.63 7.023 349 79.63 786 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611 ==================================================================================================================================
Minimum: 500 Maximum: 795 Weighted Average: 611 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. MORGAN STANLEY Page 39 COLLATERAL SUMMARY AS OF CUT-OFF DATE OF AUGUST 1, 2003 GROUP II
% OF MORTGAGE POOL BY AGGREGATE WEIGHTED WEIGHTED WEIGHTED AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE PRODUCT TYPES: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- Fixed-10 Year 4 302,301 0.08 8.522 116 52.87 584 Fixed-15 Year 117 8,974,777 2.45 8.286 177 75.61 635 Fixed-20 Year 56 3,711,424 1.01 9.773 237 87.95 638 Fixed-25 Year 2 164,443 0.04 9.118 273 87.88 661 Fixed-30 Year 600 89,825,499 24.53 7.588 357 76.97 626 Fixed Balloon-15/30 134 11,481,840 3.14 10.003 176 88.05 642 ARM-2 Year/6 Month LIBOR 1,177 207,562,533 56.69 8.005 357 81.82 606 ARM-3 Year/6 Month LIBOR 279 42,181,565 11.52 8.170 357 81.21 602 ARM-5 Year/6 Month LIBOR 8 1,925,059 0.53 6.661 357 72.44 685 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613 ==================================================================================================================================
% OF MORTGAGE POOL BY AGGREGATE WEIGHTED WEIGHTED WEIGHTED AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE ORIGINATOR: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- Aames 132 19,729,578 5.39 6.968 343 77.07 644 Aegis 685 89,534,940 24.45 8.469 350 82.30 607 Ameriquest 245 12,211,451 3.34 9.098 333 81.79 611 BNC 156 32,485,236 8.87 7.640 353 81.18 601 Chapel 257 48,730,871 13.31 8.161 324 79.37 643 Encore 575 109,228,933 29.83 7.680 353 78.83 600 First Banc 66 9,307,930 2.54 8.429 334 86.73 628 First NLC 24 3,683,794 1.01 8.359 331 82.08 606 Impac 4 1,236,341 0.34 7.117 358 84.51 568 Master Financial 27 2,554,790 0.70 7.676 330 83.17 620 Peoples Choice 15 2,340,597 0.64 8.475 358 84.78 656 SIB 191 35,084,982 9.58 8.013 342 82.05 617 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613 ==================================================================================================================================
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. MORGAN STANLEY -------------------------------------------------------------------------------- Page 40 COLLATERAL SUMMARY AS OF CUT-OFF DATE OF AUGUST 1, 2003 GROUP II
% OF MORTGAGE POOL BY AGGREGATE WEIGHTED WEIGHTED WEIGHTED AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE LIEN POSITION: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- 1st Lien 2,171 355,876,257 97.20 7.901 349 80.11 612 2nd Lien 206 10,253,186 2.80 11.529 201 97.45 658 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613 ==================================================================================================================================
% OF MORTGAGE POOL BY AGGREGATE WEIGHTED WEIGHTED WEIGHTED AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED RANGE OF GROSS INTEREST MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE RATES(%): LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- 5.000-5.999 46 10,108,928 2.76 5.828 338 68.96 683 6.000-6.999 359 80,404,824 21.96 6.652 348 77.56 644 7.000-7.999 619 116,597,022 31.85 7.563 353 81.54 615 8.000-8.999 615 93,676,439 25.59 8.536 350 82.14 594 9.000-9.999 395 43,486,003 11.88 9.483 345 81.11 581 10.000-10.999 154 11,405,515 3.12 10.428 317 80.17 577 11.000-11.999 124 7,327,248 2.00 11.508 253 86.48 613 12.000-12.999 58 2,685,099 0.73 12.464 208 94.44 637 13.000-13.999 7 438,366 0.12 13.501 227 98.15 650 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613 ==================================================================================================================================
