EX-99 3 insert-termsheet.txt COLLATERAL TERMS SHEETS -------------------------------------------------------------------------------- MORGAN STANLEY | | April 19, 2002 Securitized Products Group | [Morgan Stanley logo] | | | -------------------------------------------------------------------------------- COMPUTATIONAL MATERIALS $225,204,000 APPROXIMATELY MORGAN STANLEY DEAN WITTER CAPITAL I INC. SERIES 2002-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 In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum.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 | | April 19, 2002 Securitized Products Group | [Morgan Stanley logo] | | | -------------------------------------------------------------------------------- APPROXIMATELY $225,204,000 MORGAN STANLEY DEAN WITTER CAPITAL I INC., SERIES 2002-NC2 MORGAN STANLEY DEAN WITTER CAPITAL I INC. DEPOSITOR THE PROVIDENT BANK SERVICER TRANSACTION HIGHLIGHTS ----------------------
------- ------------- ------------- ----------------- ------------ ------------- ---------------------- ----------- -------------- MODIFIED EXPECTED RATINGS AVG LIFE TO DURATION TO (S&P/FITCH/ CALL / CALL / PAYMENT WINDOW TO CLASSES DESCRIPTION BALANCE MOODY'S) MTY(1)(2) MTY(1)(2) CALL / MTY(1)(2) DAY COUNT BENCHMARK ======= ============= ============= ================= ============ ============= ====================== =========== ============== A-1 Not $283,678,000 *****Not Available***** Available ------- ------------- ------------- ----------------- ------------ ------------- ---------------------- ----------- -------------- A-2 Floater $197,340,000 AAA/AAA/Aaa 3.07 / 3.46 2.91 / 3.23 5/02-5/10 / 5/02-2/20 Actual/360 1 Month LIBOR ------- ------------- ------------- ----------------- ------------ ------------- ---------------------- ----------- -------------- M-1 Not $ 35,196,000 *****Not Available***** Available ------- ------------- ------------- ----------------- ------------ ------------- ---------------------- ----------- -------------- M-2 Not $ 32,263,000 *****Not Available***** Available ------- ------------- ------------- ----------------- ------------ ------------- ---------------------- ----------- -------------- B-1 Floater $ 27,864,000 BBB-/BBB-/Baa2 5.31 / 5.54 4.66 / 4.82 5/05-5/10 / 5/05-7/13 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 2002-NC2 DEPOSITOR: Morgan Stanley Dean Witter Capital I Inc. MASTER SERVICER: The Provident Bank ORIGINATOR: New Century Mortgage Corporation TRUSTEE: U.S. Bank National Association MANAGERS: Morgan Stanley (lead manager); Blaylock & Partners, L.P and Utendahl Capital Partners, L.P. (co-managers) RATING AGENCIES: Standard & Poor's, Moody's Investors Service and Fitch Ratings OFFERED CERTIFICATES: Classes A-2 and B-1 Certificates PRICING DATE: April [ ], 2002 EXPECTED CLOSING DATE: April 30, 2002 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 DISTRIBUTION DATES: The 25th of each month, or if such day is not a business day, on the next business day, beginning in May 2002. FINAL SCHEDULED The distribution date in April 2032 DISTRIBUTION DATE: DUE PERIOD: For any Distribution Date, the period commencing on the second day of the month preceding the month in which such Distribution Date occurs and ending on the first day of the month in which such Distribution Date occurs. INTEREST ACCRUAL 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 consisting of fixed and adjustable rate sub-prime residential mortgage loans. GROUP I MORTGAGE LOANS: Approximately $345,948,860 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 $240,657,859 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 Offered Certificates are credit enhanced by: 1) Net monthly excess cashflow from the Mortgage Loans, 2) 1.75% overcollateralization (funded upfront). After the Step-down Date, so long as a Trigger Event is not in effect, the required overcollateralization will equal 3.50% of the aggregate principal balance of the Mortgage Loans as of the last day of the related due period , subject to a 0.50% floor, based on the initial balance of the Mortgage Loans, and 3) In the case of the Class A-2 Certificates, subordination of distributions on the more subordinate classes of certificates to the required distributions on the more senior classes of certificates. 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 and taking into account the distributions of the Principal Distribution Amount for such Distribution Date) by (y) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period. 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 STEP-DOWN DATE: The later to occur of: (x) the earlier of: (a) the Distribution Date occurring in May 2005; and (b) the Distribution Date on which the aggregate balance of the Class A Certificates is reduced to zero; and (y) the first Distribution Date on which the Credit Enhancement Percentage (calculated for this purpose only after taking into account payments of principal on the Mortgage Loans on the last day of the related Due Period but prior to any applications of principal distributions to the certificates on the applicable Distribution Date) is greater than or equal to 36.00%. TRIGGER EVENT: A Trigger Event is in effect on any Distribution Date if (i) on that Distribution Date the 60 Day+ Rolling Average equals or exceeds 40% of the prior period's senior enhancement percentage to be specified in the Prospectus and (ii) may include other trigger events related to the performance of the Mortgage Loans to be specified in the Prospectus. The 60 Day+ Rolling Average will equal the rolling 3 month average percentage of Mortgage Loans that are 60 or more days delinquent. INITIAL SUBORDINATION Class A: 18.00% PERCENTAGE: Class M-1: 12.00% Class M-2: 6.50% Class B: 1.75% 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 Mortgage Loans. STEP-UP COUPONS: For all certificates the coupon will increase after the optional clean-up call date, should the call not be exercised. The coupon for the Class A-1 and A-2 Certificates will increase by 2 times the margin and the coupon for the Class M-1, M-2 and B-1 Certificates will increase by 1.5 times the margin. 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 distribution date on which the Optional Clean-up Call is exercisable), (ii) the Loan Group I Cap, and (iii) the WAC Cap. 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 distribution date on which the Optional Clean-up Call is exercisable), (ii) the Loan Group II Cap and (iii) the WAC Cap. 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 distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. 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 distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. 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 distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. WAC CAP: As to any Distribution Date a per annum rate equal to the weighted average gross rate of the Mortgage Loans in effect on the beginning of the related Due Period less servicing and trustee fee rates (calculated on an actual/360 day count basis). This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley 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 LOAN GROUP I CAP: As to any Distribution Date, a per annum rate equal to the weighted average gross rate of the Group I Mortgage Loans in effect on the beginning of the related Due Period less servicing and trustee fee rates (calculated on an actual/360 day count basis). LOAN GROUP II CAP: As to any Distribution Date, a per annum rate equal to the weighted average gross rate of the Group II Mortgage Loans in effect on the beginning of the related Due Period less servicing and trustee fee rates (calculated on an actual/360 day count basis). CLASS A-1 BASIS RISK As to any Distribution Date, the supplemental interest CARRY FORWARD AMOUNT: amount for the Class A-1 Certificates will equal the sum of: (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) 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 (ii) at the related Class A-1 Pass-Through Rate (without regard to the Loan Group I Cap or WAC Cap). CLASS A-2 BASIS RISK As to any Distribution Date, the supplemental interest CARRY FORWARD AMOUNT: amount for the Class A-2 Certificates will equal the sum of: (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) 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 (ii) at the related Class A-2 Pass-Through Rate (without regard to the Loan Group II Cap or WAC Cap). 