EX-99 2 mo584725-ex99.txt TERM SHEETS & COMPUTATIONAL MATERIALS -------------------------------------------------------------------------------- MORGAN STANLEY [GRAPHIC OMITTED] July 24, 2001 Securitized Products Group -------------------------------------------------------------------------------- COMPUTATIONAL MATERIALS $404,528,000 APPROXIMATELY MORGAN STANLEY DEAN WITTER CAPITAL I INC. SERIES 2001-NC2 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 In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum.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. -------------------------------------------------------------------------------- Page 1 -------------------------------------------------------------------------------- MORGAN STANLEY [GRAPHIC OMITTED] July 24, 2001 Securitized Products Group -------------------------------------------------------------------------------- APPROXIMATELY $404,528,000 MORGAN STANLEY DEAN WITTER CAPITAL I INC., SERIES 2001-NC2 MORGAN STANLEY DEAN WITTER MORTGAGE CAPITAL INC. SELLER OCWEN FEDERAL BANK FSB SERVICER TRANSACTION HIGHLIGHTS ----------------------

TABLE (CONTINUED) -------------------------------------------------------------------------------- OFFERED PAYMENT WINDOW TO CALL / CLASSES MTY(1)(2) DAY COUNT BENCHMARK ================================================================================ A-1 9/01-8/09 / 9/01-5/19 Actual/360 1 Month LIBOR -------------- ----------------------------- --------------- ------------------ A-2 9/01-8/09 / 9/01-3/18 Actual/360 1 Month LIBOR -------------- ----------------------------- --------------- ------------------ M-1 11/04-8/09 / 11/04-6/16 Actual/360 1 Month LIBOR -------------- ----------------------------- --------------- ------------------ M-2 10/04-8/09 / 10/04-4/15 Actual/360 1 Month LIBOR -------------- ----------------------------- --------------- ------------------ B-1 9/04-8/09 / 9/04-8/13 Actual/360 1 Month LIBOR -------------------------------------------------------------------------------- Notes: ------ (1) Certificates are priced to the 10% optional clean-up call. (2) Based on the pricing prepayment speed. See details below. ISSUER: Morgan Stanley Dean Witter Capital I Inc. Trust 2001-NC2 SELLER: Morgan Stanley Dean Witter Mortgage Capital Inc. MASTER SERVICER: Ocwen Federal Bank FSB TRUSTEE: Bankers Trust Company of California, N.A. MANAGERS: Morgan Stanley (lead manager); Blaylock & Partners, L.P. and Utendahl Capital Partners, L.P. (co-managers) RATING AGENCIES: Standard and Poor's, Fitch, Inc. and Moody's Investors Service OFFERED CERTIFICATES: Classes A-1, A-2, M-1, M-2, and B-1 Certificates EXPECTED PRICING DATE: July 27, 2001 EXPECTED CLOSING DATE: August 23, 2001 through DTC and Euroclear or clearstream, Luxembourg. The Certificates will be sold without accrued 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. -------------------------------------------------------------------------------- Page 2 TRANSACTION HIGHLIGHTS (CONT'D) ---------------------- DISTRIBUTION DATES: The 25th of each month, or if such day is not a business day, on the next business day, beginning September 25, 2001. 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 The interest accrual period for the Offered Certificates PERIOD: 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 such Distribution Date (on an actual/360 day count basis). MORTGAGE LOANS: The Trust will consist of two groups of fixed and adjustable rate sub-prime residential mortgage loans. GROUP I MORTGAGE LOANS: Approximately $327,252,448 of Mortgage Loans with original principal balances that conform to the original principal balance limits for one- to four-family residential mortgage loan guidelines for purchase by Freddie Mac. GROUP II MORTGAGE Approximately $85,953,889 of Mortgage Loans that LOANS: predominantly have original principal balances that do not conform to the original principal balance limits for one- to four-family residential mortgage loan guidelines for purchase by Freddie Mac. PRICING PREPAYMENT o Fixed Rate Mortgage Loans: CPR starting at SPEED: approximately 1.5333% CPR in month 1 and increasing to 23% CPR in month 15 (23%/15 CPR increase for each month), and remaining at 