MORGAN STANLEY ABS CAPITAL I INC - 8-K - 20041115 - EXHIBIT_99
EXHIBIT 99.1
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Generic Strats for the Entire Pool
Range Assumptions
Prepayment Penalty Length
No Pen.
< Deal Gross WAC - 100 bp < Deal Gross WAC - 100 bp 2.23
Deal Gross WAC - 100 bp to Deal Gross WAC - 75 bp > Deal Gross WAC - 100 bp 0.77
Deal Gross WAC - 75.01 bp to Deal Gross WAC - 50 bp > Deal Gross WAC - 75 bp 1.27
Deal Gross WAC - 50.01 bp to Deal Gross WAC - 25 bp > Deal Gross WAC - 50 bp 2.08
Deal Gross WAC - 25.01 bp to Deal Gross WAC > Deal Gross WAC - 25 bp 1.55
Deal Gross WAC Deal Gross WAC 0.00
Deal Gross WAC to Deal Gross WAC + 25 bp < Deal Gross WAC + 25 bp 1.85
Deal Gross WAC + 25.01 bp to Deal Gross WAC + 50 bp < Deal Gross WAC + 50 bp 1.50
Deal Gross WAC + 50.01 bp to Deal Gross WAC + 75 bp < Deal Gross WAC + 75 bp 2.03
Deal Gross WAC + 75.01 bp to Deal Gross WAC + 100 bp < Deal Gross WAC + 100 bp 1.30
> Deal Gross WAC + 100 bp > Deal Gross WAC + 100 bp 4.95
Prepayment Penalty Length
1 yr 2 yr 3 yr 4 yr 5yr
< Deal Gross WAC - 100 bp 0.76 8.31 5.91 0.00 0.20
Deal Gross WAC - 100 bp to Deal Gross WAC - 75 bp 0.33 4.54 2.69 0.00 0.13
Deal Gross WAC - 75.01 bp to Deal Gross WAC - 50 bp 0.64 3.93 2.62 0.00 0.08
Deal Gross WAC - 50.01 bp to Deal Gross WAC - 25 bp 0.62 5.20 3.20 0.00 0.27
Deal Gross WAC - 25.01 bp to Deal Gross WAC 0.32 4.11 2.35 0.00 0.12
Deal Gross WAC 0.00 0.00 0.00 0.00 0.00
Deal Gross WAC to Deal Gross WAC + 25 bp 0.52 3.98 2.29 0.00 0.22
Deal Gross WAC + 25.01 bp to Deal Gross WAC + 50 bp 0.39 3.80 1.90 0.00 0.11
Deal Gross WAC + 50.01 bp to Deal Gross WAC + 75 bp 0.41 4.00 2.30 0.00 0.35
Deal Gross WAC + 75.01 bp to Deal Gross WAC + 100 bp 0.06 1.61 0.97 0.00 0.06
> Deal Gross WAC + 100 bp 0.56 6.99 3.41 0.00 0.21
Prepayment Penalty Type
% of Coll Bal Avg Loan Balance Avg FICO Avg Length
------------------------------------------------------------------------------------
CA Style (80% of 6 months Interest)
Type 2
Type 3
None
Zip Code % Collateral Balance Average LTV Avg Loan Balance Avg Credit Score
------------------------------------------------------------------------------------------------------------------------------------
every zip code ...
...
...
...
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
MORGAN STANLEY
MSAC 2004-HE9
Selection Criteria: Full Documentation & Purchase
Number of Mortgage Loans: 1,561
Total Current Balance: 253,050,990.84
Average Current Balance: 162,108.26
Weighted Average FICO Score: 628.0
Weighted Average Current LTV: 84.13
Weighted Average DTI Ratio: 42.22
% Cash-Out Refinance: 0.0
% Full Documentation: 100.0
% Owner Occupied: 93.9
Weighted Average Coupon: 7.071
Weighted Average Margin: 5.523
% 2-4 Family: 6.0
% MH: 0.0
% PUD: 10.8
% Condo: 7.4
% Silent Second: 46.57
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
Selection Criteria: Full Documentation & Refinance - Cashout
Number of Mortgage Loans: 3,916
Total Current Balance: 630,880,450.61
Average Current Balance: 161,103.28
Weighted Average FICO Score: 595.4
Weighted Average Current LTV: 77.90
Weighted Average DTI Ratio: 40.55
% Cash-Out Refinance: 100.0
% Full Documentation: 100.0
% Owner Occupied: 95.0
Weighted Average Coupon: 7.166
Weighted Average Margin: 5.697
% 2-4 Family: 7.0
% MH: 0.0
% PUD: 7.9
% Condo: 4.5
% Silent Second: 3.91
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
Selection Criteria: Full Documentation & Refinance - Rate Term
Number of Mortgage Loans: 449
Total Current Balance: 58,803,166.70
Average Current Balance: 130,964.74
Weighted Average FICO Score: 602.0
Weighted Average Current LTV: 80.50
Weighted Average DTI Ratio: 39.56
% Cash-Out Refinance: 0.0
% Full Documentation: 100.0
% Owner Occupied: 96.5
Weighted Average Coupon: 7.377
Weighted Average Margin: 5.655
% 2-4 Family: 3.5
% MH: 0.0
% PUD: 9.0
% Condo: 4.1
% Silent Second: 18.73
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
Number of Mortgage Loans: 121
Total Current Balance: 24,485,347.91
Average Current Balance: 202,358.25
Weighted Average FICO Score: 631.3
Weighted Average Current LTV: 84.06
Weighted Average DTI Ratio: 38.09
% Cash-Out Refinance: 0.0
% Full Documentation: 0.0
% Owner Occupied: 88.2
Weighted Average Coupon: 7.160
Weighted Average Margin: 5.522
% 2-4 Family: 3.4
% MH: 0.0
% PUD: 15.5
% Condo: 12.1
% Silent Second: 37.33
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
Number of Mortgage Loans: 255
Total Current Balance: 49,899,158.80
Average Current Balance: 195,682.98
Weighted Average FICO Score: 608.9
Weighted Average Current LTV: 76.47
Weighted Average DTI Ratio: 37.37
% Cash-Out Refinance: 100.0
% Full Documentation: 0.0
% Owner Occupied: 94.3
Weighted Average Coupon: 7.030
Weighted Average Margin: 5.596
% 2-4 Family: 7.2
% MH: 0.0
% PUD: 10.6
% Condo: 3.7
% Silent Second: 6.83
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
Selection Criteria: Limited Documentation & Refinance - Rate Term
Number of Mortgage Loans: 14
Total Current Balance: 2,018,845.82
Average Current Balance: 144,203.27
Weighted Average FICO Score: 618.7
Weighted Average Current LTV: 82.57
Weighted Average DTI Ratio: 39.05
% Cash-Out Refinance: 0.0
% Full Documentation: 0.0
% Owner Occupied: 86.7
Weighted Average Coupon: 7.079
Weighted Average Margin: 5.728
% 2-4 Family: 0.0
% MH: 0.0
% PUD: 27.0
% Condo: 0.0
% Silent Second: 7.42
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
Number of Mortgage Loans: 1,709
Total Current Balance: 305,400,559.42
Average Current Balance: 178,701.32
Weighted Average FICO Score: 656.5
Weighted Average Current LTV: 82.67
Weighted Average DTI Ratio: 41.73
% Cash-Out Refinance: 0.0
% Full Documentation: 0.0
% Owner Occupied: 92.5
Weighted Average Coupon: 7.576
Weighted Average Margin: 5.631
% 2-4 Family: 9.6
% MH: 0.0
% PUD: 10.8
% Condo: 9.8
% Silent Second: 47.92
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
