EX-99 3 form8k_ex99-1seigler031103.txt EXHIBIT 99.1 -- COMPUTATIONAL MATERIALS EXHIBIT 99.1 -------------------------------------------------------------------------------- 2003-NC3 MORGAN STANLEY --------------------------------------------------------------------------------
ADJUSTABLE RATE LOANS ------------------------------------------------------------------------------------------------------------- % of Morgage Aggregate Pool by Avg Weighted Number Cut-off Aggregate Mortgage Average Weighted Weighted of Date Cut-off Loan Gross Average Average Weighted Mortgage Principal Principal Principal Interest Gross Original Average Documentation Level Loans Balance Balance Balance Rate Margin LTV FICO Score ------------------------------------------------------------------------------------------------------------ Full 1855 311,038,168.00 62.44 167,676.00 7.727 6.530 79.24 577.6 Stated Documentation 760 158,134,788.00 31.74 208,072.00 7.851 6.276 78.05 608.5 Limited 131 28,993,217.00 5.82 221,322.00 8.008 6.721 78.30 572.4 ------------------------------------------------------------------------------------------------------------ Total: 2746 498,166,173.00 100.00 181,415.00 7.783 6.460 78.81 587.1 ------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------- % of Morgage Aggregate Pool by Avg Weighted Number Cut-off Aggregate Mortgage Average Weighted Weighted of Date Cut-off Loan Gross Average Average Weighted Mortgage Principal Principal Principal Interest Gross Original Average Credit Score Loans Balance Balance Balance Rate Margin LTV FICO Score ---------------------------------------------------------------------------------------------------- 481 - 500 14 1,741,616.00 0.35 124,401.00 8.936 6.900 77.33 500.00 501 - 520 400 59,192,769.00 11.88 147,982.00 8.490 6.833 75.48 511.3 521 - 540 463 74,129,396.00 14.88 160,107.00 8.187 6.812 75.40 530.8 541 - 560 401 69,598,668.00 13.97 173,563.00 8.138 6.722 77.34 550.9 561 - 580 323 56,174,751.00 11.28 173,916.00 8.110 6.692 78.13 570.7 581 - 600 290 54,272,512.00 10.89 187,147.00 7.910 6.592 80.14 591.0 601 - 620 243 45,772,646.00 9.19 188,365.00 7.673 6.492 80.49 610.0 621 - 640 233 46,654,756.00 9.37 200,235.00 7.483 6.417 80.33 630.5 641 - 660 142 27,695,094.00 5.56 195,036.00 7.298 6.381 83.07 648.7 661 - 680 81 18,853,727.00 3.78 232,762.00 7.153 6.203 82.37 670.4 681 - 700 64 17,298,839.00 3.47 270,294.00 6.311 5.041 83.57 690.9 701 - 720 38 11,472,425.00 2.30 301,906.00 5.665 4.386 80.14 709.7 721 - 740 27 6,773,406.00 1.36 250,867.00 5.970 4.413 84.33 728.9 741 - 760 10 3,609,799.00 0.72 360,980.00 5.830 4.286 84.24 749.8 761 - 780 10 2,849,618.00 0.57 284,962.00 5.585 4.134 83.30 770.6 781 - 800 5 1,760,445.00 0.35 352,089.00 5.892 5.161 88.06 787.4 801 - 820 2 315,707.00 0.06 157,854.00 5.649 4.385 83.23 801.4 -------------------------------------------------------------------------------------------------- Total: 2746 498,166,173.00 100.00 181,415.00 7.783 6.46 78.81 587.1 -------------------------------------------------------------------------------------------------- Non-Zero Minimum: 500 Maximum: 802 Non-Zero Weighted Average: 587 --------------------------------------------------------------------------------
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 transaction 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. -------------------------------------------------------------------------------- Page 1 of 2 -------------------------------------------------------------------------------- 2003-NC3 MORGAN STANLEY -------------------------------------------------------------------------------
ADJUSTABLE RATE LOANS --------------------------------------------------------------------------------------------------------------- % of Morgage Aggregate Pool by Avg Weighted Number Cut-off Aggregate Mortgage Average Weighted Weighted of Date Cut-off Loan Gross Average Average Weighted Range of Original Mortgage Principal Principal Principal Interest Gross Original Average LTV Ratios (%) Loans Balance Balance Balance Rate Margin LTV FICO Score ------------------------------------------------------------------------------------------------------------- 10.01 - 15.00 1 63,531.00 0.01 63,531.00 12.090 7.250 11.36 541.00 15.01 - 20.00 2 139,757.00 0.03 69,878.00 7.990 6.672 19.72 551.70 20.01 - 25.00 2 235,739.00 0.05 117,870.00 8.964 7.100 24.13 595.90 25.01 - 30.00 8 490,896.00 0.10 61,362.00 