23% CPR thereafter. o ARM Mortgage Loans: CPR of 25%. CREDIT ENHANCEMENT: The Class A-1 and A-2 Certificates are credit enhanced by: 1) Net Monthly Excess Cashflow from the Mortgage Loans, 2) 2.10% overcollateralization (funded upfront). After the Step-down Date, so long as a Trigger Event is not in effect, the required overcollateralization will equal 4.20% of the outstanding balance of the Mortgage Loans, subject to a 50bps floor, 3) Subordination. STEP-DOWN DATE: The later to occur of: (x) the earlier of: (a) the Distribution Date occurring in September 2004; and (b) the Distribution Date on which the aggregate balance of the Class A-1 and A-2 Certificates is reduced to zero; and (y) the first Distribution Date on which the ending pool balance has been reduced to 50% or less of the Mortgage Loan Balance as of the Cut-off Date. TRIGGER EVENT: A Trigger Event is in effect on any Distribution Date if on that Distribution Date the 60 Day+ Rolling Average equals or exceeds 50% of the Credit Enhancement Percentage (with respect to the Class A Certificates). The 60 Day+ Rolling Average will equal the rolling 3 month average percentage of home equity loans that are 60 or more days delinquent. 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. ------------------------------------------------------------------------------- Page 3 TRANSACTION HIGHLIGHTS (CONT'D) ---------------------- CREDIT ENHANCEMENT For any Distribution Date, the percentage obtained by PERCENTAGE: dividing (x) the aggregate Certificate Principal Balance of the subordinate certificates (including any overcollateralization) by (y) the aggregate principal balance of the Mortgage Loans, calculated prior to taking into account payments of principal on the Mortgage Loans as of the first day of the month in which the Distribution Date occurs and distributions of the principal distribution amount on the Offered Certificates on such Distribution Date. INITIAL SUBORDINATION Class A: 20.00% PERCENTAGE: Class M-1: 13.85% Class M-2: 8.35% Class B: 2.10% OPTIONAL CLEAN-UP CALL: When the ending principal balance of the Mortgage Loans is less than or equal to 10% of the original principal balance of the loans. STEP-UP COUPONS: For all Offered Certificates the coupon will increase after the clean-up call date, should the call not be exercised. CLASS A-1 PASS-THROUGH The Class A-1 Certificates will accrue interest at a RATE: variable rate equal to the least of (i) one-month LIBOR plus [ ] bps ([ ] bps after the first date on which the Optional Clean-up Call is exercisable), (ii) the Loan Group I Cap, (iii) the WAC Cap, and (iv) 16%. CLASS A-2 PASS-THROUGH The Class A-2 Certificates will accrue interest at a RATE: variable rate equal to the least of (i) one-month LIBOR plus [ ] bps ([ ] bps after the first date on which the Optional Clean-up Call is exercisable), (ii) the Loan Group II Cap, (iii) the WAC Cap, and (iv) 16%. CLASS M-1 PASS-THROUGH The Class M-1 Certificates will accrue interest at a RATE: variable rate equal to the least of (i) one-month LIBOR plus [ ] bps ([ ] bps after the first date on which the Optional Clean-up Call is exercisable), (ii) the WAC Cap, and (iii) 16%. CLASS M-2 PASS-THROUGH The Class M-2 Certificates will accrue interest at a RATE: variable rate equal to the least of (i) one-month LIBOR plus [ ] bps ([ ] bps after the first date on which the Optional Clean-up Call is exercisable), (ii) the WAC Cap, and (iii) 16%. CLASS B-1 PASS-THROUGH The Class B-1 Certificates will accrue interest at a RATE: variable rate equal to the least of (i) one-month LIBOR plus [ ] bps ([ ] bps after the first date on which the Optional Clean-up Call is exercisable), (ii) the WAC Cap, and (iii) 16%. WAC CAP: As to any Distribution Date a per annum rate equal to to the weighted average gross rate of the Mortgage Loans less servicing and trustee fee rates. LOAN GROUP I CAP: As to any Distribution Date, a per annum rate equal to the weighted average gross rate of the Group I Mortgage Loans less servicing and trustee fee rates. LOAN GROUP II CAP: As to any Distribution Date, a per annum rate equal to the weighted average gross rate of the Group II Mortgage Loans less servicing and trustee fee rates. 