Number of Mortgage Loans: 1,930
Total Current Balance: 372,228,448.71
Average Current Balance: 192,864.48
Weighted Average FICO Score: 617.6
Weighted Average Current LTV: 76.49
Weighted Average DTI Ratio: 40.64
% Cash-Out Refinance: 100.0
% Full Documentation: 0.0
% Owner Occupied: 93.6
Weighted Average Coupon: 7.435
Weighted Average Margin: 5.719
% 2-4 Family: 11.5
% MH: 0.0
% PUD: 6.3
% Condo: 4.6
% Silent Second: 5.49
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
Selection Criteria: Stated Documentation & Refinance - Rate Term
Number of Mortgage Loans: 121
Total Current Balance: 19,475,118.72
Average Current Balance: 160,951.39
Weighted Average FICO Score: 619.7
Weighted Average Current LTV: 76.09
Weighted Average DTI Ratio: 40.83
% Cash-Out Refinance: 0.0
% Full Documentation: 0.0
% Owner Occupied: 93.7
Weighted Average Coupon: 7.347
Weighted Average Margin: 5.566
% 2-4 Family: 7.9
% MH: 0.0
% PUD: 9.5
% Condo: 4.2
% Silent Second: 16.86
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
MORGAN STANLEY
MSAC 2004-HE9
ARM Loans
Table of Contents
1. Documentation Level
2. Credit Score
3. Range of Combined Original LTV Ratios (%)
4. Documentation Level Greater than 85% LTV
1. Documentation Level
------------------------------------------------------------------------------------------------------------------------------------
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Weighted Average
of Date Cut-off Loan Gross Average Combined Weighted
Mortgage Principal Principal Principal Interest Gross Original Average
Documentation Level Loans Balance Balance Balance Rate Margin LTV FICO Score
------------------------------------------------------------------------------------------------------------------------------------
Full 3,909 661,831,739 51.87 169,310 7.153 5.640 81.46 594.4
Stated Documentation 2,854 566,802,133 44.42 198,599 7.450 5.673 80.23 631
Limited 231 47,349,519 3.71 204,976 7.099 5.570 81.82 606.7
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,994 1,275,983,391 100.00 182,440 7.283 5.652 80.93 611.1
------------------------------------------------------------------------------------------------------------------------------------
4. Documentation Level Greater than 85% LTV
------------------------------------------------------------------------------------------------------------------------------------
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Weighted Average
of Date Cut-off Loan Gross Average Combined Weighted
Mortgage Principal Principal Principal Interest Gross Original Average
Documentation Level Greater than 85% LTV Loans Balance Balance Balance Rate Margin LTV FICO Score
------------------------------------------------------------------------------------------------------------------------------------
Full 1,081 189,846,583 56.85 175,621 7.440 5.609 92.17 608.7
Stated Documentation 608 129,609,243 38.81 213,173 7.763 5.618 91.01 646.1
Limited 69 14,486,294 4.34 209,946 7.172 5.422 90.73 626.2
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,758 333,942,121 100.00 189,956 7.554 5.604 91.66 624
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
MORGAN STANLEY
MSAC 2004-HE9
Fixed Rate Loans
Table of Contents
1. Documentation Level
2. Credit Score
3. Range of Combined Original LTV Ratios (%)
4. Documentation Level Greater than 85% LTV
1. Documentation Level
-------------------------------------------------------------------------------------------------------------------------------
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Average
of Date Cut-off Loan Gross Combined Weighted
Mortgage Principal Principal Principal Interest Original Average
Documentation Level Loans Balance Balance Balance Rate LTV FICO Score
-------------------------------------------------------------------------------------------------------------------------------
Full 2,017 280,902,869 63.80 139,268 7.156 76.33 628.7
Stated Documentation 906 130,301,994 29.60 143,821 7.690 75.57 651.0
Limited 159 29,053,833 6.60 182,729 7.032 75.12 632.1
-------------------------------------------------------------------------------------------------------------------------------
Total: 3,082 440,258,697 100.00 142,848 7.306 76.03 635.5
-------------------------------------------------------------------------------------------------------------------------------
4. Documentation Level Greater than 85% LTV
-------------------------------------------------------------------------------------------------------------------------------
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Average
of Date Cut-off Loan Gross Combined Weighted
Mortgage Principal Principal Principal Interest Original Average
Documentation Level Greater than 85% LTV Loans Balance Balance Balance Rate LTV FICO Score
-------------------------------------------------------------------------------------------------------------------------------
Full 410 49,570,179 60.88 120,903 7.843 92.10 634.5
Stated Documentation 259 27,191,823 33.40 104,988 8.924 93.43 667.4
Limited 40 4,660,815 5.72 116,520 8.167 92.16 632.3
-------------------------------------------------------------------------------------------------------------------------------
Total: 709 81,422,818 100.00 114,842 8.222 92.55 645.4
-------------------------------------------------------------------------------------------------------------------------------
% of the pool avg .oan size avg FICO avg LTV Combined LTV <600 % of CA
all collateral
IO loans
loans with silent 2nds
2-4 family
stated doc
fixed 1st lien
floatet 1st lien
FICO <600
% of primary resi % of SF and Pud % of stated doc WAC Fixed % 2nd Lien % IO % DTI
all collateral
IO loans
loans with silent 2nds
2-4 family
stated doc
fixed 1st lien
floatet 1st lien
FICO <600
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
MORGAN STANLEY
MSAC 2004-HE9
All records
Table of Contents