Minimum: 5.250% Maximum: 13.750% Weighted Average: 8.003% 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. MORGAN STANLEY Page 41 COLLATERAL SUMMARY AS OF CUT-OFF DATE OF AUGUST 1, 2003 GROUP II
% OF MORTGAGE POOL BY WEIGHTED WEIGHTED WEIGHTED AGGREGATE AGGREGATE AVERAGE AVERAGE AVERAGE NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS REMAINING ORIGINAL WEIGHTED RANGE OF CUT-OFF DATE PRINCIPAL MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE BALANCES ($): LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- 0.01-25,000.00 41 762,288 0.21 11.431 191 91.94 651 25,000.01-50,000.00 309 12,934,959 3.53 9.894 308 82.71 613 50,000.01-75,000.00 369 22,607,395 6.17 9.154 323 81.22 605 75,000.01-100,000.00 278 24,524,117 6.70 8.619 334 80.40 608 100,000.01-125,000.00 249 27,923,937 7.63 8.246 346 80.53 603 125,000.01-150,000.00 210 28,836,373 7.88 8.067 347 79.48 605 150,000.01-175,000.00 159 25,765,362 7.04 7.840 350 79.98 604 175,000.01-200,000.00 161 30,388,191 8.30 7.799 347 80.29 610 200,000.01-225,000.00 126 26,736,717 7.30 7.870 345 80.38 611 225,000.01-250,000.00 89 21,029,847 5.74 7.745 351 79.58 613 250,000.01-275,000.00 64 16,686,339 4.56 7.750 354 82.16 608 275,000.01-300,000.00 47 13,558,133 3.70 7.699 353 82.58 627 300,000.01-325,000.00 38 11,921,713 3.26 7.568 352 77.99 619 325,000.01-350,000.00 52 17,634,904 4.82 7.588 353 82.80 613 350,000.01-375,000.00 40 14,475,684 3.95 7.758 353 80.85 617 375,000.01-400,000.00 29 11,292,300 3.08 7.238 357 79.89 619 400,000.01-425,000.00 18 7,474,745 2.04 7.637 347 84.67 623 425,000.01-450,000.00 19 8,331,389 2.28 7.474 348 80.80 609 450,000.01-475,000.00 17 7,837,347 2.14 7.535 357 82.93 631 475,000.01-500,000.00 17 8,361,403 2.28 7.778 357 79.56 590 500,000.01-525,000.00 6 3,093,687 0.84 7.003 357 78.20 641 525,000.01-550,000.00 8 4,319,533 1.18 8.106 357 70.72 635 550,000.01-575,000.00 9 5,059,197 1.38 7.328 337 80.26 641 575,000.01-600,000.00 7 4,069,804 1.11 7.228 357 85.98 661 greater than or = 600,000.01 15 10,504,079 2.87 7.767 343 77.83 642 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613 ==================================================================================================================================
Minimum: $9,904 Maximum: $997,846 Average: $154,030 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. MORGAN STANLEY Page 42 COLLATERAL SUMMARY AS OF CUT-OFF DATE OF AUGUST 1, 2003 GROUP II
% OF MORTGAGE POOL BY AGGREGATE AGGREGATE WEIGHTED WEIGHTED WEIGHTED CUT-OFF CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE ORIGINAL TERMS (MONTHS): LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- 120 4 302,301 0.08 8.522 116 52.87 584 180 256 20,721,543 5.66 9.229 177 82.45 638 240 58 3,827,039 1.05 9.779 237 87.70 639 300 1 99,642 0.03 7.250 297 80.00 654 360 2,058 341,178,918 93.19 7.908 357 80.42 611 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613 ==================================================================================================================================
Minimum: 120 Maximum: 360 Weighted Average: 348