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 FORWARD AMOUNTS: Certificates will equal the sum of: (i) the excess, if any, of interest that would otherwise be due on such Certificates at such Certificates' applicable Pass-Through Rate (without regard to the WAC Cap) over interest due such Certificates at a rate equal to the WAC Cap; (ii) any Basis Risk Carry Forward Amount for such class remaining unpaid for such Certificate from prior Distribution Dates; and (iii) interest on the amount in clause (ii) at the Certificates' applicable Pass-Through Rate (without regard to the WAC Cap). 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 INTEREST DISTRIBUTIONS On each Distribution Date, interest distributions from ON THE CERTIFICATES: the Interest Remittance Amount will be allocated as follows: (i) concurrently, (1) from Interest Remittance Amounts related to the Group I Mortgage Loans, to the Class A-1 Certificates, the related Accrued Certificate Interest and any unpaid interest shortfall amounts for the Class A-1 Certificates, and (2) from Interest Remittance Amounts related to the Group II Mortgage Loans, to the Class A-2 Certificates, the related Accrued Certificate Interest and any unpaid interest shortfall amounts for the Class A-2 Certificates; provided, that if the Interest Remittance Amount for any Group of Mortgage Loans is insufficient to make the related payments set forth in clause (1) or (2) above, any Interest Remittance Amount relating to the other Group of Mortgage Loans remaining after making the related payments set forth in clause (1) or (2) above will be available to cover that shortfall; (ii) to the Class M-1 Certificates, its Accrued Certificate Interest; (iii) to the Class M-2 Certificates, its Accrued Certificate Interest; and (iv) to the Class B-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 6 PRINCIPAL On each Distribution Date (a) prior to the Stepdown Date DISTRIBUTIONS ON THE or (b) on which a Trigger Event is in effect, principal 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; and (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 has been reduced to zero; (iii) to the Class M-2 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-2 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; and (iv) to the Class B-1 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-1 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero. 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. ALLOCATION OF NET For any Distribution Date, any Net Monthly Excess MONTHLY EXCESS Cashflow shall be paid as follows: CASHFLOW: (i) to the Class M-1 Certificates, the unpaid interest shortfall amount; (ii) to the Class M-1 Certificates, the allocated unreimbursed realized loss amount; (iii) to the Class M-2 Certificates, the unpaid interest shortfall amount; (iv) to the Class M-2 Certificates, the allocated unreimbursed realized loss amount; (v) to the Class B-1 Certificates, the unpaid interest shortfall amount; (vi) to the Class B-1 Certificates, the allocated unreimbursed realized loss amount; (vii) concurrently, any Class A-1 Basis Risk Carry Forward Amount to the Class A-1 Certificates, any Class A-2 Basis Risk Carry Forward Amount to the Class A-2 Certificates; and (viii) sequentially, to Classes M-1, M-2 and B-1 Certificates, in such order, any Basis Risk Carry Forward Amount for such classes. 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 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 less the servicing fee and the trustee fee. 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 sum of (i) the Basic AMOUNT: Principal Distribution Amount and (ii) the Extra Principal Distribution Amount. BASIC PRINCIPAL On any Distribution Date, the excess of (i) the DISTRIBUTION AMOUNT: aggregate Principal Remittance Amount over (ii) the Excess Subordinated Amount, if any. PRINCIPAL REMITTANCE On any Distribution Date, the sum of (i) all scheduled AMOUNT: payments of principal collected or advanced on the Mortgage Loans during the Due Period, (ii) the principal portion of all partial and full prepayments received during the month prior to the month during which such Distribution Date occurs, (iii) the principal portion of all net liquidation proceeds and net insurance proceeds received during the month prior to the month during which such Distribution Date occurs, (iv) the principal portion of repurchased Mortgage Loans, the repurchase obligation for which arose during the month prior to the month during which such Distribution Date occurs and that were repurchased during the period from the prior Distribution Date through the business day prior to such Distribution Date, (v) the principal portion of substitution adjustments received in connection with the substitution of a Mortgage Loan as of such Distribution Date, and (vi) the principal portion of the termination price if the Optional Clean Up Call is exercised. NET MONTHLY EXCESS For any Distribution Date is the amount of available CASHFLOW: funds for such Distribution Date remaining after making all payments of interest and principal to the certificates. EXTRA PRINCIPAL For any Distribution Date, the lesser of (i) the excess DISTRIBUTION AMOUNT: of (x) interest collected or advanced on the Mortgage Loans during the related Due Period (less servicing and trustee fees), over (y) the sum of interest payable on the Certificates on such Distribution Date and (ii) the overcollateralization deficiency amount for such Distribution Date. EXCESS SUBORDINATED For any Distribution Date, means the excess, if any of AMOUNT: (i) the overcollateralization and (ii) the required overcollateralization for such Distribution Date. 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 (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 64.00% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period minus $2,933,034. 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 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 76.00% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period minus $2,933,034. 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 87.00% 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 minus $2,933,034. 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 96.50% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period minus $2,933,034; provided however, that with respect to any Distribution Date on which the Class Certificate Balance of the Class A, Class M-1 and Class M-2 Certificates have been reduced to zero, the Class B-1 Principal Distribution Amount is the lesser of (x) the Class Certificate Balance of the Class B-1 Certificates and (y) the Principal Distribution Amount. TRUST TAX STATUS: REMIC. ERISA ELIGIBILITY: Subject to the considerations in the Prospectus, all Offered Certificates are ERISA eligible. SMMEA ELIGIBILITY: It is anticipated that the Class A-2 Certificates will be SMMEA eligible. PROSPECTUS: The Class A-2 and B-1 Certificates are being offered pursuant to a prospectus supplemented by a prospectus supplement (together, the "Prospectus"). Complete information with respect to the Offered Certificates and the collateral securing them is contained in the Prospectus. The information herein is qualified in its entirety by the information appearing in the Prospectus. To the extent that the information herein is inconsistent with the Prospectus, the Prospectus shall govern in all respects. Sales of the Offered Certificates may not be consummated unless the purchaser has received the Prospectus. PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A DESCRIPTION OF INFORMATION THAT SHOULD BE CONSIDERED IN CONNECTION WITH AN INVESTMENT IN THE OFFERED CERTIFICATES. This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. -------------------------------------------------------------------------------- Page 9 TO MATURITY ----------- PERCENTAGE OF CLASS A-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150% ------------- ------------- ------------- ------------- ------------- ------------- Initial 100% 100% 100% 100% 100% 4/25/03 99 83 78 73 67 4/25/04 98 64 54 44 35 4/25/05 97 48 35 24 14 4/25/06 95 37 29 22 14 4/25/07 94 31 22 16 12 4/25/08 93 25 17 12 9 4/25/09 91 20 13 9 6 4/25/10 89 17 10 7 5 4/25/11 87 14 8 5 3 4/25/12 85 11 6 4 1 4/25/13 83 9 5 3 0 4/25/14 80 8 4 2 0 4/25/15 77 6 4 1 0 4/25/16 75 5 3 0 0 4/25/17 71 4 2 0 0 4/25/18 68 4 1 0 0 4/25/19 64 3 0 0 0 4/25/20 60 3 0 0 0 4/25/21 55 2 0 0 0 4/25/22 50 2 0 0 0 4/25/23 45 1 0 0 0 4/25/24 39 0 0 0 0 4/25/25 33 0 0 0 0 4/25/26 29 0 0 0 0 4/25/27 24 0 0 0 0 4/25/28 18 0 0 0 0 4/25/29 13 0 0 0 0 4/25/30 7 0 0 0 0 4/25/31 2 0 0 0 0 4/25/32 0 0 0 0 0 Average Life to Maturity 18.71 4.50 3.46 2.75 2.20 (years) Average Life to Call (1) 18.69 4.04 3.07 2.41 1.90 (years) (1) 10% Optional Clean-Up Call