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. ------------------------------------------------------------------------------- Page 4 TRANSACTION HIGHLIGHTS (CONT'D) ---------------------- CLASS A-1 BASIS RISK As to any Distribution Date, the sum of: CARRY FORWARD AMOUNT: (i) the excess, if any, of interest that would otherwise be due on such Certificates at the Class A-1 Pass-Through Rate (without regard to the Loan Group I Cap or WAC Cap, but giving effect to the hard cap of 16%) over interest due such Certificates at a rate equal to the lesser of the Loan Group I Cap or WAC Cap; (ii) any Class A-1 Basis Risk Carry Forward Amount remaining unpaid from prior Distribution Dates; and (iii) interest on the amount in clause (iii) at the related Class A-1 Pass-Through Rate (without regard to the Loan Group I Cap or WAC Cap, but giving effect to the hard cap of 16%). CLASS A-2 BASIS RISK As to any Distribution Date, the sum of: CARRY FORWARD AMOUNT: (i) the excess, if any, of interest that would otherwise be due on such Certificates at the Class A-2 Pass-Through Rate (without regard to the Loan Group II Cap or WAC Cap, but giving effect to the hard cap of 16%) over interest due such Certificates at a rate equal to the lesser of the Loan Group II Cap or WAC Cap; (ii) any Class A-2 Basis Risk Carry Forward Amount remaining unpaid from prior Distribution Dates; and (iii) interest on the amount in clause (iii) at the related Class A-2 Pass-Through Rate (without regard to the Loan Group II Cap or WAC Cap, but giving effect to the hard cap of 16%). CLASS M-1, M-2 AND B-1 As to any Distribution Date, the supplemental interest BASIS RISK CARRY amount for each of the Class M-1, M-2 and B-1 will equal FORWARD AMOUNTS: 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, but giving effect to the hard cap of 16%) 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, but giving effect to the hard cap of 16%). INTEREST DISTRIBUTIONS On each Distribution Date, interest distributions from ON OFFERED the Interest Remittance Amount will be allocated as CERTIFICATES: follows: (i) the portion of the Interest Remittance Amount attributable to the Loan Group I Mortgage Loans will be allocated first, to the Class A-1 Certificates and second, to the Class A-2 Certificates, its respective Accrued Certificate Interest and any unpaid interest shortfall amounts; (ii) the portion of the Interest Remittance Amount attributable to the Loan Group II Mortgage Loans will be allocated first, to the Class A-2 Certificates and second, to the Class A-1 Certificates, its respective Accrued Certificate Interest and any unpaid interest shortfall amounts; (iii) to the Class M-1 Certificates, its Accrued Certificate Interest; (iv) to the Class M-2 Certificates, its Accrued Certificate Interest; (v) to the Class B-1 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. ------------------------------------------------------------------------------- Page 5 TRANSACTION HIGHLIGHTS (CONT'D) ---------------------- PRINCIPAL On each Distribution Date (a) prior to the Stepdown Date DISTRIBUTIONS ON or (b) on which a Trigger Event is in effect, principal OFFERED CERTIFICATES: distributions from the Principal Distribution Amount will be allocated as follows: (i) to the Class A Certificates, allocated between the Class A Certificates as described below, until the Certificate Principal Balances thereof have been reduced to zero; (ii) to the Class M-1 Certificates, until the Certificate Principal Balance thereof have been reduced to zero; (iii) to the Class M-2 Certificates, until the Certificate Principal Balance thereof have been reduced to zero; (iv) to the Class B-1 Certificates, until the Certificate Principal Balance thereof have been reduced to zero. On each Distribution Date (a) on or after the Stepdown Date and (b) on which a Trigger Event is not in effect, the principal distributions from the Principal Distribution Amount will be allocated as follows: (i) to the Class A Certificates, the lesser of the Principal Distribution Amount and the Class A Principal Distribution Amount, allocated between the Class A Certificates as described below, until the Certificate Principal Balances thereof have been reduced to