% OF MORTGAGE POOL BY AGGREGATE AGGREGATE WEIGHTED WEIGHTED WEIGHTED CUT-OFF CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED RANGE OF REMAINING TERMS MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE (MONTHS): LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- 109-120 4 302,301 0.08 8.522 116 52.87 584 169-180 256 20,721,543 5.66 9.229 177 82.45 638 229-240 58 3,827,039 1.05 9.779 237 87.70 639 289-300 1 99,642 0.03 7.250 297 80.00 654 349-360 2,058 341,178,918 93.19 7.908 357 80.42 611 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613 ==================================================================================================================================
Minimum: 115 Maximum: 359 Weighted Average: 345 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. MORGAN STANLEY Page 43 COLLATERAL SUMMARY AS OF CUT-OFF DATE OF AUGUST 1, 2003 GROUP II
% OF MORTGAGE POOL BY AGGREGATE AGGREGATE WEIGHTED WEIGHTED WEIGHTED CUT-OFF CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED RANGE OF ORIGINAL COMBINED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE LTV RATIOS (%) LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- less than or = 30.00 14 1,151,726 0.31 7.890 333 26.78 617 30.01-40.00 26 3,502,243 0.96 7.752 324 37.10 604 40.01-50.00 48 5,342,109 1.46 7.760 324 45.62 600 50.01-60.00 90 13,680,336 3.74 7.476 345 56.62 605 60.01-70.00 259 43,105,623 11.77 8.006 350 66.36 587 70.01-80.00 761 125,310,541 34.23 7.787 347 77.87 613 80.01-90.00 739 121,952,798 33.31 7.963 352 87.53 610 90.01-100.00 440 52,084,067 14.23 8.795 327 96.68 644 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613 ==================================================================================================================================
Minimum: 16.33% Maximum: 100.00% Weighted Average: 80.59%
% OF MORTGAGE POOL BY AGGREGATE WEIGHTED WEIGHTED WEIGHTED AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE RANGE OF GROSS MARGINS (%): LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- Fixed Rate Loans 913 114,460,285 31.26 7.960 320 78.28 628 less than or = 5.000 52 16,240,547 4.44 7.162 357 75.92 672 5.001-5.500 101 24,177,439 6.60 7.122 357 81.44 615 5.501-6.000 256 58,108,386 15.87 7.465 357 83.02 621 6.001-6.500 374 51,681,413 14.12 8.029 356 80.58 593 6.501-7.000 155 28,560,580 7.80 8.115 357 80.64 586 7.001-7.500 171 30,001,476 8.19 8.507 357 81.68 601 7.501-8.000 122 18,707,953 5.11 8.730 357 85.77 597 8.001-8.500 99 11,561,269 3.16 9.161 357 83.42 587 8.501-9.000 64 6,603,214 1.80 9.644 357 83.62 577 greater than or = 9.001 70 6,026,881 1.65 10.273 357 79.84 568 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613 ==================================================================================================================================
Non-Fixed Rate Minimum: 2.000% Non-Fixed Rate Maximum: 11.350% Non-Fixed Rate Weighted Average: 6.557% 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. MORGAN STANLEY Page 44 COLLATERAL SUMMARY AS OF CUT-OFF DATE OF AUGUST 1, 2003 GROUP II
% OF MORTGAGE POOL BY AGGREGATE WEIGHTED WEIGHTED WEIGHTED AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE RANGE OF MINIMUM MORTGAGE RATES(%): LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- Fixed Rate Loans 913 114,460,285 31.26 7.960 320 78.28 628 less than or = 5.000 6 995,413 0.27 6.910 357 79.42 686 5.001-5.500 5 1,566,996 0.43 5.893 357 67.76 595 5.501-6.000 18 4,147,319 1.13 5.994 355 72.72 654 6.001-6.500 61 15,804,987 4.32 6.512 357 81.08 651 6.501-7.000 137 32,693,004 8.93 6.919 357 79.63 638 7.001-7.500 198 44,612,425 12.18 7.436 356 82.50 620 7.501-8.000 228 42,427,447 11.59 7.834 357 83.48 608 8.001-8.500 206 35,078,016 9.58 8.380 357 82.24 591 8.501-9.000 233 36,093,573 9.86 8.793 357 83.72 586 9.001-9.500 149 16,580,242 4.53 9.287 357 81.64 574 9.501-10.000 125 12,758,693 3.48 9.798 357 81.39 566 10.001-10.500 54 5,879,518 1.61 10.315 357 73.26 556 10.501-11.000 22 1,334,396 0.36 10.802 357 78.66 551 11.001-11.500 14 1,276,686 0.35 11.318 357 68.90 541 11.501-12.000 5 269,386 0.07 11.719 357 73.65 554 12.001-12.500 2 98,297 0.03 12.214 356 67.95 534 12.501-13.000 1 52,760 0.01 12.600 357 80.00 508 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613 ==================================================================================================================================