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 B-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150% ------------- ------------- ------------- ------------- ------------- ------------- Initial 100% 100% 100% 100% 100% 4/25/03 100 100 100 100 100 4/25/04 100 100 100 100 100 4/25/05 100 100 100 100 100 4/25/06 100 88 65 47 33 4/25/07 100 71 49 32 18 4/25/08 100 57 36 20 7 4/25/09 100 46 27 10 1 4/25/10 100 37 17 4 0 4/25/11 100 30 10 0 0 4/25/12 100 22 5 0 0 4/25/13 100 16 1 0 0 4/25/14 100 10 0 0 0 4/25/15 100 6 0 0 0 4/25/16 100 3 0 0 0 4/25/17 100 0 0 0 0 4/25/18 100 0 0 0 0 4/25/19 100 0 0 0 0 4/25/20 100 0 0 0 0 4/25/21 100 0 0 0 0 4/25/22 100 0 0 0 0 4/25/23 100 0 0 0 0 4/25/24 100 0 0 0 0 4/25/25 96 0 0 0 0 4/25/26 84 0 0 0 0 4/25/27 72 0 0 0 0 4/25/28 59 0 0 0 0 4/25/29 44 0 0 0 0 4/25/30 29 0 0 0 0 4/25/31 8 0 0 0 0 4/25/32 0 0 0 0 0 Average Life to Maturity 26.43 7.40 5.54 4.52 3.95 (years) Average Life to Call (1) 26.36 7.10 5.31 4.34 3.80 (years) (1) 10% Optional Clean-Up Call
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 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2) DATE CLASS A-2 CAP (%) CLASS B-1 CAP (%) ------------------------ ---------------------------- -------------------------- ACTUAL/360 ACTUAL/360 4/25/2002 - - 5/25/2002 9.84 9.83 6/25/2002 7.94 7.93 7/25/2002 8.21 8.19 8/25/2002 7.95 7.93 9/25/2002 7.95 7.92 10/25/2002 8.22 8.19 11/25/2002 7.96 7.92 12/25/2002 8.23 8.19 1/25/2003 7.97 7.92 2/25/2003 7.98 7.92 3/25/2003 8.84 8.77 4/25/2003 7.99 7.92 5/25/2003 8.27 8.18 6/25/2003 8.01 7.92 7/25/2003 8.28 8.18 8/25/2003 8.02 7.92 9/25/2003 8.03 7.92 10/25/2003 8.31 8.18 11/25/2003 8.05 7.92 12/25/2003 8.33 8.18 1/25/2004 8.07 7.92 2/25/2004 8.08 7.92 3/25/2004 8.65 8.46 4/25/2004 8.90 8.93 5/25/2004 9.21 9.23 6/25/2004 8.92 8.93 7/25/2004 9.24 9.22 8/25/2004 8.95 8.93 9/25/2004 8.97 8.93 10/25/2004 10.11 10.26 11/25/2004 9.81 9.93 12/25/2004 10.16 10.26 1/25/2005 9.85 9.93 2/25/2005 9.87 9.93 3/25/2005 10.96 10.99 4/25/2005 10.78 10.98 5/25/2005 23.43 11.35 (1) Cash available to pay current and prior interest divided by the current bond balance (2) Run assuming 100% PPC for fixed collateral and 25% CPR for floating rate collateral, 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 12 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2) (CONT.) DATE CLASS A-2 CAP (%) CLASS B-1 CAP (%) ------------------------ ---------------------------- -------------------------- ACTUAL/360 ACTUAL/360 6/25/2005 12.29 10.98 7/25/2005 12.64 11.34 8/25/2005 12.18 10.98 9/25/2005 12.15 10.98 10/25/2005 13.42 12.43 11/25/2005 12.99 12.02 12/25/2005 13.42 12.42 1/25/2006 12.99 12.02 2/25/2006 12.99 12.02 3/25/2006 14.38 13.31 4/25/2006 13.56 12.74 5/25/2006 14.01 13.16 6/25/2006 13.56 12.73 7/25/2006 14.01 13.16 8/25/2006 13.56 12.73 9/25/2006 13.56 12.73 10/25/2006 14.05 13.20 11/25/2006 13.60 12.77 12/25/2006 14.05 13.20 1/25/2007 13.60 12.77 2/25/2007 13.60 12.77 3/25/2007 15.06 14.13 4/25/2007 13.63 12.79 5/25/2007 14.08 13.22 6/25/2007 13.63 12.79 7/25/2007 14.08 13.22 8/25/2007 13.63 12.79 9/25/2007 13.63 12.79 10/25/2007 14.09 13.21 11/25/2007 13.63 12.78 12/25/2007 14.09 13.21 1/25/2008 13.63 12.78 2/25/2008 13.64 12.78 3/25/2008 14.58 13.66 4/25/2008 13.64 12.77 5/25/2008 14.09 13.20 6/25/2008 13.64 12.77 (1) Cash available to pay current and prior interest divided by the current bond balance (2) Run assuming 100% PPC for fixed collateral and 25% CPR for floating rate collateral, 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 13 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2) (CONT.) DATE CLASS A-2 CAP (%) CLASS B-1 CAP (%) ------------------------ ---------------------------- -------------------------- ACTUAL/360 ACTUAL/360 7/25/2008 14.10 13.19 8/25/2008 13.65 12.77 9/25/2008 13.65 12.76 10/25/2008 14.10 13.19 11/25/2008 13.65 12.76 12/25/2008 14.11 13.18 1/25/2009 13.66 12.76 2/25/2009 13.66 12.76 3/25/2009 14.57 14.12 4/25/2009 12.16 12.75 5/25/2009 12.59 13.17 6/25/2009 12.20 12.75 7/25/2009 12.63 13.17 8/25/2009 12.24 12.74 9/25/2009 12.26 12.74 10/25/2009 12.70 13.17 11/25/2009 12.31 12.74 12/25/2009 12.74 13.16 1/25/2010 12.36 12.74 2/25/2010 12.38 12.73 3/25/2010 13.73 14.10 4/25/2010 12.43 12.73 5/25/2010 12.87 13.15 6/25/2010 12.48 12.73 7/25/2010 12.93 13.15 8/25/2010 12.54 12.73 9/25/2010 12.57 12.72 10/25/2010 13.02 13.15 11/25/2010 12.63 12.72 12/25/2010 13.08 13.14 1/25/2011 12.69 12.72 2/25/2011 12.73 12.72 3/25/2011 14.13 14.08 4/25/2011 12.80 12.71 5/25/2011 13.26 13.14 6/25/2011 12.87 12.71 7/25/2011 13.34 13.13 (1) Cash available to pay current and prior interest divided by the current bond balance (2) Run assuming 100% PPC for fixed collateral and 25% CPR for floating rate collateral, 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 RATE CAP RATES (CASH CAP) (1)(2) (CONT.) DATE CLASS A-2 CAP (%) CLASS B-1 CAP (%) ------------------------ ---------------------------- -------------------------- ACTUAL/360 ACTUAL/360 8/25/2011 12.95 12.71 9/25/2011 12.99 12.71 10/25/2011 13.46 13.13 11/25/2011 13.07 12.70 12/25/2011 13.55 13.13 1/25/2012 13.16 12.70 2/25/2012 13.20 12.70 3/25/2012 14.16 13.57 4/25/2012 13.29 12.70 5/25/2012 13.79 13.12 6/25/2012 13.39 12.69 7/25/2012 13.89 13.12 8/25/2012 13.50 12.69 9/25/2012 13.55 12.69 10/25/2012 14.06 13.11 11/25/2012 13.66 12.69 12/25/2012 14.18 13.11 1/25/2013 13.78 12.68 2/25/2013 13.84 12.68 3/25/2013 15.39 14.04 4/25/2013 13.97 12.68 5/25/2013 14.50 13.10 6/25/2013 14.10 12.68 7/25/2013 14.64 13.10 8/25/2013 14.24 12.68 9/25/2013 14.32 12.68 10/25/2013 14.87 - 11/25/2013 14.47 - 12/25/2013 15.03 - 1/25/2014 14.63 - 2/25/2014 14.71 - 3/25/2014 16.38 - 4/25/2014 14.88 - 5/25/2014 15.47 - 6/25/2014 15.07 - 7/25/2014 15.67 - 8/25/2014 15.26 - (1) Cash available to pay current and prior interest divided by the current bond balance (2) Run assuming 100% PPC for fixed collateral and 25% CPR for floating rate collateral, 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 RATE CAP RATES (CASH CAP) (1)(2) (CONT.) DATE CLASS A-2 CAP (%) CLASS B-1 CAP (%) ------------------------ ---------------------------- -------------------------- ACTUAL/360 ACTUAL/360 9/25/2014 15.36 - 10/25/2014 15.97 - 11/25/2014 15.56 - 12/25/2014 16.19 - 1/25/2015 15.78 - 2/25/2015 15.89 - 3/25/2015 17.72 - 4/25/2015 16.13 - 5/25/2015 16.79 - 6/25/2015 16.37 - 7/25/2015 17.05 - 8/25/2015 16.63 - 9/25/2015 16.77 - 10/25/2015 17.47 - 11/25/2015 17.05 - 12/25/2015 17.77 - 1/25/2016 17.35 - 2/25/2016 17.50 - 3/25/2016 18.88 - 4/25/2016 17.82 - 5/25/2016 18.58 - 6/25/2016 18.16 - 7/25/2016 18.94 - 8/25/2016 18.51 - 9/25/2016 18.70 - 10/25/2016 19.51 - 11/25/2016 19.08 - 12/25/2016 19.91 - 1/25/2017 19.43 - 2/25/2017 19.60 - 3/25/2017 21.92 - 4/25/2017 20.09 - 5/25/2017 21.07 - 6/25/2017 20.72 - 7/25/2017 21.77 - 8/25/2017 21.43 - 9/25/2017 21.82 - (1) Cash available to pay current and prior interest divided by the current bond balance (2) Run assuming 100% PPC for fixed collateral and 25% CPR for floating rate collateral, 