EX-99 3 ms669026-ex99_1.txt COMPUTATIONAL MATERIALS EXHIBIT 99 -------------------------------------------------------------------------------- MORGAN STANLEY July 10, 2002 Securitized Products Group [MORGAN STANLEY LOGO] -------------------------------------------------------------------------------- COMPUTATIONAL MATERIALS $175,264,000 APPROXIMATELY MORGAN STANLEY DEAN WITTER CAPITAL I INC. SERIES 2002-HE2 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 In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum.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 July 10, 2002 Securitized Products Group [MORGAN STANLEY LOGO] -------------------------------------------------------------------------------- APPROXIMATELY $175,264,000 MORGAN STANLEY DEAN WITTER CAPITAL I INC., SERIES 2002-HE2 MORGAN STANLEY DEAN WITTER CAPITAL I INC. DEPOSITOR INDYMAC BANK, F.S.B. & THE PROVIDENT BANK SERVICERS TRANSACTION HIGHLIGHTS ----------------------
------- ----------- ------------ ---------------- ------------- ------------ ---------------------------- ----------- ------------- MODIFIED EXPECTED RATINGS AVG LIFE TO DURATION OFFERED (S&P/FITCH/ CALL / TO CALL / PAYMENT WINDOW TO CALL / CLASSES DESCRIPTION BALANCE MOODY'S) MTY(1)(2) MTY(1)(2)(3) MTY(1)(2) DAY COUNT BENCHMARK ======= =========== ============ ================ ============= ============ ============================ =========== ============= A-1 Not Offered $436,653,000 *****Not Offered***** ------- ----------- ------------ ---------------- ------------- ------------ ---------------------------- ----------- ------------- A-2 Floater $72,500,000 AAA/AAA/Aaa 2.74 / 2.99 2.61 / 2.81 8/02 - 6/10 / 8/02 - 11/19 Actual/360 1 Month LIBOR ------- ----------- ------------ ---------------- ------------- ------------ ---------------------------- ----------- ------------- M-1 Floater $38,925,000 AA/AA/Aa2 5.30 / 5.86 4.93 / 5.37 10/05 - 6/10 / 10/05 - 12/16 Actual/360 1 Month LIBOR ------- ----------- ------------ ---------------- ------------- ------------ ---------------------------- ----------- ------------- M-2 Floater $31,141,000 A/A/A2 5.27 / 5.77 4.82 / 5.19 9/05- 6/10/ 9/05 - 8/15 Actual/360 1 Month LIBOR ------- ----------- ------------ ---------------- ------------- ------------ ---------------------------- ----------- ------------- B-1 Floater $26,470,000 BBB/BBB/Baa2 5.26 / 5.57 4.71 / 4.93 8/05 - 6/10 / 8/05 - 11/13 Actual/360 1 Month LIBOR ------- ----------- ------------ ---------------- ------------- ------------ ---------------------------- ----------- ------------- B-2 Floater $6,228,000 BBB-/BBB-/Baa3 5.17 / 5.18 4.59 / 4.59 8/05 - 6/10 / 8/05 - 10/10 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. (3) Assumes pricing at par.
ISSUER: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-HE2. DEPOSITOR: Morgan Stanley Dean Witter Capital I Inc. ORIGINATORS: There will be two originators: o Aames Capital Corporation o IndyMac Bank, F.S.B. SERVICERS: There will be two servicers: o IndyMac Bank, F.S.B. will service the Mortgage Loans it originated. o The Provident Bank will service the Mortgage Loans originated by Aames Capital Corporation. 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 TRUSTEE: Deutsche Bank National Trust Company. MANAGERS: Morgan Stanley (lead manager); Blaylock & Partners, L.P. and Utendahl Capital Partners, L.P. RATING AGENCIES: Standard & Poor's, Fitch Ratings and Moody's Investors Service. OFFERED CERTIFICATES: Classes A-2, M-1, M-2, B-1 and B-2 Certificates. EXPECTED PRICING DATE: July [12], 2002. EXPECTED CLOSING DATE: [July 25, 2002] through DTC and Euroclear or Clearstream, Luxembourg. The Certificates will be sold without accrued interest. DISTRIBUTION DATES: The 25th of each month, or if such day is not a business day, on the next business day, beginning August 25, 2002. FINAL SCHEDULED DISTRIBUTION DATE: The Distribution Date occurring in August 2032. 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 the current Distribution Date (on an actual/360 day count basis). MORTGAGE LOANS: The Trust will consist of two groups of adjustable and fixed rate sub-prime residential mortgage loans. GROUP I MORTGAGE LOANS: Approximately $475.9 million 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. It is expected that up to approximately $58.2 million of Mortgage Loans may be purchased by the trust for a period of 3 months after the closing date (the "Group I Pre-Funding Period") as described below. GROUP II MORTGAGE Approximately $71.9 million 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. It is expected that up to approximately $16.8 million of Mortgage Loans may be purchased by the trust for a period of 3 months after the closing date (the "Group II Pre-Funding Period") as described below. GROUP I PRE-FUNDING: On the Closing Date, approximately $58.2 million from the sale of the Offered Certificates (the "Group I Pre-Funded Amount") will be deposited with the Trustee into a separate account (the "Group I Pre-Funding Account") and be used by the Trust to purchase additional Mortgage Loans during the Pre-Funding Period. GROUP II PRE-FUNDING: On the Closing Date, approximately $16.8 million from the sale of the Offered Certificates (the "Group II Pre-Funded Amount" and together with the Group I Pre-Funded Amount, the "Pre-Funded Amount") will be deposited with the Trustee into a separate account (the "Group II Pre-Funding Account") and be used by the Trust to purchase additional Mortgage Loans during the Pre-Funding 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 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 applicable Due Period, subject to a 0.50% floor, based on the sum of the initial balance of the Mortgage Loans and the Pre-Funded Amount, and 3) Subordination of distributions on the more subordinate classes of certificates (if applicable) to the required distributions on the more senior classes of certificates. SENIOR ENHANCEMENT For any Distribution Date, the percentage obtained by PERCENTAGE: dividing (x) the aggregate Certificate Principal Balance of the subordinate certificates (together with any overcollateralization and taking into account the distributions of the Principal Distribution Amount for such Distribution Date) by (y) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period. STEP-DOWN DATE: The later to occur of: (x) The earlier of: (a) the Distribution Date occurring in August 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 Senior Enhancement Percentage (calculated for this purpose only after taking into account payments of principal on the Mortgage Loans on the last day of the related Due Period but prior to principal distributions to the certificates on the applicable Distribution Date) is greater than or equal to approximately 36.50% 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 and (ii) may include other trigger events related to the performance of the Mortgage Loans. 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: 18.25% PERCENTAGE: Class M-1: 12.00% Class M-2: 7.00% Class B-1: 2.75% Class B-2: 1.75% OPTIONAL CLEAN-UP CALL: When the current aggregate principal balance of the Mortgage Loans is less than or equal to 10% of the sum of the total principal balance of the Mortgage Loans, as of July 1, 2002, plus the Pre-Funded Amount. STEP-UP COUPONS: For all Offered Certificates the coupon will increase after the optional clean-up call date, should the call not be exercised. CLASS A-1 PASS-THROUGH The Class A-1 Certificates will accrue interest at a RATE: variable rate equal to the least of (i) one-month LIBOR plus [ ] bps ([ ] bps after the first distribution date on which the Optional Clean-up Call is exercisable), (ii) the Loan Group I Cap and (iii) 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 4 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 lesser 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 lesser 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 lesser 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-2 PASS-THROUGH The Class B-2 Certificates will accrue interest at a RATE: variable rate equal to the lesser 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. 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. 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. 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). 