EX-99.1 3 ex99_1.txt EXHIBIT 99.1 EXHIBIT 99.1 -------------------------------------------------------------------------------- Morgan Stanley January 21, 2004 Securitized Products Group [GRAPHIC OMITTED] -------------------------------------------------------------------------------- Computational Materials $257,990,000 Approximately Morgan Stanley ABS Capital I Inc. Series 2004-SD1 Mortgage Pass-Through Certificates ------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 1 -------------------------------------------------------------------------------- Morgan Stanley January 21, 2004 Securitized Products Group [GRAPHIC OMITTED] -------------------------------------------------------------------------------- Approximately $257,990,000 Morgan Stanley ABS Capital I Inc., Series 2004-SD1 Morgan Stanley ABS Capital I Inc. Depositor Bank of America, N.A., Washington Mutual Bank FA, Wilshire Credit Corporation Servicers Transaction Highlights
------------------------------------------------------------------------------------------------------------------------------------ Duration Payment Expected Ratings Avg. Life Modified Window Offered (S&P/Fitch/ To Call/ To Call/ To Call/ Subordination Classes Description Balance Moody's) Mty(1)(2) Mty(1)(2)(3) Mty(1)(2) Level (%) Benchmark -------- ----------- -------- ---------------- ---------- ------------ ----------------------- -------------- ---------- A Floater 230,348,000 AAA/AAA/Aaa 3.09/3.35 2.98/3.21 02/04-07/12/02/04-07/22 12.50 1 Mo. LIBOR ------------------------------------------------------------------------------------------------------------------------------------ M-1 Floater 10,530,000 AA/AA/Aa2 5.61/6.14 5.33/5.77 02/07-07/12/02/07-01/18 8.50 1 Mo. LIBOR ------------------------------------------------------------------------------------------------------------------------------------ M-2 Floater 8,556,000 A/A/A2 5.61/6.05 5.15/5.49 02/07-07/12/02/07-10/16 5.25 1 Mo. LIBOR ------------------------------------------------------------------------------------------------------------------------------------ B Floater 8,556,000 BBB/BBB/Baa2 5.59/5.79 4.91/5.04 02/07-07/12/02/07-02/15 2.00 1 Mo. LIBOR ------------------------------------------------------------------------------------------------------------------------------------
Notes: ----- (1) Certificates are priced to the 10% Optional Clean-up Call. (2) Based on the pricing prepayment speed. See details below. (3) Assumes pricing at par. (4) Bond sizes subject to a variance of plus or minus 5%. ------------------------------------------------------------------------------- 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 supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 2 -------------------------------------------------------------------------------- Morgan Stanley January 21, 2004 Securitized Products Group [GRAPHIC OMITTED] -------------------------------------------------------------------------------- Description of Collateral Pool Bank of America (approximately 35%): Scratch & Dent loans from Prime and Alt-A (including agency) origination channels. o Prior delinquencies o Program exceptions (LTV, FICO, DTI, or multiple factors) o Documentation exceptions o 689 current FICO, 65.5% current combined LTV for the Bank of America portion o Servicing retained Washington Mutual (approximately 23%): Scratch & Dent loans from Prime and Alt-A (including agency) origination channels. o Current or prior delinquencies o Program exceptions (LTV, FICO, DTI, or multiple factors) o Documentation exceptions o 690 current FICO, 66.9% current combined LTV for the Washington Mutual portion o 96% of population Servicing retained New Century (approximately 21%): Scratch & Dent loans from subprime origination: o Underwriting exceptions o Appraisal exceptions o Documentation exceptions o Compliance exceptions (cured prior to purchase) o Current or prior delinquencies o 589 current FICO, 80% current combined LTV for the New Century portion National City (approximately 7%): Scratch & Dent loans from Prime and Alt-A (including agency) origination channels. o Prior delinquencies o Program exceptions (LTV, FICO, DTI, or multiple factors) o Documentation exceptions o 692 current FICO, 79.6% current combined LTV for the National City portion All Other (approximately 14%): o Loans originated by 13 originators acquired in approximately 20 separate transactions o Prime, Alt-A and subprime loans with program exceptions: LTV, DTI, FICO, missing or incorrect documentation, compliance exceptions cured prior to funding o Delinquency issues (including sub- and re-performing loans) -------------------------------------------------------------------------------- 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 supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 3 Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-SD1. Depositor: Morgan Stanley ABS Capital I Inc. Servicers: Bank of America, N.A., Washington Mutual Bank FA, Wilshire Credit Corporation. Trustee: Deutsche Bank National Trust Company. Custodian: Deutsche Bank National Trust Company. Underwriters: Morgan Stanley (lead manager), Utendahl Capital Partners, L.P. and Blaylock & Partners, L.P. Rating Agencies: Fitch Ratings, Moody's Investors Service, and Standard & Poor's. Class M Certificates: The Class M-1 and M-2 Certificates Offered Certificates: Classes A, M-1, M-2 and B Certificates. Cut-off Date: January 1, 2004. Expected Closing Date: On or around January 30, 2004 through DTC and Euroclear or Clearstream. The Certificates will be sold without accrued interest. Distribution Dates: The 25th of each month, or if such day is not a business day, on the next business day, beginning February 25, 2004. Final Scheduled Distribution The Distribution Date occurring in August 2034. Date: Due Period: For any Distribution Date, the calendar month preceding the month in which such Distribution Date occurs. Interest Accrual Period: The interest accrual period for the Offered Certificates with respect to any Distribution Date will be the period beginning with the previous Distribution Date (or, in the case of the first Distribution Date, the Closing Date) and ending on the day prior to the current Distribution Date (on an actual/360 day count basis). Mortgage Loans: Approximately $263,255,465 of Mortgage Loans as of Cut-off Date. The Mortgage Loans consist of fixed and adjustable rate, conventional closed-end mortgage loans, secured by 1st and 2nd lien and balloon mortgages on primarily 1-4 family properties. The Mortgage Loans consist of 92.98% Performing Mortgage Loans, 4.82% Sub-Performing Mortgage Loans and 2.20% Re-Performing Mortgage Loans with aggregate principal balances as of the Cut-off Date of approximately $244,769,412, $12,693,493, and $5,792,560, respectively. The Mortgage Loans consist of approximately 44.23% fixed rate mortgage loans and 55.77% adjustable rate mortgage loans with aggregate principal balances as of the Cut-off Date of approximately $116,442,508 and $146,812,957, respectively. -------------------------------------------------------------------------------- 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 supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 4 Performing Mortgage Loans: A "Performing Mortgage Loan" is a Mortgage Loan (which may be a Payment Plan Mortgage Loan or a Bankruptcy Plan Mortgage Loan) pursuant to which no payment due under the related Mortgage Note (or any modification thereto) prior to the Cut-off Date, is 30 days Delinquent. A Mortgage Loan is "Delinquent," if the scheduled monthly payment of principal and interest on such Mortgage Loan which is payable by the related mortgagor under the related Mortgage Note (the "Monthly Payment") due on a due date is not paid by the close of business on the next scheduled due date for such Mortgage Loan. Thus, a Mortgage Loan for which the mortgagor failed to make the Monthly Payment on January 1, 2004 will be reported as Delinquent as of the beginning of business on February 2, 2004, if the Monthly Payment is not made by such time. Re-Performing Mortgage Loan: A "Re-Performing Mortgage Loan" is a Mortgage Loan (which may be a Payment Plan Mortgage Loan or a Bankruptcy Plan Mortgage Loan) which had defaulted in the past and which is currently at least 90 days Delinquent with respect to certain Regular Scheduled Payments but which satisfies one of the following criteria (the "Re-Performance Test"): (i) the mortgagor has made in aggregate at least three Regular Scheduled Payments in the three calendar months preceding the Cut-off Date (regardless of either the timing of receipt of such payments or the payment history of such loans prior to October 1, 2003), or (ii) the mortgagor has made in aggregate at least four Regular Scheduled Payments in the four calendar months preceding the Cut-off Date (regardless of either the timing of receipt of such payments or the payment history of such loans prior to September 1, 2003), or (iii) the mortgagor has made in aggregate at least five Regular Scheduled Payments in the five calendar months preceding the Cut-off Date (regardless of either the timing of receipt of such payments