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 RATE CAP RATES (CASH CAP) (1)(2) (CONT.) DATE CLASS A-2 CAP (%) CLASS B-1 CAP (%) ------------------------ ---------------------------- -------------------------- ACTUAL/360 ACTUAL/360 10/25/2017 22.98 - 11/25/2017 22.68 - 12/25/2017 23.92 - 1/25/2018 23.66 - 2/25/2018 24.20 - 3/25/2018 27.45 - 4/25/2018 25.42 - 5/25/2018 26.98 - 6/25/2018 26.85 - 7/25/2018 28.58 - 8/25/2018 28.54 - 9/25/2018 29.51 - 10/25/2018 31.59 - 11/25/2018 31.75 - 12/25/2018 34.16 - 1/25/2019 34.52 - 2/25/2019 36.16 - 3/25/2019 42.09 - 4/25/2019 40.13 - 5/25/2019 43.99 - 6/25/2019 45.41 - 7/25/2019 50.37 - 8/25/2019 52.72 - 9/25/2019 57.55 - 10/25/2019 65.66 - 11/25/2019 71.15 - 12/25/2019 83.84 - 1/25/2020 94.82 - 2/25/2020 114.71 - 3/25/2020 156.35 - 4/25/2020 203.93 - 5/25/2020 354.47 - 6/25/2020 2,751.70 - 7/25/2020 - - (1) Cash available to pay current and prior interest divided by the current bond balance (2) Run assuming 100% PPC for fixed collateral and 25% CPR for floating rate collateral, 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 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-NC2 ALL RECORDS ================================================================================ -------------------------------------------------------------------------------- Summary Statistics -------------------------------------------------------------------------------- Number of Mortgage Loans: 3,905 Aggregate Principal Balance: 586,606,720 Weighted Average Current Mortgage Rate: 8.714 Weighted Average Margin: 6.630 Weighted Average Maximum Rate: 15.805 Weighted Average Original Term: 356 Weighted Average Stated Remaining Term: 355 Weighted Average Original LTV: 77.63 % First Liens: 100.00 % Owner Occupied: 92.78 % Purchase: 13.45 % Full Doc: 54.30 Weighted Average Credit Score: 597 --------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Mortgage Principal Principal Interest Remaining Original Product Types Loans Balance ($) Balance Rate (%) Term LTV (%) ------------------------------------------------------------------------------------------- Fixed - 10 Year 11 528,532 0.09 9.394 119 58.51 Fixed - 15 Year 118 8,929,377 1.52 8.931 179 70.96 Fixed - 20 Year 57 3,976,607 0.68 8.974 239 72.88 Fixed - 25 Year 6 306,025 0.05 8.808 299 73.52 Fixed - 30 Year 886 122,867,671 20.95 8.336 359 73.24 ARM - 2 Year/6 Month 2,693 428,781,326 73.10 8.825 359 79.15 ARM - 3 Year/6 Month 134 21,217,181 3.62 8.506 358 76.64 -------------------------------------------------------------------------------------------- Total: 3,905 586,606,720 100.00 8.714 355 77.63 --------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ================================================================================ Page 1 of 13 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-NC2 ALL RECORDS ================================================================================
-------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Range of Gross Mortgage Principal Principal Interest Remaining Original Interest Rates (%) Loans Balance ($) Balance Rate (%) Term LTV (%) -------------------------------------------------------------------------------------------- 5.000 - 5.999 1 124,676 0.02 5.990 359 79.99 6.000 - 6.999 174 35,934,767 6.13 6.871 358 71.17 7.000 - 7.999 778 145,952,258 24.88 7.679 356 74.80 8.000 - 8.999 1,319 208,141,921 35.48 8.625 355 79.20 9.000 - 9.999 1,056 137,676,134 23.47 9.544 355 79.87 10.000 - 10.999 409 42,925,645 7.32 10.469 352 79.34 11.000 - 11.999 131 12,954,358 2.21 11.474 356 74.62 12.000 - 12.999 31 2,349,348 0.40 12.367 348 69.41 13.000 - 13.999 5 502,231 0.09 13.165 327 70.05 14.000 - 14.999 1 45,380 0.01 14.200 359 70.00 -------------------------------------------------------------------------------------------- Total: 3,905 586,606,720 100.00 8.714 355 77.63 -------------------------------------------------------------------------------------------- Minimum: 5.990 Maximum: 14.200 Weighted Average: 8.714 --------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ================================================================================ Page 2 of 13 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-NC2 ALL RECORDS ================================================================================
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Range of Cut-off Date Mortgage Principal Principal Interest Remaining Original Principal Balances ($) Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- 25,001 - 50,000 308 13,034,039 2.22 9.684 322 68.42 50,001 - 75,000 632 40,036,871 6.83 9.328 343 74.14 75,001 - 100,000 582 50,704,978 8.64 9.119 353 76.05 100,001 - 125,000 491 55,367,578 9.44 8.932 353 78.30 125,001 - 150,000 399 54,785,765 9.34 8.779 356 77.13 150,001 - 175,000 329 53,317,042 9.09 8.696 356 78.94 175,001 - 200,000 306 57,268,449 9.76 8.674 358 77.70 200,001 - 225,000 165 35,006,269 5.97 8.593 357 78.57 225,001 - 250,000 127 30,050,743 5.12 8.574 358 80.32 250,001 - 275,000 109 28,657,618 4.89 8.653 357 79.61 275,001 - 300,000 100 28,866,316 4.92 8.578 359 79.97 300,001 - 325,000 81 25,343,463 4.32 8.341 357 80.96 325,001 - 350,000 54 18,241,403 3.11 8.378 359 79.67 350,001 - 375,000 40 14,476,180 2.47 8.361 359 79.08 375,001 - 400,000 49 19,073,320 3.25 8.506 359 77.44 400,001 - 425,000 24 9,911,165 1.69 8.110 359 79.75 425,001 - 450,000 33 14,550,335 2.48 8.500 359 77.38 450,001 - 475,000 24 11,139,653 1.90 8.649 359 78.31 475,001 - 500,000 33 16,242,260 2.77 7.995 359 71.78 500,001 - 525,000 5 2,607,922 0.44 7.884 359 66.02 525,001 - 550,000 6 3,212,101 0.55 7.728 359 79.97 550,001 - 575,000 3 1,685,357 0.29 7.663 359 73.65 575,001 - 600,000 4 2,398,386 0.41 7.998 359 73.70 600,001 >= 1 629,508 0.11 7.240 359 60.29 ----------------------------------------------------------------------------------------------------- Total: 3,905 586,606,720 100.00 8.714 355 77.63 ----------------------------------------------------------------------------------------------------- Minimum: 32,282 Maximum: 629,508 Average: 150,219 -----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ================================================================================ Page 3 of 13 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-NC2 ALL RECORDS ================================================================================
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Mortgage Principal Principal Interest Remaining Original Range of Original Terms Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- 120 11 528,532 0.09 9.394 119 58.51 180 119 9,091,411 1.55 8.910 179 70.34 240 57 3,976,607 0.68 8.974 239 72.88 300 6 306,025 0.05 8.808 299 73.52 360 3,712 572,704,144 97.63 8.709 359 77.80 ----------------------------------------------------------------------------------------------------- Total: 3,905 586,606,720 100.00 8.714 355 77.63 ----------------------------------------------------------------------------------------------------- Minimum: 120 Maximum: 360 Weighted Average: 356 -----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Mortgage Principal Principal Interest Remaining Original Range of Remaining Terms Loans Balance($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- 109 - 120 11 528,532 0.09 9.394 119 58.51 169 - 180 119 9,091,411 1.55 8.910 179 70.34 229 - 240 57 3,976,607 0.68 8.974 239 72.88 289 - 300 6 306,025 0.05 8.808 299 73.52 349 - 360 3,712 572,704,144 97.63 8.709 359 77.80 ----------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------- Total: 3,905 586,606,720 100.00 8.714 355 77.63 ----------------------------------------------------------------------------------------------------- Minimum: 118 Maximum: 360 Weighted Average: 355 -----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ================================================================================ Page 4 of 13 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-NC2 ALL RECORDS ================================================================================