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 CLASS M-1, M-2, B-1 As to any Distribution Date, the supplemental interest AND B-2 BASIS RISK amount for each of the Class M-1, M-2, B-1 and B-2 CARRY 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). INTEREST DISTRIBUTIONS On each Distribution Date and after payments of ON OFFERED servicing and trustee fees and expenses interest CERTIFICATES: distributions from the Interest Remittance Amount will be allocated as follows: (i) the portion of the Interest Remittance Amount attributable to the Group I Mortgage Loans will be allocated according to the related Accrued Certificate Interest and any unpaid interest shortfall amounts for such class, as applicable, first, to the Class A-1 Certificates and second, to the Class A-2 Certificates; (ii) the portion of the Interest Remittance Amount attributable to the Group II Mortgage Loans will be allocated according to the related Accrued Certificate Interest and any unpaid interest shortfall amounts for such class, as applicable, first, to the Class A-2 Certificates and second, to the Class A-1 Certificates; (iii) to the Class M-1 Certificates, its Accrued Certificate Interest; (iv) to the Class M-2 Certificates, its Accrued Certificate Interest; (v) to the Class B-1 Certificates, its Accrued Certificate Interest; and (vi) to the Class B-2 Certificates, its Accrued Certificate Interest. This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. -------------------------------------------------------------------------------- Page 6 PRINCIPAL On each Distribution Date (a) prior to the Stepdown DISTRIBUTIONS ON Date or (b) on which a Trigger Event is in effect, OFFERED CERTIFICATES: principal distributions from the Principal Distribution Amount will be allocated as follows: (i) to the Class A Certificates, allocated between the Class A Certificates as described below, until the Certificate Principal Balances thereof have been reduced to zero; (ii) to the Class M-1 Certificates, until the Certificate Principal Balance thereof have been reduced to zero; (iii) to the Class M-2 Certificates, until the Certificate Principal Balance thereof have been reduced to zero; (iv) to the Class B-1 Certificates, until the Certificate Principal Balance thereof have been reduced to zero; and (v) to the Class B-2 Certificates, until the Certificate Principal Balance thereof have been reduced to zero. On each Distribution Date (a) on or after the Stepdown Date and (b) on which a Trigger Event is not in effect, the principal distributions from the Principal Distribution Amount will be allocated as follows: (i) to the Class A Certificates, the lesser of the Principal Distribution Amount and the Class A Principal Distribution Amount, allocated between the Class A Certificates as described below, until the Certificate Principal Balances thereof have been reduced to zero; (ii) to the Class M-1 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-1 Principal Distribution Amount, until the Certificate Principal Balance thereof have been reduced to zero; (iii) to the Class M-2 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-2 Principal Distribution Amount, until the Certificate Principal Balance thereof have been reduced to zero; (iv) to the Class B-1 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-1 Principal Distribution Amount, until the Certificate Principal Balance thereof have been reduced to zero; and (v) to the Class B-2 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-2 Principal Distribution Amount, until the Certificate Principal Balance thereof have been reduced to zero. All principal distributions to the Class A Certificates on any Distribution Date will be allocated between the Class A-1 Certificates and the Class A-2 Certificates on a pro rata basis based on the Class A Principal Allocation Percentage for each such class on such Distribution Date; provided, however, that if the Certificate Principal Balance of either class of Class A Certificates is reduced to zero, then the remaining amount of principal distributions distributable to the class of Class A Certificates on such Distribution Date and all subsequent Distribution Dates, will be distributed to the Class A Certificates remaining until the Certificate Principal Balance thereof has been reduced to zero. PRE-FUNDING ACCOUNT Any funds in the Group I Pre-Funding Account not used to FAILURE: purchase additional Group I Mortgage Loans during the Group I Pre-Funding Period will be paid as principal to the A-1 Certificates. Any funds in the Group II Pre-Funding Account not used to purchase additional Group II Mortgage Loans during the Group II Pre-Funding Period will be paid as principal to the A-2 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 7 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) to the Class B-2 Certificates, the unpaid interest shortfall amount; (viii) to the Class B-2 Certificates, the allocated unreimbursed realized loss amount; (ix) concurrently, any Class A-1 Basis Risk Carry Forward Amount to the Class A-1 Certificates, and any Class A-2 Basis Risk Carry Forward Amount to the Class A-2 Certificates; and (x) sequentially, to Classes M-1, M-2, B-1 and B-2 Certificates, in such order, any Basis Risk Carry Forward Amount for such classes. INTEREST REMITTANCE For any Distribution Date, the portion of available AMOUNT: funds for such Distribution Date attributable to interest received or advanced on the Mortgage Loans. ACCRUED CERTIFICATE For any Distribution Date and each class of Offered INTEREST: Certificates, equals the amount of interest accrued during the related interest accrual period at the related Pass-through Rate, reduced by any prepayment interest shortfalls and shortfalls resulting from the application of the Soldiers' and Sailors' Civil Relief Act of 1940 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 funds CASHFLOW: available for distribution on such Distribution Date remaining after making all distributions of interest and principal on the certificates. EXTRA PRINCIPAL For any Distribution Date, the lesser of (i) the excess DISTRIBUTION AMOUNT: of (x) interest collected or advanced with respect to the Mortgage Loans with due dates in 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. 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 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 63.50% 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 $3,114,084. 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 $3,114,084. 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 86.00% 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 $3,114,084. 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 94.50% 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 $3,114,084. 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 CLASS B-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), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class B-1 Certificates (after taking into account the payment of the Class B-1 Principal Distribution Amount on such Distribution Date) and (v) the Certificate Principal Balance of the Class B-2 Certificates immediately prior to such Distribution Date and 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 $3,114,084 provided, however, that with respect to any Distribution Date on which the Class Certificate Balance of the Class A, Class M-1, Class M-2 and Class B-1 Certificates have been reduced to zero, the Class B-2 Principal Distribution Amount is the lesser of (x) the Class Certificate Balance of the Class B-2 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 and Class M-1 Certificates will be SMMEA eligible after the expiration of the Group I and Group II Pre-Funding Period. PROSPECTUS: The Class A-2, Class M-1, Class M-2, Class B-1 and Class B-2 Certificates are being offered pursuant to a prospectus supplemented by a prospectus supplement (together, the "Prospectus"). Complete information with respect to the Offered Certificates and the collateral securing them is contained in the Prospectus. The information herein is qualified in its entirety by the information appearing in the Prospectus. To the extent that the information herein is inconsistent with the Prospectus, the Prospectus shall govern in all respects. Sales of the Offered Certificates may not be consummated unless the purchaser has received the Prospectus. PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A DESCRIPTION OF INFORMATION THAT SHOULD BE CONSIDERED IN CONNECTION WITH AN INVESTMENT IN THE OFFERED CERTIFICATES. This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. -------------------------------------------------------------------------------- Page 10 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 July 2003 99 79 72 65 58 