EX-99.2 4 file003.txt COMPUTATIONAL MATERIALS -------------------------------------------------------------------------------- MORGAN STANLEY June 16, 2003 Securitized Products Group [MORGAN STANLEY LOGO] -------------------------------------------------------------------------------- COMPUTATIONAL MATERIALS $171,457,000 APPROXIMATELY MORGAN STANLEY ABS CAPITAL I INC. SERIES 2003-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 In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum.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 supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 1 -------------------------------------------------------------------------------- MORGAN STANLEY June 16, 2003 Securitized Products Group [MORGAN STANLEY LOGO] -------------------------------------------------------------------------------- APPROXIMATELY $171,457,000 MORGAN STANLEY ABS CAPITAL I INC., SERIES 2003-SD1 MORGAN STANLEY ABS CAPITAL I INC. DEPOSITOR COUNTRYWIDE HOME LOANS SERVICING LP, OCWEN FEDERAL BANK, FSB, WILSHIRE CREDIT CORPORATION SERVICERS TRANSACTION HIGHLIGHTS
---------------------------------------------------------------------------------------------------------------------------------- MODIFIED EXPECTED RATINGS AVG LIFE DURATION INITIAL OFFERED (S&P/FITCH/ TO CALL / TO CALL / PAYMENT WINDOW TO CALL / SUBORDINATION CLASSES DESCRIPTION BALANCE MOODY'S) MTY(1)(2) MTY(1)(2)(3) MTY(1)(2) LEVEL (%) BENCHMARK ================================================================================================================================== A Floater $143,100,000 AAA/AAA/Aaa 2.96 / 2.85 / 07/03 - 02/12 / 07/03 - 18.00 1 Mo. LIBOR 3.21 3.06 03/22 ---------------------------------------------------------------------------------------------------------------------------------- M-1 Floater $10,470,000 AA/AA/Aa2 5.70 / 5.30 / 08/06 - 02/12 / 08/06 - 12.00 1 Mo. LIBOR 6.28 5.76 11/18 ---------------------------------------------------------------------------------------------------------------------------------- M-2 Floater $9,162,000 A/A/A2 5.69 / 5.09 / 07/06 - 02/12 / 07/06 - 6.75 1 Mo. LIBOR 6.20 5.45 07/17 ---------------------------------------------------------------------------------------------------------------------------------- B-1 Floater $6,457,000 BBB/BBB/Baa2 5.69 / 4.79 / 07/06 - 02/12 / 07/06 - 3.05 1 Mo. LIBOR 6.01 5.00 07/15 ---------------------------------------------------------------------------------------------------------------------------------- B-2 Floater $2,268,000 BBB-/BBB-/Baa3 5.61 / 4.74 / 07/06 - 02/12 / 07/06 - 1.75 1 Mo. LIBOR 5.63 4.76 10/12 ----------------------------------------------------------------------------------------------------------------------------------
Notes: (1) Certificates are priced to the 10% Optional Clean-up Call. (2) Based on the pricing prepayment speed. See details below. (3) Assumes pricing at par. (4) Bond sizes subject to a variance of plus or minus 5%. ISSUER: Morgan Stanley ABS Capital I Inc. Trust 2003-SD1. DEPOSITOR: Morgan Stanley ABS Capital I Inc. SERVICERS: Countrywide Home Loans Servicing LP, Ocwen Federal Bank, FSB and Wilshire Credit Corporation. MASTER REPORTING AGENT: The Murrayhill Company. TRUSTEE: Wells Fargo Bank Minnesota, National Association. CUSTODIAN: Deutsche Bank National Trust Company. UNDERWRITERS: Morgan Stanley (lead manager), Utendahl Capital Partners, L.P. and The Williams Capital Group, L.P. -------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 2 RATING AGENCIES: Fitch Ratings, Moody's Investors Service, and Standard & Poor's. OFFERED CERTIFICATES: Classes A, M-1, M-2, B-1, and B-2 Certificates. CUT-OFF DATE: June 1, 2003. EXPECTED CLOSING DATE: June [30], 2003 through DTC and Euroclear or Clearstream. The Certificates will be sold without accrued interest. DISTRIBUTION DATES: The 25th of each month, or if such day is not a business day, on the next business day, beginning July 25, 2003. FINAL SCHEDULED The Distribution Date occurring in March 2033. DISTRIBUTION DATE: DUE PERIOD: For any Distribution Date, the period commencing on the second day of the month preceding the month in which such Distribution Date occurs and ending on the first day of the month in which such Distribution Date occurs. 