EX-99.1 3 mo711021-ex99_1.txt COMPUTATIONAL MATERIALS EXHIBIT 99.1 -------------------------------------------------------------------------------- MORGAN STANLEY April 24, 2003 Securitized Products Group MORGAN STANLEY -------------------------------------------------------------------------------- COMPUTATIONAL MATERIALS $485,081,000 APPROXIMATELY MORGAN STANLEY ABS CAPITAL I INC. SERIES 2003-NC5 MORTGAGE PASS-THROUGH CERTIFICATES -------------------------------------------------------------------------------- This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 1 -------------------------------------------------------------------------------- MORGAN STANLEY April 24, 2003 Securitized Products Group MORGAN STANLEY -------------------------------------------------------------------------------- APPROXIMATELY $485,081,000 MORGAN STANLEY ABS CAPITAL I INC., SERIES 2003-NC5 MORGAN STANLEY ABS CAPITAL I INC. DEPOSITOR HOMEEQ SERVICING CORP. SERVICER TRANSACTION HIGHLIGHTS ----------------------
-------- ------------ ------------- ----------------- ---------- ----------- -------------------------- -------------- ------------ MODIFIED EXPECTED RATINGS AVG LIFE DURATION INITIAL OFFERED (S&P/FITCH/ TO CALL / TO CALL / PAYMENT WINDOW TO CALL / SUBORDINATION CLASSES DESCRIPTION BALANCE (5) MOODY'S) MTY(1)(2) MTY(1)(2)(3) MTY(1)(2) LEVEL BENCHMARK ======== ============ ============= ================= ========== ============ ========================= ============== ============ A-1 Not Offered 502,341,000 *****Not Offered***** -------- ------------ ------------- ----------------- ---------- ------------ ------------------------- -------------- ------------ A-2 4) Floater 100,000,000 AAA/AAA/Aaa 2.86 / 2.77 / 06/03 - 05/11 / 06/03 - 19.00% 1 Mo. LIBOR 3.17 3.04 12/20 -------- ------------ ------------- ----------------- ---------- ------------ ------------------------- -------------- ------------ A-3 Floater 211,716,000 AAA/AAA/Aaa 2.86 / 2.76 / 06/03 - 05/11 / 06/03 - 19.00% 1 Mo. LIBOR 3.17 3.03 12/20 -------- ------------ ------------- ----------------- ---------- ------------ ------------------------- -------------- ------------ M-1 Floater 63,818,000 AA/AA/Aa2 5.33 / 5.02 / 08/06 - 05/11 / 08/06 - 12.65% 1 Mo. LIBOR 5.88 5.47 12/17 -------- ------------ ------------- ----------------- ---------- ------------ ------------------------- -------------- ------------ M-2 Floater 55,276,000 A/A/A2 5.30 / 4.81 / 07/06 - 05/11 / 07/06 - 7.15% 1 Mo. LIBOR 5.79 5.17 09/16 -------- ------------ ------------- ----------------- ---------- ------------ ------------------------- -------------- ------------ M-3 Floater 17,588,000 A-/A-/A3 5.29 / 4.75 / 06/06 - 05/11 / 06/06 - 5.40% 1 Mo. LIBOR 5.69 5.04 11/14 -------- ------------ ------------- ----------------- ---------- ------------ ------------------------- -------------- ------------ B-1 Floater 13,065,000 BBB+/BBB+/Baa1 5.29 / 4.59 / 06/06 - 05/11 / 06/06 - 4.10% 1 Mo. LIBOR 5.60 4.81 12/13 -------- ------------ ------------- ----------------- ---------- ------------ ------------------------- -------------- ------------ B-2 Floater 11,055,000 BBB/BBB/Baa2 5.29 / 4.53 / 06/06 - 05/11 / 06/06 - 3.00% 1 Mo. LIBOR 5.48 4.66 01/13 -------- ------------ ------------- ----------------- ---------- ------------ ------------------------- -------------- ------------ B-3 Floater 12,563,000 BBB-/BBB-/Baa3 5.21 / 4.48 / 06/06 - 05/11 / 06/06 - 1.75% 1 Mo. LIBOR 5.23 4.49 12/11 -------- ------------ ------------- ----------------- ---------- ------------ ------------------------- -------------- ------------ Notes: (1) Certificates are priced to the 10% optional clean-up call. ----- (2) Based on the pricing prepayment speed. See details below. (3) Assumes pricing at par. (4) Class A-2 wrapped by FSA (5) Bond sizes subject to a variance of plus or minus 5%.