8.667 7.041 27.17 559.20 30.01 - 35.00 12 993,627.00 0.20 82,802.00 8.238 6.895 33.33 567.00 35.01 - 40.00 15 2,005,479.00 0.40 133,699.00 7.494 6.586 37.70 572.10 40.01 - 45.00 14 1,853,007.00 0.37 132,358.00 8.028 6.413 43.06 566.80 45.01 - 50.00 32 4,636,336.00 0.93 144,886.00 7.860 6.718 47.56 568.40 50.01 - 55.00 39 5,726,182.00 1.15 146,825.00 7.805 6.827 53.11 547.80 55.01 - 60.00 65 12,856,430.00 2.58 197,791.00 7.775 6.765 57.88 564.70 60.01 - 65.00 119 21,982,356.00 4.41 184,726.00 7.933 6.715 63.72 563.70 65.01 - 70.00 206 34,801,682.00 6.99 168,940.00 8.242 6.829 69.08 559.50 70.01 - 75.00 349 62,363,040.00 12.52 178,691.00 8.082 6.671 74.19 566.70 75.01 - 80.00 876 154,389,982.00 30.99 176,244.00 7.585 6.372 79.66 590.50 80.01 - 85.00 629 114,435,857.00 22.97 181,933.00 7.777 6.354 84.67 586.00 85.01 - 90.00 317 68,142,721.00 13.68 214,961.00 7.635 6.269 89.79 621.30 90.01 - 95.00 60 13,049,552.00 2.62 217,493.00 7.925 6.377 94.98 642.90 --------------------------------------------------------------------------------------------------------------- Total: 2746 498,166,173.00 100.00 181,415.00 7.783 6.460 78.81 587.1 --------------------------------------------------------------------------------------------------------------- Minimum: 11.36 Maximum: 95.00 Weighted Average: 78.81 ---------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------- % of Morgage Aggregate Pool by Avg Weighted Number Cut-off Aggregate Mortgage Average Weighted Weighted of Date Cut-off Loan Gross Average Average Weighted Documentation Level Mortgage Principal Principal Principal Interest Gross Original Average - LTV over 85 Loans Balance Balance Balance Rate Margin LTV FICO Score ------------------------------------------------------------------------------------------------------------------ Full 239 50,768,149.00 62.53 212,419.00 7.488 6.224 90.87 613.10 Stated Documentation 113 25,121,191.00 30.94 222,311.00 8.048 6.381 90.29 654.40 Limited 25 5,302,933.00 6.53 212,117.00 7.796 6.441 89.84 596.20 ------------------------------------------------------------------------------------------------------------------ Total: 377 81,192,273.00 100.00 215,364.00 7.682 6.287 90.62 624.80 ------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 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 transaction 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. -------------------------------------------------------------------------------- Page 2 of 2 -------------------------------------------------------------------------------- 2003-NC3 MORGAN STANLEY --------------------------------------------------------------------------------
FIXED RATE LOANS --------------------------------------------------------------------------------------------------------- % of Morgage Aggregate Pool by Avg Weighted Weighted Number Cut-off Aggregate Mortgage Average Average of Date Cut-off Loan Gross Combined Weighted Mortgage Principal Principal Principal Interest Original Average Documentation Level Loans Balance Balance Balance Rate LTV FICO Score -------------------------------------------------------------------------------------------------------- Full 1263 133,212,755.00 67.12 105,473.00 8.100 79.71 606.90 Stated Documentation 325 54,098,484.00 27.26 166,457.00 7.785 75.16 635.60 Limited 61 11,162,139.00 5.62 182,986.00 7.571 75.92 603.40 -------------------------------------------------------------------------------------------------------- Total: 1649 198,473,378.00 100.00 120,360.00 7.985 78.26 614.60 --------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------- % of Morgage Aggregate Pool by Avg Weighted Weighted Number Cut-off Aggregate Mortgage Average Average of Date Cut-off Loan Gross Combined Weighted Mortgage Principal Principal Principal Interest Original Average Credit Score Loans Balance Balance Balance Rate LTV FICO Score -------------------------------------------------------------------------------------------------- 481 - 500 4 383,285.00 0.19 95,821.00 8.674 74.98 500.00 501 - 520 85 8,496,794.00 4.28 99,962.00 8.583 72.78 511.10 521 - 540 115 13,086,214.00 6.59 113,793.00 8.379 72.63 531.90 541 - 560 157 19,531,692.00 9.84 124,406.00 8.190 73.98 550.10 561 - 580 146 20,110,406.00 10.13 137,743.00 7.944 73.95 570.40 581 - 600 144 18,962,084.00 9.55 131,681.00 8.028 76.00 590.70 601 - 620 220 22,276,105.00 11.22 101,255.00 8.162 80.07 610.80 621 - 640 257 