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 $174,511,813 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 86.96% Performing Mortgage Loans, 7.67% Sub-Performing Mortgage Loans and 5.37% Re-Performing Mortgage Loans with aggregate principal balances as of the Cut-off Date of approximately $151,755,726, $13,383,590, and $9,372,497, respectively. The Mortgage Loans consist of approximately 38.46% fixed rate mortgage loans and 61.54% adjustable rate mortgage loans with aggregate principal balances as of the Cut-off Date of approximately $67,125,856 and $107,385,957, respectively. 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 June 1, 2003 will be reported as Delinquent as of the beginning of business on July 2, 2003, if the Monthly Payment is not made by such time. -------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 3 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 March 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 February 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 January 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 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. ARREARAGES: As of the Cut-off Date, it is expected that there are approximately $1,885,659 of payments which were delinquent on or prior to the Cut-off Date (such amounts, "Arrearages"). The Arrearages will be the property of the Trust and that portion of payments received on the Mortgage Loans allocable to such Arrearages will be paid out of the distribution account as Extra Principal Distribution Amount and Net Monthly Excess Cashflow to the Certificates. -------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 4 SERVICING FEE: 50 bps per annum. TRUST EXPENSE FEE: 3 bps per annum. 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) 1.75% overcollateralization (funded upfront). On and after the Step-down Date, so long as a Trigger Event is not in effect, the required overcollateralization will equal 3.50% of the aggregate principal balance of the Mortgage Loans as of the last day of the applicable Due Period, subject to a 0.50% floor, based on the aggregate principal balance of the Mortgage Loans as of the Cut-off Date, 3) Subordination of distributions on the more subordinate classes of certificates (if applicable) to the required distributions on the more senior classes of certificates, and 4) Approximately $1,885,659 of Arrearages as of the Cut-off Date. 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 July 2006; 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 36%. 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 4.00% [(for the first month, plus 1/12th of 2.00% for each month thereafter)] Months 49-60 6.00% [(for the first month, plus 1/12th of 1.50% for each month thereafter)] Months 61-72 7.50% [(for the first month, plus 1/12th of 0.25% for each month thereafter)] Month 73 and thereafter 7.75%
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 5 60+ DAY DELINQUENT LOAN: Each Mortgage Loan with respect to which any portion of a monthly payment is 60 days or more delinquent, each Mortgage Loan in foreclosure, and all REO Property. ROLLING SIX MONTH 60+ DAY With respect to any Distribution Date, the DELINQUENT PERCENTAGE: 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 Each Mortgage Loan with respect to which (x) any DELINQUENT LOAN: portion of a monthly payment is 60 days or more delinquent and (y) the mortgagor has made an aggregate of three monthly payments within the preceding three calendar months. INITIAL SUBORDINATION Class A: 18.00% PERCENTAGE: Class M-1: 