July 2004 98 59 48 38 28 July 2005 97 43 30 19 9 July 2006 95 34 25 18 9 July 2007 94 27 19 12 8 July 2008 92 22 14 9 5 July 2009 91 18 10 6 3 July 2010 89 14 8 4 2 July 2011 87 11 6 3 1 July 2012 85 9 4 2 1 July 2013 83 7 3 1 0 July 2014 80 6 2 1 0 July 2015 77 5 2 0 0 July 2016 74 4 1 0 0 July 2017 71 3 1 0 0 July 2018 67 2 0 0 0 July 2019 63 2 0 0 0 July 2020 59 1 0 0 0 July 2021 55 1 0 0 0 July 2022 50 1 0 0 0 July 2023 45 0 0 0 0 July 2024 40 0 0 0 0 July 2025 36 0 0 0 0 July 2026 32 0 0 0 0 July 2027 28 0 0 0 0 July 2028 23 0 0 0 0 July 2029 18 0 0 0 0 July 2030 12 0 0 0 0 July 2031 6 0 0 0 0 July 2032 0 0 0 0 0 Average Life to Maturity (years) 19.01 4.00 2.99 2.29 1.76 Average Life to Call (1) (years) 18.95 3.69 2.74 2.10 1.60 (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 TO MATURITY ----------- PERCENTAGE OF CLASS M-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150% --------------- -------------- -------------- -------------- ------------- -------------- Initial 100 100 100 100 100 July 2003 100 100 100 100 100 July 2004 100 100 100 100 100 July 2005 100 100 100 100 100 July 2006 100 87 64 46 78 July 2007 100 70 47 31 20 July 2008 100 56 35 21 12 July 2009 100 45 26 15 8 July 2010 100 36 19 10 5 July 2011 100 29 14 7 1 July 2012 100 23 11 5 0 July 2013 100 19 8 1 0 July 2014 100 15 6 0 0 July 2015 100 12 4 0 0 July 2016 100 9 1 0 0 July 2017 100 7 0 0 0 July 2018 100 5 0 0 0 July 2019 100 4 0 0 0 July 2020 100 2 0 0 0 July 2021 100 0 0 0 0 July 2022 100 0 0 0 0 July 2023 100 0 0 0 0 July 2024 98 0 0 0 0 July 2025 89 0 0 0 0 July 2026 78 0 0 0 0 July 2027 66 0 0 0 0 July 2028 54 0 0 0 0 July 2029 41 0 0 0 0 July 2030 27 0 0 0 0 July 2031 12 0 0 0 0 July 2032 0 0 0 0 0 Average Life to Maturity (years) 26.21 7.73 5.86 4.98 4.77 Average Life to Call (1) (years) 26.09 7.03 5.30 4.55 4.42 (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 12 TO MATURITY ----------- PERCENTAGE OF CLASS M-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150% --------------- -------------- -------------- -------------- ------------- -------------- Initial 100 100 100 100 100 July 2003 100 100 100 100 100 July 2004 100 100 100 100 100 July 2005 100 100 100 100 100 July 2006 100 87 64 46 32 July 2007 100 70 47 31 20 July 2008 100 56 35 21 12 July 2009 100 45 26 15 8 July 2010 100 36 19 10 1 July 2011 100 29 14 6 0 July 2012 100 23 11 1 0 July 2013 100 19 8 0 0 July 2014 100 15 4 0 0 July 2015 100 12 0 0 0 July 2016 100 9 0 0 0 July 2017 100 7 0 0 0 July 2018 100 3 0 0 0 July 2019 100 0 0 0 0 July 2020 100 0 0 0 0 July 2021 100 0 0 0 0 July 2022 100 0 0 0 0 July 2023 100 0 0 0 0 July 2024 98 0 0 0 0 July 2025 89 0 0 0 0 July 2026 78 0 0 0 0 July 2027 66 0 0 0 0 July 2028 54 0 0 0 0 July 2029 41 0 0 0 0 July 2030 27 0 0 0 0 July 2031 12 0 0 0 0 July 2032 0 0 0 0 0 Average Life to Maturity (years) 26.20 7.65 5.77 4.78 4.31 Average Life to Call (1) (years) 26.09 7.03 5.27 4.40 4.00 (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 13 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 July 2003 100 100 100 100 100 July 2004 100 100 100 100 100 July 2005 100 100 100 100 100 July 2006 100 87 64 46 32 July 2007 100 70 47 31 20 July 2008 100 56 35 21 9 July 2009 100 45 26 12 1 July 2010 100 36 19 5 0 July 2011 100 29 12 0 0 July 2012 100 23 6 0 0 July 2013 100 19 1 0 0 July 2014 100 13 0 0 0 July 2015 100 8 0 0 0 July 2016 100 4 0 0 0 July 2017 100 0 0 0 0 July 2018 100 0 0 0 0 July 2019 100 0 0 0 0 July 2020 100 0 0 0 0 July 2021 100 0 0 0 0 July 2022 100 0 0 0 0 July 2023 100 0 0 0 0 July 2024 98 0 0 0 0 July 2025 89 0 0 0 0 July 2026 78 0 0 0 0 July 2027 66 0 0 0 0 July 2028 54 0 0 0 0 July 2029 41 0 0 0 0 July 2030 27 0 0 0 0 July 2031 8 0 0 0 0 July 2032 0 0 0 0 0 Average Life to Maturity (years) 26.17 7.43 5.57 4.56 4.01 Average Life to Call (1) (years) 26.09 7.03 5.26 4.33 3.82 (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 14 TO MATURITY ----------- PERCENTAGE OF CLASS B-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
Dates PPC 0% PPC 75% PPC 100% PPC 125% PPC 150% --------------- -------------- -------------- -------------- ------------- -------------- Initial 100 100 100 100 100 July 2003 100 100 100 100 100 July 2004 100 100 100 100 100 July 2005 100 100 100 100 100 July 2006 100 87 64 46 32 July 2007 100 70 47 31 5 July 2008 100 56 35 9 0 July 2009 100 45 22 0 0 July 2010 100 36 4 0 0 July 2011 100 29 0 0 0 July 2012 100 14 0 0 0 July 2013 100 1 0 0 0 July 2014 100 0 0 0 0 July 2015 100 0 0 0 0 July 2016 100 0 0 0 0 July 2017 100 0 0 0 0 July 2018 100 0 0 0 0 July 2019 100 0 0 0 0 July 2020 100 0 0 0 0 July 2021 100 0 0 0 0 July 2022 100 0 0 0 0 July 2023 100 0 0 0 0 July 2024 98 0 0 0 0 July 2025 89 0 0 0 0 July 2026 78 0 0 0 0 July 2027 66 0 0 0 0 July 2028 54 0 0 0 0 July 2029 41 0 0 0 0 July 2030 26 0 0 0 0 July 2031 0 0 0 0 0 July 2032 0 0 0 0 0 Average Life to Maturity (years) 26.04 6.92 5.18 4.22 3.70 Average Life to Call (1) (years) 26.04 6.91 5.17 4.21 3.69 (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 15 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD CLASS A-2 CAP (%) CLASS M-1 CAP (%) CLASS M-2 CAP (%) CLASS B-1 CAP (%) CLASS B-2 CAP (%) -------------- ----------------- ----------------- ----------------- ----------------- ----------------- ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 0 - - - - - 1 6.72 7.27 7.27 7.27 7.27 2 7.82 8.02 8.02 8.02 8.02 3 8.09 8.29 8.29 8.29 8.29 4 7.83 8.02 8.02 8.02 8.02 5 8.10 8.29 8.29 8.29 8.29 6 7.85 8.02 8.02 8.02 8.02 7 7.85 8.02 8.02 8.02 8.02 8 8.70 8.88 8.88 8.88 8.88 9 7.87 8.02 8.02 8.02 8.02 10 8.13 8.29 8.29 8.29 8.29 11 7.88 8.02 8.02 8.02 8.02 12 8.15 8.29 8.29 8.29 8.29 13 7.90 8.02 8.02 8.02 8.02 14 7.90 8.02 8.02 8.02 8.02 15 8.18 8.29 8.29 8.29 8.29 16 7.92 8.02 8.02 8.02 8.02 17 8.19 8.29 8.29 8.29 8.29 18 7.94 8.02 8.02 8.02 8.02 19 7.98 8.03 8.03 8.03 8.03 20 8.56 8.58 8.58 8.58 8.58 21 8.02 8.04 8.04 8.04 8.04 22 9.34 8.95 8.95 8.95 8.95 23 9.26 9.02 9.02 9.02 9.02 24 9.58 9.32 9.32 9.32 9.32 25 9.30 9.02 9.02 9.02 9.02 26 9.50 9.16 9.16 9.16 9.16 27 9.83 9.46 9.46 9.46 9.46 28 9.86 9.38 9.38 9.38 9.38 29 10.31 9.82 9.82 9.82 9.82 30 9.99 9.50 9.50 9.50 9.50 31 10.02 9.50 9.50 9.50 9.50 32 11.20 10.58 10.58 10.58 10.58 33 10.22 9.94 9.94 9.94 9.94 34 11.86 11.29 11.29 11.29 11.29 35 11.53 11.05 11.05 11.05 11.05 36 11.94 11.41 11.41 11.41 11.41 37 25.22 11.05 11.05 11.05 11.05 38 13.24 11.17 11.17 11.17 11.17 (1) Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current certificate balance (2) Run to maturity assuming 100% PPC, 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)
PERIOD CLASS A-2 CAP (%) CLASS M-1 CAP (%) CLASS M-2 CAP (%) CLASS B-1 CAP (%) CLASS B-2 CAP (%) -------------- ----------------- ----------------- ----------------- ----------------- ----------------- ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 39 13.66 11.67 11.67 11.67 11.67 40 13.83 11.77 11.77 11.77 11.77 41 14.27 12.29 12.29 12.29 12.29 42 13.79 11.89 11.89 11.89 11.89 43 13.81 11.89 11.89 11.89 11.89 44 15.38 13.25 13.25 13.25 13.25 45 13.92 12.09 12.09 12.09 12.09 46 14.68 12.77 12.77 12.77 12.77 47 14.22 12.38 12.38 12.38 12.38 48 14.73 12.80 12.80 12.80 12.80 49 14.26 12.39 12.39 12.39 12.39 50 14.29 12.42 12.42 12.42 12.42 51 14.79 12.97 12.97 12.97 12.97 52 14.57 12.80 12.80 12.80 12.80 53 15.05 13.22 13.22 13.22 13.22 54 14.58 12.80 12.80 12.80 12.80 55 14.58 12.80 12.80 12.80 12.80 56 16.16 14.19 14.19 14.19 14.19 57 14.59 12.82 12.82 12.82 12.82 58 15.08 13.24 13.24 13.24 13.24 59 14.61 12.82 12.82 12.82 12.82 60 15.10 13.24 13.24 13.24 13.24 61 14.61 12.82 12.82 12.82 12.82 62 14.61 12.82 12.82 12.82 12.82 63 15.10 13.24 13.24 13.24 13.24 64 14.61 12.81 12.81 12.81 12.81 65 15.10 13.24 13.24 13.24 13.24 66 14.61 12.81 12.81 12.81 12.81 67 14.61 12.81 12.81 12.81 12.81 68 15.61 13.69 13.69 13.69 13.69 69 14.61 12.81 12.81 12.81 12.81 70 15.09 13.23 13.23 13.23 13.23 71 14.60 12.81 12.81 12.81 12.81 72 15.09 13.23 13.23 13.23 13.23 73 14.60 12.80 12.80 12.80 12.80 74 14.60 12.80 12.80 12.80 12.80 75 15.09 13.23 13.23 13.23 13.23 76 14.60 12.80 12.80 12.80 12.80 (1) Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current certificate balance (2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR rate of 20%