27,484,905.00 13.85 106,945.00 7.991 80.44 630.70 641 - 660 213 26,614,430.00 13.41 124,950.00 7.751 81.13 649.70 661 - 680 136 17,639,353.00 8.89 129,701.00 7.708 82.85 670.10 681 - 700 85 12,222,182.00 6.16 143,790.00 7.650 81.41 690.70 701 - 720 35 4,729,317.00 2.38 135,123.00 7.389 80.88 709.30 721 - 740 20 2,977,822.00 1.50 148,891.00 7.527 86.41 731.60 741 - 760 11 1,088,687.00 0.55 98,972.00 8.266 75.34 748.40 761 - 780 13 1,898,937.00 0.96 146,072.00 8.410 83.58 767.40 781 - 800 8 971,166.00 0.49 121,396.00 7.609 72.03 789.10 -------------------------------------------------------------------------------------------------- Total: 1649 198,473,378.00 100.00 120,360.00 7.985 78.26 614.60 -------------------------------------------------------------------------------------------------- Non-Zero Minimum: 500 Maximum: 794 Non-Zero Weighted Average: 615 --------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 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 transaction 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. -------------------------------------------------------------------------------- Page 1 of 2 -------------------------------------------------------------------------------- 2003-NC3 MORGAN STANLEY --------------------------------------------------------------------------------
FIXED RATE LOANS ------------------------------------------------------------------------------------------------------- % of Morgage Aggregate Pool by Avg Weighted Weighted Number Cut-off Aggregate Mortgage Average Average of Date Cut-off Loan Gross Combined Weighted Range of Original Mortgage Principal Principal Principal Interest Original Average LTV Ratios (%) Loans Balance Balance Balance Rate LTV FICO Score ------------------------------------------------------------------------------------------------------ <= 10.00 2 78,542.00 0.04 39,271.00 10.393 84.02 655.30 10.01 - 15.00 40 1,504,949.00 0.76 37,624.00 10.839 98.85 657.30 15.01 - 20.00 324 13,946,358.00 7.03 43,044.00 10.897 99.60 647.00 20.01 - 25.00 16 676,244.00 0.34 42,265.00 8.575 57.61 647.50 25.01 - 30.00 7 441,676.00 0.22 63,097.00 9.421 56.63 606.40 30.01 - 35.00 16 920,911.00 0.46 57,557.00 8.067 41.58 620.60 35.01 - 40.00 15 2,212,947.00 1.11 147,530.00 7.156 37.60 588.90 40.01 - 45.00 27 2,409,144.00 1.21 89,228.00 7.306 42.67 623.10 45.01 - 50.00 36 3,766,816.00 1.90 104,634.00 7.449 47.68 601.10 50.01 - 55.00 37 5,002,320.00 2.52 135,198.00 7.504 52.84 598.20 55.01 - 60.00 50 6,423,031.00 3.24 128,461.00 7.492 57.88 599.40 60.01 - 65.00 84 13,528,119.00 6.82 161,049.00 7.443 63.30 587.40 65.01 - 70.00 95 14,615,876.00 7.36 153,851.00 7.357 68.64 614.10 70.01 - 75.00 156 21,878,218.00 11.02 140,245.00 7.842 73.99 604.40 75.01 - 80.00 292 39,872,764.00 20.09 136,551.00 7.963 79.49 596.10 80.01 - 85.00 230 34,577,181.00 17.42 150,336.00 7.877 84.43 612.30 85.01 - 90.00 183 30,104,526.00 15.17 164,506.00 7.671 89.65 644.60 90.01 - 95.00 39 6,513,753.00 3.28 167,019.00 7.752 94.77 649.10 ------------------------------------------------------------------------------------------------------- Total: 1649 198,473,378.00 100.00 120,360.00 7.985 78.26 614.60 ------------------------------------------------------------------------------------------------------- Minimum: 9.09 Maximum: 95.00 Weighted Average: 71.76 -------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------- % of Morgage Aggregate Pool by Avg Weighted Weighted Number Cut-off Aggregate Mortgage Average Average of Date Cut-off Loan Gross Combined Weighted Documentation Level Mortgage Principal Principal Principal Interest Original Average - LTV over 85 Loans Balance Balance Balance Rate LTV FICO Score ------------------------------------------------------------------------------------------------------- Full 164 26,104,154.00 71.29 159,172.00 7.604 90.79 638.40 Stated Documentation 45 8,356,693.00 22.82 185,704.00 7.951 90.09 672.00 Limited 13 2,157,431.00 5.89 165,956.00 7.636 89.58 627.40 ------------------------------------------------------------------------------------------------------- Total: 222 36,618,279.00 100.00 164,947.00 7.685 90.56 645.40 -------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------- 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 transaction 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. -------------------------------------------------------------------------------- Page 2 of 2