12.00% Class M-2: 6.75% Class B-1: 3.05% Class B-2: 1.75% 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. Such advances have not and will not be made with respect to Arrearages. No advancing will be made with respect to simple interest Mortgage Loans, which comprise approximately 0.33% 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-1 PASS-THROUGH RATE: The Class B-1 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ] bps ([ ] bps 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 supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 6 CLASS B-2 PASS-THROUGH RATE: The Class B-2 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ] bps ([ ] bps on and after the first Distribution Date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. WAC CAP: As to any Distribution Date a per annum rate equal to the product of (i) the weighted average gross 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, B-1, and B-2 Certificates will equal the sum of: (i) The excess, if any, of interest that would otherwise be due on such Certificates at such Certificates' applicable Pass-Through Rate (without regard to the WAC Cap) over interest due such Certificates at a rate equal to the WAC Cap; (ii) Any Basis Risk Carry Forward Amount for such class remaining unpaid for such Certificate from prior Distribution Dates; and (iii) Interest on the amount in clause (ii) at the Certificates' applicable Pass-Through Rate (without regard to the WAC Cap). INTEREST DISTRIBUTIONS ON On each Distribution Date and after payments of OFFERED CERTIFICATES: 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; (iv) To the Class B-1 Certificates, its Accrued Certificate Interest; and (v) To the Class B-2 Certificates, its Accrued Certificate Interest. -------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 7 PRINCIPAL DISTRIBUTIONS ON On each Distribution Date (a) prior to the OFFERED CERTIFICATES: 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; (iv) to the Class B-1 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; and (v) to the Class B-2 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; (iv) to the Class B-1 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-1 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; and (v) to the Class B-2 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-2 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero. 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; (iv) to the Class M-2 Certificates, the allocated unreimbursed realized loss amount; (v) to the Class B-1 Certificates, the unpaid interest shortfall amount; (vi) to the Class B-1 Certificates, the allocated unreimbursed realized loss amount; (vii) to the Class B-2 Certificates, the unpaid interest shortfall amount; (viii) to the Class B-2 Certificates, the allocated unreimbursed realized loss amount; (ix) any Class A Basis Risk Carry Forward Amount to the Class A Certificates, and (x) sequentially, to Classes M-1, M-2, B-1, B-2 and Certificates, in that order, any Basis Risk Carry Forward Amount for such classes. INTEREST REMITTANCE AMOUNT: For any Distribution Date, the portion of available funds for such Distribution Date attributable to interest received or advanced on the Mortgage Loans. -------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 8 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 (including any amounts in respect of Arrearages) remaining after making all distributions of interest and principal on the certificates. EXTRA PRINCIPAL DISTRIBUTION For any Distribution Date, the lesser of (i) the AMOUNT: excess of (x) interest collected or advanced with respect to the Mortgage Loans with due dates in the related Due Period (less Servicing Fees and Trust Expense Fees) plus any amounts received in respect to Arrearages, 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. CLASS A PRINCIPAL For any Distribution Date, an amount