ISSUER: Morgan Stanley ABS Capital I Inc. Trust 2003-NC5. DEPOSITOR: Morgan Stanley ABS Capital I Inc. ORIGINATOR: NC Capital Corporation SERVICER: HomeEq Servicing Corp. TRUSTEE: Deutsche Bank National Trust Company. This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 2 MANAGERS: Morgan Stanley (lead manager), Utendahl Capital Partners, L.P. and Blaylock & Partners, L.P. RATING AGENCIES: Standard & Poor's, Fitch Ratings and Moody's Investors Service. OFFERED CERTIFICATES: Classes A-2, A-3, M-1, M-2, M-3, B-1, B-2 and B-3 Certificates. EXPECTED CLOSING DATE: May 29, 2003 through DTC and Euroclear or Clearstream. The Certificates will be sold without accrued interest. DISTRIBUTION DATES: The 25th of each month, or if such day is not a business day, on the next business day, beginning June 25, 2003. FINAL SCHEDULED DISTRIBUTION DATE: The Distribution Date occurring in May 2033. CLASS A-2 INSURANCE: Financial Security Assurance Inc., a AAA/Aaa/AAA rated surety bond provider, guarantees timely interest and ultimate principal to the Class A-2 Certificate holders. DUE PERIOD: For any Distribution Date, the period commencing on the second day of the month preceding the month in which such Distribution Date occurs and ending on the first day of the month in which such Distribution Date occurs. INTEREST ACCRUAL PERIOD: The interest accrual period for the Offered Certificates with respect to any Distribution Date will be the period beginning with the previous Distribution Date (or, in the case of the first Distribution Date, the Closing Date) and ending on the day prior to the current Distribution Date (on an actual/360 day count basis). MORTGAGE LOANS: The Trust will consist of two groups of adjustable and fixed rate sub-prime residential mortgage loans. GROUP I MORTGAGE LOANS: Approximately $620.2 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. GROUP II MORTGAGE LOANS: Approximately $384.8 million of Mortgage Loans that predominantly have original principal balances that do not conform to the original principal balance limits for one- to four-family residential mortgage loan guidelines for purchase by Freddie Mac. PRICING PREPAYMENT SPEED: o Fixed Rate Mortgage Loans: CPR starting at 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). On and after the Step-down Date, so long as a Trigger Event is not in effect, the required overcollateralization will equal 3.50% of the aggregate principal balance of the Mortgage Loans as of the last day of the applicable Due Period, subject to a 0.50% floor, based on the aggregate principal balance of the Mortgage Loans as of the cut-off date, 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. 4) Insurance policy issued by FSA for the Class A-2 Certificates only. This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 3 SENIOR ENHANCEMENT For any Distribution Date, the percentage PERCENTAGE: obtained by dividing (x) the aggregate Certificate Principal Balance of the subordinate certificates (together with any overcollateralization and taking into account the distributions of the Principal Distribution Amount for such Distribution Date) by (y) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period. STEP-DOWN DATE: The later to occur of: (x) The earlier of: (a) The Distribution Date occurring in June 2006; 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 38.00%. TRIGGER EVENT: A Trigger Event is in effect on any Distribution Date if (i) on that Distribution Date the 60 Day+ Rolling Average equals or exceeds 40% of the prior period's Senior Enhancement Percentage 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: 19.00% PERCENTAGE: Class M-1: 12.65% Class M-2: 7.15% Class M-3: 5.40% Class B-1: 4.10% Class B-2: 3.00% Class B-3: 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 aggregate principal balance of the Mortgage Loans as of the cut-off date. The applicable fixed margin will increase by 2x on the Class A Certificates and by 1.5x on all other Certificates on and after the first distribution date on which the Optional Clean-up Call is exercisable. 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 RATE: The Class A-1 Certificates will accrue interest at a variable rate equal to the least of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable), (ii) the Loan Group I Cap and (iii) the WAC Cap. CLASS A-2 AND CLASS A-3 The Class A-2 and Class A-3 Certificates will PASS-THROUGH RATE: accrue interest at a 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 RATE: The Class M-1 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. CLASS M-2 PASS-THROUGH RATE: The Class M-2 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 4 CLASS M-3 PASS-THROUGH RATE: The Class M-3 Certificates will accrue interest at a 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 RATE: The Class B-1 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. CLASS B-2 PASS-THROUGH RATE: The Class B-2 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. CLASS B-3 PASS-THROUGH RATE: The Class B-3 Certificates will accrue interest at a 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 product of (i) the weighted average gross rate of the Mortgage Loans in effect on the beginning of the related Due Period less servicing, trustee and other fee rates and in the case of the A-2 certificates, less the Class A-2 Insurance premium, and (ii) a fraction, the numerator of which is 30 and the denominator of which is the actual number of days in the related Interest Accrual Period. LOAN GROUP I CAP: As to any Distribution Date, a per annum rate equal to the product