Non-Fixed Rate Minimum: 4.375% Non-Fixed Rate Maximum: 12.600% Non-Fixed Rate Weighted Average: 7.957% 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. MORGAN STANLEY Page 45 COLLATERAL SUMMARY AS OF CUT-OFF DATE OF AUGUST 1, 2003 GROUP II
% OF MORTGAGE POOL BY AGGREGATE WEIGHTED WEIGHTED WEIGHTED AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED RANGE OF MAXIMUM MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE LOAN RATES (%): LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- Fixed Rate Loans 913 114,460,285 31.26 7.960 320 78.28 628 less than or = 13.000 112 27,902,999 7.62 6.653 357 75.48 649 13.001-13.500 112 25,839,904 7.06 7.050 356 80.68 633 13.501-14.000 192 39,727,329 10.85 7.385 357 83.23 631 14.001-14.500 247 45,056,611 12.31 7.802 357 83.32 613 14.501-15.000 288 46,720,434 12.76 8.339 357 84.61 594 15.001-15.500 195 27,954,563 7.64 8.816 357 82.10 572 15.501-16.000 154 20,257,668 5.53 9.215 357 81.95 571 16.001-16.500 73 8,039,525 2.20 9.657 357 80.13 556 16.501-17.000 48 5,437,163 1.49 10.013 357 77.93 543 17.001-17.500 25 3,134,527 0.86 10.566 357 66.72 546 17.501-18.000 10 651,560 0.18 11.396 357 70.95 555 18.001-18.500 7 894,115 0.24 11.455 357 66.61 536 18.501-19.000 1 52,760 0.01 12.600 357 80.00 508 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613 ==================================================================================================================================
Non-Fixed Rate Minimum: 10.875% Non-Fixed Rate Maximum: 18.600% Non-Fixed Rate Weighted Average: 14.437%
% OF MORTGAGE POOL BY AGGREGATE WEIGHTED WEIGHTED WEIGHTED AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE INITIAL PERIODIC CAP (%): LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- Fixed Rate Loans 913 114,460,285 31.26 7.960 320 78.28 628 1.000 37 7,730,498 2.11 8.049 357 84.94 622 1.500 363 72,377,209 19.77 7.888 357 80.80 591 2.000 284 36,502,492 9.97 7.848 355 82.15 600 3.000 770 132,034,771 36.06 8.158 357 81.83 614 4.000 3 1,002,590 0.27 8.519 356 92.39 615 5.000 7 2,021,598 0.55 6.802 358 72.56 681 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613 ==================================================================================================================================
Minimum: 1.000% Maximum: 5.000% Weighted Average: 2.382% 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. MORGAN STANLEY Page 46 COLLATERAL SUMMARY AS OF CUT-OFF DATE OF AUGUST 1, 2003 GROUP II
% OF MORTGAGE POOL BY AGGREGATE WEIGHTED WEIGHTED WEIGHTED AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE SUBSEQUENT PERIODIC CAP (%): LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- Fixed Rate Loans 913 114,460,285 31.26 7.960 320 78.28 628 1.000 1,101 179,291,950 48.97 8.077 356 81.98 612 1.500 363 72,377,209 19.77 7.888 357 80.80 591 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613 ==================================================================================================================================
Minimum: 1.000% Maximum: 1.500% Weighted Average: 1.144%