equal to DISTRIBUTION AMOUNT: 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 64.00% 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 $872,559. CLASS M-1 PRINCIPAL For any Distribution Date, an amount equal to DISTRIBUTION AMOUNT: 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 76.00% 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 $872,559. CLASS M-2 PRINCIPAL For any Distribution Date, an amount equal to DISTRIBUTION AMOUNT: 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 86.50% 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 $872,559. -------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 9 CLASS B-1 PRINCIPAL For any Distribution Date, an amount equal to DISTRIBUTION AMOUNT: 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-1 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 93.90% 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 $872,559. CLASS B-2 PRINCIPAL For any Distribution Date, an amount equal to DISTRIBUTION AMOUNT: 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), (iv) the Certificate Principal Balance of the Class B-1 Certificates (after taking into account the payment of the Class B-1 Principal Distribution Amount on such Distribution Date) and (v) the Certificate Principal Balance of the Class B-2 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 96.50% 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 $872,559. TRUST TAX STATUS: REMIC. ERISA ELIGIBILITY: Subject to the considerations in the Prospectus, all Offered Certificates are 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, Class B-1, and Class B-2 Certificates are being offered pursuant to a prospectus supplemented by a prospectus supplement (together, the "Prospectus"). Complete information with respect to the Offered Certificates and the collateral securing them is contained in the Prospectus. The information herein is qualified in its entirety by the information appearing in the Prospectus. To the extent that the information herein is inconsistent with the Prospectus, the Prospectus shall govern in all respects. Sales of the Offered Certificates may not be consummated unless the purchaser has received the Prospectus. PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A DESCRIPTION OF INFORMATION THAT SHOULD BE CONSIDERED IN CONNECTION WITH AN INVESTMENT IN THE OFFERED CERTIFICATES. -------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 10 WEIGHTED AVERAGE LIFE SENSITIVITY TO CALL
---------------------------------------------------------------------------------------------------------------------------------- PPC 50 60 75 100 125 150 175 ---------------------------------------------------------------------------------------------------------------------------------- A WAL 5.59 4.80 3.92 2.96 2.30 1.80 1.39 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 3/25/2019 3/25/2017 10/25/2014 2/25/2012 4/25/2010 1/25/2009 2/25/2008 WINDOW 1 - 189 1 - 165 1 - 136 1 - 104 1 - 82 1 - 67 1 - 56 ---------------------------------------------------------------------------------------------------------------------------------- M-1 WAL 10.61 9.15 7.50 5.70 4.76 4.40 4.47 FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 8/25/2006 11/25/2006 2/25/2007 6/25/2007 EXPECTED FINAL MATURITY 3/25/2019 3/25/2017 10/25/2014 2/25/2012 4/25/2010 1/25/2009 2/25/2008 WINDOW 63 - 189 54 - 165 43 - 136 38 - 104 41 - 82 44 - 67 48 - 56 ---------------------------------------------------------------------------------------------------------------------------------- M-2 WAL 10.61 9.15 7.50 5.69 4.67 4.14 3.94 FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 9/25/2006 10/25/2006 11/25/2006 EXPECTED FINAL MATURITY 3/25/2019 3/25/2017 10/25/2014 2/25/2012 4/25/2010 1/25/2009 2/25/2008 WINDOW 63 - 189 54 - 165 43 - 136 37 - 104 39 - 82 40 - 67 41 - 56 ---------------------------------------------------------------------------------------------------------------------------------- B-1 