or the payment history of such loans prior to August 1, 2003). Sub-Performing Mortgage Loan: A "Sub-Performing Mortgage Loan" is a Mortgage Loan (which may be a Payment Plan Mortgage Loan or a Bankruptcy Plan Mortgage Loan) pursuant to which a payment due prior to the Cut-off Date under the terms of the related Mortgage Note (or any modification thereto), is at least 30 but not more than 89 days Delinquent. Payment Plan Mortgage Loan: A "Payment Plan Mortgage Loan" is a Mortgage Loan with respect to which the related mortgagor must make Monthly Payments in an amount at least equal to the sum of (i) the amount of the monthly scheduled payment of principal and interest determined in accordance with such Mortgage Loan's original amortization schedule ("Regular Scheduled Payments") plus (ii) an additional amount to be applied to pay down (a) the total amount of scheduled monthly payments due thereon on or before the Cut-off Date but not received prior to the Cut-off Date plus (b) the aggregate amount of tax and insurance advances made with respect to such Mortgage Loan to the extent such advances are outstanding as of the Cut-off Date. Bankruptcy Plan Mortgage Loan: A "Bankruptcy Plan Mortgage Loan" is a Mortgage Loan with respect to which the related mortgagor defaulted and, after such default, became the subject of a bankruptcy case under Title 11 of the United States Code or a state bankruptcy code and, as of the Cut-off Date, had a confirmed bankruptcy plan. Each such bankruptcy plan generally requires the related mortgagor to make monthly payments in an amount at least equal to (i) the Regular Scheduled Payment plus (ii) an additional amount sufficient to pay down overdue amounts resulting from the period of default, generally over a period of three to five years from the commencement of such bankruptcy plan. Servicing Fee: 38.62 bps per annum. (weighted average) Trust Expense Fee: 1.65 bps per annum. -------------------------------------------------------------------------------- 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 supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 5 Pricing Prepayment Speed: o Fixed Rate Mortgage Loans: CPR starting at approximately 1.4667% CPR as of the initial due date of the Mortgage Loan and increasing to 22% CPR in month 15 (22%/15 CPR increase for each month), and remaining at 22% CPR thereafter. o ARM Mortgage Loans: CPR of 22%. Credit Enhancement: The Offered Certificates are credit enhanced by: 1) Net Monthly Excess Cashflow from the Mortgage Loans, 2) 2.00% overcollateralization (funded upfront). On and after the Step-down Date, so long as a Trigger Event is not in effect, the required overcollateralization will equal 4.00% of the aggregate principal balance of the Mortgage Loans as of the last day of the applicable Due Period, subject to a 0.50% floor, based on the aggregate principal balance of the Mortgage Loans as of the Cut-off Date, and 3) Subordination of distributions on the more subordinate classes of certificates (if applicable) to the required distributions on the more senior classes of certificates. Senior Enhancement Percentage: For any Distribution Date, the percentage obtained by dividing (x) the aggregate Certificate Principal Balance of the subordinate certificates (together with any overcollateralization and taking into account the distributions of the Principal Distribution Amount for such Distribution Date) by (y) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period. Step-down Date: The later to occur of: (x) The earlier of: (a) The Distribution Date occurring in February 2007; and (b) The Distribution Date on which the aggregate Certificate Principal Balance of the Class A Certificates is reduced to zero; and (y) The first Distribution Date on which the Senior Enhancement Percentage (calculated for this purpose only after taking into account payments of principal on the Mortgage Loans on the last day of the related Due Period but prior to principal distributions to the Certificates on the applicable Distribution Date) is greater than or equal to approximately 25.00%. Trigger Event: A "Trigger Event" will be in effect on a Distribution Date if any one of the following conditions exist as of the last day of the immediately preceding collection period: (a) The "Rolling Six Month 60+ Delinquency Percentage" equals or exceeds [45]% of the Senior Enhancement Percentage; or (b) The aggregate amount of realized losses incurred since the Cut-off Date through the last day of such preceding collection period divided by the aggregate principal balance of the Mortgage Loans as of the Cut-off Date exceeds the applicable percentages set forth below with respect to such Distribution Date:
Distribution Date Percentage Months [37-48] 3.25% (for the first month, plus 1/12th of [1.00]% for each month thereafter) Months [49-60] 4.25% (for the first month, plus 1/12th of [1.00]% for each month thereafter) Months [61-72] 5.25% (for the first month, plus 1/12th of [0.50]% for each month thereafter) Month [73] and thereafter 5.75%
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 6 60+ Day Delinquent Loan: Without duplication, (i) each Mortgage Loan with respect to which any portion of a Monthly Payment is, as of the last calendar day of the prior Collection Period, two months or more past due (other than a Re-Performing 60+ Day Delinquent Loan), (ii) each Mortgage Loan in foreclosure (other than a Re-Performing 60+ Day Delinquent Loan), (iii) each Mortgage Loan for which the Mortgagor has filed for bankruptcy after the Closing Date (other than a Re-Performing 60+ Day Delinquent Loan) and (iv) all REO Property. Rolling Six Month 60+ Day Delinquent Percentage: With respect to any Distribution Date, the average of the percentage equivalents of the fractions determined for each of the six immediately preceding collection periods, the numerator of each of which is equal to the aggregate Principal Balance of Mortgage Loans that are 60+ Day Delinquent Loans (other than Re-Performing 60+ Day Delinquent Loans), and the denominator of which is the aggregate Mortgage Loan balance as of the end of the related collection period. Re-Performing 60+ Day Delinquent Loan: Each Mortgage Loan with respect to which, as of any date of determination, (x) any portion of aMonthly Payment is, as of the last calendar day of the prior Collection Period, two months or more past due and (y) with respect to which the Mortgagor has made three aggregate Monthly Payments within the three calendar months preceding such date of determination. Initial Subordination Class A: 12.50% Percentage: Class M-1: 8.50% Class M-2: 5.25% Class B: 2.00% Advances: The Servicer will advance scheduled principal and interest, but only to the extent that the Servicer believes such advances to be recoverable from liquidation proceeds. No advancing will be made with respect to simple interest Mortgage Loans, which comprise approximately 0.03% of the Mortgage Loans. Optional Clean-up Call: Exercisable when the current aggregate principal balance of the Mortgage Loans is less than or equal to 10% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date. Step-up Coupons: For all Offered Certificates the coupon will increase after the Optional Clean-up Call date, should the call not be exercised. The applicable fixed margin will increase by 2x on the Class A Certificates and by 1.5x on all other Certificates on and after the first Distribution Date on which the Optional Clean-up Call is exercisable. Class A Pass-Through Rate: The Class A Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ] bps ([ ] bps on and after the first Distribution Date on which the Optional Clean-up Call is exercisable), and (ii) the WAC Cap. Class M-1 Pass-Through Rate: The Class M-1 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ] bps ([ ] bps on and after the first Distribution Date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class M-2 Pass-Through Rate: The Class M-2 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ] bps ([ ] bps on and after the first Distribution Date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class B Pass-Through Rate: The Class B Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ] bps ([ ] bps on and after the first Distribution Date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. -------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 7 WAC Cap: As to any Distribution Date a per annum rate equal to the product of (i) the weighted average gross interest rate of the Mortgage Loans in effect on the beginning of the related Due Period less the Servicing Fees and Trust Expense Fees, and (ii) a fraction, the numerator of which is 30 and the denominator of which is the actual number of days in the related Interest Accrual Period. Basis Risk Carry Forward As to any Distribution Date, the supplemental Amounts: interest amount for each of the Class A, M-1, M-2 and B will equal the sum of: (i) The excess, if any, of interest that would otherwise be due on such Certificates at such Certificates' applicable Pass-Through Rate (without regard to the WAC Cap) over interest due such Certificates at a rate equal to the WAC Cap; (ii) Any