1. Current Mortgage Principal Balance <75k
2. Current Mortgage Principal Balance Greater or Equal to 400K
3. FICO Score
4. Original Loan-to-Value Ratio Greater or Equal 80
5. Second Home
6. Investment Property
7. Cashout Loans
8. Stated Doc
9. Limited Doc
10. 2-4 Family
11. IO Loans
1. Current Mortgage Principal Balance <75k
--------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct
Mortgage Current Current Avg Pct Avg Orig Full Owner
Current Mortgage Principal Balance <75k Loans Balance Balance Coupon ARM FICO LTV Doc Occ
--------------------------------------------------------------------------------------------------------------------------------
0.01 - 25,000.00 17 380,343.36 0.43 11.158 0 657 100 64.17 100
25,000.01 - 50,000.00 354 15,166,131.43 17.16 9.448 24.54 615 77.82 64.82 89.29
50,000.01 - 75,000.00 1,152 72,856,195.03 82.41 8.349 51.53 602 78.06 70.64 87.02
--------------------------------------------------------------------------------------------------------------------------------
Total: 1,523 88,402,669.82 100 8.55 46.68 605 78.12 69.62 87.47
--------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------
Pct Pct
Single Cashout
Current Mortgage Principal Balance <75k Family Refi
----------------------------------------------------------
0.01 - 25,000.00 93.77 6.23
25,000.01 - 50,000.00 86.57 60.56
50,000.01 - 75,000.00 85.29 62.82
----------------------------------------------------------
Total: 85.54 62.19
----------------------------------------------------------
2. Current Mortgage Principal Balance Greater or Equal to 400K
--------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct
Current Mortgage Principal Mortgage Current Current Avg Pct Avg Orig Full Owner
Balance Greater or Equal to 400K Loans Balance Balance Coupon ARM FICO LTV Doc Occ
----------------------------------------------------------------------------------------------------------------------------------
<= 400,000.00 7 2,800,000.00 1.65 6.696 100 664 82.74 14.29 100
400,000.01 - 450,000.00 159 67,319,225.72 39.69 6.894 81.31 629 81.7 54.01 93.64
450,000.01 - 500,000.00 139 66,649,535.70 39.29 6.838 75.67 644 81.31 44.55 92.06
500,000.01 - 550,000.00 17 8,934,772.20 5.27 7.116 70.44 632 80.22 29.15 94.3
550,000.01 - 600,000.00 23 13,267,076.36 7.82 6.543 60.04 654 79.15 39.1 100
600,000.01 - 650,000.00 9 5,650,703.82 3.33 6.658 55.01 660 74.7 33.41 88.61
650,000.01 - 700,000.00 3 2,041,640.09 1.2 6.446 66.78 680 81.48 100 100
700,000.01 - 750,000.00 4 2,966,000.00 1.75 6.475 100 658 76.2 50.57 100
----------------------------------------------------------------------------------------------------------------------------------
Total: 361 169,628,953.89 100 6.832 76.44 640 80.95 46.97 93.68
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------
Pct Pct
Current Mortgage Principal Single Cashout
Balance Greater or Equal to 400K Family Refi
----------------------------------------------------------
<= 400,000.00 85.71 28.57
400,000.01 - 450,000.00 73.54 56.56
450,000.01 - 500,000.00 69.02 53.96
500,000.01 - 550,000.00 58.82 52.98
550,000.01 - 600,000.00 60.79 70.03
600,000.01 - 650,000.00 89.2 44.71
650,000.01 - 700,000.00 32.97 66.19
700,000.01 - 750,000.00 100 50.57
----------------------------------------------------------
Total: 70.69 55.56
----------------------------------------------------------
4. Original Loan-to-Value Ratio Greater or Equal 80
--------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct
Original Mortgage Current Current Avg Pct Avg Orig Full Owner
Loan-to-Value Ratio Greater or Equal 80 Loans Balance Balance Coupon ARM FICO LTV Doc Occ
--------------------------------------------------------------------------------------------------------------------------------
75.01 - 80.00 3,113 528,932,087.58 44.14 7.107 80.59 632 80 48.75 96.1
80.01 - 85.00 1,355 253,917,286.05 21.19 7.335 78.72 602 84.48 59.11 91.82
85.01 - 90.00 1,501 280,492,443.15 23.41 7.483 81.52 624 89.68 52.89 90.64
90.01 - 95.00 522 95,020,780.08 7.93 7.717 88.78 626 94.81 67.84 99.69
95.01 - 100.00 444 39,851,715.35 3.33 9.033 52.53 664 99.93 66.79 100
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,935 1,198,214,312.21 100 7.356 80.13 624 85.05 54.02 94.33
--------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------
Pct Pct
Original Single Cashout
Loan-to-Value Ratio Greater or Equal 80 Family Refi
----------------------------------------------------------
75.01 - 80.00 76.94 36.31
80.01 - 85.00 76.89 73.83
85.01 - 90.00 73.5 59.6
90.01 - 95.00 82.75 49.5
95.01 - 100.00 75.61 22.35
----------------------------------------------------------
Total: 76.54 50.3
----------------------------------------------------------
5. Second Home
----------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct
Mortgage Current Current Avg Pct Avg Orig Full Owner
Second Home Loans Balance Balance Coupon ARM FICO LTV Doc Occ
----------------------------------------------------------------------------------------------------------------------------------
Second Home 62 11,967,412.40 100 7.406 90.78 632 79.68 44.04 0
----------------------------------------------------------------------------------------------------------------------------------
Total: 62 11,967,412.40 100 7.406 90.78 632 79.68 44.04 0
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------
Pct Pct
Single Cashout
Second Home Family Refi
----------------------------------------------------------
Second Home 75.13 38.98
----------------------------------------------------------
Total: 75.13 38.98
----------------------------------------------------------
6. Investment Property
----------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct
Mortgage Current Current Avg Pct Avg Orig Full Owner
Investment Property Loans Balance Balance Coupon ARM FICO LTV Doc Occ
----------------------------------------------------------------------------------------------------------------------------------