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Mortgage Principal Principal Interest Remaining Original Range of Original LTV Ratios Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- <= 30.00 29 2,604,608 0.44 8.401 337 25.80 30.01 - 40.00 50 4,877,012 0.83 8.471 346 35.49 40.01 - 50.00 113 12,667,798 2.16 8.415 348 46.49 50.01 - 60.00 221 27,843,053 4.75 8.295 350 55.85 60.01 - 70.00 510 76,004,754 12.96 8.609 353 66.73 70.01 - 80.00 1,574 235,316,366 40.11 8.604 355 77.88 80.01 - 90.00 1,382 222,336,696 37.90 8.949 357 86.75 90.01 - 100.00 26 4,956,433 0.84 8.553 359 94.76 ----------------------------------------------------------------------------------------------------- Total: 3,905 586,606,720 100.00 8.714 355 77.63 ----------------------------------------------------------------------------------------------------- Minimum: 13.73 Maximum: 95.00 Weighted Average: 77.63 -----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ================================================================================ Page 5 of 13 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-NC2 ALL RECORDS ================================================================================
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Mortgage Principal Principal Interest Remaining Original Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- Fixed Rate Loans 1,078 136,608,213 23.29 8.398 343 73.02 <=5.000 10 1,528,900 0.26 7.722 359 80.80 5.001 - 5.500 5 1,127,554 0.19 8.794 359 88.47 5.501 - 6.000 4 710,181 0.12 8.097 358 73.75 6.001 - 6.500 1,377 234,339,225 39.95 8.493 359 80.39 6.501 - 7.000 843 131,482,995 22.41 8.921 359 79.24 7.001 - 7.500 585 80,592,691 13.74 9.575 359 74.63 7.501 - 8.000 2 130,748 0.02 10.644 359 79.09 8.001 - 8.500 1 86,215 0.01 10.400 359 75.00 ----------------------------------------------------------------------------------------------------- Total: 3,905 586,606,720 100.00 8.714 355 77.63 ----------------------------------------------------------------------------------------------------- Non-Zero Minimum: 1.100 Maximum: 8.150 Non-Zero Weighted Average: 6.630
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ================================================================================ Page 6 of 13 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-NC2 ALL RECORDS ================================================================================
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Range of Minimum Mortgage Mortgage Principal Principal Interest Remaining Original Rates (%) Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- Fixed Rate Loans 1,078 136,608,213 23.29 8.398 343 73.02 5.501 - 6.000 1 124,676 0.02 5.990 359 79.99 6.001 - 6.500 11 2,224,237 0.38 6.491 359 69.06 6.501 - 7.000 86 15,619,111 2.66 6.955 359 72.84 7.001 - 7.500 190 38,772,026 6.61 7.414 359 73.44 7.501 - 8.000 321 63,800,781 10.88 7.905 358 78.84 8.001 - 8.500 439 77,906,701 13.28 8.393 359 79.62 8.501 - 9.000 601 98,010,267 16.71 8.878 359 80.76 9.001 - 9.500 398 56,330,776 9.60 9.348 359 81.30 9.501 - 10.000 396 54,752,032 9.33 9.836 359 80.29 10.001 - 10.500 167 19,462,780 3.32 10.336 359 79.58 10.501 - 11.000 111 12,252,810 2.09 10.835 359 79.76 11.001 - 11.500 48 5,110,311 0.87 11.312 359 73.34 11.501 - 12.000 35 3,752,828 0.64 11.874 359 70.78 12.001 - 12.500 17 1,310,736 0.22 12.329 359 63.36 12.501 - 13.000 4 247,539 0.04 12.702 359 68.51 13.001 - 13.500 2 320,894 0.05 13.175 358 74.98 ----------------------------------------------------------------------------------------------------- Total: 3,905 586,606,720 100.00 8.714 355 77.63 ----------------------------------------------------------------------------------------------------- Non-Zero Minimum: 5.990 Maximum: 13.250 Non-Zero Weighted Average: 8.810 -----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ================================================================================ Page 7 of 13 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-NC2 ALL RECORDS ================================================================================
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Range of Maximum Loan Mortgage Principal Principal Interest Remaining Original Rates (%) Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- Fixed Rate Loans 1,078 136,608,213 23.29 8.398 343 73.02 <=13.000 2 224,593 0.04 6.435 359 71.37 13.001 - 13.500 11 2,224,237 0.38 6.491 359 69.06 13.501 - 14.000 87 15,789,572 2.69 6.973 359 73.12 14.001 - 14.500 191 39,103,621 6.67 7.423 359 73.50 14.501 - 15.000 321 63,890,597 10.89 7.910 358 78.84 15.001 - 15.500 441 77,862,456 13.27 8.396 359 79.58 15.501 - 16.000 603 98,267,037 16.75 8.884 359 80.74 16.001 - 16.500 395 56,043,426 9.55 9.348 359 81.36 16.501 - 17.000 393 54,202,959 9.24 9.837 359 80.32 17.001 - 17.500 167 19,462,780 3.32 10.336 359 79.58 17.501 - 18.000 111 12,268,144 2.09 10.841 359 79.70 18.001 - 18.500 48 5,110,311 0.87 11.312 359 73.34 18.501 - 19.000 34 3,669,603 0.63 11.874 359 70.69 19.001 - 19.500 17 1,310,736 0.22 12.329 359 63.36 19.501 - 20.000 4 247,539 0.04 12.702 359 68.51 20.001 - 20.500 2 320,894 0.05 13.175 358 74.98 ----------------------------------------------------------------------------------------------------- Total: 3,905 586,606,720 100.00 8.714 355 77.63 ----------------------------------------------------------------------------------------------------- Non-Zero Minimum: 12,990 Maximum: 20.250 Non-Zero Weighted Average: 15.805 -----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ================================================================================ Page 8 of 13 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-NC2 ALL RECORDS ================================================================================
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Mortgage Principal Principal Interest Remaining Original Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- Fixed Rate Loans 1,078 136,608,213 23.29 8.398 343 73.02 1.000 16 2,265,344 0.39 9.124 359 75.78 1.500 2,085 446,736,394 76.16 8.811 359 79.09 2.000 5 942,043 0.16 7.664 359 58.48 3.000 1 54,726 0.01 10.000 359 75.00 ----------------------------------------------------------------------------------------------------- Total: 3,905 586,606,720 100.00 8.714 355 77.63 ----------------------------------------------------------------------------------------------------- Minimum: 1.000 Maximum: 3.000 Weighted Average: 1.499 -----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Mortgage Principal Principal Interest Remaining Original Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- Fixed Rate Loans 1,078 136,608,213 23.29 8.398 343 73.02 1.000 19 2,814,935 0.48 9.012 359 77.46 1.500 2,808 447,183,572 76.23 8.809 359 79.04 ----------------------------------------------------------------------------------------------------- Total: 3,905 586,606,720 100.00 8.714 355 77.63 ----------------------------------------------------------------------------------------------------- Minimum: 1.000 Maximum: 1.500 Weighted Average: 1.497 -----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ================================================================================ Page 9 of 13 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-NC2 ALL RECORDS ================================================================================
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Mortgage Principal Principal Interest Remaining Original Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- December 2003 1 41,607 0.01 8.990 356 70.00 February 2004 291 48,990,108 8.35 8.824 358 78.83 March 2004 2,399 379,513,111 64.70 8.826 359 79.20 April 2004 2 236,500 0.04 8.296 360 71.39 February 2005 12 1,799,514 0.31 8.476 342 74.94 March 2005 122 19,417,667 3.31 8.509 359 76.80 Fixed Rate 1,078 136,608,213 23.29 8.398 343 73.02 ----------------------------------------------------------------------------------------------------- Total: 3,905 586,606,720 100.00 8.714 355 77.63 -----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ================================================================================ Page 10 of 13 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-NC2 ALL RECORDS ================================================================================