% OF MORTGAGE POOL BY AGGREGATE WEIGHTED WEIGHTED WEIGHTED AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE NEXT RATE ADJUSTMENT DATES: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- Fixed Rate 913 114,460,285 31.26 7.960 320 78.28 628 January 2005 5 835,084 0.23 7.952 353 82.61 653 February 2005 5 1,013,061 0.28 8.213 354 85.31 626 March 2005 65 9,317,370 2.54 8.464 354 82.06 616 April 2005 272 49,738,427 13.58 7.991 356 81.59 600 May 2005 617 107,290,669 29.30 8.009 357 82.34 610 June 2005 163 30,218,797 8.25 7.806 357 80.96 606 July 2005 50 9,149,126 2.50 8.212 359 79.02 572 March 2006 6 1,665,679 0.45 7.925 355 77.13 597 April 2006 43 8,978,740 2.45 7.545 356 82.44 608 May 2006 213 27,926,153 7.63 8.484 357 81.11 597 June 2006 14 2,984,035 0.82 7.542 358 79.56 615 July 2006 3 626,959 0.17 6.758 359 86.67 669 April 2008 1 299,481 0.08 6.875 356 77.05 687 May 2008 3 569,827 0.16 6.962 357 74.77 659 June 2008 4 1,055,752 0.29 6.437 358 69.87 699 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613 ==================================================================================================================================
Non-Fixed Rate Weighted Average: July 2005 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. MORGAN STANLEY Page 47 COLLATERAL SUMMARY AS OF CUT-OFF DATE OF AUGUST 1, 2003 GROUP II
% OF MORTGAGE POOL BY AGGREGATE WEIGHTED WEIGHTED WEIGHTED AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED GEOGRAPHIC DISTRIBUTION MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE OF MORTGAGED PROPERTIES: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- California 677 149,058,940 40.71 7.545 349 78.77 616 Florida 248 30,240,339 8.26 8.174 346 82.39 613 Illinois 119 19,232,155 5.25 8.238 350 82.37 608 New Jersey 81 15,455,091 4.22 8.208 333 78.97 611 Ohio 137 12,168,065 3.32 8.639 346 86.66 603 Michigan 102 10,811,760 2.95 8.570 350 82.68 603 New York 53 10,637,936 2.91 8.281 350 80.61 601 Massachusetts 51 10,018,085 2.74 8.040 352 76.36 609 Virginia 47 8,709,896 2.38 8.432 325 81.12 618 Maryland 50 7,882,765 2.15 8.379 316 84.31 614 Pennsylvania 63 7,224,037 1.97 8.194 346 84.34 604 Texas 68 7,188,444 1.96 8.560 335 79.51 622 Connecticut 47 6,276,850 1.71 8.326 347 80.12 600 Colorado 40 6,128,250 1.67 8.507 321 82.78 605 Nevada 37 6,120,122 1.67 8.191 343 82.10 642 Other 557 58,976,708 16.11 8.341 345 81.95 612 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613 ==================================================================================================================================
Number of States/District of Columbia Represented: 48
% OF MORTGAGE POOL BY AGGREGATE WEIGHTED WEIGHTED WEIGHTED AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE OCCUPANCY TYPE: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- Primary 2,078 335,337,671 91.59 7.963 346 80.86 611 Investment 266 24,888,089 6.80 8.584 341 79.02 630 Non-Owner Occupied 22 4,065,833 1.11 7.534 346 68.19 642 Second Home 11 1,837,851 0.50 8.471 332 79.73 624 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613 ==================================================================================================================================
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. MORGAN STANLEY Page 48 COLLATERAL SUMMARY AS OF CUT-OFF DATE OF AUGUST 1, 2003 GROUP II
% OF MORTGAGE POOL BY AGGREGATE AGGREGATE WEIGHTED WEIGHTED WEIGHTED CUT-OFF CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE PROPERTY TYPE: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- Single Family Residence 1,844 274,572,009 74.99 7.999 346 80.28 608 Planned Unit Development 178 35,528,288 9.70 7.991 338 83.09 624 2-4 Family 193 34,433,764 9.40 8.035 343 80.22 639 Condominium 146 19,682,569 5.38 7.974 351 80.99 611 Manufactured Housing 16 1,912,814 0.52 8.503 356 81.04 612 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613 ==================================================================================================================================