of (i) weighted average gross rate of the Group I Mortgage Loans in effect on the beginning of the related Due Period less servicing, trustee and other fee rates, and (ii) a fraction, the numerator of which is 30 and the denominator of which is the actual number of days in the related Interest Accrual Period. LOAN GROUP II CAP: As to any Distribution Date, a per annum rate equal to the product of (i) weighted average gross rate of the Group II Mortgage Loans in effect on the beginning of the related Due Period less servicing, trustee and other fee rates, and in the case of the A-2 certificates, less the Class A-2 Insurance premium and (ii) a fraction, the numerator of which is 30 and the denominator of which is the actual number of days in the related Interest Accrual Period. CLASS A-1 BASIS RISK CARRY As to any Distribution Date, the supplemental FORWARD AMOUNT: interest 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). This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 5 CLASS A-2 AND CLASS A-3 As to any Distribution Date, the supplemental BASIS RISK CARRY FORWARD interest amount for the Class A-2 and Class A-3 AMOUNT: 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 or Class A-3 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 or Class A-3 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 and Class A-3 Pass-Through Rate (without regard to the Loan Group II Cap or WAC Cap). CLASS M-1, M-2, M-3, As to any Distribution Date, the supplemental B-1, B-2 AND B-3 BASIS RISK interest amount for each of the Class M-1, M-2, CARRY FORWARD AMOUNTS: M-3, B-1, B-2 and B-3 Certificates will equal the sum of: (i) The excess, if any, of interest that would otherwise be due on such Certificates at such Certificates' applicable Pass-Through Rate (without regard to the WAC Cap) over interest due such Certificates at a rate equal to the WAC Cap; (ii) Any Basis Risk Carry Forward Amount for such class remaining unpaid for such Certificate from prior Distribution Dates; and (iii) Interest on the amount in clause (ii) at the Certificates' applicable Pass-Through Rate (without regard to the WAC Cap). INTEREST DISTRIBUTIONS ON On each Distribution Date and after payments of OFFERED CERTIFICATES: servicing and trustee fees and other expenses, interest 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, pro rata, to the Class A-2 Certificates, the Class A-3 Certificates and (according to any unpaid Class A-2 Insurance premiums and any unreimbursed Class A-2 Insurance Payment Amounts) the Class A-2 Insurer; (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, pro rata, to the Class A-2 Certificates, the Class A-3 Certificates and (according to any unpaid Class A-2 Insurance premiums and any unreimbursed Class A-2 Insurance Payment Amounts) the Class A-2 Insurer 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 M-3 Certificates, its Accrued Certificate Interest; (vi) to the Class B-1 Certificates, its Accrued Certificate Interest; and (vii) to the Class B-2 Certificates, its Accrued Certificate Interest. This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 6 PRINCIPAL DISTRIBUTIONS ON On each Distribution Date (a) prior to the OFFERED CERTIFICATES: Stepdown Date or (b) on which a Trigger Event is in effect, principal distributions from the Principal Distribution Amount will be allocated as follows: (i) to the Class A Certificates, 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 has been reduced to zero; (iii) to the Class M-2 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (iv) to the Class M-3 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (v) to the Class B-1 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (vi) to the Class B-2 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; and (vii) to the Class B-3 Certificates, until the Certificate Principal Balance thereof has been reduced to zero. On each Distribution Date (a) on or after the Stepdown Date and (b) on which a Trigger Event is not in effect, the principal distributions from the Principal Distribution Amount will be allocated as follows: (i) to the Class A Certificates, the lesser of the Principal Distribution Amount and the Class A Principal Distribution Amount, allocated between the Class A Certificates as described below, until the Certificate Principal Balances thereof have been reduced to zero; (ii) to the Class M-1 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-1 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (iii) to the Class M-2 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-2 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (iv) to the Class M-3 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-3 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (v) to the Class B-1 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-1 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (vi) to the Class B-2 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-2 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; and (vii) to the Class B-3 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-3 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero. This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 7 All principal distributions to the Class A Certificates on any Distribution Date will be allocated concurrently between (i) the Class A-1 Certificates and (ii) the Class A-2 Certificates and the Class A-3 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 any 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 remaining outstanding Class A Certificates, on a