Basis Risk Carry Forward Amount for such class remaining unpaid for such Certificate from prior Distribution Dates; and (iii) Interest on the amount in clause (ii) at the Certificates' applicable Pass-Through Rate (without regard to the WAC Cap). Interest Distributions on Offered Certificates: On each Distribution Date and after payments of Servicing and Trust Expense Fees, interest distributions from the Interest Remittance Amount will be allocated as follows: (i) To the Class A Certificates, its Accrued Certificate Interest and unpaid interest amounts; (ii) To the Class M-1 Certificates, its Accrued Certificate Interest; (iii) To the Class M-2 Certificates, its Accrued Certificate Interest; and (iv) To the Class B Certificates, its Accrued Certificate Interest. Principal Distributions on Offered Certificates: On each Distribution Date (a) prior to the Step-down 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, until the Certificate Principal Balance thereof has 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; and (iv) to the Class B Certificates, until the Certificate Principal Balance thereof has been reduced to zero. On each Distribution Date (a) on or after the Step-down 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, until the Certificate Principal Balance thereof has 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; and (iv) to the Class B Certificates, the lesser of the remaining Principal Distribution Amount and the Class B Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero. -------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 8 Class A Certificates: Beginning on the first Distribution Date, and Interest Rate Cap: for a period of 35 months thereafter, an Interest Rate Cap will be pledged to the Trust for the benefit of the Class A Certificates. For its duration, the Class A Interest Rate Cap pays the Trust the product of (i) the difference between the then current 1-month LIBOR rate (not to exceed the cap ceiling) and the cap strike (on an actual/360 day count basis) and (ii) the Class A Interest Rate Cap Notional Balance (the "Class A Interest Rate Cap Payment") as described on the schedule herein. Class A Certificates Interest The Class A Interest Rate Cap Payment shall be Rate Cap Allocation: available to pay any Basis Risk Carry Forward Amount due to the Class A Certificates. Class M-1 Certificates Beginning on the first Distribution Date, and Interest Rate Cap: for a period of 101 months thereafter, an Interest Rate Cap will be pledged to the Trust for the benefit of the Class M-1 Certificates. For its duration, the Class M-1 Interest Rate Cap pays the Trust the product of (i) the difference between the then current 1-month LIBOR rate (not to exceed the cap ceiling) and the cap strike (on an actual/360 day count basis) and (ii) the Class M-1 Interest Rate Cap Notional Balance (the "Class M-1 Interest Rate Cap Payment") as described on the schedule herein. Class M-1 Certificates The Class M-1 Interest Rate Cap Payment shall Interest Rate Cap Allocation: be available to pay any Basis Risk Carry Forward Amount due to the Class M-1 Certificates. Class M-2 Certificates Beginning on the first Distribution Date, and Interest Rate Cap: for a period of 101 months thereafter, an Interest Rate Cap will be pledged to the Trust for the benefit of the Class M-2 Certificates. For its duration, the Class M-2 Interest Rate Cap pays the Trust the product of (i) the difference between the then current 1-month LIBOR rate (not to exceed the cap ceiling) and the cap strike (on an actual/360 day count basis) and (ii) the Class M-2 Interest Rate Cap Notional Balance (the "Class M-2 Interest Rate Cap Payment") as described on the schedule herein. Class M-2 Certificates The Class M-2 Interest Rate Cap Payment shall Interest Rate Cap Allocation: be available to pay any Basis Risk Carry Forward Amount due to the Class M-2 Certificates. Class B Certificates Beginning on the first Distribution Date, and Interest Rate Cap: for a period of 101 months thereafter, an Interest Rate Cap will be pledged to the Trust for the benefit of the Class B Certificates. For its duration, the Class B Interest Rate Cap pays the Trust the product of (i) the difference between the then current 1-month LIBOR rate (not to exceed the cap ceiling) and the cap strike (on an actual/360 day count basis) and (ii) the Class B Interest Rate Cap Notional Balance (the "Class B Interest Rate Cap Payment") as described on the schedule herein. Class B Certificates Interest The Class B Interest Rate Cap Payment shall be Rate Cap Allocation: available to pay any Basis Risk Carry Forward Amount due to the Class B Certificates. 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, the unpaid interest shortfall amount; (ii) to the Class M-1 Certificates, the allocated unreimbursed realized loss amount; (iii) to the Class M-2 Certificates, the unpaid interest shortfall amount; -------------------------------------------------------------------------------- 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 supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 9 (iv) to the Class M-2 Certificates, the allocated unreimbursed realized loss amount; (v) to the Class B Certificates, the unpaid interest shortfall amount; (vi) to the Class B Certificates, the allocated unreimbursed realized loss amount; (vii) any Class A Basis Risk Carry Forward Amount remaining unpaid to the Class A Certificates, and (viii) sequentially, to Classes M-1, M-2, B Certificates, in that order, any Basis Risk Carry Forward Amount remaining unpaid for such classes. Interest Remittance Amount: For any Distribution Date, the portion of available funds for such Distribution Date attributable to interest received or advanced on the Mortgage Loans. Accrued Certificate Interest: For any Distribution Date and each class of Offered Certificates, equals the amount of interest accrued during the related Interest Accrual Period at the related Pass-Through Rate, reduced by any prepayment interest shortfalls and shortfalls resulting from the application of the Soldiers' and Sailors' Civil Relief Act of 1940 or similar state law allocated to such class. Principal Distribution 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. Net Monthly Excess Cashflow: For any Distribution Date, the amount of funds available for distribution on such Distribution Date remaining after making all distributions of interest and principal on the certificates. Extra Principal Distribution For any Distribution Date, the lesser of (i) Amount: the excess of (x) interest collected or advanced with respect to the Mortgage Loans with due dates in the related Due Period (less Servicing Fees and Trust Expense Fees) over (y) the sum of interest payable on the Certificates on such Distribution Date, and (ii) the overcollateralization deficiency amount for such Distribution Date. Excess Subordinated Amount: For any Distribution Date, the excess, if any, of (i) the overcollateralization as of such Distribution Date over (ii) the required overcollateralization for such Distribution Date. Allocation of Losses: For any Distribution Date, any realized losses on the mortgage loans will be allocated as follows: (i) to Net Monthly Excess Cashflow, in reduction of the overcollateralization amount, (ii) to the Class B Certificates, (iii) to the Class M-2 Certificates, (iv) to the Class M-1 Certificates. The pooling agreement does not permit allocation of realized losses to the Class A Certificates. Class A Principal Distribution Amount: For any Distribution Date, an amount equal to the excess of (x) the aggregate Certificate Principal Balance of the Class A Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 75.00% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $1,316,277. Class M-1 Principal Distribution Amount: For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date) and (ii) the Certificate Principal Balance of the Class M-1 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 83.00% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $1,316,277. -------------------------------------------------------------------------------- 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 supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 10 Class M-2 Principal Distribution Amount: For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date) and (iii) the Certificate Principal Balance of the Class M-2 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 89.50% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $1,316,277. Class B Principal For any Distribution Date, an amount Distribution Amount: equal to the excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), and (iv) the Certificate Principal Balance of the Class B Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 96.00% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $1,316,277. Trust Tax Status: REMIC. ERISA Eligibility: Subject to the considerations in the Prospectus, the Class M and B Certificates are not expected to be ERISA eligible. SMMEA Eligibility: It is not anticipated that any of the Offered Certificates will be SMMEA eligible. Prospectus: The Class A, Class M-1, Class M-2 and Class B Certificates are being offered pursuant to a prospectus supplemented by a prospectus supplement (together, the "Prospectus"). Complete information with respect to the Offered Certificates and the collateral securing them is contained in the Prospectus. The information herein is qualified in its entirety by the information appearing in the Prospectus. To the extent that the information herein is inconsistent with the Prospectus, the Prospectus shall govern in all respects. Sales of the Offered Certificates may not be consummated unless the purchaser has received the Prospectus. PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A DESCRIPTION OF INFORMATION THAT SHOULD BE CONSIDERED IN CONNECTION WITH AN INVESTMENT IN THE OFFERED CERTIFICATES. -------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 11 Weighted Average Life Sensitivity To Call