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Geographic Distribution of Mortgage Principal Principal Interest Remaining Original Mortgaged Properties Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- California 1,191 254,671,677 43.41 8.303 358 76.99 Illinois 207 33,228,509 5.66 8.946 356 77.39 Michigan 328 32,313,920 5.51 9.323 357 77.43 Florida 280 30,881,029 5.26 9.006 350 79.02 Texas 289 25,310,801 4.31 9.517 332 76.77 Massachusetts 102 20,468,896 3.49 8.665 356 72.92 Colorado 123 19,472,870 3.32 8.671 358 80.05 Ohio 153 13,014,347 2.22 8.865 353 79.02 Georgia 103 12,552,387 2.14 9.414 353 79.82 New Jersey 63 12,009,179 2.05 8.929 358 76.16 Washington 63 11,179,084 1.91 8.634 356 79.28 Minnesota 78 10,572,483 1.80 8.760 356 79.47 Connecticut 52 9,032,858 1.54 8.605 356 75.76 Nevada 52 8,323,758 1.42 8.960 355 82.45 Arizona 64 8,020,157 1.37 8.863 358 80.78 Other 757 85,554,763 14.58 9.121 353 78.71 ----------------------------------------------------------------------------------------------------- Total: 3,905 586,606,720 100.00 8.714 355 77.63 ----------------------------------------------------------------------------------------------------- Number of States/District of Columbia Represented: 47 -----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Mortgage Principal Principal Interest Remaining Original Occupancy Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- Primary 3,581 544,246,255 92.78 8.707 355 77.97 Investment 318 40,978,584 6.99 8.822 357 73.33 Second Home 6 1,381,880 0.24 8.217 359 73.53 ----------------------------------------------------------------------------------------------------- Total: 3,905 586,606,720 100.00 8.714 355 77.63 -----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ================================================================================ Page 11 of 13 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-NC2 ALL RECORDS ================================================================================
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Mortgage Principal Principal Interest Remaining Original Property Type Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- Single Family Residence 3,149 458,187,457 78.11 8.737 355 77.41 PUD 295 58,335,589 9.94 8.634 356 80.63 2-4 Family 249 44,906,742 7.66 8.628 356 76.02 Condo 160 21,088,634 3.60 8.572 357 78.30 Manufactured Housing 52 4,088,297 0.70 8.952 337 73.74 ----------------------------------------------------------------------------------------------------- Total: 3,905 586,606,720 100.00 8.714 355 77.63 -----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Mortgage Principal Principal Interest Remaining Original Loan Purpose Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- Refinance - Cashout 2,726 410,814,422 70.03 8.678 355 76.46 Refinance - Rate Term 676 96,877,103 16.51 8.681 355 78.35 Purchase 503 78,915,195 13.45 8.944 358 82.88 ----------------------------------------------------------------------------------------------------- Total: 3,905 586,606,720 100.00 8.714 355 77.63 -----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ================================================================================ Page 12 of 13 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-NC2 ALL RECORDS ================================================================================
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Mortgage Principal Principal Interest Remaining Original Documentation Level Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- Full 2,403 318,502,783 54.30 8.663 354 78.01 Stated 1,291 225,016,078 38.36 8.824 356 77.04 Limited 211 43,087,859 7.35 8.522 355 77.92 ----------------------------------------------------------------------------------------------------- Total: 3,905 586,606,720 100.00 8.714 355 77.63 -----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Mortgage Principal Principal Interest Remaining Original Credit Score Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- 476 - 500 15 2,501,999 0.43 9.024 359 75.61 501 - 525 532 67,047,564 11.43 9.420 356 75.83 526 - 550 695 94,760,993 16.15 9.225 356 75.77 551 - 575 581 79,541,211 13.56 9.029 353 77.12 576 - 600 502 75,407,039 12.85 8.882 355 79.35 601 - 625 510 82,906,356 14.13 8.550 356 79.03 626 - 650 436 67,633,671 11.53 8.339 353 79.30 651 - 675 291 52,339,197 8.92 8.071 356 78.10 676 - 700 160 28,770,222 4.90 7.998 354 78.83 701 - 725 92 18,654,892 3.18 7.709 356 78.55 726 - 750 44 8,001,286 1.36 7.400 349 73.67 751 - 775 28 5,166,011 0.88 7.458 359 68.55 776 - 800 16 3,615,841 0.62 7.274 359 74.07 Above 800 3 260,437 0.04 8.524 359 77.11 ----------------------------------------------------------------------------------------------------- Total 3,905 586,606,720 100.00 8.714 355 77.63 ----------------------------------------------------------------------------------------------------- Minimum: 500 Maximum: 810 Weighted Average: 597 -----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ================================================================================ Page 13 of 13 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-NC2 GROUP II ================================================================================ -------------------------------------------------------------------------------- Summary Statistics -------------------------------------------------------------------------------- Number of Mortgage Loans: 1,352 Aggregate Principal Balance: 240,657,859 Weighted Average Current Mortgage Rate: 8.424 Weighted Average Margin: 6.556 Weighted Average Maximum Rate: 15.454 Weighted Average Original Term: 351 Weighted Average Stated Remaining Term: 350 Weighted Average Original LTV: 75.83 % First Liens: 100.00 % Owner Occupied: 92.73 %Purchase: 11.93 % Full Doe: 52.99 Weighted Average Credit Score: 617 --------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Mortgage Principal Principal Interest Remaining Original Product Types Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- Fixed - 10 Year 11 528,532 0.22 9.394 119 58.51 Fixed - 15 Year 118 8,929,377 3.71 8.931 179 70.96 Fixed - 20 Year 57 3,976,607 1.65 8.974 239 72.88 Fixed - 25 Year 6 306,025 0.13 8.808 299 73.52 Fixed - 3O Year 886 122,867,671 51.05 8.336 359 73.24 ARM - 2 Year/6 Month 264 99,843,573 41.49 8.478 359 79.75 ARM - 3 Year/6 Month 10 4,206,073 1.75 7.962 359 73.71 ----------------------------------------------------------------------------------------------------- Total: 1,352 240,657,859 100.00 8.424 350 75.83 -----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ================================================================================ Page 1 of 11 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-NC2 GROUP II ================================================================================
-------------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Range of Gross Interest Mortgage Principal Principal Interest Remaining Original Rates (%) Loans Balance ($) Balance Rate (%) Term LTV (%) -------------------------------------------------------------------------------------------------------- 6.000 - 6.999 100 24,425,280 10.15 6.851 357 70.76 7.000 - 7.999 374 82,198,692 34.16 7.673 353 73.66 8.000 - 8.999 407 75,281,663 31.28 8.595 348 77.72 9.000 - 9.999 292 41,905,511 17.41 9.551 346 78.25 10.000 - 10.999 127 12,776,195 5.31 10.480 337 79.92 11.000 - 11.999 40 3,236,576 1.34 11.583 348 77.05 12.000 - 12.999 9 651,214 0.27 12.464 320 79.41 13.000 - 13.999 2 137,347 0.06 13.195 243 65.29 14.000 - 14.999 1 45,380 0.02 14.200 359 70.00 -------------------------------------------------------------------------------------------------------- Total: 1,352 240,657,859 100.00 8.424 350 75.83 -------------------------------------------------------------------------------------------------------- Minimum: 6.490 Maximum: 14.200 Weighted Average: 8.424 --------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ================================================================================ Page 2 of 11 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-NC2 GROUP II ================================================================================