zero; (ii) to the Class M-1 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-1 Principal Distribution Amount, until the Certificate Principal Balance thereof have 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 have 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 have been reduced to zero. All principal distributions to the Class A Certificates on any Distribution Date will be allocated between the Class A-1 Certificates and the Class A-2 Certificates on a pro rata basis based on the Class A Principal Allocation Percentage for each such class on such Distribution Date; provided, however, that if the Certificate Principal Balance of either class of Class A Certificates is reduced to zero, then the remaining amount of principal distributions distributable to the class of Class A Certificates on such Distribution Date and all subsequent Distribution Dates, will be distributed to the Class A Certificates remaining until the Certificate Principal Balance thereof has been reduced to zero. This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ------------------------------------------------------------------------------- Page 6 TRANSACTION HIGHLIGHTS (CONT'D) ---------------------- ALLOCATION OF NET For any Distribution Date, any Net Monthly Excess MONTHLY EXCESS Cashflow shall be paid as follows: CASHFLOW: (i) to the holders of the class of Certificates then entitled to received distributions in respect of principal, in an amount equal to any Extra Principal Distribution Amount, as part of the Principal Distribution Amount; (ii) to the Class M-1 Certificates, the unpaid interest shortfall amount; (iii) to the Class M-1 Certificates, the allocated realized loss amount; (iv) to the Class M-2 Certificates, the unpaid interest shortfall amount; (v) to the Class M-2 Certificates, the allocated realized loss amount; (vi) to the Class B-1 Certificates, the unpaid interest shortfall amount; (vii) to the Class B-1 Certificates, the allocated realized loss amount; (viii) concurrently, any Class A-1 Basis Risk Carry Forward Amount to the Class A-1 Certificates and any Class A-2 Basis Risk Carry Forward Amount to the Class A-2 Certificates; and (ix) sequentially, to Classes M-1, M-2 and B-1 Certificates, in such order, any Basis Risk Carry Forward Amount for such classes. INTEREST REMITTANCE For any Distribution Date, the portion of available AMOUNT: funds for such Distribution Date attributable to interest received or advanced on the Mortgage Loans. ACCRUED CERTIFICATE For any Distribution Date and each class of Offered INTEREST: Certificates, equals the amount of interest accrued during the related interest accrual period at the related Pass-through Rate, reduced by any prepayment interest shortfalls and shortfalls resulting from the application of the relief act allocated to such class. PRINCIPAL DISTRIBUTION On any Distribution Date, the excess of (i) the sum of AMOUNT: (x) the Principal Remittance Amount and (y) the Extra Principal Distribution Amount over (ii) the over- collateralization release amount. PRINCIPAL REMITTANCE On any Distribution Date, the sum of (i) all scheduled AMOUNT: payments of principal collected or advanced on the Mortgage Loans that were due during the Due Period, (ii) the principal portion of all partial and full prepayments received during such prepayment period, (iii) the principal portion of all net liquidation proceeds and net insurance proceeds received during such prepayment period, (iv) the principal portion of repurchased Mortgage Loans received during such prepayment period, (v) the principal portion of substitution adjustments received during such prepayment period, and (vi) the principal portion of the termination price if the Optional Clean Up Call is exercised. NET MONTHLY EXCESS For any Distribution Date, the sum of (a) any CASHFLOW: overcollateralization release amounts and (b) the excess of (x) available funds for such Distribution Date over (y) the sum for such Distribution Date of (A) the Monthly Interest Distributable Amounts for the Offered Certificates and (B) the unpaid interest shortfall amounts (not including Class A Basis Risk Carry Forward Amounts) for the Class A Certificates and (C) the Principal Remittance Amount. EXTRA PRINCIPAL For any Distribution Date, the lesser of (x) the Net DISTRIBUTION AMOUNT: Monthly Excess Cashflow for such Distribution Date and (y) the overcollateralization deficiency amount for such Distribution Date. 