---------------------------------------------------------------------------------------------------------------------------------- PPC (%) 50 60 75 100 125 150 175 ---------------------------------------------------------------------------------------------------------------------------------- A WAL (years) 5.76 4.96 4.08 3.09 2.43 1.95 1.58 First Payment Date 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 Expected Final Maturity 5/25/2019 6/25/2017 3/25/2015 7/25/2012 10/25/2010 8/25/2009 9/25/2008 Window 1 - 184 1 - 161 1 - 134 1 - 102 1 - 81 1 - 67 1 - 56 ---------------------------------------------------------------------------------------------------------------------------------- M-1 WAL (years) 10.33 8.94 7.37 5.61 4.65 4.18 4.02 First Payment Date 3/25/2009 6/25/2008 8/25/2007 2/25/2007 4/25/2007 6/25/2007 8/25/2007 Expected Final Maturity 5/25/2019 6/25/2017 3/25/2015 7/25/2012 10/25/2010 8/25/2009 9/25/2008 Window 62 - 184 53 - 161 43 - 134 37 - 102 39 - 81 41 - 67 43 - 56 ---------------------------------------------------------------------------------------------------------------------------------- M-2 WAL (years) 10.33 8.94 7.37 5.61 4.61 4.06 3.78 First Payment Date 3/25/2009 6/25/2008 8/25/2007 2/25/2007 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 5/25/2019 6/25/2017 3/25/2015 7/25/2012 10/25/2010 8/25/2009 9/25/2008 Window 62 - 184 53 - 161 43 - 134 37 - 102 38 - 81 39 - 67 40 - 56 ---------------------------------------------------------------------------------------------------------------------------------- B WAL (years) 10.31 8.92 7.35 5.59 4.57 3.98 3.63 First Payment Date 3/25/2009 6/25/2008 8/25/2007 2/25/2007 2/25/2007 2/25/2007 3/25/2007 Expected Final Maturity 5/25/2019 6/25/2017 3/25/2015 7/25/2012 10/25/2010 8/25/2009 9/25/2008 Window 62 - 184 53 - 161 43 - 134 37 - 102 37 - 81 37 - 67 38 - 56 ----------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 12 Weighted Average Life Sensitivity To Maturity
------------------------------------------------------------------------------------------------------------------------------------ PPC (%) 50 60 75 100 125 150 175 ------------------------------------------------------------------------------------------------------------------------------------ A WAL (years) 6.14 5.33 4.40 3.35 2.64 2.13 1.73 First Payment Date 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 Expected Final Maturity 12/25/2030 8/25/2029 12/25/2026 7/25/2022 1/25/2019 6/25/2016 6/25/2014 Window 1 - 323 1 - 307 1 - 275 1 - 222 1 - 180 1 - 149 1 - 125 ------------------------------------------------------------------------------------------------------------------------------------ M-1 WAL (years) 11.12 9.68 8.01 6.14 5.08 4.52 4.31 First Payment Date 3/25/2009 6/25/2008 8/25/2007 2/25/2007 4/25/2007 6/25/2007 8/25/2007 Expected Final Maturity 3/25/2027 1/25/2025 1/25/2022 1/25/2018 4/25/2015 4/25/2013 10/25/2011 Window 62 - 278 53 - 252 43 - 216 37 - 168 39 - 135 41 - 111 43 - 93 ------------------------------------------------------------------------------------------------------------------------------------ M-2 WAL (years) 11.01 9.56 7.90 6.05 4.97 4.35 4.02 First Payment Date 3/25/2009 6/25/2008 8/25/2007 2/25/2007 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 9/25/2025 5/25/2023 6/25/2020 10/25/2016 3/25/2014 6/25/2012 1/25/2011 Window 62 - 260 53 - 232 43 - 197 37 - 153 38 - 122 39 - 101 40 - 84 \----------------------------------------------------------------------------------------------------------------------------------- B WAL (years) 10.62 9.19 7.58 5.79 4.73 4.11 3.73 First Payment Date 3/25/2009 6/25/2008 8/25/2007 2/25/2007 2/25/2007 2/25/2007 3/25/2007 Expected Final Maturity 5/25/2023 3/25/2021 5/25/2018 2/25/2015 11/25/2012 4/25/2011 2/25/2010 Window 62 - 232 53 - 206 43 - 172 37 - 133 37 - 106 37 - 87 38 - 73 ------------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR Sensitivity To Call ------------------------------------------------------------------------------- CPR (%) 20 25 30 ------------------------------------------------------------------------------- A WAL (years) 3.36 2.66 2.16 First Payment Date 2/25/2004 2/25/2004 2/25/2004 Expected Final Maturity 5/25/2013 6/25/2011 3/25/2010 Window 1 - 112 1 - 89 1 - 74 ------------------------------------------------------------------------------- M-1 WAL (years) 6.12 4.99 4.38 First Payment Date 2/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 5/25/2013 6/25/2011 3/25/2010 Window 37 - 112 39 - 89 40 - 74 ------------------------------------------------------------------------------- M-2 WAL (years) 6.12 4.97 4.31 First Payment Date 2/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 5/25/2013 6/25/2011 3/25/2010 Window 37 - 112 38 - 89 39 - 74 ------------------------------------------------------------------------------- B WAL (years) 6.10 4.94 4.25 First Payment Date 2/25/2007 2/25/2007 2/25/2007 Expected Final Maturity 5/25/2013 6/25/2011 3/25/2010 Window 37 - 112 37 - 89 37 - 74 ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 14 CPR Sensitivity To Maturity ------------------------------------------------------------------------------- CPR (%) 20 25 30 ------------------------------------------------------------------------------- A WAL (years) 3.65 2.90 2.35 First Payment Date 2/25/2004 2/25/2004 2/25/2004 Expected Final Maturity 1/25/2024 6/25/2020 9/25/2017 Window 1 - 240 1 - 197 1 - 164 ------------------------------------------------------------------------------- M-1 WAL (years) 6.68 5.46 4.76 First Payment Date 2/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 4/25/2019 5/25/2016 4/25/2014 Window 37 - 183 39 - 148 40 - 123 ------------------------------------------------------------------------------- M-2 WAL (years) 6.58 5.36 4.63 First Payment Date 2/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 11/25/2017 4/25/2015 4/25/2013 Window 37 - 166 38 - 135 39 - 111 ------------------------------------------------------------------------------- B WAL (years) 6.31 5.12 4.38 First Payment Date 2/25/2007 2/25/2007 2/25/2007 Expected Final Maturity 2/25/2016 10/25/2013 2/25/2012 Window 37 - 145 37 - 117 37 - 97 ------------------------------------------------------------------------------- -------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 15 Schedule of Available Funds and Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
A Cap (%) M-1 Cap (%) M-2 Cap (%) B Cap (%) Period Actual/360 Actual/360 Actual/360 Actual/360 ------ ---------- ----------- ----------- ---------- 0 - - - 1 10.11 9.94 9.94 9.94 2 9.41 9.26 9.26 9.26 3 9.04 8.90 8.90 8.90 4 9.32 9.16 9.16 9.16 5 9.15 8.99 8.99 8.99 6 9.37 9.21 9.21 9.21 7 9.17 9.00 9.00 9.00 8 9.18 9.01 9.01 9.01 9 9.40 9.23 9.23 9.23 10 9.20 9.02 9.02 9.02 11 9.43 9.24 9.24 9.24 12 9.23 9.04 9.04 9.04 13 9.29 9.09 9.09 9.09 14 10.01 9.79 9.79 9.79 15 9.32 9.11 9.11 9.11 16 9.59 9.37 9.37 9.37 17 9.26 9.04 9.04 9.04 18 9.56 9.32 9.32 9.32 19 9.38 9.14 9.14 9.14 20 9.43 9.18 9.18 9.18 21 9.69 9.42 9.42 9.42 22 9.50 9.23 9.23 9.23 23 10.15 9.87 9.87 9.87 24 9.97 9.68 9.68 9.68 25 10.04 9.74 9.74 9.74 26 10.88 10.54 10.54 10.54 27 10.12 9.80 9.80 9.80 28 10.41 10.07 10.07 10.07 29 10.20 9.86 9.86 9.86 30 10.53 10.16 10.16 10.16 31 10.34 9.97 9.97 9.97 32 10.39 10.01 10.01 10.01 33 10.72 10.31 10.31 10.31 34 10.50 10.09 10.09 10.09
(1) Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current Certificate Principal Balance. (2) Run to call assuming 100% PPC, no losses, and a 1-month/6-month/12-month LIBOR, 1-year CMT and 11th district COFI rate of 20%. -------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 16 Schedule of Available Funds and Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
A Cap (%) M-1 Cap (%) M-2 Cap (%) B Cap (%) Period Actual/360 Actual/360 Actual/360 Actual/360 ------ ---------- ----------- ----------- ---------- 35 10.61 10.25 10.25 10.25 36 10.40 10.05 10.05 10.05 37 16.12 10.10 10.10 10.10 38 10.89 11.00 10.98 10.98 39 9.82 10.13 10.13 10.13 40 10.18 10.42 10.42 10.42 41 9.99 10.19 10.19 10.19 42 10.37 10.50 10.50 10.50 43 10.05 10.24 10.24 10.24 44 10.07 10.26 10.26 10.26 45 10.46 10.59 10.59 10.59 46 10.26 10.19 10.19 10.19 47 10.61 10.47 10.47 10.47 48 10.31 10.24 10.24 10.24 49 10.40 10.32 10.32 10.32 50 11.13 10.92 10.92 10.92 51 10.73 10.13 10.13 10.13 52 11.12 10.46 10.46 10.46 53 10.79 10.19 10.19 10.19 54 11.26 10.59 10.59 10.59 55 10.94 10.33 10.33 10.33 56 11.15 10.18 10.18 10.18 57 11.56 10.53 10.53 10.53 58 11.20 10.22 10.22 10.22 59 11.58 10.54 10.54 10.54 60 11.21 10.23 10.23 10.23 61 11.22 10.24 10.24 10.24 62 12.43 11.25 11.25 11.25 63 11.27 10.23 10.23 10.23 64 11.65 10.55 10.55 10.55 65 11.28 10.24 10.24 10.24 66 11.66 10.56 10.56 10.56 67 11.29 10.25 10.25 10.25 68 11.29 10.25 10.25 10.25 69 11.67 10.52 10.52 10.52