Investment 630 91,333,384.86 100 7.677 72.87 646 79.19 47.96 0
----------------------------------------------------------------------------------------------------------------------------------
Total: 630 91,333,384.86 100 7.677 72.87 646 79.19 47.96 0
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------
Pct Pct
Single Cashout
Investment Property Family Refi
----------------------------------------------------------
Investment 50.9 58.89
----------------------------------------------------------
Total: 50.9 58.89
----------------------------------------------------------
7. Cashout Loans
--------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct
Mortgage Current Current Avg Pct Avg Orig Full Owner
Cashout Loans Loans Balance Balance Coupon ARM FICO LTV Doc Occ
--------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 6,101 1,053,008,058.12 100 7.255 68.88 604 77.53 59.91 94.45
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,101 1,053,008,058.12 100 7.255 68.88 604 77.53 59.91 94.45
--------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------
Pct Pct
Single Cashout
Cashout Loans Family Refi
----------------------------------------------------------
Refinance - Cashout 79.43 100
----------------------------------------------------------
Total: 79.43 100
----------------------------------------------------------
8. Stated Doc
--------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct
Mortgage Current Current Avg Pct Avg Orig Full Owner
Stated Doc Loans Balance Balance Coupon ARM FICO LTV Doc Occ
--------------------------------------------------------------------------------------------------------------------------------
Stated Documentation 3,760 697,104,126.85 100 7.495 81.31 635 79.36 0 93.08
--------------------------------------------------------------------------------------------------------------------------------
Total: 3,760 697,104,126.85 100 7.495 81.31 635 79.36 0 93.08
--------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------
Pct Pct
Single Cashout
Stated Doc Family Refi
----------------------------------------------------------
Stated Documentation 74.22 53.4
----------------------------------------------------------
Total: 74.22 53.4
----------------------------------------------------------
9. Limited Doc
--------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct
Mortgage Current Current Avg Pct Avg Orig Full Owner
Limited Doc Loans Balance Balance Coupon ARM FICO LTV Doc Occ
--------------------------------------------------------------------------------------------------------------------------------
Limited 339 66,098,839.07 100 6.993 59.78 618 79.03 0 92.68
--------------------------------------------------------------------------------------------------------------------------------
Total: 339 66,098,839.07 100 6.993 59.78 618 79.03 0 92.68
--------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------
Pct Pct
Single Cashout
Limited Doc Family Refi
----------------------------------------------------------
Limited 74.7 67.4
----------------------------------------------------------
Total: 74.7 67.4
----------------------------------------------------------
10. 2-4 Family
--------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct
Mortgage Current Current Avg Pct Avg Orig Full Owner
2-4 Family Loans Balance Balance Coupon ARM FICO LTV Doc Occ
--------------------------------------------------------------------------------------------------------------------------------
2-4 Family 649 139,672,272.19 100 7.34 68.6 638 78.24 43.97 75.5
--------------------------------------------------------------------------------------------------------------------------------
Total: 649 139,672,272.19 100 7.34 68.6 638 78.24 43.97 75.5
--------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------
Pct Pct
Single Cashout
2-4 Family Family Refi
----------------------------------------------------------
2-4 Family 0 64.9
----------------------------------------------------------
Total: 0 64.9
----------------------------------------------------------
11. IO Loans
--------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct
Mortgage Current Current Avg Pct Avg Orig Full Owner
IO Loans Loans Balance Balance Coupon ARM FICO LTV Doc Occ
--------------------------------------------------------------------------------------------------------------------------------
Y 778 197,889,458.61 100 6.474 93.74 658 82.01 55.82 99.11
--------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,458.61 100 6.474 93.74 658 82.01 55.82 99.11
--------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------
Pct Pct
Single Cashout
IO Loans Family Refi
----------------------------------------------------------
Y 71.5 38.6
----------------------------------------------------------
Total: 71.5 38.6
----------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
MORGAN STANLEY
MSAC 2004-HE9
All records
Table of Contents
1. Current Mortgage Principal Balance <75k
2. Current Mortgage Principal Balance Greater or Equal to 400K
3. FICO Score Less than 650
4. Original Loan-to-Value Ratio Greater or Equal 80
5. Second Home
6. Non-Owner Occupied
7. Cashout Loans
8. Stated Doc
9. Limited Doc
10. 2-4 Family
11. IO Loans
1. Current Mortgage Principal Balance <75k
----------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct
Mortgage Current Current Avg Pct Avg Orig Full Owner
Current Mortgage Principal Balance <75k Loans Balance Balance Coupon ARM FICO LTV Doc Occ
----------------------------------------------------------------------------------------------------------------------------------
25,000.01 - 50,000.00 354 15,166,131.43 0.88 9.448 24.54 615 77.82 64.82 89.29
50,000.01 - 75,000.00 1,152 72,856,195.03 4.25 8.349 51.53 602 78.06 70.64 87.02
Other 8,570 1,628,219,761.07 94.87 7.221 75.83 618 79.76 54.13 94.34