pro rata basis, until the Certificate Principal Balance thereof has been reduced to zero. All principal distributions to the Class A-2 and A-3 Certificates on any Distribution Date will be allocated on a pro rata basis. INTEREST RATE CAP: Beginning on the first Distribution Date, and for a period of 35 months thereafter, an Interest Rate Cap will be pledged to the Trust for the benefit of the Class A-2 and Class A-3 Certificates. For the first 24 months if the 1-month LIBOR rate exceeds 6.80%, the Interest Rate Cap pays the Trust the product of (i) the difference between the then current 1-month LIBOR rate and 6.80% (on an Actual/360 day count basis) up to a maximum of 137.5bps and (ii) the Interest Rate Cap Notional Balance ("the Interest Rate Cap Payment") as described herein. For the next 12 months if the 1-month LIBOR rate exceeds 7.175%, the Interest Rate Cap pays the Trust the product of (i) the difference between the then current 1-month LIBOR rate and 7.175% (on an Actual/360 day count basis) up to a maximum of 100bps and (ii) the Interest Rate Cap Notional Balance ("the Interest Rate Cap Payment") as described herein. INTEREST RATE CAP PAYMENT The Interest Rate Cap Payment shall be available ALLOCATION: to pay any Basis Risk Carry Forward Amount due to the Class A-2 and Class A-3 Certificates pro rata ALLOCATION OF NET MONTHLY For any Distribution Date, any Net Monthly Excess EXCESS CASHFLOW: Cashflow shall be paid as follows: (i) to the Class M-1 Certificates, the unpaid interest shortfall amount; (ii) to the Class M-1 Certificates, the allocated unreimbursed realized loss amount; (iii) to the Class M-2 Certificates, the unpaid interest shortfall amount; (iv) to the Class M-2 Certificates, the allocated unreimbursed realized loss amount; (v) to the Class M-3 Certificates, the unpaid interest shortfall amount; (vi) to the Class M-3 Certificates, the allocated unreimbursed realized loss amount; (vii) to the Class B-1 Certificates, the unpaid interest shortfall amount; (viii) to the Class B-1 Certificates, the allocated unreimbursed realized loss amount; (ix) to the Class B-2 Certificates, the unpaid interest shortfall amount; (x) to the Class B-2 Certificates, the allocated unreimbursed realized loss amount; (xi) to the Class B-3 Certificates, the unpaid interest shortfall amount; (xii) to the Class B-3 Certificates, the allocated unreimbursed realized loss amount; (xiii) concurrently, any Class A-1 Basis Risk Carry Forward Amount to the Class A-1 Certificates, and any Class A-2 and Class A-3 Basis Risk Carry Forward Amount to the Class A-2 and Class A-3 Certificates; and (xiv) sequentially, to Classes M-1, M-2, M-3, B-1, B-2 and B-3 Certificates, in such order, any Basis Risk Carry Forward Amount for such classes. INTEREST REMITTANCE AMOUNT: For any Distribution Date, the portion of available funds for such Distribution Date attributable to interest received or advanced on the Mortgage Loans. This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 8 ACCRUED CERTIFICATE INTEREST: For any Distribution Date and each class of Offered Certificates, equals the amount of interest accrued during the related interest accrual period at the related Pass-through Rate, reduced by any prepayment interest shortfalls and shortfalls resulting from the application of the Soldiers' and Sailors' Civil Relief Act of 1940 or similar state law allocated to such class. CLASS A-2 INSURANCE PAYMENT For any Distribution Date, the Class A-2 AMOUNT: Insurance Payment Amount equals Accrued Certificate Interest and principal with respect to the Class A-2 Certificates, to the extent covered by the Class A-2 Insurer. PRINCIPAL DISTRIBUTION On any Distribution Date, the sum of (i) the AMOUNT: Basic Principal Distribution Amount and (ii) the Extra Principal Distribution Amount. BASIC PRINCIPAL DISTRIBUTION On any Distribution Date, the excess of (i) the AMOUNT: aggregate principal remittance amount over (ii) the Excess Subordinated Amount, if any. NET MONTHLY EXCESS CASHFLOW: For any Distribution Date is the amount of funds available for distribution on such Distribution Date remaining after making all distributions of interest and principal on the certificates. EXTRA PRINCIPAL DISTRIBUTION For any Distribution Date, the lesser of (i) the AMOUNT: excess of (x) interest collected or advanced with respect to the Mortgage Loans with due dates in the related Due Period (less servicing and trustee fees and expenses), over (y) the sum of interest payable on the Certificates on such Distribution Date and (ii) the overcollateralization deficiency amount for such Distribution Date. EXCESS SUBORDINATED AMOUNT: For any Distribution Date, means the excess, if any of (i) the overcollateralization and (ii) the required overcollateralization for such Distribution Date. CLASS A PRINCIPAL ALLOCATION For any Distribution Date, the percentage PERCENTAGE: equivalent of 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 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 and Class A-3 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 Group II Mortgage Loans and the denominator of which is (y) the principal remittance amount for such Distribution Date. CLASS A PRINCIPAL For any Distribution Date, an amount equal to the DISTRIBUTION AMOUNT: excess of (x) the aggregate Certificate Principal Balance of the Class A Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 62.00% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $5,025,049. CLASS M-1 PRINCIPAL For any Distribution Date, an amount equal to the DISTRIBUTION AMOUNT: excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date) and (ii) the Certificate Principal Balance of the Class M-1 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 74.70% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $5,025,049. This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 9 CLASS M-2 PRINCIPAL For any Distribution Date, an amount equal to the DISTRIBUTION AMOUNT: excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date) and (iii) the Certificate Principal Balance of the Class M-2 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 85.70% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $5,025,049. CLASS M-3 PRINCIPAL For any Distribution Date, an amount equal to the DISTRIBUTION AMOUNT: excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date) and (iv) the Certificate Principal Balance of the Class M-3 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 89.20% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $5,025,049. CLASS B-1 PRINCIPAL For any Distribution Date, an amount equal to the DISTRIBUTION AMOUNT: excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date) and (v) 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 91.80% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $5,025,049. This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 10 CLASS B-2 PRINCIPAL For any Distribution Date, an amount equal to the DISTRIBUTION AMOUNT: excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (v) 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 (vi) the Certificate Principal Balance of the Class B-2 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 94.00% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $5,025,049. CLASS B-3 PRINCIPAL For any Distribution Date, an amount equal to the DISTRIBUTION AMOUNT: excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (v) 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), (vi) the Certificate Principal Balance of the Class B-2 Certificates (after taking into account the payment of the Class B-2 Principal Distribution Amount on such Distribution Date) and (vii) the Certificate Principal Balance of the Class B-3 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 96.50% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $5,025,049. TRUST TAX STATUS: REMIC. ERISA ELIGIBILITY: Subject to the considerations in the Prospectus, all Offered Certificates are ERISA eligible. SMMEA ELIGIBILITY: It is not anticipated that any of the Offered Certificates will be SMMEA eligible. PROSPECTUS: The Class A-2, Class A-3, Class M-1, Class M-2, Class M-3, Class B-1, Class B-2 and Class B-3 Certificates are being offered pursuant to a prospectus supplemented by a prospectus supplement (together, the "Prospectus"). Complete information with respect to the Offered Certificates and the collateral securing them is contained in the Prospectus. The information herein is qualified in its entirety by the information appearing in the Prospectus. To the extent that the information herein is inconsistent with the Prospectus, the Prospectus shall govern in all respects. Sales of the Offered Certificates may not be consummated unless the purchaser has received the Prospectus. PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A DESCRIPTION OF INFORMATION THAT SHOULD BE CONSIDERED IN CONNECTION WITH AN INVESTMENT IN THE OFFERED CERTIFICATES. This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 11 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 May 2004 99 80 74 68 62 May 2005 97 61 50 40 31 May 2006 96 45 32 20 11 May 2007 95 35 26 20 11 May 2008 93 28 20 14 10 May 2009 91 23 15 10 7 May 2010 89 19 12 7 5 May 2011 87 15 9 5 3 May 2012 85 12 7 4 3 May 2013 82 10 5 3 2 May 2014 80 8 4 2 0 May 2015 77 7 3 2 0 May 2016 74 5 3 1 0 May 2017 70 4 2 0 0 May 2018 66 4 2 0 0 May 2019 63 3 1 0 0 May 2020 59 2 0 0 0 May 2021 54 2 0 0 0 May 2022 50 2 0 0 0 May 2023 45 1 0 0 0 May 2024 40 1 0 0 0 May 2025 35 0 0 0 0 May 2026 32 0 0 0 0 May 2027 28 0 0 0 0 May 2028 24 0 0 0 0 May 2029 19 0 0 0 0 May 2030 15 0 0 0 0 May 2031 9 0 0 0 0 May 2032 4 0 0 0 0 May 2033 0 0 0 0 0 Average Life to 18.09 4.18 3.17 2.48 1.94 Maturity (years) Average Life to 18.06 3.80 2.86 2.21 1.71 Call (1) (years) (1) 10% Optional Clean-Up Call
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 12 TO MATURITY ----------- PERCENTAGE OF CLASS A-3 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150% ------------------ ----------------- ----------------- ----------------- ----------------- ----------------- Initial 100 100 100 100 100 May 2004 99 80 74 68 62 May 2005 97 61 50 40 31 May 2006 96 45 32 20 11 May 2007 95 35 26 20 11 May 2008 93 28 20 14 10 May 2009 91 23 15 10 7 May 2010 89 19 12 7 5 May 2011 87 15 9 5 3 May 2012 85 12 7 4 3 May 2013 82 10 5 3 2 May 2014 80 8 4 2 0 May 2015 77 7 3 2 0 May 2016 74 5 3 1 0 May 2017 70 4 2 0 0 May 2018 66 4 2 0 0 May 2019 63 3 1 0 0 May 2020 59 2 0 0 0 May 2021 54 2 0 0 0 May 2022 50 2 0 0 0 May 2023 45 1 0 0 0 May 2024 40 1 0 0 0 May 2025 35 0 0 0 0 May 2026 32 0 0 0 0 May 2027 28 0 0 0 0 May 2028 24 0 0 0 0 May 2029 19 0 0 0 0 May 2030 15 0 0 0 0 May 2031 9 0 0 0 0 May 2032 4 0 0 0 0 May 2033 0 0 0 0 0 Average Life to 18.09 4.18 3.17 2.48 1.94 Maturity (years) Average Life to 18.06 3.80 2.86 2.21 1.71 Call (1) (years) (1) 10% Optional Clean-Up Call