(1) Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current Certificate Principal Balance. (2) Run to call assuming 100% PPC, no losses, and a 1-month/6-month/12-month LIBOR, 1-year CMT and 11th district COFI rate of 20%. -------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 17 Schedule of Available Funds and Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
A Cap (%) M-1 Cap (%) M-2 Cap (%) B Cap (%) Period Actual/360 Actual/360 Actual/360 Actual/360 ------ ---------- ----------- ----------- ---------- 70 11.31 10.21 10.21 10.21 71 11.69 10.53 10.53 10.53 72 11.32 10.22 10.22 10.22 73 11.32 10.23 10.23 10.23 74 12.54 11.24 11.24 11.24 75 11.33 10.23 10.23 10.23 76 11.72 10.55 10.55 10.55 77 11.34 10.24 10.24 10.24 78 11.73 10.56 10.56 10.56 79 11.38 10.27 10.27 10.27 80 11.45 10.33 10.33 10.33 81 11.84 10.51 10.51 10.51 82 11.46 10.20 10.20 10.20 83 11.85 10.52 10.52 10.52 84 11.47 10.20 10.20 10.20 85 11.48 10.21 10.21 10.21 86 12.71 11.24 11.24 11.24 87 11.49 10.22 10.22 10.22 88 11.88 10.54 10.54 10.54 89 11.50 10.22 10.22 10.22 90 11.89 10.55 10.55 10.55 91 11.51 10.23 10.23 10.23 92 11.52 10.24 10.24 10.24 93 11.90 10.56 10.56 10.56 94 11.13 10.24 10.24 10.24 95 10.48 10.57 10.57 10.55 96 10.15 10.25 10.25 10.24 97 10.17 10.26 10.26 10.24 98 10.89 10.92 10.92 10.91 99 10.21 10.22 10.22 10.20 100 10.57 10.54 10.54 10.52 101 10.24 10.23 10.23 10.21 102 10.60 10.55 10.55 10.53 103 10.28 9.66 9.66 9.66 104 10.30 9.66 9.66 9.66
1 Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current Certificate Principal Balance. 2 Run to call assuming 100% PPC, no losses, and a 1-month/6-month/12-month LIBOR, 1-year CMT and 11th district COFI rate of 20%. -------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supersedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 18
Interest Rate Cap Schedules Class A Cap Class M-1 Cap Class M-2 Cap --------------------------------------- --------------------------------------- ------------------------------------- Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % 1 230,348,000.00 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35 2 225,283,639.93 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35 3 220,214,469.58 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35 4 215,141,692.71 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35 5 210,066,558.28 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35 6 204,991,214.77 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35 7 199,919,027.94 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35 8 194,853,200.95 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35 9 189,883,268.81 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35 10 185,012,126.99 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35 11 180,244,874.84 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35 12 175,579,753.73 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35 13 171,014,793.47 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35 14 166,547,880.70 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35 15 162,176,926.96 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35 16 157,899,897.49 6.00 8.75 10,530,000.00 5.50 8.25 8,556,000.00 4.60 7.35 17 153,714,794.85 6.50 8.90 10,530,000.00 6.00 8.40 8,556,000.00 5.10 7.50 18 149,619,674.61 6.50 8.90 10,530,000.00 6.00 8.40 8,556,000.00 5.10 7.50 19 145,612,562.85 6.50 8.90 10,530,000.00 6.00 8.40 8,556,000.00 5.10 7.50 20 141,691,658.15 6.50 8.90 10,530,000.00 6.00 8.40 8,556,000.00 5.10 7.50 21 137,855,173.35 6.50 8.90 10,530,000.00 6.00 8.40 8,556,000.00 5.10 7.50 22 134,100,198.95 6.50 8.90 10,530,000.00 6.00 8.40 8,556,000.00 5.10 7.50 23 130,392,033.16 6.90 9.50 10,530,000.00 6.40 9.00 8,556,000.00 5.50 8.10 24 126,797,735.90 6.90 9.50 10,530,000.00 6.40 9.00 8,556,000.00 5.50 8.10 25 123,280,754.61 6.90 9.50 10,530,000.00 6.40 9.00 8,556,000.00 5.50 8.10 26 119,839,487.16 6.90 9.50 10,530,000.00 6.40 9.00 8,556,000.00 5.50 8.10 27 116,472,189.73 6.90 9.50 10,530,000.00 6.40 9.00 8,556,000.00 5.50 8.10 28 113,177,049.49 6.90 9.50 10,530,000.00 6.40 9.00 8,556,000.00 5.50 8.10 29 109,953,029.07 7.35 9.75 10,530,000.00 6.85 9.25 8,556,000.00 5.95 8.35 30 106,798,265.46 7.35 9.75 10,530,000.00 6.85 9.25 8,556,000.00 5.95 8.35 31 103,711,642.52 7.35 9.75 10,530,000.00 6.85 9.25 8,556,000.00 5.95 8.35 32 100,691,715.36 7.35 9.75 10,530,000.00 6.85 9.25 8,556,000.00 5.95 8.35 33 97,736,972.73 7.35 9.75 10,530,000.00 6.85 9.25 8,556,000.00 5.95 8.35 34 94,845,796.71 7.35 9.75 10,530,000.00 6.85 9.25 8,556,000.00 5.95 8.35 35 92,017,124.79 7.75 9.75 10,530,000.00 7.25 9.35 8,556,000.00 6.35 8.45 36 89,249,658.61 7.75 9.75 10,530,000.00 7.25 9.35 8,556,000.00 6.35 8.45 37 - 7.75 9.75 10,530,000.00 7.25 9.35 8,556,000.00 6.35 8.45 38 - - - 10,401,282.92 7.25 9.35 7,592,145.05 6.35 8.45 39 - - - 9,136,400.76 7.25 9.35 7,423,650.99 6.35 8.45 40 - - - 8,933,518.78 7.25 9.35 7,258,802.15 6.35 8.45 41 - - - 8,735,035.07 7.50 9.50 7,097,527.07 6.60 8.60 42 - - - 8,541,422.43 7.50 9.50 6,940,209.91 6.60 8.60 43 - - - 8,352,002.51 7.50 9.50 6,786,299.47 6.60 8.60
Interest Rate Cap Schedules (Continued) Class B Cap ------------------------------------- Period Balance ($) Strike% Ceiling% 1 8,556,000.00 3.25 6.00 2 8,556,000.00 3.25 6.00 3 8,556,000.00 3.25 6.00 4 8,556,000.00 3.25 6.00 5 8,556,000.00 3.25 6.00 6 8,556,000.00 3.25 6.00 7 8,556,000.00 3.25 6.00 8 8,556,000.00 3.25 6.00 9 8,556,000.00 3.25 6.00 10 8,556,000.00 3.25 6.00 11 8,556,000.00 3.25 6.00 12 8,556,000.00 3.25 6.00 13 8,556,000.00 3.25 6.00 14 8,556,000.00 3.25 6.00 15 8,556,000.00 3.25 6.00 16 8,556,000.00 3.25 6.00 17 8,556,000.00 3.75 6.15 18 8,556,000.00 3.75 6.15 19 8,556,000.00 3.75 6.15 20 8,556,000.00 3.75 6.15 21 8,556,000.00 3.75 6.15 22 8,556,000.00 3.75 6.15 23 8,556,000.00 4.15 6.75 24 8,556,000.00 4.15 6.75 25 8,556,000.00 4.15 6.75 26 8,556,000.00 4.15 6.75 27 8,556,000.00 4.15 6.75 28 8,556,000.00 4.15 6.75 29 8,556,000.00 4.60 7.00 30 8,556,000.00 4.60 7.00 31 8,556,000.00 4.60 7.00 32 8,556,000.00 4.60 7.00 33 8,556,000.00 4.60 7.00 34 8,556,000.00 4.60 7.00 35 8,556,000.00 5.00 7.10 36 8,556,000.00 5.00 7.10 37 8,556,000.00 5.00 7.10 38 7,592,145.05 5.00 7.10 39 7,423,650.99 5.00 7.10 40 7,258,802.15 5.00 7.10 41 7,097,527.07 5.25 7.25 42 6,940,209.91 5.25 7.25 43 6,786,299.47 5.25 7.25 -------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 19
Interest Rate Cap Schedules Class A Cap Class M-1 Cap Class M-2 Cap ------------------------------------- --------------------------------------- ------------------------------------ Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % 44 - - - 8,166,685.89 7.50 9.50 6,635,723.12 6.60 8.60 45 - - - 7,985,385.04 7.50 9.50 6,488,409.72 6.60 8.60 46 - - - 7,808,010.59 7.75 9.50 6,344,286.67 6.85 8.60 47 - - - 7,634,095.30 7.75 9.50 6,202,974.30 6.85 8.60 48 - - - 7,463,958.17 7.75 9.50 6,064,731.82 6.85 8.60 49 - - - 7,297,501.78 7.75 9.50 5,929,480.08 6.85 8.60 50 - - - 7,134,500.52 7.75 9.50 5,797,035.75 6.85 8.60 51 - - - 6,975,047.89 8.25 9.50 5,667,474.81 7.35 8.60 52 - - - 6,818,365.64 8.25 9.50 5,540,164.90 7.35 8.60 53 - - - 6,665,017.22 8.25 9.50 5,415,563.85 7.35 8.60 54 - - - 6,515,023.77 8.25 9.50 5,293,688.83 7.35 8.60 55 - - - 6,368,267.28 8.25 9.50 5,174,443.96 7.35 8.60 56 - - - 6,224,659.53 8.60 9.50 5,057,757.55 7.70 8.60 57 - - - 6,084,076.32 8.60 9.50 4,943,528.68 7.70 8.60 58 - - - 5,946,577.43 8.60 9.50 4,831,805.94 7.70 8.60 59 - - - 5,812,097.09 8.60 9.50 4,722,535.87 7.70 8.60 60 - - - 5,680,570.25 8.60 9.50 4,615,665.63 7.70 8.60 61 - - - 5,551,933.27 8.60 9.50 4,511,143.50 7.70 8.60 62 - - - 5,426,123.86 8.60 9.50 4,408,918.88 7.70 8.60 63 - - - 5,303,081.05 8.65 9.50 4,308,942.21 7.75 8.60 64 - - - 5,182,745.16 8.65 9.50 4,211,165.01 7.75 8.60 65 - - - 5,065,057.79 8.65 9.50 4,115,539.83 7.75 8.60 66 - - - 4,949,961.79 8.65 9.50 4,022,020.23 7.75 8.60 67 - - - 4,837,401.21 8.65 9.50 3,930,560.76 7.75 8.60 68 - - - 4,727,325.03 8.65 9.50 3,841,119.94 7.75 8.60 69 - - - 4,619,675.80 8.70 9.50 3,753,651.11 7.80 8.60 70 - - - 4,514,401.09 8.70 9.50 3,668,111.65 7.80 8.60 71 - - - 4,411,449.57 8.70 9.50 3,584,459.88 7.80 8.60 72 - - - 4,310,771.02 8.70 9.50 3,502,654.97 7.80 8.60 73 - - - 4,212,316.29 8.70 9.50 3,422,656.99 7.80 8.60 74 - - - 4,116,037.26 8.70 9.50 3,344,426.86 7.80 8.60 75 - - - 4,021,886.87 8.70 9.50 3,267,926.31 7.80 8.60 76 - - - 3,929,819.03 8.70 9.50 3,193,117.91 7.80 8.60 77 - - - 3,839,788.65 8.70 9.50 3,119,965.03 7.80 8.60 78 - - - 3,751,751.61 8.70 9.50 3,048,431.79 7.80 8.60 79 - - - 3,665,664.71 8.70 9.50 2,978,483.12 7.80 8.60 80 - - - 3,581,480.01 8.70 9.50 2,910,080.05 7.80 8.60 81 - - - 3,499,147.82 8.85 9.50 2,843,182.22 7.95 8.60 82 - - - 3,418,642.01 8.85 9.50 2,777,768.38 7.95 8.60 83 - - - 3,339,923.50 8.85 9.50 2,713,806.79 7.95 8.60 84 - - - 3,262,953.48 8.85 9.50 2,651,265.90 7.95 8.60 85 - - - 3,187,693.98 8.85 9.50 2,590,114.88 7.95 8.60 86 - - - 3,114,107.86 8.85 9.50 2,530,323.54 7.95 8.60 87 - - - 3,042,158.75 8.85 9.50 2,471,862.33 7.95 8.60 88 - - - 2,971,811.08 8.85 9.50 2,414,702.33 7.95 8.60 89 - - - 2,903,030.01 8.85 9.50 2,358,815.27 7.95 8.60 90 - - - 2,835,781.49 8.85 9.50 2,304,173.45 7.95 8.60