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. -------------------------------------------------------------------------------- Page 17 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD CLASS A-2 CAP (%) CLASS M-1 CAP (%) CLASS M-2 CAP (%) CLASS B-1 CAP (%) CLASS B-2 CAP (%) -------------- ----------------- ----------------- ----------------- ----------------- ----------------- ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 77 15.09 13.23 13.23 13.23 13.23 78 14.60 12.80 12.80 12.80 12.80 79 14.60 12.80 12.80 12.80 12.80 80 16.16 14.17 14.17 14.17 14.17 81 14.60 12.79 12.79 12.79 12.79 82 14.42 13.22 13.22 13.22 13.22 83 13.07 12.79 12.79 12.79 12.79 84 13.53 13.22 13.22 13.22 13.22 85 13.11 12.79 12.79 12.79 12.79 86 13.12 12.79 12.79 12.79 12.79 87 13.58 13.21 13.21 13.21 13.21 88 13.16 12.79 12.79 12.79 12.79 89 13.62 13.21 13.21 13.21 13.21 90 13.20 12.78 12.78 12.78 12.78 91 13.22 12.78 12.78 12.78 12.78 92 14.66 14.15 14.15 14.15 14.15 93 13.26 12.78 12.78 12.78 12.78 94 13.72 13.21 13.21 13.21 13.21 95 13.30 12.78 12.78 12.78 12.78 96 13.77 13.21 13.21 13.21 13.21 97 13.35 12.78 12.78 12.78 12.78 98 13.37 12.78 12.78 12.78 12.78 99 13.84 13.20 13.20 13.20 13.20 100 13.42 12.78 12.78 12.78 12.78 101 13.89 13.20 13.20 13.20 13.20 102 13.47 12.77 12.77 12.77 - 103 13.50 12.77 12.77 12.77 - 104 14.97 14.14 14.14 14.14 - 105 13.55 12.77 12.77 12.77 - 106 14.04 13.20 13.20 13.20 - 107 13.61 12.77 12.77 12.77 - 108 14.10 13.19 13.19 13.19 - 109 13.67 12.77 12.77 12.77 - 110 13.71 12.77 12.77 12.77 - 111 14.20 13.19 13.19 13.19 - 112 13.77 12.76 12.76 12.76 - 113 14.27 13.19 13.19 13.19 - 114 13.84 12.76 12.76 12.76 - (1) Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current certificate balance (2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR rate of 20%
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. -------------------------------------------------------------------------------- Page 18 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD CLASS A-2 CAP (%) CLASS M-1 CAP (%) CLASS M-2 CAP (%) CLASS B-1 CAP (%) CLASS B-2 CAP (%) -------------- ----------------- ----------------- ----------------- ----------------- ----------------- ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 115 13.88 12.76 12.76 12.76 - 116 14.88 13.64 13.64 13.64 - 117 13.95 12.76 12.76 12.76 - 118 14.46 13.18 13.18 13.18 - 119 14.03 12.76 12.76 12.76 - 120 14.55 13.18 13.18 13.18 - 121 14.12 12.76 12.76 12.76 - 122 14.16 12.76 12.76 12.76 - 123 14.68 13.18 13.18 13.18 - 124 14.25 12.75 12.75 12.75 - 125 14.78 13.18 13.18 13.18 - 126 14.35 12.75 12.75 12.75 - 127 14.40 12.75 12.75 12.75 - 128 16.00 14.12 14.12 14.12 - 129 14.50 12.75 12.75 12.75 - 130 15.04 13.18 13.18 13.18 - 131 14.61 12.75 12.75 12.75 - 132 15.15 13.17 13.17 13.17 - 133 14.72 12.75 12.75 12.75 - 134 14.78 12.75 12.75 12.75 - 135 15.34 13.17 13.17 13.17 - 136 14.90 12.75 12.75 12.75 - 137 15.47 13.17 13.17 13.17 - 138 15.03 12.75 12.75 12.75 - 139 15.10 12.74 12.74 12.74 - 140 16.80 14.11 14.11 - - 141 15.24 12.74 12.74 - - 142 15.82 13.17 13.17 - - 143 15.39 12.74 12.74 - - 144 15.98 13.17 13.17 - - 145 15.54 12.74 12.74 - - 146 15.62 12.74 12.74 - - 147 16.23 13.16 13.16 - - 148 15.79 12.74 12.74 - - 149 16.41 13.16 13.16 - - 150 15.97 12.74 12.74 - - 151 16.06 12.74 12.74 - - 152 17.88 14.10 14.10 - - (1) Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current certificate balance (2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR rate of 20%
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. -------------------------------------------------------------------------------- Page 19 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD CLASS A-2 CAP (%) CLASS M-1 CAP (%) CLASS M-2 CAP (%) CLASS B-1 CAP (%) CLASS B-2 CAP (%) -------------- ----------------- ----------------- ----------------- ----------------- ----------------- ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 153 16.25 12.74 12.74 - - 154 16.89 13.16 13.16 - - 155 16.45 12.74 12.74 - - 156 17.11 13.16 13.16 - - 157 16.66 12.74 12.74 - - 158 16.77 12.73 12.73 - - 159 17.45 13.16 13.16 - - 160 17.00 12.73 12.73 - - 161 17.69 13.16 13.16 - - 162 17.24 12.73 - - - 163 17.37 12.73 - - - 164 18.70 13.61 - - - 165 17.63 12.73 - - - 166 18.35 13.16 - - - 167 17.90 12.73 - - - 168 18.64 13.16 - - - 169 18.19 12.73 - - - 170 18.34 12.73 - - - 171 19.11 13.16 - - - 172 18.65 12.73 - - - 173 19.44 13.16 - - - 174 18.98 12.73 - - - 175 19.15 12.73 - - - 176 21.40 14.09 - - - 177 20.05 - - - - 178 21.09 - - - - 179 20.75 - - - - 180 21.82 - - - - 181 21.50 - - - - 182 22.39 - - - - 183 23.63 - - - - 184 23.37 - - - - 185 24.70 - - - - 186 24.48 - - - - 187 25.10 - - - - 188 28.54 - - - - 189 26.51 - - - - 190 28.21 - - - - (1) Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current certificate balance (2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR rate of 20%
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. -------------------------------------------------------------------------------- Page 20 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD CLASS A-2 CAP (%) CLASS M-1 CAP (%) CLASS M-2 CAP (%) CLASS B-1 CAP (%) CLASS B-2 CAP (%) -------------- ----------------- ----------------- ----------------- ----------------- ----------------- ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 191 28.16 - - - - 192 30.07 - - - - 193 30.14 - - - - 194 31.28 - - - - 195 33.63 - - - - 196 33.95 - - - - 197 36.71 - - - - 198 37.31 - - - - 199 39.32 - - - - 200 46.09 - - - - 201 44.30 - - - - 202 49.00 - - - - 203 51.11 - - - - 204 57.40 - - - - 205 60.97 - - - - 206 67.76 - - - - 207 79.04 - - - - 208 88.15 - - - - 209 107.96 - - - - 210 128.98 - - - - 211 169.85 - - - - 212 268.94 - - - - 213 496.58 - - - - 214 * - - - - 215 - - - - - * In Period 214, the A-2 Class has a balance of $17.17 and is paid $117,003.35 in interest. (1) Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current certificate balance (2) Run to maturity assuming 100% PPC, 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 21 MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-HE2 ALL RECORDS 4,198 RECORDS BALANCE: 547,816,769 1. SUMMARY STATISTICS Number of Mortgage Loans: 4,198 Aggregate Principal Balance: 547,816,769 Weighted Average Current Mortgage Rate: 8.839 Weighted Average Margin: 6.550 Weighted Average Maximum Rate: 14.925 Weighted Average Original Term: 351 Weighted Average Stated Remaining Term: 348 Weighted Average Original LTV: 77.57 % First Lien: 100.00 % Owner Occupied: 96.03 % Purchase: 20.13 % Full Doc: 76.49 Weighted Average Credit Score: 599
2. LOAN ORIGINATOR % 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 ORIGINATOR LOANS BALANCE BALANCE RATE TERM LTV ------------------------------------------------------------------------------------------------------------------------ Aames 3,297 430,438,751 78.57 8.857 357 77.75 Indy Mac 901 117,378,018 21.43 8.776 317 76.93 TOTAL: 4,198 547,816,769 100 8.839 348 77.57 3. PRODUCT TYPES % 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 - 15 Year 72 5,795,287 1.06 8.276 177 67.02 Fixed - 20 Year 39 4,005,592 0.73 8.221 237 71.09 Fixed - 30 Year 269 36,878,811 6.73 9.009 358 78.26 Balloon - 15/30 201 18,375,169 3.35 8.61 176 77.12 ARM - 6 Month 4 825,911 0.15 8.733 359 71.53 ARM - 2 Year/6 Month 1,388 223,079,013 40.72 8.622 357 77.56 ARM - 3 Year/6 Month 2,197 255,140,841 46.57 9.044 357 77.84 ARM - 5 Year/6 Month 18 1,512,222 0.28 8.84 341 75.31 ARM - 3 Year/1 Year 10 2,203,924 0.4 8.857 358 83.87 TOTAL: 4,198 547,816,769 100 8.839 348 77.57
4. RANGE OF GROSS INTEREST RATES (%) % 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 INTEREST RATES (%) LOANS BALANCE BALANCE RATE TERM LTV ------------------------------------------------------------------------------------------------------------------------------------ 5.000 - 5.999 1 127,615 0.02 5.99 357 80 6.000 - 6.999 80 12,725,476 2.32 6.864 357 75.62 7.000 - 7.999 835 134,132,505 24.48 7.696 345 76.62 8.000 - 8.999 1,402 204,179,824 37.27 8.572 347 78.8 9.000 - 9.999 1,055 123,026,146 22.46 9.485 350 78.55 10.000 - 10.999 515 48,903,970 8.93 10.475 352 76.38 11.000 - 11.999 216 18,119,081 3.31 11.48 357 71.81 12.000 - 12.999 67 4,997,624 0.91 12.489 358 70.66 13.000 - 13.999 20 1,125,280 0.21 13.482 358 65.02 14.000 - 14.999 7 479,248 0.09 14.376 357 65.54 TOTAL: 4,198 547,816,769 100 8.839 348 77.57 Minimum: 5.990 Maximum: 14.950 Weighted Average: 8.839