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Range of Cut-off Date Mortgage Principal Principal Interest Remaining Original Principal Balances ($) Loans Balance($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- 25,001 - 50,000 165 6,987,834 2.90 9.640 289 65.36 50,001 - 75,000 247 15,486,229 6.43 9.198 317 71.43 75,001 - 100,000 157 13,638,895 5.67 8.949 336 73.71 100,001 - 125,000 126 14,088,594 5.85 8.586 337 76.06 125,001 - 150,000 92 12,710,211 5.28 8.222 348 72.62 150,001 - 175,000 78 12,738,153 5.29 8.383 351 76.39 175,001 - 200,000 59 11,126,883 4.62 8.207 356 74.47 200,001 - 225,000 29 6,105,001 2.54 8.380 351 74.06 225,001 - 250,000 20 4,739,560 1.97 8.236 350 79.16 250,001 - 275,000 29 7,600,476 3.16 8.023 353 73.85 275,001 - 300,000 17 4,961,735 2.06 8.087 359 74.49 300,001 - 325,000 75 23,495,005 9.76 8.348 356 80.95 325,001 - 350,000 50 16,891,893 7.02 8.354 359 79.98 350,001 - 375,000 36 13,030,520 5.41 8.250 359 78.70 375,001 - 400,000 46 17,909,731 7.44 8.501 359 76.84 400,001 - 425,000 22 9,075,046 3.77 7.948 359 79.73 425,001 - 450,000 32 14,110,510 5.86 8.437 359 77.29 450,001 - 475,000 22 10,219,034 4,25 8.709 359 78.16 475,001 - 500,000 32 15,762,923 6.55 7.987 359 71.63 500,001 - 525,000 5 2,607,922 1.08 7.884 359 66.02 525,001 - 550,000 6 3,212,101 1.33 7.728 359 79.97 550,001 - 575,000 2 1,131,710 0.47 7.376 358 74.71 575,001 - 600,000 4 2,398,386 1.00 7.998 359 73.70 600,001 >= 1 629,508 0.26 7.240 359 60.29 -------------------------------------------------------------------------------------------------------- Total: 1,352 240,657,859 100.00 8.424 350 75.83 -------------------------------------------------------------------------------------------------------- Minimum: 32,282 Maximum: 629,508 Average: 178,001 -----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ================================================================================ Page 3 of 11 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-NC2 GROUP II ================================================================================
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Mortgage Principal Principal Interest Remaining Original Range of Original Terms Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- 120 11 528,532 0.22 9.394 119 58.51 180 118 8,929,377 3.71 8.931 179 70.96 240 57 3,976,607 1.65 8.974 239 72.88 300 6 306,025 0.13 8.808 299 73.52 360 1,160 226,917,318 94.29 8.392 359 76.11 ----------------------------------------------------------------------------------------------------- Total: 1,352 240,657,859 100.00 8.424 350 75.83 ----------------------------------------------------------------------------------------------------- Minimum: 120 Maximum: 360 Weighted Average: 351 -----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Mortgage Principal Principal Interest Remaining Original Range of Remaining Terms Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- 109-120 11 528,532 0.22 9.394 119 58.51 169-180 118 8,929,377 3.71 8.931 179 70.96 229-240 57 3,976,607 1.65 8.974 239 72.88 289-300 6 306,025 0.13 8.808 299 73.52 349-360 1,160 226,917,318 94.29 8.392 359 76.11 ----------------------------------------------------------------------------------------------------- Total: 1,352 240,657,859 100.00 8.424 350 75.83 ----------------------------------------------------------------------------------------------------- Minimum: 118 Maximum: 359 Weighted Average: 350 -----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ================================================================================ Page 4 of 11 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-NC2 GROUP II ================================================================================
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Range of Original LTV Mortgage Principal Principal Interest Remaining Original Ratios Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- <= 30.00 19 1,580,144 0.66 8.244 323 25.99 30.01 - 40.00 23 2,356,177 0.98 8.301 344 35.57 40.01 - 50.00 61 7,475,699 3.11 8.005 340 46.54 50.01 - 60.00 114 15,536,949 6.46 8.011 343 55.62 60.01 - 70.00 209 36,909,962 15.34 8.327 347 65.98 70.01 - 80.00 551 99,713,506 41.43 8.267 350 77.76 80.01 - 90.00 352 72,613,300 30.17 8.820 353 86.72 90.01 - 100.00 23 4,472,123 1.86 8.547 359 94.93 ----------------------------------------------------------------------------------------------------- Total: 1,352 240,657,859 100.00 8.424 350 75.83 ----------------------------------------------------------------------------------------------------- Minimum: 13.73 Maximum: 95.00 Weighted Average: 75.83 -----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Mortgage Principal Principal Interest Remaining Original Range of Gross Margin (%) Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- Fixed Rate Loans 1,078 136,608,213 56.76 8.398 343 73.02 <=5.000 1 309,777 0.13 7.650 359 93.94 5.001 - 5.500 1 449,713 0.19 8.250 359 90.00 6.001 - 6.500 167 63,922,986 26.56 8.264 359 80.11 6.501 - 7.000 73 27,605,367 11.47 8.651 359 79.59 7.001 - 7.500 32 11,761,805 4.89 9.082 359 75.25 ----------------------------------------------------------------------------------------------------- Total: 1,352 240,657,859 100.00 8.424 350 75.83 ----------------------------------------------------------------------------------------------------- Non-Zero Minimum: 4.650 Maximum: 7.400 Non-Zero Weighted Average: 6.556 -----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ================================================================================ Page 5 of 11 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-NC2 GROUP II ================================================================================
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Range of Minimum Mortgage Principal Principal Interest Remaining Original Mortgage Rates (%) Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- Fixed Rate Loans 1,078 136,608,213 56.76 8.398 343 73.02 6.001 - 6.500 3 1,239,376 0.51 6.490 359 72.68 6.501 - 7.000 10 3,859,049 1.60 6.944 359 73.07 7.001 - 7.500 34 14,454,488 6.01 7.428 359 73.76 7.501 - 8.000 62 23,080,227 9.59 7.924 359 80.29 8.001 - 8.500 52 20,131,844 8.37 8.404 359 79.26 8.501 - 9.000 59 21,060,209 8.75 8.899 359 81.89 9.001 - 9.500 18 6,600,171 2.74 9.356 359 83.46 9.501 - 10.000 28 10,611,253 4.41 9.825 359 81.27 10.001 - 10.500 5 1,825,330 0.76 10.350 359 82.00 10.501 - 11.000 2 752,324 0.31 10.872 359 92.64 11.501 - 12.000 1 435,375 0.18 11.990 359 65.00 ----------------------------------------------------------------------------------------------------- Total: 1,352 240,657,859 100.00 8.424 350 75.83 ----------------------------------------------------------------------------------------------------- Non-Zero Minimum: 6.490 Maximum: 11.990 Non-Zero Weighted Average: 8.457 -----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ================================================================================ Page 6 of 11 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-NC2 GROUP II ================================================================================