Interest Rate Cap Schedules (Continued) Class B Cap --------------------------------------- Period Balance ($) Strike % Ceiling % 44 6,635,723.12 5.25 7.25 45 6,488,409.72 5.25 7.25 46 6,344,286.67 5.50 7.25 47 6,202,974.30 5.50 7.25 48 6,064,731.82 5.50 7.25 49 5,929,480.08 5.50 7.25 50 5,797,035.75 5.50 7.25 51 5,667,474.81 6.00 7.25 52 5,540,164.90 6.00 7.25 53 5,415,563.85 6.00 7.25 54 5,293,688.83 6.00 7.25 55 5,174,443.96 6.00 7.25 56 5,057,757.55 6.35 7.25 57 4,943,528.68 6.35 7.25 58 4,831,805.94 6.35 7.25 59 4,722,535.87 6.35 7.25 60 4,615,665.63 6.35 7.25 61 4,511,143.50 6.35 7.25 62 4,408,918.88 6.35 7.25 63 4,308,942.21 6.40 7.25 64 4,211,165.01 6.40 7.25 65 4,115,539.83 6.40 7.25 66 4,022,020.23 6.40 7.25 67 3,930,560.76 6.40 7.25 68 3,841,119.94 6.40 7.25 69 3,753,651.11 6.45 7.25 70 3,668,111.65 6.45 7.25 71 3,584,459.88 6.45 7.25 72 3,502,654.97 6.45 7.25 73 3,422,656.99 6.45 7.25 74 3,344,426.86 6.45 7.25 75 3,267,926.31 6.45 7.25 76 3,193,117.91 6.45 7.25 77 3,119,965.03 6.45 7.25 78 3,048,431.79 6.45 7.25 79 2,978,483.12 6.45 7.25 80 2,910,080.05 6.45 7.25 81 2,843,182.22 6.60 7.25 82 2,777,768.38 6.60 7.25 83 2,713,806.79 6.60 7.25 84 2,651,265.90 6.60 7.25 85 2,590,114.88 6.60 7.25 86 2,530,323.54 6.60 7.25 87 2,471,862.33 6.60 7.25 88 2,414,702.33 6.60 7.25 89 2,358,815.27 6.60 7.25 90 2,304,173.45 6.60 7.25 -------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 20
Interest Rate Cap Schedules Class A Cap Class M-1 Cap Class M-2 Cap ------------------------------------ --------------------------------------- ------------------------------------- Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % 91 - - - 2,770,032.16 8.85 9.50 2,250,749.78 7.95 8.60 92 - - - 2,705,749.39 8.85 9.50 2,198,517.74 7.95 8.60 93 - - - 2,642,901.25 8.85 9.50 2,147,451.39 7.95 8.60 94 - - - 2,581,456.50 8.85 9.50 2,097,525.34 7.95 8.60 95 - - - 2,521,384.55 8.85 9.50 2,048,714.74 7.95 8.60 96 - - - 2,462,675.53 8.85 9.50 2,001,011.57 7.95 8.60 97 - - - 2,405,279.50 8.85 9.50 1,954,375.25 7.95 8.60 98 - - - 2,349,167.81 8.85 9.50 1,908,782.51 7.95 8.60 99 - - - 2,294,312.45 8.90 9.50 1,864,210.57 8.00 8.60 100 - - - 2,240,686.00 8.90 9.50 1,820,637.17 8.00 8.60 101 - - - 2,188,261.61 8.90 9.50 1,778,040.49 8.00 8.60 102 - - - 2,137,013.04 8.90 9.50 1,736,399.20 8.00 8.60
Interest Rate Cap Schedules (Continued) Class B Cap -------------------------------------- Period Balance Strike % Ceiling % 91 2,250,749.78 6.60 7.25 92 2,198,517.74 6.60 7.25 93 2,147,451.39 6.60 7.25 94 2,072,003.06 6.60 7.25 95 1,993,155.87 6.60 7.25 96 1,916,097.58 6.60 7.25 97 1,840,762.64 6.60 7.25 98 1,767,113.47 6.60 7.25 99 1,695,113.29 6.65 7.25 100 1,624,726.10 6.65 7.25 101 1,555,916.68 6.65 7.25 102 1,488,650.57 6.65 7.25 -------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 21 Description of Total Collateral The following summarizes the characteristics of the Mortgage Loans (percentages are based on the aggregate Principal Balances as of January 1, 2004). The characteristics of the Mortgage Loans in the Prospectus Supplement will supersede the descriptions of the characteristics below. Aggregate Current Principal Balance: $263,255,465 Average Outstanding Principal Balance: $185,915 Range of Outstanding Principal Balances: $9,878 to $1,261,600 Loans with Current Prepayment Penalties: 25.9% Fixed Rate / Adjustable Rate: 44.23% / 55.77% Second Liens: 1.95% FHA/VA Insured Mortgage Loans: 0.38% Simple Interest Loans: 0.03% Loans with Insurance: 8.2% Negative Amortization Loans: 3.2% Balloon Loans: 0.83% Performing Loans: 92.98% Sub-Performing Loans: 4.82% Sub-Performing Loans that are Payment Plan Loans: 1.51% Sub-Performing Loans that are Bankruptcy Plan Loans: 0.06% Re-Performing Loans: 2.20% Re-Performing Loans that are Payment Plan Loans: 0.41% Re-Performing Loans that are Bankruptcy Plan Loans: 1.17% Weighted Average Loan Rate: 6.640% Range of Loan Rates: 2.875% to 13.990% Weighted Average Combined Amortized LTV(1): 71.66% Weighted Average Original Term to Maturity: 336 Weighted Average Remaining Term to Stated Maturity: 319 Weighted Average FICO Score: 652 Max Zip Code Concentration (%): 0.81% Max Zip Code Concentration (zip): 94583 Top 5 Geographic Concentrations (State): California 35.96% New York 8.03% Florida 6.27% Texas 4.15% Illinois 3.83%
Notes: 1. The sum of the first and, if any, second amortized liens divided by the appraised value of the property. -------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 22 2004-SD1 MORGAN STANLEY January 1, 2004 Scheduled Balances 1,416 records All records Balance: 263,255,465 ================================================================================ 1. Summary Statistics ---------------------------------------------- Number of Mortgage Loans: 1,416 Aggregate Principal Balance: 263,255,465.00 Maximum Balance: 1,261,600.00 Minimum Balance: 9,877.96 Average Current Balance: 185,914.88 Average Original Balance: 192,635.00 -----------------------------------------: % FRM: 44.23 % ARM: 55.77 % Performing: 92.98 % Subperforming: 4.82 % Reperforming: 2.20 -----------------------------------------: Weighted Average Coupon: 6.640 Weighted Average Net Coupon: 6.232 Maximum Coupon: 13.990 Minimum Coupon: 2.875 Weighted Average Margin: 4.298 Weighted Average Maximum Rate: 12.654 -----------------------------------------: Weighted Average Months to Roll: 29.301 Weighted Average Original Term: 336 Weighted Average Stated Remaining Term: 319 Weighted Average Amortized Remaining Term: 319 Weighted Average Seasoning: 17 Weighted Average Combined Amortized LTV: 71.66 -----------------------------------------: % First Lien: 98.1 % Second Lien: 1.9 % Cash-Out Refinance: 40.2 % Owner Occupied: 90.0 % with MI: 8.2 % with Prepay Penalty: 25.9 % BK: 1.3 % with Payment Plans: 4.1 Non-Zero Weighted Average FICO Score: 652.1 ---------------------------------------------- % of Number Total Total Wtd of Current Current Avg Acquisition Sources Loans Balance Balance Coupon -------------------------------------------------------------------------------- Bank of America 385 91,585,690 34.79 5.728 New Century 410 55,234,776 20.98 8.282 OTHER 364 55,184,635 20.96 7.775 Washington Mutual 257 61,250,364 23.27 5.502 -------------------------------------------------------------------------------- Total: 1,416 263,255,465 100.00 6.640 -------------------------------------------------------------------------------- % of Number Total Total Wtd of Current Current Avg SubGroup Loans Balance Balance Coupon -------------------------------------------------------------------------------- Performing 1,272 244,769,412 92.98 6.484 Reperforming 58 5,792,560 2.2 10.282 Subperforming 86 12,693,493 4.82 7.994 -------------------------------------------------------------------------------- Total: 1,416 263,255,465 100.00 6.640 -------------------------------------------------------------------------------- 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 supersedes 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. 2004-SD1 MORGAN STANLEY January 1, 2004 Scheduled Balances 1,416 records All records Balance: 263,255,465 ================================================================================ % of Number Total Total Wtd of Current Current Avg Current Mortgage Rates (%) Loans Balance Balance Coupon -------------------------------------------------------------------------------- <= 3.500 2 357,962 0.14 2.918 3.501 - 4.000 35 6,664,085 2.53 3.871 4.001 - 4.500 77 18,404,777 6.99 4.355 4.501 - 5.000 103 18,780,475 7.13 4.818 5.001 - 5.500 163 45,820,653 17.41 5.313 5.501 - 6.000 139 35,792,487 13.60 5.847 6.001 - 6.500 100 23,366,791 8.88 6.315 6.501 - 7.000 100 20,314,482 7.72 6.848 7.001 - 7.500 108 17,667,735 6.71 7.355 7.501 - 8.000 125 24,059,624 9.14 7.833 8.001 - 8.500 81 13,398,149 5.09 8.334 8.501 - 9.000 80 13,479,755 5.12 8.805 9.001 - 9.500 61 6,713,977 2.55 9.280 9.501 - 10.000 48 4,730,890 1.80 9.830 10.001 - 10.500 33 2,993,462 1.14 10.324 10.501 - 11.000 82 5,470,262 2.08 10.875 11.001 - 11.500 26 1,632,477 0.62 11.309 11.501 - 12.000 25 1,715,176 0.65 11.850 12.001 - 12.500 10 451,303 0.17 12.313 12.501 - 13.000 10 994,253 0.38 12.859 13.001 >= 8 446,690 0.17 13.689 -------------------------------------------------------------------------------- Total: 1,416 263,255,465 100.00 6.640 -------------------------------------------------------------------------------- Minimum: 2.875 Maximum: 13.990 Weighted Average: 6.640 -------------------------------------------------------------------------------- ================================================================================ % of Number Total Total Wtd Range of Cut-off Date of Current Current Avg