5. RANGE OF CUT-OFF DATE PRINCIPAL BALANCES ($) % 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 CUT-OFF DATE PRINCIPAL BALANCES ($) LOANS BALANCE BALANCE RATE TERM LTV ------------------------------------------------------------------------------------------------------------------------------------ 1 - 25,000 33 737,533 0.13 10.18 342 57.91 25,001 - 50,000 465 18,719,441 3.42 9.984 337 68.97 50,001 - 75,000 731 45,799,798 8.36 9.334 332 75.57 75,001 - 100,000 672 59,138,712 10.8 9.163 340 75.8 100,001 - 125,000 557 62,660,331 11.44 8.892 347 79.3 125,001 - 150,000 455 62,776,535 11.46 8.923 348 78.62 150,001 - 175,000 359 58,438,488 10.67 8.778 351 78.65 175,001 - 200,000 247 46,484,628 8.49 8.713 352 78.71 200,001 - 225,000 168 35,814,280 6.54 8.644 356 79 225,001 - 250,000 123 28,979,651 5.29 8.844 352 80.32 250,001 - 275,000 108 28,322,976 5.17 8.45 357 78.3 275,001 - 300,000 78 22,428,136 4.09 8.645 358 79.24 300,001 - 325,000 42 13,106,947 2.39 8.471 358 77.41 325,001 - 350,000 46 15,671,754 2.86 8.375 354 76.58 350,001 - 375,000 29 10,493,902 1.92 8.504 358 80.57 375,001 - 400,000 29 11,182,388 2.04 8.32 352 75.64 400,001 - 425,000 15 6,249,172 1.14 8.201 358 71.39 425,001 - 450,000 13 5,706,160 1.04 7.972 358 74.56 450,001 - 475,000 5 2,304,018 0.42 8.6 359 74.71 475,001 - 500,000 10 4,935,063 0.9 7.843 357 70.98 500,001 - 525,000 3 1,549,215 0.28 7.624 357 80.02 525,001 - 550,000 4 2,173,517 0.4 7.931 312 76.96 550,001 - 575,000 2 1,125,132 0.21 8.495 356 75.4 600,001 >= 4 3,018,993 0.55 8.509 355 76.55 TOTAL: 4,198 547,816,769 100 8.839 348 77.57 Minimum: 11,273 Maximum: 970,962 Average: 130,495
6. RANGE OF ORIGINAL TERMS % 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 ------------------------------------------------------------------------------------------------------------------------------------ 121 - 180 285 25,155,166 4.59 8.528 176 74.8 181 - 240 39 4,005,592 0.73 8.221 237 71.09 301 - 360 3,874 518,656,011 94.68 8.859 358 77.76 TOTAL: 4,198 547,816,769 100 8.839 348 77.57 Minimum: 180 Maximum: 360 Weighted Average: 351 7. RANGE OF REMAINING TERMS % 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 ------------------------------------------------------------------------------------------------------------------------------------ 169 - 180 285 25,155,166 4.59 8.528 176 74.8 229 - 240 39 4,005,592 0.73 8.221 237 71.09 325 - 336 1 39,873 0.01 9 334 57.97 337 - 348 1 625,557 0.11 9.99 345 70 349 - 360 3,872 517,990,581 94.56 8.858 358 77.77 TOTAL: 4,198 547,816,769 100 8.839 348 77.57 Minimum: 170 Maximum: 360 Weighted Average: 348 8. RANGE OF ORIGINAL LTV RATIOS % 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 ------------------------------------------------------------------------------------------------------------------------------------ <= 40.00 82 6,066,804 1.11 8.999 333 31.44 40.01 - 50.00 103 9,524,752 1.74 8.94 332 46.62 50.01 - 60.00 213 25,150,178 4.59 8.66 344 56.77 60.01 - 70.00 585 68,471,368 12.5 9.17 347 66.76 70.01 - 80.00 1,999 267,979,099 48.92 8.789 351 78.02 80.01 - 90.00 1,109 155,364,521 28.36 8.819 347 86.97 90.01 - 100.00 107 15,260,046 2.79 8.615 354 94.52 TOTAL: 4,198 547,816,769 100 8.839 348 77.57 Minimum: 9.45 Maximum: 100.00 Weighted Average: 77.57 9. RANGE OF GROSS MARGINS (%) % 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 581 65,054,859 11.88 8.782 283 76.5 <=5.000 114 19,520,593 3.56 8.045 358 75.55 5.001 - 5.500 242 32,588,449 5.95 8.166 357 75.99 5.501 - 6.000 649 90,620,373 16.54 8.317 357 76.17 6.001 - 6.500 957 134,112,392 24.48 8.659 357 77.53 6.501 - 7.000 840 119,352,882 21.79 8.917 357 81.96 7.001 - 7.500 223 28,917,851 5.28 9.378 358 77.2 7.501 - 8.000 195 19,982,152 3.65 9.786 357 78.2 8.001 - 8.500 181 18,722,069 3.42 10.182 358 73.98 8.501 - 9.000 135 12,451,134 2.27 10.909 357 71.89 >9.000 81 6,494,015 1.19 11.619 357 63.2 TOTAL: 4,198 547,816,769 100 8.839 348 77.57 Minimum: 2.330 Maximum: 12.580 Weighted Average: 6.550 10. RANGE OF MAXIMUM LOAN RATES (%) % 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 MAXIMUM LOAN RATES (%) LOANS BALANCE BALANCE RATE TERM LTV ------------------------------------------------------------------------------------------------------------------------------------ Fixed Rate Loans 581 65,054,859 11.88 8.782 283 76.5 <= 13.000 96 15,015,006 2.74 6.923 357 75.54 13.001 - 13.500 181 32,119,144 5.86 7.364 357 76.34 13.501 - 14.000 483 77,367,902 14.12 7.885 356 77.05 14.001 - 14.500 461 71,918,215 13.13 8.297 358 78.61 14.501 - 15.000 705 104,365,176 19.05 8.74 357 78.98 15.001 - 15.500 446 57,034,478 10.41 9.201 358 78.95 15.501 - 16.000 480 54,766,077 10 9.627 358 78.78 16.001 - 16.500 235 25,295,615 4.62 10.097 358 76.89 16.501 - 17.000 236 21,793,005 3.98 10.642 358 76.21 17.001 - 17.500 108 8,964,930 1.64 11.165 358 73.8 17.501 - 18.000 95 7,548,603 1.38 11.732 358 70.7 18.001 - 18.500 39 2,859,199 0.52 12.106 358 70.96 18.501 - 19.000 25 2,110,033 0.39 12.739 358 70.98 19.001 - 19.500 15 769,124 0.14 13.309 358 62.63 19.501 - 20.000 5 356,156 0.07 13.854 359 70.19 20.001 - 20.500 5 383,716 0.07 14.262 357 65.5 20.501 - 21.000 2 95,531 0.02 14.834 357 65.69 TOTAL: 4,198 547,816,769 100 8.839 348 77.57 Minimum: 11.990 Maximum: 20.950 Weighted Average: 14.925 11. INITIAL PERIODIC CAP (%) % 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 581 65,054,859 11.88 8.782 283 76.5 1 6 982,334 0.18 8.823 343 73.53 1.5 1 274,384 0.05 7.75 357 100 2 69 9,564,397 1.75 9.525 358 79.49 3 3,514 468,309,920 85.49 8.834 357 77.66 5 27 3,630,876 0.66 8.852 355 80.51 TOTAL: 4,198 547,816,769 100 8.839 348 77.57 Minimum: 1.000 Maximum: 5.000 Weighted Average: 2.990 12. SUBSEQUENT PERIODIC CAP (%) % 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 581 65,054,859 11.88 8.782 283 76.5 1 3,563 472,715,420 86.29 8.857 357 77.67 1.5 30 5,410,237 0.99 7.954 358 80.12 2 12 2,422,493 0.44 8.764 358 84.2 3 11 2,014,356 0.37 8.987 359 76.03 ??? 1 199,404 0.04 9.625 359 70 TOTAL: 4,198 547,816,769 100 8.839 348 77.57 Minimum: 1.000 Maximum: 3.000 Weighted Average: 1.019 13. NEXT RATE ADJUSTMENT DATES % 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 ------------------------------------------------------------------------------------------------------------------------------------ Nov-02 1 111,613 0.02 7.625 358 85 Dec-02 2 339,983 0.06 8.253 359 68.78 Jan-03 1 374,316 0.07 9.5 360 70 Apr-03 1 625,557 0.11 9.99 345 70 Oct-03 2 225,039 0.04 9.558 351 89.97 Nov-03 4 319,729 0.06 9.6 353 78.16 Dec-03 5 621,250 0.11 8.77 354 82.93 Jan-04 15 2,500,587 0.46 8.554 355 75.51 Feb-04 28 3,712,375 0.68 8.327 356 75.5 Mar-04 213 35,631,591 6.5 8.525 356 77.28 Apr-04 598 93,123,349 17 8.55 357 77.83 May-04 386 64,034,939 11.69 8.729 358 77.67 Jun-04 123 20,412,416 3.73 8.766 359 76.85 Jul-04 13 1,872,179 0.34 8.69 360 79.08 Sep-04 1 112,719 0.02 6.95 351 85 Nov-04 2 122,843 0.02 10.507 353 82.38 Dec-04 10 1,172,116 0.21 8.695 354 74.67 Jan-05 73 7,309,544 1.33 8.837 355 75.59 Feb-05 69 7,550,920 1.38 8.815 356 80.91 Mar-05 467 57,009,548 10.41 8.896 356 77.31 Apr-05 1,139 132,531,344 24.19 9.061 358 78 May-05 438 50,483,861 9.22 9.245 358 78.13 Jun-05 6 837,397 0.15 8.408 360 80.13 Jul-05 2 214,473 0.04 8.626 360 89.09 Feb-07 1 43,641 0.01 9.35 356 70 Apr-07 10 777,654 0.14 8.948 344 73.67 May-07 7 690,927 0.13 8.687 336 77.49 Fixed Rate 581 65,054,859 11.88 8.782 283 76.5 TOTAL: 4,198 547,816,769 100 8.839 348 77.57 14. GEOGRAPHIC DISTRIBUTION (TOP 15) % 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 GEOGRAPHIC DISTRIBUTION (TOP 15) LOANS BALANCE BALANCE RATE TERM LTV ------------------------------------------------------------------------------------------------------------------------------------ California 786 153,650,890 28.05 8.489 355 77.35 Florida 531 61,668,739 11.26 8.837 356 78.98 Texas 285 29,333,977 5.35 9.327 357 78.01 New York 171 27,887,433 5.09 9.132 354 73.92 Washington 174 27,790,782 5.07 8.392 351 79.17 Michigan 238 20,024,071 3.66 9.509 348 78.04 Minnesota 164 19,805,258 3.62 9.013 319 74.8 Ohio 188 15,900,116 2.9 9.012 307 79.48 Illinois 146 14,514,039 2.65 9.227 332 76.18 Colorado 102 14,410,381 2.63 8.619 345 76.95 Hawaii 80 14,281,204 2.61 8.551 358 79.03 Massachusetts 73 12,677,242 2.31 8.961 356 71.68 New Jersey 67 11,880,477 2.17 8.767 358 77.88 Virginia 74 11,651,731 2.13 8.685 357 77.93 Maryland 62 10,901,147 1.99 8.713 356 81.03 Other 1,057 101,439,285 18.52 9.12 339 78.02 TOTAL: 4,198 547,816,769 100 8.839 348 77.57 Number of States/District of Columbia Represented: 50 15. OCCUPANCY % 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 3,954 526,055,250 96.03 8.82 348 77.83 Non-Owner Occupied 155 13,068,872 2.39 9.239 357 71.81 Investment 79 7,523,336 1.37 9.391 358 70.54 Second Home 10 1,169,311 0.21 9.684 359 73.82 TOTAL: 4,198 547,816,769 100 8.839 348 77.57 16. PROPERTY TYPE % 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 3,638 470,808,349 85.94 8.842 348 77.61 Condo 284 33,299,107 6.08 8.798 355 79.31 2-4 Family 201 