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. ------------------------------------------------------------------------------- Page 7 TRANSACTION HIGHLIGHTS (CONT'D) ---------------------- CLASS A PRINCIPAL For any Distribution Date, the percentage equivalent of ALLOCATION PERCENTAGE: a fraction, determined as follows: (i) in the case of the Class A-1 Certificates the numerator of which is (x) the portion of the Principal Remittance Amount for such Distribution Date that is attributable to principal received or advanced on the Loan Group I Mortgage Loans and the denominator of which is (y) the Principal Remittance Amount for such Distribution Date, and (ii) in the case of the Class A-2 Certificates the numerator of which is the (x) the portion of the Principal Remittance Amount for such Distribution Date that is attributable to principal received or advanced on the Loan Group II Mortgage Loans and the denominator of which is (y) the Principal Remittance Amount for such Distribution Date. CLASS A PRINCIPAL An amount equal to the excess of (x) the aggregate DISTRIBUTION AMOUNT: 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 60.00% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and minus $2,066,032. CLASS M-1 PRINCIPAL An amount equal to the excess of (x) the sum of (i) the DISTRIBUTION AMOUNT: 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 72.30% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and minus $2,066,032. CLASS M-2 PRINCIPAL An amount equal to the excess of (x) the sum of (i) the DISTRIBUTION AMOUNT: 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 83.30% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and minus $2,066,032. CLASS B-1 PRINCIPAL An amount equal to the excess of (x) the sum of (i) the DISTRIBUTION AMOUNT: 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 95.80% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and minus $2,066,032. TRUST TAX STATUS: REMIC. ERISA ELIGIBILITY: All Offered Certificates are ERISA eligible. SMMEA ELIGIBILITY: It is anticipated that the Class A-1, Class A-2 and Class M-1 Certificates will be SMMEA eligible. 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. ------------------------------------------------------------------------------- Page 8 TO MATURITY ----------- PERCENTAGE OF CLASS A-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150% ----- ------ ------- -------- -------- -------- Closing 100% 100% 100% 100% 100% 08/25/02 99 78 70 63 56 08/25/03 98 58 46 36 26 08/25/04 97 42 28 17 7 08/25/05 96 33 24 17 7 08/25/06 95 26 18 12 7 08/25/07 94 21 13 8 5 08/25/08 93 17 10 6 3 08/25/09 91 14 7 4 2 08/25/10 90 11 6 3 1 08/25/11 88 9 4 2 1 08/25/12 86 7 3 1 0 08/25/13 84 6 2 1 0 08/25/14 81 5 2 0 0 08/25/15 79 4 1 0 0 08/25/16 76 3 1 0 0 08/25/17 72 2 1 0 0 08/25/18 69 2 0 0 0 08/25/19 65 1 0 0 0 08/25/20 60 1 0 0 0 08/25/21 55 1 0 0 0 08/25/22 50 0 0 0 0 08/25/23 44 0 0 0 0 08/25/24 37 0 0 0 0 08/25/25 32 0 0 0 0 08/25/26 27 0 0 0 0 08/25/27 22 0 0 0 0 08/25/28 17 0 0 0 0 08/25/29 11 0 0 0 0 08/25/30 5 0 0 0 0 08/25/31 0 0 0 0 0 AVERAGE LIFE 19.71 3.94 2.92 2.21 1.65 TO MATURITY (IN YEARS) AVERAGE LIFE 19.67 3.64 2.68 2.02 1.50 TO CALL (IN YEARS) 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. ------------------------------------------------------------------------------- Page 9 TO MATURITY ----------- PERCENTAGE OF CLASS A-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150% ----- ------ ------- -------- -------- -------- Closing 100% 100% 100% 100% 100% 08/25/02 99 77 69 62 55 08/25/03 98 57 45 35 25 08/25/04 97 42 28 16 6 08/25/05 96 32 23 16 6 08/25/06 95 26 17 11 6 08/25/07 94 21 13 8 4 08/25/08 93 17 9 5 2 08/25/09 92 13 7 3 1 08/25/10 90 11 5 2 1 08/25/11 88 9 4 1 0 08/25/12 86 7 3 1 0 08/25/13 84 5 2 0 0 08/25/14 82 4 1 0 0 08/25/15 79 3 1 0 0 08/25/16 77 3 1 0 0 08/25/17 73 2 0 0 0 08/25/18 70 2 0 0 0 08/25/19 66 1 0 0 0 08/25/20 62 1 0 0 0 08/25/21 57 1 0 0 0 08/25/22 52 0 0 0 0 08/25/23 46 0 0 0 0 08/25/24 