----------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,087.53 100.00 7.289 74.35 617 79.67 54.93 93.98
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------
Pct Pct
Single Cashout
Current Mortgage Principal Balance <75k Family Refi
----------------------------------------------------------
25,000.01 - 50,000.00 86.57 60.56
50,000.01 - 75,000.00 85.29 62.82
Other 76.70 61.30
----------------------------------------------------------
Total: 77.15 61.36
----------------------------------------------------------
2. Current Mortgage Principal Balance Greater or Equal to 400K
----------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct
Current Mortgage Principal Mortgage Current Current Avg Pct Avg Orig Full Owner
Balance Greater or Equal to 400K Loans Balance Balance Coupon ARM FICO LTV Doc Occ
----------------------------------------------------------------------------------------------------------------------------------
= 400,000 7 2,800,000.00 0.16 6.696 100.00 664 82.74 14.29 100.00
400000 - 450000 159 67,319,225.72 3.92 6.894 81.31 629 81.70 54.01 93.64
450000 - 500000 139 66,649,535.70 3.88 6.838 75.67 644 81.31 44.55 92.06
500000 - 550000 17 8,934,772.20 0.52 7.116 70.44 632 80.22 29.15 94.30
550000 - 600000 23 13,267,076.36 0.77 6.543 60.04 654 79.15 39.10 100.00
600000 - 650000 9 5,650,703.82 0.33 6.658 55.01 660 74.70 33.41 88.61
650000 - 700000 3 2,041,640.09 0.12 6.446 66.78 680 81.48 100.00 100.00
700000 - 750000 4 2,966,000.00 0.17 6.475 100.00 658 76.20 50.57 100.00
Other 9,715 1,546,613,133.64 90.12 7.339 74.12 615 79.53 55.80 94.01
----------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,087.53 100.00 7.289 74.35 617 79.67 54.93 93.98
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------
Pct Pct
Current Mortgage Principal Single Cashout
Balance Greater or Equal to 400K Family Refi
----------------------------------------------------------
= 400,000 85.71 28.57
400000 - 450000 73.54 56.56
450000 - 500000 69.02 53.96
500000 - 550000 58.82 52.98
550000 - 600000 60.79 70.03
600000 - 650000 89.20 44.71
650000 - 700000 32.97 66.19
700000 - 750000 100.00 50.57
Other 77.86 61.99
----------------------------------------------------------
Total: 77.15 61.36
----------------------------------------------------------
3. FICO Score Less than 650
----------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct
Mortgage Current Current Avg Pct Avg Orig Full Owner
Score Less than 650 Loans Balance Balance Coupon ARM FICO LTV Doc Occ
----------------------------------------------------------------------------------------------------------------------------------
500 - 524 592 86,173,871.76 5.02 8.435 97.18 513 74.02 74.42 98.48
525 - 549 1,046 155,870,997.14 9.08 8.113 83.86 537 75.80 71.37 97.05
550 - 574 1,293 201,712,602.33 11.75 7.680 81.15 562 79.37 69.03 96.55
575 - 599 1,321 214,303,872.25 12.49 7.407 76.66 587 79.53 62.55 96.00
600 - 624 1,566 288,276,010.19 16.80 6.973 75.11 612 80.64 62.77 95.04
625 - 649 1,622 286,529,163.36 16.70 7.106 71.56 637 81.44 42.53 92.78
Other 2,636 483,375,570.50 28.16 6.899 64.55 690 80.49 39.57 90.30
----------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,087.53 100.00 7.289 74.35 617 79.67 54.93 93.98
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------
Pct Pct
Single Cashout
Score Less than 650 Family Refi
----------------------------------------------------------
500 - 524 83.01 85.25
525 - 549 82.19 83.36
550 - 574 81.96 72.29
575 - 599 82.07 68.43
600 - 624 78.12 63.23
625 - 649 73.92 55.16
Other 71.62 44.85
----------------------------------------------------------
Total: 77.15 61.36
----------------------------------------------------------
4. Original Loan-to-Value Ratio Greater or Equal 80
----------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct
Original Mortgage Current Current Avg Pct Avg Orig Full Owner
Loan-to-Value Ratio Greater or Equal 80 Loans Balance Balance Coupon ARM FICO LTV Doc Occ
----------------------------------------------------------------------------------------------------------------------------------
80.00 - 85.00 4,468 782,849,373.63 45.61 7.181 79.99 622 81.45 52.11 94.71
85.01 - 90.00 1,501 280,492,443.15 16.34 7.483 81.52 624 89.68 52.89 90.64
90.01 - 95.01 522 95,020,780.08 5.54 7.717 88.78 626 94.81 67.84 99.69
95.01 - 100.00 444 39,851,715.35 2.32 9.033 52.53 664 99.93 66.79 100.00
Other 3,141 518,027,775.32 30.18 7.134 60.98 601 67.22 57.02 93.18
----------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,087.53 100.00 7.289 74.35 617 79.67 54.93 93.98
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------
Pct Pct
Original Single Cashout
Loan-to-Value Ratio Greater or Equal 80 Family Refi
----------------------------------------------------------
80.00 - 85.00 76.92 48.48
85.01 - 90.00 73.50 59.60
90.01 - 95.01 82.75 49.50
95.01 - 100.00 75.61 22.35
Other 78.55 86.94
----------------------------------------------------------
Total: 77.15 61.36
----------------------------------------------------------
5. Second Home
----------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct
Mortgage Current Current Avg Pct Avg Orig Full Owner
Second Home Loans Balance Balance Coupon ARM FICO LTV Doc Occ
----------------------------------------------------------------------------------------------------------------------------------
Second Home 62 11,967,412.40 0.70 7.406 90.78 632 79.68 44.04 0.00
Other 10,014 1,704,274,675.13 99.30 7.288 74.23 617 79.67 55.01 94.64
----------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,087.53 100.00 7.289 74.35 617 79.67 54.93 93.98
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------
Pct Pct
Single Cashout
Second Home Family Refi
----------------------------------------------------------
Second Home 75.13 38.98
Other 77.16 61.51
----------------------------------------------------------
Total: 77.15 61.36