32,235,156 5.88 8.827 354 76.06 PUD 46 8,538,477 1.56 8.521 342 76.08 Townhouse 12 1,334,757 0.24 9.415 319 76.53 Manufactured Housing 11 890,222 0.16 9.877 322 74.91 Co-op 6 710,702 0.13 10.844 358 62.72 TOTAL: 4,198 547,816,769 100 8.839 348 77.57 17. LOAN PURPOSE % 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 2,662 353,536,496 64.54 8.791 345 76.2 Purchase 843 110,301,430 20.13 8.782 356 81.67 Refinance - Rate Term 693 83,978,843 15.33 9.117 355 77.98 TOTAL: 4,198 547,816,769 100 8.839 348 77.57 18. DOCUMENTATION LEVEL % 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 3,343 419,033,034 76.49 8.83 347 78.64 Stated Documentation 647 95,460,785 17.43 8.847 357 75.06 Reduced 206 33,164,836 6.05 8.935 348 71.41 No Documentation 2 158,114 0.03 9.199 297 70.8 TOTAL: 4,198 547,816,769 100 8.839 348 77.57 19. CREDIT SCORE % 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 ------------------------------------------------------------------------------------------------------------------------------------ NA 13 1,983,760 0.36 9.561 357 78.35 476 - 500 18 1,862,975 0.34 9.589 357 72.29 501 - 525 300 35,499,637 6.48 9.654 356 72.55 526 - 550 533 65,460,353 11.95 9.561 353 74.84 551 - 575 738 89,341,052 16.31 9.292 348 75.94 576 - 600 742 95,650,165 17.46 8.801 345 78.81 601 - 625 806 108,709,879 19.84 8.589 344 78.89 626 - 650 513 67,973,408 12.41 8.354 346 80.39 651 - 675 274 40,630,257 7.42 8.273 354 78.52 676 - 700 115 19,082,655 3.48 8.164 351 78.45 701 - 725 62 9,360,167 1.71 7.914 356 79.2 726 - 750 46 7,415,970 1.35 7.936 350 78.33 751 - 775 27 3,514,932 0.64 7.938 358 74.43 776 - 800 10 1,182,955 0.22 8.08 358 73.85 Above 800 1 148,604 0.03 7.625 357 62.5 TOTAL: 4,198 547,816,769 100 8.839 348 77.57 Minimum: 479 Maximum: 802 Weighted Average: 599
MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-HE2 GROUP 1 3,988 RECORDS BALANCE: 475,932,607 1. SUMMARY STATISTICS Number of Mortgage Loans: 3,988 Aggregate Principal Balance: 475,932,607 Weighted Average Current Mortgage Rate: 8.914 Weighted Average Margin: 6.603 Weighted Average Maximum Rate: 15.004 Weighted Average Original Term: 350 Weighted Average Stated Remaining Term: 348 Weighted Average Original LTV: 77.79 % First Lien: 100.00 % Owner Occupied: 95.94 % Purchase: 19.88 % Full Doc: 78.13 Weighted Average Credit Score: 597
2. LOAN ORIGINATOR % 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 ORIGINATOR LOANS BALANCE BALANCE RATE TERM LTV ------------------------------------------------------------------------------------------------------------------------------------ Aames 3,125 373,827,865 78.55 8.94 357 77.84 Indy Mac 863 102,104,742 21.45 8.82 313 77.6 TOTAL: 3,988 475,932,607 100 8.914 348 77.79 3. PRODUCT TYPES % 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 - 15 Year 70 4,870,106 1.02 8.327 177 67.95 Fixed - 20 Year 39 4,005,592 0.84 8.221 237 71.09 Fixed - 30 Year 260 33,518,141 7.04 9.026 358 78.26 Balloon - 15/30 200 18,037,840 3.79 8.615 176 77.37 ARM - 6 Month 3 451,595 0.09 8.098 359 72.79 ARM - 2 Year/6 Month 1,281 183,360,167 38.53 8.694 357 77.97 ARM - 3 Year/6 Month 2,126 230,456,204 48.42 9.124 357 77.9 ARM - 3 Year/1 Year 9 1,232,962 0.26 8.647 359 86.91 TOTAL: 3,988 475,932,607 100 8.914 348 77.79 4. RANGE OF GROSS INTEREST RATES (%) % 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 INTEREST RATES (%) LOANS BALANCE BALANCE RATE TERM LTV ------------------------------------------------------------------------------------------------------------------------------------ 5.000 - 5.999 1 127,615 0.03 5.99 357 80 6.000 - 6.999 72 9,398,634 1.97 6.859 357 75.84 7.000 - 7.999 766 107,489,190 22.58 7.702 342 77.12 8.000 - 8.999 1,315 175,350,403 36.84 8.582 346 78.97 9.000 - 9.999 1,023 113,190,994 23.78 9.494 350 78.73 10.000 - 10.999 506 46,487,755 9.77 10.482 352 76.32 11.000 - 11.999 213 17,368,088 3.65 11.48 357 71.93 12.000 - 12.999 66 4,957,636 1.04 12.493 358 70.74 13.000 - 13.999 20 1,125,280 0.24 13.482 358 65.02 14.000 - 14.999 6 437,013 0.09 14.407 357 66.28 TOTAL: 3,988 475,932,607 100 8.914 348 77.79 Minimum: 5.990 Maximum: 14.950 Weighted Average: 8.914 5. RANGE OF CUT-OFF DATE PRINCIPAL BALANCES ($) % 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 PRINCIPAL MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING ORIGINAL PRINCIPAL BALANCE ($) LOANS BALANCE BALANCE RATE TERM LTV ------------------------------------------------------------------------------------------------------------------------------------ 1 - 25,000 33 737,533 0.15 10.18 342 57.91 25,001 - 50,000 460 18,508,879 3.89 9.971 337 68.96 50,001 - 75,000 724 45,379,765 9.53 9.336 332 75.66 75,001 - 100,000 666 58,622,130 12.32 9.165 340 75.85 100,001 - 125,000 550 61,901,302 13.01 8.889 347 79.24 125,001 - 150,000 450 62,061,329 13.04 8.918 348 78.62 150,001 - 175,000 359 58,438,488 12.28 8.778 351 78.65 175,001 - 200,000 246 46,303,827 9.73 8.712 352 78.7 200,001 - 225,000 168 35,814,280 7.53 8.644 356 79 225,001 - 250,000 123 28,979,651 6.09 8.844 352 80.32 250,001 - 275,000 107 28,068,086 5.9 8.449 357 78.27 275,001 - 300,000 78 22,428,136 4.71 8.645 358 79.24 300,001 - 325,000 8 2,469,941 0.52 8.938 358 68.96 325,001 - 350,000 5 1,715,556 0.36 8.196 358 74.8 350,001 - 375,000 6 2,163,323 0.45 8.044 358 86.03 375,001 - 400,000 1 389,671 0.08 8 355 85 425,001 - 450,000 2 884,408 0.19 7.806 357 77.46 475,001 - 500,000 1 499,697 0.1 8.5 359 71.43 550,001 - 575,000 1 566,606 0.12 8.49 356 78.56 TOTAL: 3,988 475,932,607 100 8.914 348 77.79 Minimum: 11,273 Maximum: 566,606 Average: 119,341 6. RANGE OF ORIGINAL TERMS % 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 ------------------------------------------------------------------------------------------------------------------------------------ 121 - 180 280 23,751,438 4.99 8.549 176 75.49 181 - 240 39 4,005,592 0.84 8.221 237 71.09 301 - 360 3,669 448,175,577 94.17 8.94 358 77.97 TOTAL: 3,988 475,932,607 100 8.914 348 77.79 Minimum: 180 Maximum: 360 Weighted Average: 350 7. RANGE OF REMAINING TERMS % 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 ------------------------------------------------------------------------------------------------------------------------------------ 169 - 180 280 23,751,438 4.99 8.549 176 75.49 229 - 240 39 4,005,592 0.84 8.221 237 71.09 325 - 336 1 39,873 0.01 9 334 57.97 349 - 360 3,668 448,135,704 94.16 8.94 358 77.97 TOTAL: 3,988 475,932,607 100 8.914 348 77.79 Minimum: 170 Maximum: 360 Weighted Average: 348 8. RANGE OF ORIGINAL LTV RATIOS % 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 ------------------------------------------------------------------------------------------------------------------------------------ <= 40.00 81 5,627,100 1.18 9.078 331 31.1 40.01 - 50.00 100 8,452,775 1.78 9.12 328 46.61 50.01 - 60.00 198 20,308,514 4.27 8.841 345 56.61 60.01 - 70.00 550 57,403,557 12.06 9.293 347 66.87 70.01 - 80.00 1,895 230,674,177 48.47 8.852 350 78.07 80.01 - 90.00 1,062 139,968,704 29.41 8.87 345 87.01 90.01 - 100.00 102 13,497,780 2.84 8.75 353 94.67 TOTAL: 3,988 475,932,607 100 8.914 348 77.79 Minimum: 9.45 Maximum: 100.00 Weighted Average: 77.79 9. RANGE OF GROSS MARGINS (%) % 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 569 60,431,679 12.7 8.794 281 76.69 <=5.000 98 12,782,598 2.69 8.052 358 76.21 5.001 - 5.500 227 28,227,282 5.93 8.136 357 76.16 5.501 - 6.000 598 73,449,556 15.43 8.364 357 76.2 6.001 - 6.500 903 114,235,993 24 8.739 357 77.88 6.501 - 7.000 797 105,914,831 22.25 8.963 357 82.31 7.001 - 7.500 212 25,221,137 5.3 9.491 358 77.34 7.501 - 8.000 193 19,297,010 4.05 9.812 357 78.06 8.001 - 8.500 180 18,389,388 3.86 10.167 357 73.87 8.501 - 9.000 132 11,610,767 2.44 10.944 357 71.72 >9.000 79 6,372,366 1.34 11.611 357 63.26 TOTAL: 3,988 475,932,607 100 8.914 348 77.79 Minimum: 2.330 Maximum: 12.580 Weighted Average: 6.603 10. RANGE OF MAXIMUM LOAN RATES (%) % 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 MAXIMUM LOAN RATES (%) LOANS BALANCE BALANCE RATE TERM LTV ------------------------------------------------------------------------------------------------------------------------------------ Fixed Rate Loans 569 60,431,679 12.7 8.794 281 76.69 <= 13.000 85 11,096,559 2.33 6.892 357 75.6 13.001 - 13.500 156 22,764,178 4.78 7.366 357 77.2 13.501 - 14.000 439 63,013,505 13.24 7.872 356 77.08 14.001 - 14.500 428 60,572,808 12.73 8.301 358 78.7 14.501 - 15.000 662 89,457,293 18.8 8.763 357 79.45 15.001 - 15.500 432 52,831,188 11.1 9.204 358 78.87 15.501 - 16.000 467 50,184,773 10.54 9.656 358 79.21 16.001 - 16.500 227 21,696,717 4.56 10.171 358 77.34 16.501 - 17.000 233 21,242,466 4.46 10.635 358 76.25 17.001 - 17.500 107 8,923,709 1.87 11.165 358 73.8 17.501 - 18.000 93 7,186,208 1.51 11.721 358 70.56 18.001 - 18.500 39 2,859,199 0.6 12.106 358 70.96 18.501 - 19.000 25 2,110,033 0.44 12.739 358 70.98 19.001 - 19.500 15 769,124 0.16 13.309 358 62.63 19.501 - 20.000 5 356,156 0.07 13.854 359 70.19 20.001 - 20.500 4 341,482 0.07 14.288 357 66.44 20.501 - 21.000 2 95,531 0.02 14.834 357 65.69 TOTAL: 3,988 475,932,607 100 8.914 348 77.79 Minimum: 11.990 Maximum: 20.950 Weighted Average: 15.004 11. INITIAL PERIODIC CAP (%) % 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 569 60,431,679 12.7 8.794 281 76.69 1 4 522,749 0.11 8.347 359 75.81 1.5 1 274,384 0.06 7.75 357 100 2 67 8,870,437 1.86 9.554 358 79.65 3 3,338 404,600,397 85.01 8.921 357 77.87 5 9 1,232,962 0.26 8.647 359 86.91 TOTAL: 3,988 475,932,607 100 8.914 348 77.79 Minimum: 1.000 Maximum: 5.000 Weighted Average: 2.981 12. SUBSEQUENT PERIODIC CAP (%) % 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 569 60,431,679 12.7 8.794 281 76.69 1 3,370 407,890,652 85.7 8.945 357 77.87 1.5 28 4,719,560 0.99 7.863 358 81.45 2 11 1,451,531 0.3 8.523 359 87.02 3 9 1,239,780 0.26 9.183 359 79.73 ??? 