40 0 0 0 0 08/25/25 36 0 0 0 0 08/25/26 31 0 0 0 0 08/25/27 26 0 0 0 0 08/25/28 20 0 0 0 0 08/25/29 14 0 0 0 0 08/25/30 7 0 0 0 0 08/25/31 0 0 0 0 0 AVERAGE LIFE 20.09 3.85 2.82 2.12 1.57 TO MATURITY (IN YEARS) AVERAGE LIFE 20.04 3.58 2.62 1.97 1.45 TO CALL (IN YEARS) 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. ------------------------------------------------------------------------------- Page 10 TO MATURITY ----------- PERCENTAGE OF CLASS M-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150% ----- ------ ------- -------- -------- -------- Closing 100% 100% 100% 100% 100% 08/25/02 100 100 100 100 100 08/25/03 100 100 100 100 100 08/25/04 100 100 100 100 100 08/25/05 100 87 64 54 100 08/25/06 100 70 48 31 31 08/25/07 100 57 35 21 12 08/25/08 100 46 26 15 8 08/25/09 100 37 20 10 5 08/25/10 100 29 15 7 2 08/25/11 100 24 11 5 0 08/25/12 100 19 8 2 0 08/25/13 100 15 6 0 0 08/25/14 100 12 4 0 0 08/25/15 100 10 2 0 0 08/25/16 100 8 0 0 0 08/25/17 100 6 0 0 0 08/25/18 100 5 0 0 0 08/25/19 100 4 0 0 0 08/25/20 100 1 0 0 0 08/25/21 100 0 0 0 0 08/25/22 100 0 0 0 0 08/25/23 100 0 0 0 0 08/25/24 100 0 0 0 0 08/25/25 88 0 0 0 0 08/25/26 75 0 0 0 0 08/25/27 62 0 0 0 0 08/25/28 47 0 0 0 0 08/25/29 31 0 0 0 0 08/25/30 15 0 0 0 0 08/25/31 0 0 0 0 0 AVERAGE LIFE 26.72 7.83 5.90 5.07 5.04 TO MATURITY (IN YEARS) AVERAGE LIFE 26.61 7.10 5.34 4.63 4.66 TO CALL (IN YEARS) 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. ------------------------------------------------------------------------------- Page 11 TO MATURITY ----------- PERCENTAGE OF CLASS M-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150% ----- ------ ------- -------- -------- -------- Closing 100% 100% 100% 100% 100% 08/25/02 100 100 100 100 100 08/25/03 100 100 100 100 100 08/25/04 100 100 100 100 100 08/25/05 100 87 64 46 32 08/25/06 100 70 48 31 20 08/25/07 100 57 35 21 12 08/25/08 100 46 26 15 8 08/25/09 100 37 20 10 3 08/25/10 100 29 15 7 0 08/25/11 100 24 11 3 0 08/25/12 100 19 8 0 0 08/25/13 100 15 6 0 0 08/25/14 100 12 2 0 0 08/25/15 100 10 0 0 0 08/25/16 100 8 0 0 0 08/25/17 100 6 0 0 0 08/25/18 100 3 0 0 0 08/25/19 100 0 0 0 0 08/25/20 100 0 0 0 0 08/25/21 100 0 0 0 0 08/25/22 100 0 0 0 0 08/25/23 100 0 0 0 0 08/25/24 100 0 0 0 0 08/25/25 88 0 0 0 0 08/25/26 75 0 0 0 0 08/25/27 62 0 0 0 0 08/25/28 47 0 0 0 0 08/25/29 31 0 0 0 0 08/25/30 15 0 0 0 0 08/25/31 0 0 0 0 0 AVERAGE LIFE 26.71 7.76 5.82 4.85 4.43 TO MATURITY (IN YEARS) AVERAGE LIFE 26.61 7.10 5.31 4.45 4.10 TO CALL (IN YEARS) 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. ------------------------------------------------------------------------------- Page 12 TO MATURITY ----------- PERCENTAGE OF CLASS B-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150% ----- ------ ------- -------- -------- -------- Closing 100% 100% 100% 100% 100% 08/25/02 100 100 100 100 100 08/25/03 100 100 100 100 100 08/25/04 100 100 100 100 100 08/25/05 100 87 64 46 32 08/25/06 100 70 48 31 18 08/25/07 100 57 35 21 9 08/25/08 100 46 26 12 2 08/25/09 100 37 18 5 0 08/25/10 100 29 12 1 0 08/25/11 100 24 7 0 0 08/25/12 100 17 3 0 0 08/25/13 100 12 0 0 0 08/25/14 100 8 0 0 0 08/25/15 100 5 0 0 0 08/25/16 100 2 0 0 0 08/25/17 100 0 0 0 0 08/25/18 100 0 0 0 0 08/25/19 100 0 0 0 0 08/25/20 100 0 0 0 0 08/25/21 100 0 0 0 0 08/25/22 100 0 0 0 0 08/25/23 100 0 0 0 0 08/25/24 100 0 0 0 0 08/25/25 88 0 0 0 0 08/25/26 75 0 0 0 0 08/25/27 62 0 0 0 0 08/25/28 47 0 0 0 0 08/25/29 31 0 0 0 0 08/25/30 12 0 0 0 0 08/25/31 0 0 0 0 0 AVERAGE LIFE 26.68 7.49 5.59 4.57 4.03 TO MATURITY (IN YEARS) AVERAGE LIFE 26.61 7.09 5.29 4.34 3.83 TO CALL (IN YEARS) 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. ------------------------------------------------------------------------------- Page 13 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL -------------------------------------------- INTEREST CAP RATES (CASH CAP)(1)(2) -----------------------------------

1 Cash available to pay current and prior interest divided by the current bond balance 2 Run assuming base prepayment speed, no losses and a 1 month and 6 month Libor rate of 20% This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ------------------------------------------------------------------------------- Page 14 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL -------------------------------------------- INTEREST CAP RATES (CASH CAP)(1)(2) -----------------------------------