Principal Balances ($) Loans Balance Balance Coupon -------------------------------------------------------------------------------- 1 - 25,000 61 1,280,393 0.49 9.099 25,001 - 50,000 156 5,705,167 2.17 8.999 50,001 - 75,000 156 9,774,881 3.71 8.253 75,001 - 100,000 163 14,171,959 5.38 7.283 100,001 - 125,000 134 15,129,897 5.75 6.970 125,001 - 150,000 121 16,567,328 6.29 7.020 150,001 - 175,000 102 16,589,684 6.30 6.966 175,001 - 200,000 82 15,252,966 5.79 6.964 200,001 - 225,000 52 10,894,261 4.14 6.986 225,001 - 250,000 48 11,354,008 4.31 6.881 250,001 - 275,000 34 8,958,205 3.40 6.926 275,001 - 300,000 34 9,795,216 3.72 7.013 300,001 - 325,000 42 13,176,138 5.01 6.021 325,001 - 350,000 40 13,447,379 5.11 6.577 350,001 - 375,000 27 9,825,751 3.73 6.379 375,001 - 400,000 35 13,529,416 5.14 6.633 400,001 - 425,000 14 5,826,557 2.21 6.628 425,001 - 450,000 18 7,865,712 2.99 6.607 450,001 - 475,000 8 3,703,452 1.41 6.161 475,001 - 500,000 13 6,354,922 2.41 5.255 500,001 - 750,000 56 33,832,402 12.85 5.771 750,001 - 1,000,000 12 11,086,456 4.21 5.368 1,000,001 >= 8 9,133,316 3.47 5.577 -------------------------------------------------------------------------------- Total: 1,416 263,255,465 100.00 6.640 -------------------------------------------------------------------------------- Minimum: 9,878 Maximum: 1,261,600 Average: 185,915 -------------------------------------------------------------------------------- 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 supersedes 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. 2004-SD1 MORGAN STANLEY January 1, 2004 Scheduled Balances 1,416 records All records Balance: 263,255,465 ================================================================================ % of Number Total Total Wtd Combined Amortized of Current Current Avg Loan-to-Value Ratio (%) Loans Balance Balance Coupon -------------------------------------------------------------------------------- <= 40.00 77 13,164,417 5.00 5.755 40.01 - 45.00 37 8,899,467 3.38 5.920 45.01 - 50.00 37 7,435,868 2.82 5.486 50.01 - 55.00 39 6,352,589 2.41 6.215 55.01 - 60.00 75 16,015,849 6.08 6.101 60.01 - 65.00 91 17,072,254 6.49 6.476 65.01 - 70.00 128 31,833,046 12.09 6.431 70.01 - 75.00 181 40,905,124 15.54 6.330 75.01 - 80.00 282 57,475,565 21.83 6.546 80.01 - 85.00 127 20,705,529 7.87 8.071 85.01 - 90.00 135 24,346,453 9.25 7.206 90.01 - 95.00 64 9,916,367 3.77 7.135 95.01 - 100.00 141 8,978,991 3.41 8.523 100.01 >= 2 153,946 0.06 9.045 -------------------------------------------------------------------------------- Total: 1,416 263,255,465 100.00 6.640 -------------------------------------------------------------------------------- Minimum: 2.79 Maximum: 108.20 Weighted Average by Original Balance: 70.88 Weighted Average by Current Balance: 71.66 -------------------------------------------------------------------------------- % of Number Total Total Wtd of Current Current Avg Adjustment Type Loans Balance Balance Coupon -------------------------------------------------------------------------------- Fixed Rate 726 116,442,508 44.23 6.824 ARM 690 146,812,957 55.77 6.495 -------------------------------------------------------------------------------- Total: 1,416 263,255,465 100.00 6.640 -------------------------------------------------------------------------------- % of Number Total Total Wtd of Current Current Avg Product Loans Balance Balance Coupon -------------------------------------------------------------------------------- Fixed - 10 Year 2 179,422 0.07 11.035 Fixed - 15 Year 171 24,667,717 9.37 5.861 Fixed - 20 Year 99 5,235,340 1.99 9.307 Fixed - 30 Year 412 84,187,953 31.98 6.901 Balloon - 5/30 4 294,957 0.11 7.339 Balloon - 15/30 38 1,877,120 0.71 8.608 ARM - 1 Month LIBOR 58 7,574,280 2.88 4.973 ARM - 6 Month LIBOR 12 1,143,158 0.43 10.318 ARM - 2 Year/6 Month LIBOR 377 65,647,885 24.94 8.138 ARM - 3 Year/6 Month LIBOR 16 1,974,273 0.75 9.115 ARM - 5 Year/6 Month LIBOR 4 695,236 0.26 7.076 ARM - 8 Year/1 Year 1 12,294 0.00 6.000 ARM - 1 Year CMT 32 2,516,660 0.96 4.582 ARM - 3 Year/1 Year 32 10,299,642 3.91 4.421 ARM - 5 Year/1 Year 84 25,122,160 9.54 5.005 ARM - 5 Year/1 Year 46 26,073,111 9.90 5.214 Interest-Only ARM - 3 Year/1 Year 3 1,076,046 0.41 5.422 Interest-Only ARM - 7 Year/1 Year 25 4,678,212 1.78 4.750 -------------------------------------------------------------------------------- Total: 1,416 263,255,465 100.00 6.640 -------------------------------------------------------------------------------- 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 supersedes 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. 2004-SD1 MORGAN STANLEY January 1, 2004 Scheduled Balances 1,416 records All records Balance: 263,255,465 ================================================================================ % of Number Total Total Wtd of Current Current Avg Loan Index Type Loans Balance Balance Coupon -------------------------------------------------------------------------------- Fixed Rate 726 116,442,508 44.23 6.824 Monthly Treasury Average 2 776,940 0.30 3.770 1 Year CMT 101 35,116,260 13.34 5.271 6 Month LIBOR 409 69,460,552 26.39 8.191 1 Year LIBOR 120 33,884,924 12.87 4.688 COFI - 1 Month 58 7,574,280 2.88 4.973 -------------------------------------------------------------------------------- Total: 1,416 263,255,465 100.00 6.640 -------------------------------------------------------------------------------- % of Number Total Total Wtd Range of Stated Original of Current Current Avg Terms (months) Loans Balance Balance Coupon -------------------------------------------------------------------------------- 1 - 60 1 54,106 0.02 12.85 61 - 120 20 2,474,904 0.94 6.412 121 - 180 207 26,204,805 9.95 6.084 181 - 240 105 6,711,980 2.55 8.544 241 - 300 10 1,388,817 0.53 6.256 301 - 360 1,061 224,897,790 85.43 6.652 361 >= 12 1,523,062 0.58 6.578 -------------------------------------------------------------------------------- Total: 1,416 263,255,465 100.00 6.640 -------------------------------------------------------------------------------- Minimum: 60 Maximum: 482 Weighted Average: 336 -------------------------------------------------------------------------------- % of Number Total Total Wtd Remaining Term of Current Current Avg to Stated Maturity Loans Balance Balance Coupon -------------------------------------------------------------------------------- 1 - 60 8 600,988 0.23 7.766 61 - 120 44 5,194,796 1.97 7.176 121 - 180 212 24,470,804 9.30 5.863 181 - 240 129 9,542,224 3.62 7.753 241 - 300 66 9,037,313 3.43 6.451 301 - 360 954 214,009,982 81.29 6.675 361 >= 3 399,358 0.15 4.636 -------------------------------------------------------------------------------- Total: 1,416 263,255,465 100.00 6.640 -------------------------------------------------------------------------------- Minimum: 22 Maximum: 414 Weighted Average: 319.2 -------------------------------------------------------------------------------- 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 supersedes 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. 2004-SD1 MORGAN STANLEY January 1, 2004 Scheduled Balances 1,416 records All records Balance: 263,255,465 ================================================================================ % of Number Total Total Wtd of Current Current Avg Seasoning Loans Balance Balance Coupon -------------------------------------------------------------------------------- 1 - 12 999 193,116,954 73.36 6.481 13 - 24 167 32,440,688 12.32 6.462 25 - 36 50 14,154,084 5.38 8.036 37 - 48 23 4,752,226 1.81 8.780 49 - 60 22 2,463,587 0.94 9.768 61 - 72 34 5,793,528 2.20 7.619 73 - 84 20 2,026,676 0.77 5.417 85 - 96 7 807,947 0.31 6.973 97 - 108 12 899,251 0.34 7.116 109 - 120 19 2,093,749 0.80 5.819 121 - 132 11 1,303,657 0.50 5.012 133 - 144 4 446,800 0.17 5.369 145 - 156 3 399,317 0.15 7.259 157 - 168 10 1,065,283 0.40 6.227 169 - 180 5 298,412 0.11 9.352 181 - 192 8 392,424 0.15 5.078 193 - 204 2 108,212 0.04 7.535 205 - 216 2 124,360 0.05 9.507 217 - 228 6 199,370 0.08 4.627 229 - 240 9 306,557 0.12 4.638 241 - 252 1 24,921 0.01 3.490 301 - 312 1 19,796 0.01 9.500 361 >= 1 17,664 0.01 7.250 -------------------------------------------------------------------------------- Total: 1,416 263,255,465 100.00 6.640 -------------------------------------------------------------------------------- Minimum: 2 Maximum: 375 Weighted Average: 17.3 -------------------------------------------------------------------------------- % of Number Total Total Wtd of Current Current Avg Property Type Loans Balance Balance Coupon -------------------------------------------------------------------------------- Single Family 1,097 204,506,778 77.68 6.650 Condominium 115 19,221,847 7.30 6.196 Planned Unit Development 87 17,966,772 6.82 6.559 2-4 Family 95 17,523,637 6.66 7.291 Co-op 17 3,528,457 1.34 5.537 Rowhouse 2 247,548 0.09 9.570 Townhouse 2 194,599 0.07 5.078 Manufactured Housing 1 65,827 0.03 7.500 -------------------------------------------------------------------------------- Total: 1,416 263,255,465 100.00 6.640 -------------------------------------------------------------------------------- % of Number Total Total Wtd of Current Current Avg Occupancy Loans