1 199,404 0.04 9.625 359 70 TOTAL: 3,988 475,932,607 100 8.914 348 77.79 Minimum: 1.000 Maximum: 3.000 Weighted Average: 1.016 13. NEXT RATE ADJUSTMENT DATES % 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 ------------------------------------------------------------------------------------------------------------------------------------ Nov-02 1 111,613 0.02 7.625 358 85 Dec-02 2 339,983 0.07 8.253 359 68.78 Oct-03 2 225,039 0.05 9.558 351 89.97 Nov-03 4 319,729 0.07 9.6 353 78.16 Dec-03 5 621,250 0.13 8.77 354 82.93 Jan-04 14 2,002,291 0.42 8.695 355 80.47 Feb-04 25 2,701,938 0.57 8.425 356 77.17 Mar-04 189 28,142,873 5.91 8.561 355 77.05 Apr-04 561 78,524,392 16.5 8.64 357 77.93 May-04 357 53,160,502 11.17 8.774 358 77.97 Jun-04 111 15,789,973 3.32 8.946 359 79.06 Jul-04 13 1,872,179 0.39 8.69 360 79.08 Sep-04 1 112,719 0.02 6.95 351 85 Nov-04 2 122,843 0.03 10.507 353 82.38 Dec-04 9 863,323 0.18 8.854 354 79.07 Jan-05 71 6,481,040 1.36 8.996 355 76.07 Feb-05 68 6,840,034 1.44 9.042 356 81.09 Mar-05 447 49,711,705 10.45 9.001 356 77.34 Apr-05 1,105 121,346,900 25.5 9.131 358 77.8 May-05 424 45,158,733 9.49 9.282 358 78.63 Jun-05 6 837,397 0.18 8.408 360 80.13 Jul-05 2 214,473 0.05 8.626 360 89.09 Fixed Rate 569 60,431,679 12.7 8.794 281 76.69 TOTAL: 3,988 475,932,607 100 8.914 348 77.79 14. GEOGRAPHIC DISTRIBUTION (TOP 15) % 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 GEOGRAPHIC DISTRIBUTION (TOP 15) LOANS BALANCE BALANCE RATE TERM LTV ------------------------------------------------------------------------------------------------------------------------------------ California 691 118,081,616 24.81 8.541 356 77.39 Florida 506 54,710,049 11.5 8.891 356 79.33 Texas 278 27,088,463 5.69 9.377 357 77.6 New York 160 24,045,439 5.05 9.242 356 74.26 Washington 162 23,393,316 4.92 8.508 350 79.15 Michigan 237 19,981,836 4.2 9.499 348 78.09 Minnesota 163 19,725,844 4.14 9.005 319 74.86 Ohio 187 15,786,271 3.32 9.018 306 79.51 Illinois 144 14,117,774 2.97 9.249 336 76.55 Hawaii 76 13,498,407 2.84 8.557 358 79.89 Colorado 98 13,033,373 2.74 8.608 344 76.75 Massachusetts 70 11,550,718 2.43 8.954 356 71.76 Maryland 58 9,575,714 2.01 8.724 356 81.4 New Jersey 62 9,563,063 2.01 8.953 358 79.23 Virginia 64 8,085,665 1.7 9.062 357 79.6 Other 1,032 93,695,060 19.69 9.163 337 78.37 TOTAL: 3,988 475,932,607 100 8.914 348 77.79 Number of States/District of Columbia Represented: 50 15. OCCUPANCY % 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 3,754 456,610,030 95.94 8.894 347 78.08 Non-Owner Occupied 149 11,911,024 2.5 9.35 357 71.22 Investment 75 6,242,242 1.31 9.404 357 69.92 Second Home 10 1,169,311 0.25 9.684 359 73.82 TOTAL: 3,988 475,932,607 100 8.914 348 77.79 16. PROPERTY TYPE % 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 3,446 404,945,793 85.08 8.924 347 77.83 2-4 Family 198 30,949,727 6.5 8.86 354 75.87 Condo 275 30,620,150 6.43 8.841 355 79.67 PUD 41 6,537,206 1.37 8.468 337 77.33 Townhouse 12 1,334,757 0.28 9.415 319 76.53 Manufactured Housing 10 834,273 0.18 9.937 332 75.91 Co-op 6 710,702 0.15 10.844 358 62.72 TOTAL: 3,988 475,932,607 100 8.914 348 77.79 17. LOAN PURPOSE % 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 2,519 305,875,525 64.27 8.859 343 76.45 Purchase 800 94,608,723 19.88 8.883 355 82.01 Refinance - Rate Term 669 75,448,359 15.85 9.18 356 77.92 TOTAL: 3,988 475,932,607 100 8.914 348 77.79 18. DOCUMENTATION LEVEL % 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 3,203 371,851,643 78.13 8.896 346 78.7 Stated Documentation 597 78,459,442 16.49 8.934 357 75.19 Reduced 186 25,463,408 5.35 9.115 347 72.53 No Documentation 2 158,114 0.03 9.199 297 70.8 TOTAL: 3,988 475,932,607 100 8.914 348 77.79 19. CREDIT SCORE % 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 1,576,926 0.33 9.557 357 72.56 501 - 525 290 32,595,264 6.85 9.725 356 72.35 526 - 550 516 59,463,433 12.49 9.62 352 74.61 551 - 575 714 81,565,548 17.14 9.359 348 76.43 576 - 600 710 82,979,905 17.44 8.832 344 79.45 601 - 625 766 94,105,457 19.77 8.687 343 79.48 626 - 650 486 58,505,804 12.29 8.412 344 80.29 651 - 675 257 34,757,395 7.3 8.277 353 78.37 676 - 700 100 12,673,878 2.66 8.223 348 80.1 701 - 725 57 7,606,074 1.6 7.907 355 79.66 726 - 750 42 6,280,535 1.32 8.01 349 77.36 751 - 775 25 2,840,594 0.6 7.885 358 73.1 776 - 800 9 833,190 0.18 8.113 357 72.21 Above 800 1 148,604 0.03 7.625 357 62.5 TOTAL: 3,988 475,932,607 100 8.914 348 77.79 Minimum: 500 Maximum: 802 Weighted Average: 597
` MORGAN STANLEY MORGAN STANLEY DEAN WITTER CAPITAL I INC. TRUST 2002-HE2 GROUP 2 210 RECORDS BALANCE: 71,884,162 1. SUMMARY STATISTICS Number of Mortgage Loans: 210 Aggregate Principal Balance: 71,884,162 Weighted Average Current Mortgage Rate: 8.343 Weighted Average Margin: 6.219 Weighted Average Maximum Rate: 14.437 Weighted Average Original Term: 356 Weighted Average Stated Remaining Term: 354 Weighted Average Original LTV: 76.16 % First Lien: 100.00 % Owner Occupied: 96.61 % Purchase: 21.83 % Full Doc: 65.64 Weighted Average Credit Score: 612
2. LOAN ORIGINATOR % 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 ORIGINATOR LOANS BALANCE BALANCE RATE TERM LTV ------------------------------------------------------------------------------------------------------------------------------------ Aames 172 56,610,886 78.75 8.305 357 77.16 Indy Mac 38 15,273,276 21.25 8.482 344 72.45 TOTAL: 210 71,884,162 100 8.343 354 76.16 3. PRODUCT TYPES % 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 - 15 Year 2 925,180 1.29 8.006 178 62.08 Fixed - 30 Year 9 3,360,670 4.68 8.839 359 78.27 Balloon - 15/30 1 337,329 0.47 8.34 177 63.55 ARM - 6 Month 1 374,316 0.52 9.5 360 70 ARM - 2 Year/6 Month 107 39,718,846 55.25 8.289 358 75.68 ARM - 3 Year/6 Month 71 24,684,637 34.34 8.295 357 77.34 ARM - 5 Year/6 Month 18 1,512,222 2.1 8.84 341 75.31 ARM - 3 Year/1 Year 1 970,962 1.35 9.125 358 80 TOTAL: 210 71,884,162 100 8.343 354 76.16 4. RANGE OF GROSS INTEREST RATES (%) % 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 INTEREST RATES (%) LOANS BALANCE BALANCE RATE TERM LTV ------------------------------------------------------------------------------------------------------------------------------------ 6.000 - 6.999 8 3,326,841 4.63 6.88 357 75 7.000 - 7.999 69 26,643,316 37.06 7.669 354 74.57 8.000 - 8.999 87 28,829,421 40.11 8.516 353 77.76 9.000 - 9.999 32 9,835,152 13.68 9.383 357 76.51 10.000 - 10.999 9 2,416,215 3.36 10.356 358 77.48 11.000 - 11.999 3 750,994 1.04 11.481 359 69.08 12.000 - 12.999 1 39,989 0.06 12 359 61.54 14.000 - 14.999 1 42,235 0.06 14.05 358 57.88 TOTAL: 210 71,884,162 100 8.343 354 76.16 Minimum: 6.625 Maximum: 14.050 Weighted Average: 8.343 5. RANGE OF CUT-OFF DATE PRINCIPAL BALANCES ($) % 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 PRINCIPAL MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING ORIGINAL BALANCE ($) LOANS BALANCE BALANCE RATE TERM LTV ------------------------------------------------------------------------------------------------------------------------------------ 25,001 - 50,000 5 210,562 0.29 11.071 358 69.01 50,001 - 75,000 7 420,033 0.58 9.18 334 65.53 75,001 - 100,000 6 516,582 0.72 8.913 328 69.84 100,001 - 125,000 7 759,029 1.06 9.121 358 83.65 125,001 - 150,000 5 715,206 0.99 9.344 357 79.07 175,001 - 200,000 1 180,801 0.25 8.99 358 82.65 250,001 - 