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 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 May 2004 100 100 100 100 100 May 2005 100 100 100 100 100 May 2006 100 100 100 100 100 May 2007 100 87 64 46 81 May 2008 100 70 48 32 20 May 2009 100 56 36 22 13 May 2010 100 45 27 15 8 May 2011 100 36 20 10 5 May 2012 100 29 15 7 1 May 2013 100 23 11 5 0 May 2014 100 19 8 2 0 May 2015 100 15 6 0 0 May 2016 100 12 4 0 0 May 2017 100 9 2 0 0 May 2018 100 7 0 0 0 May 2019 100 6 0 0 0 May 2020 100 4 0 0 0 May 2021 100 2 0 0 0 May 2022 100 0 0 0 0 May 2023 100 0 0 0 0 May 2024 100 0 0 0 0 May 2025 96 0 0 0 0 May 2026 87 0 0 0 0 May 2027 77 0 0 0 0 May 2028 66 0 0 0 0 May 2029 54 0 0 0 0 May 2030 41 0 0 0 0 May 2031 28 0 0 0 0 May 2032 13 0 0 0 0 May 2033 0 0 0 0 0 Average Life to 26.14 7.75 5.88 5.01 4.82 Maturity (years) Average Life to 26.02 7.03 5.33 4.56 4.46 Call (1) (years) (1) 10% Optional Clean-Up Call
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 14 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 May 2004 100 100 100 100 100 May 2005 100 100 100 100 100 May 2006 100 100 100 100 100 May 2007 100 87 64 46 33 May 2008 100 70 48 32 20 May 2009 100 56 36 22 13 May 2010 100 45 27 15 8 May 2011 100 36 20 10 2 May 2012 100 29 15 7 0 May 2013 100 23 11 2 0 May 2014 100 19 8 0 0 May 2015 100 15 4 0 0 May 2016 100 12 1 0 0 May 2017 100 9 0 0 0 May 2018 100 7 0 0 0 May 2019 100 4 0 0 0 May 2020 100 1 0 0 0 May 2021 100 0 0 0 0 May 2022 100 0 0 0 0 May 2023 100 0 0 0 0 May 2024 100 0 0 0 0 May 2025 96 0 0 0 0 May 2026 87 0 0 0 0 May 2027 77 0 0 0 0 May 2028 66 0 0 0 0 May 2029 54 0 0 0 0 May 2030 41 0 0 0 0 May 2031 28 0 0 0 0 May 2032 13 0 0 0 0 May 2033 0 0 0 0 0 Average Life to 26.14 7.67 5.79 4.81 4.34 Maturity (years) Average Life to 26.02 7.03 5.30 4.41 4.02 Call (1) (years) (1) 10% Optional Clean-Up Call
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 15 TO MATURITY ----------- PERCENTAGE OF CLASS M-3 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150% ------------------ ----------------- ----------------- ----------------- ----------------- ----------------- Initial 100 100 100 100 100 May 2004 100 100 100 100 100 May 2005 100 100 100 100 100 May 2006 100 100 100 100 100 May 2007 100 87 64 46 33 May 2008 100 70 48 32 20 May 2009 100 56 36 22 13 May 2010 100 45 27 15 4 May 2011 100 36 20 10 0 May 2012 100 29 15 0 0 May 2013 100 23 11 0 0 May 2014 100 19 4 0 0 May 2015 100 15 0 0 0 May 2016 100 12 0 0 0 May 2017 100 9 0 0 0 May 2018 100 1 0 0 0 May 2019 100 0 0 0 0 May 2020 100 0 0 0 0 May 2021 100 0 0 0 0 May 2022 100 0 0 0 0 May 2023 100 0 0 0 0 May 2024 100 0 0 0 0 May 2025 96 0 0 0 0 May 2026 87 0 0 0 0 May 2027 77 0 0 0 0 May 2028 66 0 0 0 0 May 2029 54 0 0 0 0 May 2030 41 0 0 0 0 May 2031 28 0 0 0 0 May 2032 13 0 0 0 0 May 2033 0 0 0 0 0 Average Life to 26.13 7.56 5.69 4.68 4.13 Maturity (years) Average Life to 26.02 7.03 5.29 4.36 3.88 Call (1) (years) (1) 10% Optional Clean-Up Call
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 16 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 May 2004 100 100 100 100 100 May 2005 100 100 100 100 100 May 2006 100 100 100 100 100 May 2007 100 87 64 46 33 May 2008 100 70 48 32 20 May 2009 100 56 36 22 13 May 2010 100 45 27 15 0 May 2011 100 36 20 4 0 May 2012 100 29 15 0 0 May 2013 100 23 6 0 0 May 2014 100 19 0 0 0 May 2015 100 15 0 0 0 May 2016 100 10 0 0 0 May 2017 100 0 0 0 0 May 2018 100 0 0 0 0 May 2019 100 0 0 0 0 May 2020 100 0 0 0 0 May 2021 100 0 0 0 0 May 2022 100 0 0 0 0 May 2023 100 0 0 0 0 May 2024 100 0 0 0 0 May 2025 96 0 0 0 0 May 2026 87 0 0 0 0 May 2027 77 0 0 0 0 May 2028 66 0 0 0 0 May 2029 54 0 0 0 0 May 2030 41 0 0 0 0 May 2031 28 0 0 0 0 May 2032 13 0 0 0 0 May 2033 0 0 0 0 0 Average Life to 26.11 7.45 5.60 4.58 4.02 Maturity (years) Average Life to 26.02 7.03 5.29 4.33 3.82 Call (1) (years) (1) 10% Optional Clean-Up Call
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 17 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 May 2004 100 100 100 100 100 May 2005 100 100 100 100 100 May 2006 100 100 100 100 100 May 2007 100 87 64 46 33 May 2008 100 70 48 32 20 May 2009 100 56 36 22 2 May 2010 100 45 27 10 0 May 2011 100 36 20 0 0 May 2012 100 29 9 0 0 May 2013 100 23 0 0 0 May 2014 100 19 0 0 0 May 2015 100 9 0 0 0 May 2016 100 0 0 0 0 May 2017 100 0 0 0 0 May 2018 100 0 0 0 0 May 2019 100 0 0 0 0 May 2020 100 0 0 0 0 May 2021 100 0 0 0 0 May 2022 100 0 0 0 0 May 2023 100 0 0 0 0 May 2024 100 0 0 0 0 May 2025 96 0 0 0 0 May 2026 87 0 0 0 0 May 2027 77 0 0 0 0 May 2028 66 0 0 0 0 May 2029 54 0 0 0 0 May 2030 41 0 0 0 0 May 2031 28 0 0 0 0 May 2032 2 0 0 0 0 May 2033 0 0 0 0 0 Average Life to 26.08 7.29 5.48 4.49 3.91 Maturity (years) Average Life to 26.02 7.03 5.29 4.33 3.79 Call (1) (years) (1) 10% Optional Clean-Up Call
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 18 TO MATURITY ----------- PERCENTAGE OF CLASS B-3 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150% ------------------ ----------------- ----------------- ----------------- ----------------- ----------------- Initial 100 100 100 100 100 May 2004 100 100 100 100 100 May 2005 100 100 100 100 100 May 2006 100 100 100 100 100 May 2007 100 87 64 46 33 May 2008 100 70 48 32 9 May 2009 100 56 36 12 0 May 2010 100 45 24 0 0 May 2011 100 36 7 0 0 May 2012 100 29 0 0 0 May 2013 100 16 0 0 0 May 2014 100 4 0 0 0 May 2015 100 0 0 0 0 May 2016 100 0 0 0 0 May 2017 100 0 0 0 0 May 2018 100 0 0 0 0 May 2019 100 0 0 0 0 May 2020 100 0 0 0 0 May 2021 100 0 0 0 0 May 2022 100 0 0 0 0 May 2023 100 0 0 0 0 May 2024 100 0 0 0 0 May 2025 96 0 0 0 0 May 2026 87 0 0 0 0 May 2027 77 0 0 0 0 May 2028 66 0 0 0 0 May 2029 54 0 0 0 0 May 2030 41 0 0 0 0 May 2031 26 0 0 0 0 May 2032 0 0 0 0 0 May 2033 0 0 0 0 0 Average Life to 25.99 6.97 5.23 4.27 3.74 Maturity (years) Average Life to Call 25.98 6.94 5.21 4.25 3.72 (1) (years) (1) 10% Optional Clean-Up Call