% OF MORTGAGE AGGREGATE POOL BY WEIGHTED WEIGHTED WEIGHTED CUT-OFF AGGREGATE AVERAGE AVERAGE AVERAGE NUMBER OF DATE CUT-OFF DATE GROSS REMAINING ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE LOAN PURPOSE: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- Refinance-Cashout 1,468 237,894,531 64.98 7.886 348 78.20 602 Purchase 700 95,239,061 26.01 8.339 339 86.96 643 Refinance-Rate/Term 209 32,995,852 9.01 7.880 344 79.45 606 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613 ==================================================================================================================================
% OF MORTGAGE POOL BY AGGREGATE WEIGHTED WEIGHTED WEIGHTED AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE DOCUMENTATION LEVEL: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- Full Documentation 1,416 202,972,446 55.44 7.986 348 81.52 601 Stated Documentation 821 138,228,762 37.75 8.056 341 78.98 629 Limited/Alternate 120 22,535,981 6.16 7.789 353 82.01 613 No Ratio 20 2,392,255 0.65 8.374 251 82.20 653 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613 ==================================================================================================================================
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. MORGAN STANLEY Page 49 COLLATERAL SUMMARY AS OF CUT-OFF DATE OF AUGUST 1, 2003 GROUP II
% OF MORTGAGE POOL BY AGGREGATE WEIGHTED WEIGHTED WEIGHTED AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE PREPAYMENT PENALTY TERM: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- No Prepayment Penalty 339 46,771,067 12.77 8.275 344 79.61 617 12 Months 141 28,142,926 7.69 8.270 336 81.81 611 24 Months 1,040 169,913,096 46.41 8.012 353 81.66 606 30 Months 8 1,014,512 0.28 9.558 357 61.64 588 36 Months 744 107,718,414 29.42 7.796 340 79.11 621 48 Months 1 179,514 0.05 6.550 357 90.00 642 60 Months 104 12,389,914 3.38 7.950 311 81.14 623 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613 ==================================================================================================================================
% OF MORTGAGE POOL BY AGGREGATE WEIGHTED WEIGHTED WEIGHTED AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE RANGE OF CREDIT SCORES: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE ---------------------------------------------------------------------------------------------------------------------------------- 500-525 179 24,561,602 6.71 8.816 353 74.57 512 526-550 245 36,742,518 10.04 8.617 356 74.79 538 551-575 261 37,845,616 10.34 8.267 350 77.94 562 576-600 330 51,539,284 14.08 8.263 345 80.09 587 601-625 382 61,294,696 16.74 7.965 350 82.44 613 626-650 405 61,585,644 16.82 7.777 340 83.47 637 651-675 291 43,007,859 11.75 7.610 336 83.55 662 676-700 137 23,059,036 6.30 7.375 341 83.26 687 701-725 70 15,150,051 4.14 7.214 345 80.40 714 726-750 41 5,400,309 1.47 7.540 333 80.50 736 751-775 23 3,267,645 0.89 7.706 321 84.74 761 776-800 13 2,675,182 0.73 6.952 350 79.70 787 ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613 ==================================================================================================================================
Minimum: 500 Maximum: 795 Weighted Average: 613 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. MORGAN STANLEY Page 50