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Range of Maximum Loan Mortgage Principal Principal Interest Remaining Original Rates (%) Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- Fixed Rate Loans 1,078 136,608,213 56.76 8.398 343 73.02 13.001 - 13.500 3 1,239,376 0.51 6.490 359 72.68 13.501 - 14.000 10 3,859,049 1.60 6.944 359 73.07 14.001 - 14.500 35 14,786,084 6.14 7.452 359 73.90 14.501 - 15.000 62 23,080,227 9.59 7.924 359 80.29 15.001 - 15.500 51 19,800,249 8.23 8.402 359 79.24 15.501 - 16.000 59 21,060,209 8.75 8.899 359 81.89 16.001 - 16.500 18 6,600,171 2.74 9.356 359 83.46 16.501 - 17.000 28 10,611,253 4.41 9.825 359 81.27 17.001 - 17.500 5 1,825,330 0.76 10.350 359 82.00 17.501 - 18.000 2 752,324 0.31 10.872 359 92.64 18.501 - 19.000 1 435,375 0.18 11.990 359 65.00 ----------------------------------------------------------------------------------------------------- Total: 1,352 240,657,859 100.00 8.424 350 75.83 ----------------------------------------------------------------------------------------------------- Non-Zero Minimum: 13.490 Maximum: 18.990 Non-Zero Weighted Average: 15.454 -----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Initial Periodic Mortgage Principal Principal Interest Remaining Original Cap (%) Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- Fixed Rate Loans 1,078 136,608,213 56.76 8.398 343 73.02 1.000 1 331,595 0.14 8.490 358 80.00 1.500 273 103,718,051 43.10 8.457 359 79.50 ----------------------------------------------------------------------------------------------------- Total: 1,352 240,657,859 100.00 8.424 350 75.83 ----------------------------------------------------------------------------------------------------- Minimum: 1.000 Maximum: 1.500 Weighted Average: 1.498 -----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ================================================================================ Page 7 of 11 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-NC2 GROUP II ================================================================================
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Subsequent Periodic Mortgage Principal Principal Interest Remaining Original Cap (%) Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- Fixed Rate Loans 1,078 136,608,213 56.76 8.398 343 73.02 1.000 1 331,595 0.14 8.490 358 80.00 1.500 273 103,718,051 43.10 8.457 359 79.50 ----------------------------------------------------------------------------------------------------- Total: 1,352 240,657,859 100.00 8.424 350 75.83 ----------------------------------------------------------------------------------------------------- Minimum: 1.000 Maximum: 1.500 Weighted Average: 1.498 -----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Mortgage Principal Principal Interest Remaining Original Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- February 2004 38 14,039,596 5.83 8.632 358 80.85 March 2004 226 85,803,977 35.65 8.453 359 79.57 March 2005 10 4,206,073 1.75 7.962 359 73.71 Fixed Rate 1,078 136,608,213 56.76 8.398 343 73.02 ---------------------------------------------------------------------------------------------------- Total: 1,352 240,657,859 100.00 8.424 350 75.83 -----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ================================================================================ Page 8 of 11 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-NC2 GROUP II ================================================================================
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Geographic Distribution Mortgage Principal Principal Interest Remaining Original of Mortgaged Properties Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- California 487 125,346,648 52.09 8.078 357 75.38 Florida 122 14,468,961 6.01 8.907 340 78.46 Texas 163 13,648,845 5.67 9.331 309 76.12 Illinois 50 9,779,582 4.06 8.859 349 77.09 Michigan 66 7,420,594 3.08 9.199 353 78.03 New Jersey 30 6,487,066 2.70 8.671 356 74.85 Massachusetts 24 6,236,971 2.59 7.994 350 68.03 Connecticut 16 4,494,693 1.87 8.344 353 72.52 Ohio 54 4,276,145 1.78 8.584 341 75.50 Colorado 20 4,175,552 1.74 8.154 356 78.14 Virginia 18 4,148,404 1.72 8.319 352 75.38 Georgia 30 3,983,163 1.66 9.390 342 78.28 Washington 15 3,300,104 1.37 8.140 348 78.79 Nevada 10 2,291,475 0.95 8.810 346 82.44 New Mexico 14 2,224,114 0.92 8.984 353 78.12 Other 233 28,375,543 11.79 8.819 342 76.10 ----------------------------------------------------------------------------------------------------- Total: 1,352 240,657,859 100.00 8.424 350 75.83 ----------------------------------------------------------------------------------------------------- Number of States/District of Columbia Represented: 43 -----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Mortgage Principal Principal Interest Remaining Original Occupancy Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- Primary 1,231 223,157,085 92.73 8.405 349 76.17 Investment 118 16,596,124 6.90 8.702 357 71.19 Second Home 3 904,650 0.38 8.069 359 77.06 ----------------------------------------------------------------------------------------------------- Total: 1,352 240,657,859 100.00 8.424 350 75.83 -----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ================================================================================ Page 9 of 11 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-NC2 GROUP II ================================================================================
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Mortgage Principal Principal Interest Remaining Original Property Type Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- Single Family Residence 1,071 187,688,200 77.99 8.424 349 75.49 PUD 129 31,848,653 13.23 8.412 354 80.01 2-4 Family 80 12,633,303 5.25 8.438 352 70.02 Condo 51 7,091,990 2.95 8.325 352 77.16 Manufactured Housing 21 1,395,713 0.58 9.007 296 70.60 ----------------------------------------------------------------------------------------------------- Total: 1,352 240,657,859 100.00 8.424 350 75.83 -----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Mortgage Principal Principal Interest Remaining Original Loan Purpose Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- Refinance - Cashout 1,023 176,361,443 73.28 8.408 349 74.66 Refinance - Rate Term 206 35,583,373 14.79 8.400 348 76.07 Purchase 123 28,713,043 11.93 8.553 356 82.68 ----------------------------------------------------------------------------------------------------- Total: 1,352 240,657,859 100.00 8.424 350 75.83 -----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ================================================================================ Page 10 of 11 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-NC2 GROUP II ================================================================================
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Mortgage Principal Principal Interest Remaining Original Documentation Level Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- Full 885 127,519,401 52.99 8.307 347 75.71 Stated 387 90,485,466 37.60 8.610 353 75.99 Limited 80 22,652,993 9.41 8.339 352 75.78 ----------------------------------------------------------------------------------------------------- Total: 1,352 240,657,859 100.00 8.424 350 75.83 -----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------- % of Mortgage Pool by Aggregate Aggregate Weighted Number Cut-off Cut-off Average Weighted Weighted of Date Date Gross Average Average Mortgage Principal Principal Interest Remaining Original Credit Score Loans Balance ($) Balance Rate (%) Term LTV (%) ----------------------------------------------------------------------------------------------------- 476 - 500 4 955,691 0.40 8.683 359 72.70 501 - 525 123 18,053,855 7.50 9.378 348 76.13 526 - 550 167 26,650,888 11.07 9.125 349 72.49 551 - 575 180 26,183,935 10.88 9.005 342 75.06 576 - 600 154 26,750,955 11.12 8.762 347 76.84 601 - 625 174 35,461,381 14.74 8.430 353 76.53 626 - 650 186 32,391,250 13.46 8.152 347 77.56 651 - 675 157 30,902,073 12.84 7.903 355 76.14 676 - 700 81 17,229,360 7.16 7.851 350 76.78 701 - 725 64 13,696,600 5.69 7.563 355 78.00 726 - 750 29 5,350,250 2.22 7.361 344 70.94 751 - 775 20 3,970,017 1.65 7.314 359 70.13 776 - 800 12 2,983,673 1.24 7.133 359 73.24 Above 800 1 77,933 0.03 6.750 359 60.00 ----------------------------------------------------------------------------------------------------- Total: 1,352 240,657,859 100.00 8.424 350 75.83 ----------------------------------------------------------------------------------------------------- Minimum: 500 Maximum: 803 Weighted Average: 617 -----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. ================================================================================ Page 11 of 11