WAL 10.61 9.15 7.50 5.69 4.63 4.03 3.69 FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 7/25/2006 8/25/2006 8/25/2006 EXPECTED FINAL MATURITY 3/25/2019 3/25/2017 10/25/2014 2/25/2012 4/25/2010 1/25/2009 2/25/2008 WINDOW 63 - 189 54 - 165 43 - 136 37 - 104 37 - 82 38 - 67 38 - 56 ---------------------------------------------------------------------------------------------------------------------------------- B-2 WAL 10.48 9.03 7.40 5.61 4.55 3.93 3.56 FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 3/25/2019 3/25/2017 10/25/2014 2/25/2012 4/25/2010 1/25/2009 2/25/2008 WINDOW 63 - 189 54 - 165 43 - 136 37 - 104 37 - 82 37 - 67 38 - 56 ----------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 11 WEIGHTED AVERAGE LIFE SENSITIVITY TO MATURITY
--------------------------------------------------------------------------------------------------------------------------------- PPC 50 60 75 100 125 150 175 --------------------------------------------------------------------------------------------------------------------------------- A WAL 5.94 5.14 4.23 3.21 2.50 1.97 1.53 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2030 5/25/2029 8/25/2026 3/25/2022 8/25/2018 12/25/2015 12/25/2013 WINDOW 1 - 327 1 - 311 1 - 278 1 - 225 1 - 182 1 - 150 1 - 126 --------------------------------------------------------------------------------------------------------------------------------- M-1 WAL 11.45 9.95 8.22 6.28 5.23 4.79 4.87 FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 8/25/2006 11/25/2006 2/25/2007 6/25/2007 EXPECTED FINAL MATURITY 4/25/2028 3/25/2026 2/25/2023 11/25/2018 11/25/2015 9/25/2013 12/25/2011 WINDOW 63 - 298 54 - 273 43 - 236 38 - 185 41 - 149 44 - 123 48 - 102 --------------------------------------------------------------------------------------------------------------------------------- M-2 WAL 11.37 9.87 8.13 6.20 5.09 4.49 4.22 FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 9/25/2006 10/25/2006 11/25/2006 EXPECTED FINAL MATURITY 11/25/2026 8/25/2024 7/25/2021 7/25/2017 9/25/2014 9/25/2012 3/25/2011 WINDOW 63 - 281 54 - 254 43 - 217 37 - 169 39 - 135 40 - 111 41 - 93 --------------------------------------------------------------------------------------------------------------------------------- B-1 WAL 11.12 9.62 7.91 6.01 4.90 4.25 3.88 FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 7/25/2006 8/25/2006 8/25/2006 EXPECTED FINAL MATURITY 6/25/2024 3/25/2022 2/25/2019 7/25/2015 2/25/2013 5/25/2011 1/25/2010 WINDOW 63 - 252 54 - 225 43 - 188 37 - 145 37 - 116 38 - 95 38 - 79 --------------------------------------------------------------------------------------------------------------------------------- B-2 WAL 10.52 9.07 7.44 5.63 4.57 3.95 3.57 FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 4/25/2020 3/25/2018 9/25/2015 10/25/2012 11/25/2010 7/25/2009 7/25/2008 WINDOW 63 - 202 54 - 177 43 - 147 37 - 112 37 - 89 37 - 73 38 - 61 ---------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 12 CPR SENSITIVITY TO CALL
---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A WAL 3.22 2.53 2.01 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 12/25/2012 1/25/2011 8/25/2009 WINDOW 1 - 114 1 - 91 1 - 74 ---------------------------------------------------------------------------------------- M-1 WAL 6.21 5.08 4.53 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 12/25/2012 1/25/2011 8/25/2009 WINDOW 37 - 114 40 - 91 42 - 74 ---------------------------------------------------------------------------------------- M-2 WAL 6.21 5.04 4.37 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 12/25/2012 1/25/2011 8/25/2009 WINDOW 37 - 114 38 - 91 39 - 74 ---------------------------------------------------------------------------------------- B-1 WAL 6.21 5.02 4.29 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 12/25/2012 1/25/2011 8/25/2009 WINDOW 37 - 114 37 - 91 38 - 74 ---------------------------------------------------------------------------------------- B-2 WAL 6.12 4.93 4.20 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 12/25/2012 1/25/2011 8/25/2009 WINDOW 37 - 114 37 - 91 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 13 CPR SENSITIVITY TO MATURITY