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 19 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-2 CAP (%) A-3 CAP (%) M-1 CAP (%) M-2 CAP (%) M-3 CAP (%) B-1 CAP (%) B-2 CAP (%) B-3 CAP (%) ---------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 0 - - - - - - - - 1 9.39 9.47 7.89 7.89 7.89 7.89 7.89 7.89 2 8.64 8.71 7.14 7.14 7.14 7.14 7.14 7.14 3 8.46 8.52 6.94 6.94 6.94 6.94 6.94 6.94 4 8.48 8.55 6.96 6.96 6.96 6.96 6.96 6.96 5 8.72 8.79 7.19 7.19 7.19 7.19 7.19 7.19 6 8.49 8.56 6.96 6.96 6.96 6.96 6.96 6.96 7 8.73 8.80 7.19 7.19 7.19 7.19 7.19 7.19 8 8.50 8.57 6.96 6.96 6.96 6.96 6.96 6.96 9 8.51 8.57 6.96 6.96 6.96 6.96 6.96 6.96 10 9.00 9.08 7.44 7.44 7.44 7.44 7.44 7.44 11 8.52 8.59 6.96 6.96 6.96 6.96 6.96 6.96 12 8.76 8.83 7.19 7.19 7.19 7.19 7.19 7.19 13 8.53 8.60 6.96 6.96 6.96 6.96 6.96 6.96 14 8.78 8.85 7.19 7.19 7.19 7.19 7.19 7.19 15 8.55 8.61 6.96 6.96 6.96 6.96 6.96 6.96 16 8.55 8.62 6.96 6.96 6.96 6.96 6.96 6.96 17 8.80 8.87 7.19 7.19 7.19 7.19 7.19 7.19 18 8.57 8.64 6.96 6.96 6.96 6.96 6.96 6.96 19 8.82 8.89 7.19 7.19 7.19 7.19 7.19 7.19 20 8.59 8.66 6.96 6.96 6.96 6.96 6.96 6.96 21 8.60 8.66 6.96 6.96 6.96 6.96 6.96 6.96 22 9.38 9.46 7.71 7.71 7.71 7.71 7.71 7.71 23 9.47 9.54 7.92 7.92 7.92 7.92 7.92 7.92 24 9.75 9.82 8.18 8.18 8.18 8.18 8.18 8.18 25 9.12 9.19 7.92 7.92 7.92 7.92 7.92 7.92 26 9.40 9.47 8.18 8.18 8.18 8.18 8.18 8.18 27 9.15 9.21 7.92 7.92 7.92 7.92 7.92 7.92 28 9.16 9.23 7.91 7.91 7.91 7.91 7.91 7.91 29 10.31 10.38 9.16 9.16 9.16 9.16 9.16 9.16 30 10.02 10.09 8.87 8.87 8.87 8.87 8.87 8.87 31 10.34 10.41 9.16 9.16 9.16 9.16 9.16 9.16 32 10.06 10.13 8.86 8.86 8.86 8.86 8.86 8.86 33 10.08 10.15 8.86 8.86 8.86 8.86 8.86 8.86 34 11.12 11.19 9.85 9.85 9.85 9.85 9.85 9.85 35 11.02 11.08 9.86 9.86 9.86 9.86 9.86 9.86 36 11.38 11.45 10.19 10.19 10.19 10.19 10.19 10.19 (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. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 20 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-2 CAP (%) A-3 CAP (%) M-1 CAP (%) M-2 CAP (%) M-3 CAP (%) B-1 CAP (%) B-2 CAP (%) B-3 CAP (%) ---------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 37 23.20 23.27 9.86 9.86 9.86 9.86 9.86 9.86 38 12.03 12.10 10.18 10.18 10.18 10.18 10.18 10.18 39 11.58 11.65 9.85 9.85 9.85 9.85 9.85 9.85 40 11.57 11.63 9.89 9.89 9.89 9.89 9.89 9.89 41 12.76 12.83 11.21 11.21 11.21 11.21 11.21 11.21 42 12.34 12.41 10.84 10.84 10.84 10.84 10.84 10.84 43 12.75 12.82 11.20 11.20 11.20 11.20 11.20 11.20 44 12.34 12.40 10.84 10.84 10.84 10.84 10.84 10.84 45 12.34 12.40 10.84 10.84 10.84 10.84 10.84 10.84 46 13.70 13.77 12.04 12.04 12.04 12.04 12.04 12.04 47 12.93 13.00 11.52 11.52 11.52 11.52 11.52 11.52 48 13.36 13.43 11.90 11.90 11.90 11.90 11.90 11.90 49 12.93 13.00 11.52 11.52 11.52 11.52 11.52 11.52 50 13.36 13.43 11.90 11.90 11.90 11.90 11.90 11.90 51 12.93 13.00 11.51 11.51 11.51 11.51 11.51 11.51 52 12.96 13.03 11.55 11.55 11.55 11.55 11.55 11.55 53 13.41 13.48 11.94 11.94 11.94 11.94 11.94 11.94 54 12.97 13.04 11.55 11.55 11.55 11.55 11.55 11.55 55 13.41 13.48 11.94 11.94 11.94 11.94 11.94 11.94 56 12.97 13.04 11.55 11.55 11.55 11.55 11.55 11.55 57 12.97 13.04 11.55 11.55 11.55 11.55 11.55 11.55 58 13.89 13.96 12.37 12.37 12.37 12.37 12.37 12.37 59 13.00 13.07 11.58 11.58 11.58 11.58 11.58 11.58 60 13.43 13.50 11.96 11.96 11.96 11.96 11.96 11.96 61 13.00 13.07 11.57 11.57 11.57 11.57 11.57 11.57 62 13.43 13.50 11.96 11.96 11.96 11.96 11.96 11.96 63 13.00 13.07 11.57 11.57 11.57 11.57 11.57 11.57 64 13.00 13.07 11.57 11.57 11.57 11.57 11.57 11.57 65 13.43 13.50 11.95 11.95 11.95 11.95 11.95 11.95 66 13.00 13.06 11.57 11.57 11.57 11.57 11.57 11.57 67 13.43 13.50 11.95 11.95 11.95 11.95 11.95 11.95 68 12.99 13.06 11.56 11.56 11.56 11.56 11.56 11.56 69 12.99 13.06 11.56 11.56 11.56 11.56 11.56 11.56 70 14.39 14.46 12.80 12.80 12.80 12.80 12.80 12.80 71 12.99 13.06 11.56 11.56 11.56 11.56 11.56 11.56 72 13.43 13.50 11.94 11.94 11.94 11.94 11.94 11.94 73 12.99 13.06 11.56 11.56 11.56 11.56 11.56 11.56 (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. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 21 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-2 CAP (%) A-3 CAP (%) M-1 CAP (%) M-2 CAP (%) M-3 CAP (%) B-1 CAP (%) B-2 CAP (%) B-3 CAP (%) ---------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 74 13.42 13.49 11.94 11.94 11.94 11.94 11.94 11.94 75 12.99 13.06 11.55 11.55 11.55 11.55 11.55 11.55 76 12.99 13.06 11.55 11.55 11.55 11.55 11.55 11.55 77 13.42 13.49 11.93 11.93 11.93 11.93 11.93 11.93 78 12.99 13.06 11.55 11.55 11.55 11.55 11.55 11.55 79 13.42 13.49 11.93 11.93 11.93 11.93 11.93 11.93 80 12.99 13.06 11.55 11.55 11.55 11.55 11.55 11.55 81 12.99 13.06 11.54 11.54 11.54 11.54 11.54 11.54 82 14.38 14.45 12.78 12.78 12.78 12.78 12.78 12.78 83 11.63 11.69 11.54 11.54 11.54 11.54 11.54 11.54 84 11.82 11.89 11.92 11.92 11.92 11.92 11.92 11.92 85 11.45 11.52 11.54 11.54 11.54 11.54 11.54 11.54 86 11.85 11.92 11.92 11.92 11.92 11.92 11.92 11.92 87 11.49 11.55 11.54 11.54 11.54 11.54 11.54 11.54 88 11.50 11.57 11.54 11.54 11.54 11.54 11.54 11.54 89 11.90 11.97 11.92 11.92 11.92 11.92 11.92 11.92 90 11.54 11.61 11.53 11.53 11.53 11.53 11.53 11.53 91 11.94 12.01 11.92 11.92 11.92 11.92 11.92 11.92 92 11.58 11.64 11.53 11.53 11.53 11.53 11.53 11.53 93 11.59 11.66 11.53 11.53 11.53 11.53 11.53 11.53 94 12.86 12.93 12.76 12.76 12.76 12.76 12.76 12.76 95 11.64 11.70 11.53 11.53 11.53 11.53 11.53 11.53 96 12.04 12.11 11.91 11.91 11.91 11.91 11.91 11.91 97 11.68 11.75 11.52 11.52 11.52 11.52 11.52 11.52 98 12.09 12.16 11.91 11.91 11.91 11.91 11.91 11.91 99 11.72 11.79 11.52 11.52 11.52 11.52 11.52 11.52 100 11.75 11.81 11.52 11.52 11.52 11.52 11.52 11.52 101 12.16 12.23 11.90 11.90 11.90 11.90 11.90 11.90 102 11.79 11.86 11.52 11.52 11.52 11.52 11.52 11.52 103 12.21 12.28 11.90 11.90 11.90 11.90 11.90 11.90 104 11.85 11.91 11.52 11.52 11.52 11.52 11.52 11.52 105 11.87 11.94 11.51 11.51 11.51 11.51 11.51 11.51 106 12.72 12.79 12.31 12.31 12.31 12.31 12.31 - 107 11.93 12.00 11.51 11.51 11.51 11.51 11.51 - 108 12.35 12.42 11.90 11.90 11.90 11.90 11.90 - 109 11.99 12.05 11.51 11.51 11.51 11.51 11.51 - 110 12.42 12.49 11.89 11.89 11.89 11.89 11.89 - (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. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 22 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-2 CAP (%) A-3 CAP (%) M-1 CAP (%) M-2 CAP (%) M-3 CAP (%) B-1 CAP (%) B-2 CAP (%) B-3 CAP (%) ---------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 111 12.05 12.12 11.51 11.51 11.51 11.51 11.51 - 112 12.08 12.15 11.51 11.51 11.51 11.51 11.51 - 113 12.52 12.59 11.89 11.89 11.89 11.89 11.89 - 114 12.15 12.21 11.51 11.51 11.51 11.51 11.51 - 115 12.59 12.66 11.89 11.89 11.89 11.89 11.89 - 116 12.22 12.28 11.50 11.50 11.50 11.50 11.50 - 117 12.25 12.32 11.50 11.50 11.50 11.50 11.50 - 118 13.61 13.68 12.73 12.73 12.73 12.73 12.73 - 119 12.33 12.40 11.50 11.50 11.50 11.50 - - 120 12.78 12.85 11.88 11.88 11.88 11.88 - - 121 12.41 12.48 11.50 11.50 11.50 11.50 - - 122 12.86 12.93 11.88 11.88 11.88 11.88 - - 123 12.49 12.56 11.50 11.50 11.50 11.50 - - 124 12.54 12.60 11.50 11.50 11.50 11.50 - - 125 13.00 13.07 11.88 11.88 11.88 11.88 - - 126 12.63 12.69 11.49 11.49 11.49 11.49 - - 127 13.10 13.17 11.88 11.88 11.88 11.88 - - 128 12.72 12.79 11.49 11.49 11.49 11.49 - - 129 12.77 12.84 11.49 11.49 11.49 11.49 - - 130 14.20 14.27 12.72 12.72 12.72 - - - 131 12.87 12.94 11.49 11.49 11.49 - - - 132 13.36 13.43 11.87 11.87 11.87 - - - 133 12.98 13.05 11.49 11.49 11.49 - - - 134 13.47 13.54 11.87 11.87 11.87 - - - 135 13.10 13.17 11.49 11.49 11.49 - - - 136 13.16 13.23 11.49 11.49 11.49 - - - 137 13.66 13.73 11.87 11.87 11.87 - - - 138 13.28 13.35 11.49 11.49 11.49 - - - 139 13.79 13.86 11.87 11.87 11.87 - - - 140 13.41 13.48 11.48 11.48 11.48 - - - 141 13.48 13.55 11.48 11.48 - - - - 142 15.00 15.08 12.71 12.71 - - - - 143 13.62 13.69 11.48 11.48 - - - - 144 14.15 14.22 11.86 11.86 - - - - 145 13.77 13.84 11.48 11.48 - - - - 146 14.31 14.38 11.86 11.86 - - - - 147 13.93 13.99 11.48 11.48 - - - - (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. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 23 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-2 CAP (%) A-3 CAP (%) M-1 CAP (%) M-2 CAP (%) M-3 CAP (%) B-1 CAP (%) B-2 CAP (%) B-3 CAP (%) ---------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 148 14.01 14.08 11.48 11.48 - - - - 149 14.56 14.63 11.86 11.86 - - - - 150 14.18 14.25 11.48 11.48 - - - - 151 14.74 14.81 11.86 11.86 - - - - 152 14.36 14.42 11.48 11.48 - - - - 153 14.45 14.52 11.48 11.48 - - - - 154 15.55 15.62 12.27 12.27 - - - - 155 14.64 14.71 11.48 11.48 - - - - 156 15.23 15.30 11.86 11.86 - - - - 157 14.85 14.91 11.48 11.48 - - - - 158 15.45 15.52 11.86 11.86 - - - - 159 15.06 15.13 11.48 11.48 - - - - 160 15.17 15.24 11.48 11.48 - - - - 161 15.80 15.87 11.86 11.86 - - - - 162 15.40 15.47 11.47 11.47 - - - - 163 16.04 16.11 11.86 11.86 - - - - 164 15.65 15.72 11.47 - - - - - 165 15.78 15.84 11.47 - - - - - 166 17.61 17.69 12.70 - - - - - 167 16.04 16.11 11.47 - - - - - 168 16.72 16.79 11.86 - - - - - 169 16.32 16.39 11.47 - - - - - 170 17.02 17.09 11.86 - - - - - 171 16.62 16.68 11.47 - - - - - 172 16.77 16.84 11.47 - - - - - 173 17.49 17.56 11.86 - - - - - 174 17.09 17.16 11.47 - - - - - 175 17.83 17.90 11.86 - - - - - 176 17.43 17.50 11.47 - - - - - 177 17.60 17.67 11.47 - - - - - 178 19.69 19.76 12.70 - - - - - 179 17.97 18.03 11.47 - - - - - 180 18.82 18.89 - - - - - - 181 18.53 18.60 - - - - - - 182 19.50 19.57 - - - - - - 183 19.24 19.30 - - - - - - 184 19.62 19.69 - - - - - - (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. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 24 SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-2 CAP (%) A-3 CAP (%) M-1 CAP (%) M-2 CAP (%) M-3 CAP (%) B-1 CAP (%) B-2 CAP (%) B-3 CAP (%) ---------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 185 20.70 20.77 - - - - - - 186 20.47 20.54 - - - - - - 187 21.64 21.71 - - - - - - 188 21.45 21.52 - - - - - - 189 21.99 22.06 - - - - - - 190 25.00 25.08 - - - - - - 191 23.22 23.28 - - - - - - 192 24.70 24.77 - - - - - - 193 24.65 24.72 - - - - - - 194 26.32 26.39 - - - - - - 195 26.31 26.38 - - - - - - 196 27.25 27.31 - - - - - - 197 29.22 29.29 - - - - - - 198 29.42 29.48 - - - - - - 199 31.71 31.78 - - - - - - 200 32.12 32.19 - - - - - - 201 33.73 33.80 - - - - - - 202 38.02 38.09 - - - - - - 203 37.67 37.74 - - - - - - 204 41.46 41.53 - - - - - - 205 42.98 43.05 - - - - - - 206 47.94 48.01 - - - - - - 207 50.51 50.57 - - - - - - 208 55.57 55.64 - - - - - - 209 64.03 64.10 - - - - - - 210 70.27 70.34 - - - - - - 211 84.23 84.30 - - - - - - 212 97.56 97.62 - - - - - - 213 122.31 122.38 - - - - - - 214 183.22 183.29 - - - - - - 215 259.81 259.88 - - - - - - 216 * * - - - - - - * In Period 216 the Class A-2 has a balance of $29,962 and is paid $29,533 in interest and the Class A-3 has a balance of $63,435 and is paid 62,530 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. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 25