----------------------------------------------------------
6. Non-Owner Occupied
----------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct
Mortgage Current Current Avg Pct Avg Orig Full Owner
Non-Owner Occupied Loans Balance Balance Coupon ARM FICO LTV Doc Occ
----------------------------------------------------------------------------------------------------------------------------------
Non Owner Occupied 630 91,333,384.86 5.32 7.677 72.87 646 79.19 47.96 0.00
Other 9,446 1,624,908,702.67 94.68 7.267 74.43 616 79.70 55.32 99.26
----------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,087.53 100.00 7.289 74.35 617 79.67 54.93 93.98
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------
Pct Pct
Single Cashout
Non-Owner Occupied Family Refi
----------------------------------------------------------
Non Owner Occupied 50.90 58.89
Other 78.62 61.49
----------------------------------------------------------
Total: 77.15 61.36
----------------------------------------------------------
7. Cashout Loans
----------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct
Mortgage Current Current Avg Pct Avg Orig Full Owner
Cashout Loans Loans Balance Balance Coupon ARM FICO LTV Doc Occ
----------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 6,101 1,053,008,058.12 61.36 7.255 68.88 604 77.53 59.91 94.45
Other 3,975 663,234,029.41 38.64 7.342 83.03 639 83.08 47.02 93.24
----------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,087.53 100.00 7.289 74.35 617 79.67 54.93 93.98
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------
Pct Pct
Single Cashout
Cashout Loans Family Refi
----------------------------------------------------------
Refinance - Cashout 79.43 100.00
Other 73.53 0.00
----------------------------------------------------------
Total: 77.15 61.36
----------------------------------------------------------
8. Stated Doc
----------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct
Mortgage Current Current Avg Pct Avg Orig Full Owner
Stated Doc Loans Balance Balance Coupon ARM FICO LTV Doc Occ
----------------------------------------------------------------------------------------------------------------------------------
Stated Doc 3,760 697,104,126.85 40.62 7.495 81.31 635 79.36 0.00 93.08
Other 6,316 1,019,137,960.68 59.38 7.148 69.59 605 79.88 92.50 94.59
----------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,087.53 100.00 7.289 74.35 617 79.67 54.93 93.98
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------
Pct Pct
Single Cashout
Stated Doc Family Refi
----------------------------------------------------------
Stated Doc 74.22 53.40
Other 79.15 66.80
----------------------------------------------------------
Total: 77.15 61.36
----------------------------------------------------------
9. Limited Doc
----------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct
Mortgage Current Current Avg Pct Avg Orig Full Owner
Limited Doc Loans Balance Balance Coupon ARM FICO LTV Doc Occ
----------------------------------------------------------------------------------------------------------------------------------
Limited Doc 390 76,403,352.53 4.45 7.073 61.97 616 79.27 0.00 92.13
Other 9,686 1,639,838,735.00 95.55 7.299 74.92 617 79.69 57.49 94.07
----------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,087.53 100.00 7.289 74.35 617 79.67 54.93 93.98
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------
Pct Pct
Single Cashout
Limited Doc Family Refi
----------------------------------------------------------
Limited Doc 75.35 65.31
Other 77.23 61.17
----------------------------------------------------------
Total: 77.15 61.36
----------------------------------------------------------
10. 2-4 Family
----------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct
Mortgage Current Current Avg Pct Avg Orig Full Owner
2-4 Family Loans Balance Balance Coupon ARM FICO LTV Doc Occ
----------------------------------------------------------------------------------------------------------------------------------
2-4 Family 649 139,672,272.19 8.14 7.340 68.60 638 78.24 43.97 75.50
Other 9,427 1,576,569,815.34 91.86 7.284 74.86 616 79.80 55.90 95.62
----------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,087.53 100.00 7.289 74.35 617 79.67 54.93 93.98
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------
Pct Pct
Single Cashout
2-4 Family Family Refi
----------------------------------------------------------
2-4 Family 0.00 64.90
Other 83.98 61.04
----------------------------------------------------------
Total: 77.15 61.36
----------------------------------------------------------
11. IO Loans
----------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct
Mortgage Current Current Avg Pct Avg Orig Full Owner
IO Loans Loans Balance Balance Coupon ARM FICO LTV Doc Occ
----------------------------------------------------------------------------------------------------------------------------------
Interest Only Loans 778 197,889,458.61 11.53 6.474 93.74 658 82.01 55.82 99.11
Other 9,298 1,518,352,628.92 88.47 7.395 71.82 612 79.37 54.81 93.31
----------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,087.53 100.00 7.289 74.35 617 79.67 54.93 93.98
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------
Pct Pct
Single Cashout
IO Loans Family Refi
----------------------------------------------------------
Interest Only Loans 71.50 38.60
Other 77.88 64.32
----------------------------------------------------------
Total: 77.15 61.36
----------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
MORGAN STANLEY
MSAC 2004-HE9
Fixed Rate Loans
Table of Contents
1. Summary Statistics
2. Originator
3. Product Types
4. Range of Gross Interest Rates (%)
5. Range of Cut-off Date Principal Balances ($)
6. Stated Original Term (months)
7. Range of Stated Remaining Terms (months)
8. Range of Original Combined LTV Ratios (%)
9. Range of Gross Margins (%)