Balance Balance Coupon -------------------------------------------------------------------------------- Primary 1,250 236,970,986 90.02 6.669 Investment 123 15,246,673 5.79 6.704 Second Home 39 10,700,723 4.06 5.908 Unknown 4 337,082 0.13 6.747 -------------------------------------------------------------------------------- Total: 1,416 263,255,465 100.00 6.640 -------------------------------------------------------------------------------- % of Number Total Total Wtd of Current Current Avg Purpose Loans Balance Balance Coupon -------------------------------------------------------------------------------- Refinance - Cashout 546 102,473,509 38.93 7.037 Refinance - Rate Term 369 79,233,925 30.10 6.112 Purchase 483 78,287,374 29.74 6.650 Construction/Permanent 18 3,260,657 1.24 6.768 -------------------------------------------------------------------------------- Total: 1,416 263,255,465 100.00 6.640 -------------------------------------------------------------------------------- % of Number Total Total Wtd of Current Current Avg Documentation Level Loans Balance Balance Coupon -------------------------------------------------------------------------------- Full Documentation 927 158,272,709 60.12 6.662 Stated Documentation 373 77,966,336 29.62 6.614 Limited Documentation 68 16,629,287 6.32 6.719 Streamline Documentation 26 7,067,418 2.68 6.488 No Documentation 22 3,319,715 1.26 6.169 -------------------------------------------------------------------------------- Total: 1,416 263,255,465 100.00 6.640 -------------------------------------------------------------------------------- % of Number Total Total Wtd Lien of Current Current Avg Position Loans Balance Balance Coupon -------------------------------------------------------------------------------- 1st Lien 1,284 258,124,590 98.05 6.567 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 supersedes 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. 2004-SD1 MORGAN STANLEY January 1, 2004 Scheduled Balances 1,416 records All records Balance: 263,255,465 ================================================================================ 2nd Lien 132 5,130,875 1.95 10.322 -------------------------------------------------------------------------------- Total: 1,416 263,255,465 100 6.64 -------------------------------------------------------------------------------- % of Number Total Total Wtd FICO of Current Current Avg Score Loans Balance Balance Coupon -------------------------------------------------------------------------------- NA 5 1,014,576 0.36 6.072 Below 500 53 7,717,241 2.93 8.883 500 - 524 105 13,173,619 5.00 8.570 525 - 549 154 21,992,594 8.35 8.192 550 - 574 122 19,110,889 7.26 7.908 575 - 599 99 16,656,194 6.33 7.631 600 - 624 127 19,600,410 7.45 7.592 625 - 649 120 18,488,621 7.02 6.767 650 - 674 104 23,052,609 8.76 6.040 675 - 699 129 31,690,407 12.04 6.034 700 - 724 125 30,688,645 11.66 5.702 725 - 749 111 24,060,386 9.14 5.447 750 - 774 91 18,954,382 7.20 5.374 775 - 799 65 15,893,583 6.04 5.256 800 + 6 1,161,309 0.44 5.421 -------------------------------------------------------------------------------- Total: 1,416 263,255,465 100.00 6.640 -------------------------------------------------------------------------------- Minimum: 441 Maximum: 810 Weighted Average: 652.1 -------------------------------------------------------------------------------- % of Number Total Total Wtd Months of Current Current Avg Delinquent Loans Balance Balance Coupon -------------------------------------------------------------------------------- 0 1,272 244,769,412 92.98 6.484 1 61 9,061,732 3.44 7.684 2 25 3,631,760 1.38 8.768 3 8 966,387 0.37 9.858 4 5 763,976 0.29 9.315 5 3 313,787 0.12 12.050 6 1 166,573 0.06 10.900 7 1 409,066 0.16 9.750 8 2 138,054 0.05 11.500 9 2 398,219 0.15 11.585 -------------------------------------------------------------------------------- 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 supersedes 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. 2004-SD1 MORGAN STANLEY January 1, 2004 Scheduled Balances 1,416 records All records Balance: 263,255,465 ================================================================================ 10 3 172,922 0.07 11.626 11 1 19,893 0.01 7.500 12 2 140,157 0.05 12.148 15 2 221,358 0.08 8.789 19 2 157,951 0.06 6.108 21 1 23,269 0.01 11.650 22 2 93,716 0.04 12.259 23 2 148,718 0.06 11.812 24 1 67,075 0.03 10.250 25 1 70,051 0.03 10.500 26 1 54,459 0.02 7.125 27 3 151,686 0.06 10.471 28 2 203,059 0.08 11.795 29 1 149,793 0.06 11.100 30 3 266,415 0.1 5.8700 31 1 72,071 0.03 10.625 32 3 292,970 0.11 12.209 33 1 50,704 0.02 9.750 34 1 50,644 0.02 9.625 35 1 149,638 0.06 12.650 36 1 31,861 0.01 9.000 37 1 48,089 0.02 13.625 -------------------------------------------------------------------------------- Total: 1,416 263,255,465 100.00 6.640 -------------------------------------------------------------------------------- Minimum: 0 Maximum: 37 Weighted Average: 0.4 -------------------------------------------------------------------------------- % of Geographic Number Total Total Wtd Distribution of Current Current Avg by State Loans Balance Balance Coupon -------------------------------------------------------------------------------- Alabama 9 384,640 0.15 6.705 Arizona 38 5,783,358 2.20 5.953 Arkansas 6 536,066 0.20 6.480 California 356 94,659,225 35.96 6.321 Colorado 29 5,575,997 2.12 6.138 Connecticut 15 3,889,185 1.48 5.638 District of Columbia 5 728,706 0.28 8.447 Delaware 14 3,396,573 1.29 5.566 Florida 121 16,506,008 6.27 6.466 Georgia 36 5,076,394 1.93 6.759 Hawaii 2 539,640 0.20 7.252 Idaho 8 572,869 0.22 7.401 Illinois 55 10,083,609 3.83 6.898 Indiana 15 1,268,148 0.48 7.960 Iowa 7 641,856 0.24 5.998 Kansas 9 1,051,092 0.40 5.688 Kentucky 3 547,271 0.21 7.595 Louisiana 9 1,505,375 0.57 7.714 Maine 3 414,174 0.16 8.023 Maryland 42 6,532,806 2.48 6.974 Massachusetts 25 7,255,545 2.76 6.416 Michigan 49 5,468,567 2.08 8.381 Minnesota 18 2,386,890 0.91 7.801 Mississippi 4 283,190 0.11 8.951 Missouri 40 5,082,251 1.93 6.303 Nebraska 2 119,836 0.05 10.219 Nevada 13 2,160,200 0.82 7.041 New Hampshire 2 260,956 0.10 7.011 New Jersey 41 9,302,791 3.53 7.532 New Mexico 18 2,648,384 1.01 7.417 New York 85 21,152,053 8.03 6.528 North Carolina 45 7,394,671 2.81 6.387 Ohio 21 2,294,684 0.87 8.694 Oklahoma 11 1,097,023 0.42 7.645 Oregon 17 2,083,785 0.79 7.947 Pennsylvania 28 3,172,455 1.21 7.115 Rhode Island 4 974,823 0.37 6.104 South Carolina 22 3,581,446 1.36 6.605 Tennessee 29 3,954,816 1.50 7.183 Texas 87 10,929,258 4.15 7.374 Utah 8 753,844 0.29 7.589 Vermont 4 869,297 0.33 8.225 Virginia 35 5,283,920 2.01 6.590 Washington 21 3,822,737 1.45 6.507 West Virginia 1 146,716 0.06 6.375 Wisconsin 3 883,909 0.34 5.613 Wyoming 1 198,428 0.08 6.750 -------------------------------------------------------------------------------- Total: 1,416 263,255,465 100.00 6.640 -------------------------------------------------------------------------------- Number of States Represented: 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 supersedes 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. 2004-SD1 MORGAN STANLEY January 1, 2004 Scheduled Balances 1,416 records All records Balance: 263,255,465 ================================================================================ % of Geographic Number Total Total Wtd Distribution of Current Current Avg by Balance Loans Balance Balance Coupon -------------------------------------------------------------------------------- California 356 94,659,225 35.96 6.321 New York 85 21,152,053 8.03 6.528 Florida 121 16,506,008 6.27 6.466 Texas 87 10,929,258 4.15 7.374 Illinois 55 10,083,609 3.83 6.898 New Jersey 41 9,302,791 3.53 7.532 North Carolina 45 7,394,671 2.81 6.387 Massachusetts 25 7,255,545 2.76 6.416 Maryland 42 6,532,806 2.48 6.974 Arizona 38 5,783,358 2.20 5.953 Colorado 29 5,575,997 2.12 6.138 Michigan 49 5,468,567 2.08 8.381 Virginia 35 5,283,920 2.01 6.590 Missouri 40 5,082,251 1.93 6.303 Georgia 36 5,076,394 1.93 6.759 Tennessee 29 3,954,816 1.50 7.183 Connecticut 15 3,889,185 1.48 5.638 Washington 21 3,822,737 1.45 6.507 South Carolina 22 3,581,446 1.36 6.605 District of Columbia 14 3,396,573 1.29 5.566 Other 231 28,524,257 10.84 7.431 -------------------------------------------------------------------------------- Total: 1,416 263,255,465 100.00 6.640 -------------------------------------------------------------------------------- Number of States Represented: 47 -------------------------------------------------------------------------------- % of Number Total Total Wtd Primary Mortgage of Current Current Avg Insurance Loans Balance Balance Coupon -------------------------------------------------------------------------------- Government Insured 7 982,115 0.37 6.124 Over 80, No PMI 214 38,761,802 14.72 7.983 Over 80, PMI 116 19,226,494 7.30 6.386 Under 80, No PMI 1,079 204,285,055 77.60 6.412 -------------------------------------------------------------------------------- Total: 1,416 263,255,465 100.00 6.640 -------------------------------------------------------------------------------- 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 supersedes 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.