---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW 1 - 243 1 - 199 1 - 166 ---------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 37 - 201 40 - 163 42 - 135 ---------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 37 - 184 38 - 149 39 - 123 ---------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 37 - 159 37 - 128 38 - 105 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 37 - 123 37 - 98 37 - 80 ----------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 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 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2) PERIOD A CAP (%) M-1 CAP (%) M-2 CAP (%) B-1 CAP (%) B-2 CAP (%) ------------------------------------------------------------------------------ ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 0 - - - - - 1 10.24 10.02 10.02 10.02 10.02 2 8.26 8.08 8.08 8.08 8.08 3 8.27 8.09 8.09 8.09 8.09 4 8.57 8.38 8.38 8.38 8.38 5 8.38 8.18 8.18 8.18 8.18 6 8.66 8.46 8.46 8.46 8.46 7 8.39 8.19 8.19 8.19 8.19 8 8.39 8.19 8.19 8.19 8.19 9 8.98 8.75 8.75 8.75 8.75 10 8.46 8.24 8.24 8.24 8.24 11 8.83 8.60 8.60 8.60 8.60 12 8.56 8.32 8.32 8.32 8.32 13 8.87 8.62 8.62 8.62 8.62 14 8.59 8.34 8.34 8.34 8.34 15 8.61 8.35 8.35 8.35 8.35 16 9.37 9.08 9.08 9.08 9.08 17 9.15 8.86 8.86 8.86 8.86 18 9.52 9.20 9.20 9.20 9.20 19 9.23 8.92 8.92 8.92 8.92 20 9.38 9.05 9.05 9.05 9.05 21 10.47 10.09 10.09 10.09 10.09 22 9.75 9.39 9.39 9.39 9.39 23 10.17 9.78 9.78 9.78 9.78 24 9.88 9.49 9.49 9.49 9.49 25 10.24 9.82 9.82 9.82 9.82 26 10.02 9.59 9.59 9.59 9.59 27 10.07 9.63 9.63 9.63 9.63 28 10.72 10.24 10.24 10.24 10.24 29 10.47 9.98 9.98 9.98 9.98 30 10.93 10.41 10.41 10.41 10.41 31 10.61 10.08 10.08 10.08 10.08 32 10.73 10.18 10.18 10.18 10.18 33 12.14 11.49 11.49 11.49 11.49 34 11.28 10.66 10.66 10.66 10.66 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 maturity assuming 100% PPC, no losses, and a 1-month/6-month LIBOR and 1-year/3-year CMT 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 15 PERIOD A CAP (%) M-1 CAP (%) M-2 CAP (%) B-1 CAP (%) B-2 CAP (%) ------------------------------------------------------------------------------ ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 35 11.75 11.09 11.09 11.09 11.09 36 11.45 10.78 10.78 10.78 10.78 37 19.32 11.16 11.16 11.16 11.16 38 12.93 10.89 10.89 10.89 10.89 39 13.11 11.09 11.09 11.09 11.09 40 13.78 11.69 11.69 11.69 11.69 41 13.38 11.36 11.36 11.36 11.36 42 13.86 11.77 11.77 11.77 11.77 43 13.42 11.39 11.39 11.39 11.39 44 13.46 11.43 11.43 11.43 11.43 45 15.12 12.86 12.86 12.86 12.86 46 13.66 11.62 11.62 11.62 11.62 47 14.12 12.01 12.01 12.01 12.01 48 13.69 11.65 11.65 11.65 11.65 49 14.16 12.04 12.04 12.04 12.04 50 13.71 11.66 11.66 11.66 11.66 51 13.90 11.84 11.84 11.84 11.84 52 14.37 12.24 12.24 12.24 12.24 53 13.91 11.85 11.85 11.85 11.85 54 14.44 12.30 12.30 12.30 12.30 55 13.98 11.91 11.91 11.91 11.91 56 13.98 11.91 11.91 11.91 11.91 57 15.08 12.85 12.85 12.85 12.85 58 14.11 12.03 12.03 12.03 12.03 59 14.58 12.43 12.43 12.43 12.43 60 14.13 12.04 12.04 12.04 12.04 61 14.61 12.45 12.45 12.45 12.45 62 14.14 12.05 12.05 12.05 12.05 63 14.15 12.05 12.05 12.05 12.05 64 14.62 12.46 12.46 12.46 12.46 65 14.15 12.06 12.06 12.06 12.06 66 14.64 12.47 12.47 12.47 12.47 67 14.18 12.08 12.08 12.08 12.08 68 14.18 12.08 12.08 12.08 12.08 69 15.71 13.37 13.37 13.37 13.37 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 maturity assuming 100% PPC, no losses, and a 1-month/6-month LIBOR and 1-year/3-year CMT 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 PERIOD A CAP (%) M-1 CAP (%) M-2 CAP (%) B-1 CAP (%) B-2 CAP (%) ------------------------------------------------------------------------------ ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 70 14.19 12.08 12.08 12.08 12.08 71 14.67 12.49 12.49 12.49 12.49 72 14.21 12.10 12.10 12.10 12.10 73 14.69 12.51 12.51 12.51 12.51 74 14.22 12.11 12.11 12.11 12.11 75 14.23 12.11 12.11 12.11 12.11 76 14.70 12.52 12.52 12.52 12.52 77 14.23 12.11 12.11 12.11 12.11 78 14.72 12.52 12.52 12.52 12.52 79 14.25 12.12 12.12 12.12 12.12 80 14.25 12.13 12.13 12.13 12.13 81 15.77 13.43 13.43 13.43 13.43 82 14.25 12.13 12.13 12.13 12.13 83 14.75 12.54 12.54 12.54 12.54 84 14.25 12.14 12.14 12.14 12.14 85 14.73 12.54 12.54 12.54 12.54 86 14.26 12.14 12.14 12.14 12.14 87 14.27 12.14 12.14 12.14 12.14 88 14.74 12.55 12.55 12.55 12.55 89 14.27 12.15 12.15 12.15 12.15 90 13.70 12.55 12.55 12.55 12.55 91 12.91 12.15 12.15 12.15 12.15 92 12.93 12.15 12.15 12.15 12.15 93 14.33 13.46 13.46 13.46 13.46 94 12.97 12.16 12.16 12.16 12.16 95 13.42 12.57 12.57 12.57 12.57 96 13.01 12.16 12.16 12.16 12.16 97 13.46 12.57 12.57 12.57 12.57 98 13.05 12.17 12.17 12.17 12.17 99 13.07 12.17 12.17 12.17 12.17 100 13.53 12.58 12.58 12.58 12.58 101 13.11 12.18 12.18 12.18 12.18 102 13.57 12.58 12.58 12.58 12.58 103 13.16 12.18 12.18 12.18 12.18 104 13.18 12.18 12.18 12.18 12.18 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 maturity assuming 100% PPC, no losses, and a 1-month/6-month LIBOR and 1-year/3-year CMT 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 PERIOD A CAP (%) M-1 CAP (%) M-2 CAP (%) B-1 CAP (%) B-2 CAP (%) ------------------------------------------------------------------------------ ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 105 14.12 13.03 13.03 13.03 13.03 106 13.23 12.19 12.19 12.19 12.19 107 13.70 12.60 12.60 12.60 12.60 108 13.29 12.19 12.19 12.19 12.19 109 13.76 12.60 12.60 12.60 12.60 110 13.34 12.20 12.20 12.20 12.20 111 13.37 12.20 12.20 12.20 12.20 112 13.84 12.61 12.61 12.61 12.61 113 13.43 12.21 12.21 12.21 12.21 114 13.90 12.62 12.62 12.62 12.62 115 13.49 12.21 12.21 12.21 12.21 116 13.52 12.22 12.22 12.22 - 117 15.00 13.53 13.53 13.53 - 118 13.58 12.22 12.22 12.22 - 119 14.07 12.63 12.63 12.63 - 120 13.65 12.23 12.23 12.23 - 121 14.14 12.64 12.64 12.64 - 122 13.72 12.23 12.23 12.23 - 123 13.75 12.23 12.23 12.23 - 124 14.27 12.65 12.65 12.65 - 125 13.85 12.25 12.25 12.25 - 126 14.35 12.66 12.66 12.66 - 127 13.92 12.26 12.26 12.26 - 128 13.97 12.26 12.26 12.26 - 129 15.51 13.57 13.57 13.57 - 130 14.05 12.26 12.26 12.26 - 131 14.56 12.68 12.68 12.68 - 132 14.14 12.27 12.27 12.27 - 133 14.66 12.68 12.68 12.68 - 134 14.27 12.29 12.29 12.29 - 135 14.31 12.30 12.30 12.30 - 136 14.84 12.71 12.71 12.71 - 137 14.41 12.30 12.30 12.30 - 138 14.95 12.72 12.72 12.72 - 139 14.52 12.31 12.31 12.31 - 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 maturity assuming 100% PPC, no losses, and a 1-month/6-month LIBOR and 1-year/3-year CMT rate of 20%. -------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 18 PERIOD A CAP (%) M-1 CAP (%) M-2 CAP (%) B-1 CAP (%) B-2 CAP (%) ------------------------------------------------------------------------------ ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 140 14.57 12.31 12.31 12.31 - 141 16.19 13.64 13.64 13.64 - 142 14.68 12.32 12.32 12.32 - 143 15.23 12.73 12.73 12.73 - 144 14.80 12.33 12.33 12.33 - 145 15.36 12.74 12.74 12.74 - 146 14.92 12.33 12.33 12.33 - 147 14.98 12.34 12.34 12.34 - 148 15.55 12.75 12.75 12.75 - 149 15.12 12.34 12.34 12.34 - 150 15.69 12.76 12.76 - - 151 15.25 12.35 12.35 - - 152 15.32 12.35 12.35 - - 153 16.46 13.21 13.21 - - 154 15.47 12.36 12.36 - - 155 16.06 12.77 12.77 - - 156 15.62 12.36 12.36 - - 157 16.22 12.78 12.78 - - 158 15.78 12.37 12.37 - - 159 15.86 12.37 12.37 - - 160 16.47 12.79 12.79 - - 161 16.03 12.38 12.38 - - 162 16.65 12.79 12.79 - - 163 16.21 12.38 12.38 - - 164 16.30 12.39 12.39 - - 165 18.15 13.72 13.72 - - 166 16.49 12.39 12.39 - - 167 17.14 12.81 12.81 - - 168 16.69 12.40 12.40 - - 169 17.35 12.81 12.81 - - 170 16.90 12.40 12.40 - - 171 17.01 12.40 12.40 - - 172 17.69 12.82 12.82 - - 173 17.23 12.41 12.41 - - 174 17.93 12.83 12.83 - - 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 maturity assuming 100% PPC, no losses, and a 1-month/6-month LIBOR and 1-year/3-year CMT rate of 20%. -------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 19 PERIOD A CAP (%) M-1 CAP (%) M-2 CAP (%) B-1 CAP (%) B-2 CAP (%) ------------------------------------------------------------------------------ ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 175 17.51 12.43 - - - 176 17.64 12.43 - - - 177 19.66 13.77 - - - 178 17.89 12.43 - - - 179 18.62 12.85 - - - 180 18.15 12.44 - - - 181 18.90 12.85 - - - 182 18.43 12.44 - - - 183 18.57 12.45 - - - 184 19.35 12.87 - - - 185 18.88 12.46 - - - 186 19.66 12.87 - - - 187 19.19 12.46 - - - 188 19.35 12.46 - - - 189 21.61 13.80 - - - 190 19.69 12.47 - - - 191 20.53 12.88 - - - 192 20.14 - - - - 193 21.13 - - - - 194 20.76 - - - - 195 21.10 - - - - 196 22.17 - - - - 197 21.83 - - - - 198 22.95 - - - - 199 22.61 - - - - 200 23.04 - - - - 201 25.12 - - - - 202 23.99 - - - - 203 25.33 - - - - 204 25.07 - - - - 205 26.52 - - - - 206 26.31 - - - - 207 27.00 - - - - 208 28.68 - - - - 209 28.57 - - - - 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 maturity assuming 100% PPC, no losses, and a 1-month/6-month LIBOR and 1-year/3-year CMT rate of 20%. -------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 20 PERIOD A CAP (%) M-1 CAP (%) M-2 CAP (%) B-1 CAP (%) B-2 CAP (%) ------------------------------------------------------------------------------ ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 210 30.43 - - - - 211 30.42 - - - - 212 31.47 - - - - 213 36.14 - - - - 214 33.93 - - - - 215 36.54 - - - - 216 36.96 - - - - 217 40.04 - - - - 218 40.79 - - - - 219 43.11 - - - - 220 47.30 - - - - 221 48.88 - - - - 222 54.29 - - - - 223 56.91 - - - - 224 62.22 - - - - 225 76.18 - - - - 226 77.19 - - - - 227 91.18 - - - - 228 104.59 - - - - 229 131.66 - - - - 230 187.11 - - - - 231 283.69 - - - - 232 804.83 - - - - 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 maturity assuming 100% PPC, no losses, and a 1-month/6-month LIBOR and 1-year/3-year CMT rate of 20%. -------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 21 COLLATERAL OVERVIEW TOTAL POOL The following summarizes the characteristics of the Mortgage Loans (percentages are based on the aggregate Principal Balances as of June 1, 2003). The characteristics of the Mortgage Loans in the Prospectus Supplement will supercede the descriptions of the characteristics below. Aggregate Current Principal Balance: $174,511,813 Average Outstanding Principal Balance: $111,580 Range of Outstanding Principal Balances: $135 to $1,099,235 Loans with Current Prepayment Penalties: 58.87% Fixed Rate / Adjustable Rate: 38.46% / 61.54% Second Liens: 1.93% FHA/VA Uninsured Mortgage Loans: 0.90% Simple Interest Loans: 0.33% Loans with Insurance: 1.38% Negative Amortization Loans: 0.42% Balloon Loans: 1.90% Performing Loans: 86.96% Sub-Performing Loans: 7.67% Sub-Performing Loans that are Payment Plan Loans: 2.67% Sub-Performing Loans that are Bankruptcy Plan Loans: 0.44% Re-Performing Loans: 5.37% Re-Performing Loans that are Payment Plan Loans 0.26% Re-Performing Loans that are Bankruptcy Plan Loans: 3.83% Weighted Average Loan Rate: 8.882% Range of Loan Rates: 3.875% to 21.000% Weighted Average Combined Amortized LTV(1): 79.10% Weighted Average Original Term to Maturity: 347 Weighted Average Remaining Term to Stated Maturity: 316 Weighted Average FICO Score: 603.3 Max Zip Code Concentration (%): 0.83% Max Zip Code Concentration (zip): 10506 Top 5 Geographic Concentrations (State): California 30.82% New York 8.31% Florida 6.32% Texas 3.86% Colorado 3.78% 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