10. Range of Minimum Mortgage Rates (%)
11. Range of Maximum Mortgage Rates (%)
12. Initial Periodic Cap (%)
13. Subsequent Periodic Cap (%)
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
16. Occupancy
17. Property Type
18. Loan Purpose
19. Documentation Level
20. Credit Score
21. Prepayment Penalty Term
22. Lien Position
23. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 3,082
Aggregate Principal Balance ($): 440,258,697
Weighted Average Current Mortgage Rate (%): 7.306
Non-Zero Weighted Average Margin (%): 0.000
Non-Zero Weighted Average Maximum Rate (%): 0.000
Weighted Average Stated Original Term (months): 340
Weighted Average Stated Remaining Term (months): 337
Weighted Average Combined Original LTV (%): 76.03
% First Liens: 96.65
% Owner Occupied: 94.12
% Purchase: 19.22
% Full Doc: 63.80
Weighted Average Credit Score: 636
2. Originator
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Originator Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Aames 534 68,806,571 15.63 7.752 337 75.25
Accredited 547 78,310,563 17.79 7.182 346 78.70
New Century 2,001 293,141,563 66.58 7.234 335 75.49
----------------------------------------------------------------------------------------------------------------------------
Total: 3,082 440,258,697 100.00 7.306 337 76.03
----------------------------------------------------------------------------------------------------------------------------
3. Product Types
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Product Types Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 21 1,429,838 0.32 7.720 117 71.84
Fixed - 15 Year 301 28,777,380 6.54 7.308 177 69.85
Fixed - 20 Year 317 24,436,427 5.55 8.214 237 78.97
Fixed - 25 Year 37 3,712,987 0.84 7.906 297 74.36
Fixed - 30 Year 2,355 369,519,358 83.93 7.271 357 76.21
Interest Only Fixed - 30 Year 51 12,382,706 2.81 6.301 356 80.10
----------------------------------------------------------------------------------------------------------------------------
Total: 3,082 440,258,697 100.00 7.306 337 76.03
----------------------------------------------------------------------------------------------------------------------------
4. Range of Gross Interest Rates (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 1 60,158 0.01 4.999 354 81.89
5.000 - 5.999 185 43,581,122 9.90 5.930 343 70.13
6.000 - 6.999 949 173,385,782 39.38 6.551 338 72.68
7.000 - 7.999 956 136,558,721 31.02 7.510 340 77.86
8.000 - 8.999 499 52,332,730 11.89 8.474 333 79.49
9.000 - 9.999 168 15,111,207 3.43 9.404 338 81.01
10.000 - 10.999 189 11,549,379 2.62 10.556 311 90.59
11.000 - 11.999 122 6,550,597 1.49 11.383 299 97.70
12.000 - 12.999 13 1,129,001 0.26 12.455 325 93.73
----------------------------------------------------------------------------------------------------------------------------
Total: 3,082 440,258,697 100.00 7.306 337 76.03
----------------------------------------------------------------------------------------------------------------------------
Minimum: 4.999
Maximum: 12.775
Weighted Average: 7.306
----------------------------------------------------------------------------------------------------------------------------
9. Range of Gross Margins (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 3,082 440,258,697 100.00 7.306 337 76.03
----------------------------------------------------------------------------------------------------------------------------
Total: 3,082 440,258,697 100.00 7.306 337 76.03
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
----------------------------------------------------------------------------------------------------------------------------
10. Range of Minimum Mortgage Rates (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 3,082 440,258,697 100.00 7.306 337 76.03
----------------------------------------------------------------------------------------------------------------------------
Total: 3,082 440,258,697 100.00 7.306 337 76.03
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
----------------------------------------------------------------------------------------------------------------------------
11. Range of Maximum Mortgage Rates (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Maximum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 3,082 440,258,697 100.00 7.306 337 76.03
----------------------------------------------------------------------------------------------------------------------------
Total: 3,082 440,258,697 100.00 7.306 337 76.03
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
----------------------------------------------------------------------------------------------------------------------------
12. Initial Periodic Cap (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 3,082 440,258,697 100.00 7.306 337 76.03
----------------------------------------------------------------------------------------------------------------------------
Total: 3,082 440,258,697 100.00 7.306 337 76.03
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
----------------------------------------------------------------------------------------------------------------------------
13. Subsequent Periodic Cap (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 3,082 440,258,697 100.00 7.306 337 76.03
----------------------------------------------------------------------------------------------------------------------------
Total: 3,082 440,258,697 100.00 7.306 337 76.03
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
----------------------------------------------------------------------------------------------------------------------------
14. Next Rate Adjustment Dates
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 3,082 440,258,697 100.00 7.306 337 76.03
----------------------------------------------------------------------------------------------------------------------------
Total: 3,082 440,258,697 100.00 7.306 337 76.03