275,000 1 254,890 0.35 8.5 357 81.08 300,001 - 325,000 34 10,637,006 14.8 8.363 358 79.37 325,001 - 350,000 41 13,956,198 19.41 8.397 354 76.8 350,001 - 375,000 23 8,330,579 11.59 8.624 358 79.15 375,001 - 400,000 28 10,792,717 15.01 8.332 351 75.3 400,001 - 425,000 15 6,249,172 8.69 8.201 358 71.39 425,001 - 450,000 11 4,821,751 6.71 8.003 358 74.03 450,001 - 475,000 5 2,304,018 3.21 8.6 359 74.71 475,001 - 500,000 9 4,435,366 6.17 7.769 357 70.93 500,001 - 525,000 3 1,549,215 2.16 7.624 357 80.02 525,001 - 550,000 4 2,173,517 3.02 7.931 312 76.96 550,001 - 575,000 1 558,526 0.78 8.5 357 72.2 600,001 >= 4 3,018,993 4.2 8.509 355 76.55 TOTAL: 210 71,884,162 100 8.343 354 76.16 Minimum: 39,989 Maximum: 970,962 Average: 342,306 6. RANGE OF ORIGINAL TERMS % 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 ------------------------------------------------------------------------------------------------------------------------------------ 121 - 180 5 1,403,728 1.95 8.172 178 63.14 301 - 360 205 70,480,434 98.05 8.346 358 76.42 TOTAL: 210 71,884,162 100 8.343 354 76.16 Minimum: 180 Maximum: 360 Weighted Average: 356 7. RANGE OF REMAINING TERMS % 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 ------------------------------------------------------------------------------------------------------------------------------------ 169 - 180 5 1,403,728 1.95 8.172 178 63.14 337 - 348 1 625,557 0.87 9.99 345 70 349 - 360 204 69,854,877 97.18 8.331 358 76.47 TOTAL: 210 71,884,162 100 8.343 354 76.16 Minimum: 177 Maximum: 360 Weighted Average: 354 8. RANGE OF ORIGINAL LTV RATIOS % 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 ------------------------------------------------------------------------------------------------------------------------------------ <= 40.00 1 439,704 0.61 7.99 359 35.76 40.01 - 50.00 3 1,071,977 1.49 7.522 358 46.73 50.01 - 60.00 15 4,841,664 6.74 7.903 342 57.44 60.01 - 70.00 35 11,067,811 15.4 8.535 342 66.18 70.01 - 80.00 104 37,304,922 51.9 8.402 357 77.73 80.01 - 90.00 47 15,395,817 21.42 8.354 358 86.64 90.01 - 100.00 5 1,762,267 2.45 7.581 358 93.39 TOTAL: 210 71,884,162 100 8.343 354 76.16 Minimum: 35.76 Maximum: 95.00 Weighted Average: 76.16 9. RANGE OF GROSS MARGINS (%) % 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 12 4,623,180 6.43 8.636 309 73.96 <=5.000 16 6,737,994 9.37 8.03 358 74.29 5.001 - 5.500 15 4,361,167 6.07 8.362 358 74.89 5.501 - 6.000 51 17,170,817 23.89 8.116 356 76.03 6.001 - 6.500 54 19,876,399 27.65 8.201 358 75.53 6.501 - 7.000 43 13,438,051 18.69 8.554 358 79.19 7.001 - 7.500 11 3,696,714 5.14 8.609 358 76.23 7.501 - 8.000 2 685,142 0.95 9.031 358 82.22 8.001 - 8.500 1 332,681 0.46 10.99 359 80 8.501 - 9.000 3 840,367 1.17 10.422 357 74.27 >9.000 2 121,649 0.17 12.052 357 60.01 TOTAL: 210 71,884,162 100 8.343 354 76.16 Minimum: 4.375 Maximum: 9.700 Weighted Average: 6.219 10. RANGE OF MAXIMUM LOAN RATES (%) % 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 MAXIMUM LOAN RATES (%) LOANS BALANCE BALANCE RATE TERM LTV ------------------------------------------------------------------------------------------------------------------------------------ Fixed Rate Loans 12 4,623,180 6.43 8.636 309 73.96 <= 13.000 11 3,918,447 5.45 7.013 357 75.36 13.001 - 13.500 25 9,354,966 13.01 7.362 357 74.25 13.501 - 14.000 44 14,354,397 19.97 7.942 356 76.94 14.001 - 14.500 33 11,345,408 15.78 8.277 358 78.18 14.501 - 15.000 43 14,907,883 20.74 8.604 358 76.17 15.001 - 15.500 14 4,203,289 5.85 9.159 358 79.98 15.501 - 16.000 13 4,581,304 6.37 9.304 356 74.02 16.001 - 16.500 8 3,598,898 5.01 9.647 358 74.21 16.501 - 17.000 3 550,539 0.77 10.942 358 74.77 17.001 - 17.500 1 41,221 0.06 11.15 358 75 17.501 - 18.000 2 362,395 0.5 11.956 359 73.51 20.001 - 20.500 1 42,235 0.06 14.05 358 57.88 TOTAL: 210 71,884,162 100 8.343 354 76.16 Minimum: 12.625 Maximum: 20.050 Weighted Average: 14.437 11. INITIAL PERIODIC CAP (%) % 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 12 4,623,180 6.43 8.636 309 73.96 1 2 459,585 0.64 9.365 326 70.93 2 2 693,961 0.97 9.156 358 77.49 3 176 63,709,523 88.63 8.282 357 76.3 5 18 2,397,914 3.34 8.958 354 77.22 TOTAL: 210 71,884,162 100 8.343 354 76.16 Minimum: 1.000 Maximum: 5.000 Weighted Average: 3.047 12. SUBSEQUENT PERIODIC CAP (%) % 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 12 4,623,180 6.43 8.636 309 73.96 1 193 64,824,768 90.18 8.304 357 76.38 1.5 2 690,677 0.96 8.571 358 71.09 2 1 970,962 1.35 9.125 358 80 3 2 774,576 1.08 8.674 358 70.09 TOTAL: 210 71,884,162 100 8.343 354 76.16 Minimum: 1.000 Maximum: 3.000 Weighted Average: 1.043 13. NEXT RATE ADJUSTMENT DATES % 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 ------------------------------------------------------------------------------------------------------------------------------------ Jan-03 1 374,316 0.52 9.5 360 70 Apr-03 1 625,557 0.87 9.99 345 70 Jan-04 1 498,297 0.69 7.99 355 55.56 Feb-04 3 1,010,437 1.41 8.067 356 71.06 Mar-04 24 7,488,718 10.42 8.388 357 78.13 Apr-04 37 14,598,957 20.31 8.069 357 77.3 May-04 29 10,874,437 15.13 8.513 359 76.2 Jun-04 12 4,622,443 6.43 8.153 359 69.27 Dec-04 1 308,793 0.43 8.25 354 62.37 Jan-05 2 828,504 1.15 7.589 354 71.84 Feb-05 1 710,886 0.99 6.625 356 79.14 Mar-05 20 7,297,843 10.15 8.18 357 77.07 Apr-05 34 11,184,444 15.56 8.296 358 80.09 May-05 14 5,325,128 7.41 8.936 359 73.88 Feb-07 1 43,641 0.06 9.35 356 70 Apr-07 10 777,654 1.08 8.948 344 73.67 May-07 7 690,927 0.96 8.687 336 77.49 Fixed Rate 12 4,623,180 6.43 8.636 309 73.96 TOTAL: 210 71,884,162 100 8.343 354 76.16 14. GEOGRAPHIC DISTRIBUTION (TOP 15) % 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 GEOGRAPHIC DISTRIBUTION (TOP 15) LOANS BALANCE BALANCE RATE TERM LTV ------------------------------------------------------------------------------------------------------------------------------------ California 95 35,569,274 49.48 8.318 355 77.22 Florida 25 6,958,689 9.68 8.412 355 76.24 Washington 12 4,397,466 6.12 7.774 358 79.26 New York 11 3,841,993 5.34 8.442 340 71.79 Virginia 10 3,566,066 4.96 7.831 358 74.13 New Jersey 5 2,317,414 3.22 7.999 358 72.27 Texas 7 2,245,515 3.12 8.717 358 82.99 Connecticut 4 1,712,464 2.38 8.234 357 74.15 Colorado 4 1,377,008 1.92 8.722 358 78.8 Maryland 4 1,325,433 1.84 8.637 359 78.38 Massachusetts 3 1,126,524 1.57 9.028 359 70.84 Arizona 3 927,525 1.29 8.106 359 77.36 Nevada 2 787,209 1.1 8.97 358 75.89 Hawaii 4 782,797 1.09 8.443 356 64.28 Georgia 3 723,629 1.01 9.152 344 77.77 Other 18 4,225,157 5.88 8.779 343 70.42 TOTAL: 210 71,884,162 100 8.343 354 76.16 Number of States/District of Columbia Represented: 28 15. OCCUPANCY % 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 200 69,445,220 96.61 8.329 354 76.18 Investment 4 1,281,094 1.78 9.327 359 73.56 Non-Owner Occupied 6 1,157,848 1.61 8.093 358 77.9 TOTAL: 210 71,884,162 100 8.343 354 76.16 16. PROPERTY TYPE % 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 192 65,862,556 91.62 8.339 354 76.25 Condo 9 2,678,957 3.73 8.297 357 75.21 PUD 5 2,001,271 2.78 8.697 358 72.02 2-4 Family 3 1,285,428 1.79 8.038 358 80.65 Manufactured Housing 1 55,949 0.08 8.98 177 60 TOTAL: 210 71,884,162 100 8.343 354 76.16 17. LOAN PURPOSE % 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 143 47,660,971 66.3 8.359 354 74.61 Purchase 43 15,692,707 21.83 8.177 357 79.61 Refinance - Rate Term 24 8,530,484 11.87 8.559 350 78.43 TOTAL: 210 71,884,162 100 8.343 354 76.16 18. DOCUMENTATION LEVEL % 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 140 47,181,391 65.64 8.307 354 78.15 Stated Documentation 50 17,001,343 23.65 8.444 356 74.45 Reduced 20 7,701,427 10.71 8.338 351 67.71 TOTAL: 210 71,884,162 100 8.343 354 76.16 19. CREDIT SCORE % 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 ------------------------------------------------------------------------------------------------------------------------------------ NA 13 1,983,760 2.76 9.561 357 78.35 476 - 500 3 286,049 0.4 9.769 357 70.82 501 - 525 10 2,904,373 4.04 8.857 358 74.73 526 - 550 17 5,996,920 8.34 8.984 357 77.12 551 - 575 24 7,775,505 10.82 8.582 347 70.82 576 - 600 32 12,670,259 17.63 8.597 352 74.64 601 - 625 40 14,604,422 20.32 7.957 351 75.08 626 - 650 27 9,467,604 13.17 7.994 357 80.98 651 - 675 17 5,872,862 8.17 8.251 356 79.4 676 - 700 15 6,408,777 8.92 8.046 358 75.2 701 - 725 5 1,754,093 2.44 7.944 358 77.21 726 - 750 4 1,135,435 1.58 7.525 357 83.68 751 - 775 2 674,339 0.94 8.161 358 80 776 - 800 1 349,765 0.49 8 359 77.78 TOTAL: 210 71,884,162 100 8.343 354 76.16 Minimum: 479 Maximum: 777 Weighted Average: 612