1 Cash available to pay current and prior interest divided by the current bond balance 2 Run assuming base prepayment speed, no losses and a 1 month and 6 month Libor rate of 20% This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ------------------------------------------------------------------------------- Page 15 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL -------------------------------------------- INTEREST CAP RATES (CASH CAP)(1)(2) -----------------------------------

1 Cash available to pay current and prior interest divided by the current bond balance 2 Run assuming base prepayment speed, no losses and a 1 month and 6 month Libor rate of 20% This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ------------------------------------------------------------------------------- Page 16 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL -------------------------------------------- INTEREST CAP RATES (CASH CAP)(1)(2) -----------------------------------

1 Cash available to pay current and prior interest divided by the current bond balance 2 Run assuming base prepayment speed, no losses and a 1 month and 6 month Libor rate of 20% This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ------------------------------------------------------------------------------- Page 17 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL -------------------------------------------- INTEREST CAP RATES (CASH CAP)(1)(2) -----------------------------------

1 Cash available to pay current and prior interest divided by the current bond balance 2 Run assuming base prepayment speed, no losses and a 1 month and 6 month Libor rate of 20% This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ------------------------------------------------------------------------------- Page 18 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL -------------------------------------------- INTEREST CAP RATES (CASH CAP)(1)(2) -----------------------------------

1 Cash available to pay current and prior interest divided by the current bond balance 2 Run assuming base prepayment speed, no losses and a 1 month and 6 month Libor rate of 20% This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ------------------------------------------------------------------------------- Page 19 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL -------------------------------------------- INTEREST CAP RATES (CASH CAP)(1)(2) -----------------------------------

1 Cash available to pay current and prior interest divided by the current bond balance 2 Run assuming base prepayment speed, no losses and a 1 month and 6 month Libor rate of 20% This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ------------------------------------------------------------------------------- Page 20 MORGAN STANLEY DEAN WITTER CAPITAL I Inc Trust 2001-NC2 MORGAN STANLEY DEAN WITTER 2,791 records 2001-NC2; Group 1 Mortgage Loans Balance: 327,252,448 =================================================================================================================================== -------------------------------------------------------------------------------- Summary Statistics -------------------------------------------------------------------------------- Number of Mortgage Loans: 2,791 Aggregate Principal Balance: 327,252,448 Weighted Average Current Mortgage Rate: 9.773 Weighted Average Margin: 6.612 Weighted Average Maximum Rate: 16.735 Weighted Average Original Term: 354 Weighted Average Stated Remaining Term: 352 Weighted Average Original LTV: 76.20 % Owner Occupied: 91.83 % Purchase: 16.54 % Full Doc: 61.67 Weighted Average Credit Score: 579 --------------------------------------------------------------------------------

MORGAN STANLEY DEAN WITTER CAPITAL I Inc Trust 2001-NC2 MORGAN STANLEY DEAN WITTER 2,791 records 2001-NC2; Group 1 Mortgage Loans Balance: 327,252,448 ===================================================================================================================================