----------------------------------------------------------------------------------------------------------------------------
15. Geographic Distribution of Mortgaged Properties
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Geographic Distribution of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
California 740 147,986,918 33.61 6.948 343 73.15
Florida 441 55,283,053 12.56 7.503 342 78.47
New York 221 46,520,554 10.57 7.085 347 73.87
Texas 471 38,472,609 8.74 7.827 302 75.93
New Jersey 68 12,367,581 2.81 7.418 338 76.63
Massachusetts 60 10,273,034 2.33 6.882 348 68.64
Hawaii 34 9,335,430 2.12 6.862 356 77.40
Pennsylvania 77 8,461,447 1.92 7.765 328 82.52
Washington 60 8,282,072 1.88 7.386 334 80.70
Virginia 49 8,215,155 1.87 7.319 331 79.44
Nevada 49 7,750,774 1.76 7.487 346 77.66
Ohio 84 7,735,177 1.76 7.981 331 81.63
Maryland 46 6,989,201 1.59 7.493 332 80.70
Arizona 59 6,635,910 1.51 7.316 342 82.51
Connecticut 40 6,613,620 1.50 7.118 341 76.08
Other 583 59,336,162 13.48 7.776 328 79.35
----------------------------------------------------------------------------------------------------------------------------
Total: 3,082 440,258,697 100.00 7.306 337 76.03
----------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 49
----------------------------------------------------------------------------------------------------------------------------
16. Occupancy
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Primary 2,863 414,381,247 94.12 7.282 337 76.09
Investment 212 24,774,624 5.63 7.699 346 75.48
Second Home 7 1,102,826 0.25 7.392 333 65.75
----------------------------------------------------------------------------------------------------------------------------
Total: 3,082 440,258,697 100.00 7.306 337 76.03
----------------------------------------------------------------------------------------------------------------------------
17. Property Type
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Property Type Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Single Family Residence 2,471 342,779,660 77.86 7.323 336 76.03
2-4 Family 222 43,855,832 9.96 7.239 346 74.62
Planned Unit Development 242 35,739,429 8.12 7.201 332 77.07
Condo 147 17,883,777 4.06 7.352 343 77.24
----------------------------------------------------------------------------------------------------------------------------
Total: 3,082 440,258,697 100.00 7.306 337 76.03
----------------------------------------------------------------------------------------------------------------------------
18. Loan Purpose
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 2,172 327,719,525 74.44 7.160 336 74.08
Purchase 692 84,599,697 19.22 7.895 347 83.65
Refinance - Rate Term 218 27,939,475 6.35 7.234 321 75.82
----------------------------------------------------------------------------------------------------------------------------
Total: 3,082 440,258,697 100.00 7.306 337 76.03
----------------------------------------------------------------------------------------------------------------------------
19. Documentation Level
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Full 2,017 280,902,869 63.80 7.156 337 76.33
Stated Documentation 906 130,301,994 29.60 7.690 338 75.57
Limited 159 29,053,833 6.60 7.032 336 75.12
----------------------------------------------------------------------------------------------------------------------------
Total: 3,082 440,258,697 100.00 7.306 337 76.03
----------------------------------------------------------------------------------------------------------------------------
21. Prepayment Penalty Term
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
0 646 60,882,870 13.83 8.022 312 77.21
6 1 55,903 0.01 8.750 357 80.00
12 224 46,523,366 10.57 7.112 347 73.71
24 167 12,183,008 2.77 9.766 325 91.31
30 1 159,166 0.04 7.990 356 80.00
36 1,839 294,345,764 66.86 7.087 341 75.05
54 1 200,454 0.05 7.990 356 84.81
60 203 25,908,166 5.88 7.286 340 81.18
----------------------------------------------------------------------------------------------------------------------------
Total: 3,082 440,258,697 100.00 7.306 337 76.03
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 6
Maximum: 60
Non-Zero Weighted Average: 34
----------------------------------------------------------------------------------------------------------------------------
22. Lien Position
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Position Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
1st Lien 2,815 425,515,685 96.65 7.182 338 75.20
2nd Lien 267 14,743,011 3.35 10.883 308 99.96
----------------------------------------------------------------------------------------------------------------------------
Total: 3,082 440,258,697 100.00 7.306 337 76.03
----------------------------------------------------------------------------------------------------------------------------
23. Interest Only Term
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
0 3,031 427,875,991 97.19 7.335 337 75.91
60 51 12,382,706 2.81 6.301 356 80.10
----------------------------------------------------------------------------------------------------------------------------
Total: 3,082 440,258,697 100.00 7.306 337 76.03
----------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
MORGAN STANLEY
MSAC 2004-HE9
Interest Only Loans
Table of Contents
1. Credit Score
2. Range of Combined Original LTV Ratios (%)
3. Documentation Level
4. Occupancy
5. Range of Cut-off Date Principal Balances ($)
6. % Purchase Loans
7. % Silent Seconds
8. Product Types
9. Interest Only Term
2. Range of Combined Original LTV Ratios (%)
----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Combined Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------------
40.01 - 45.00 2 365,000 0.18 5.679 320 42.94 660
45.01 - 50.00 3 560,000 0.28 5.903 357 46.69 649
50.01 - 55.00 2 595,800 0.30 6.149 357 50.15 652
55.01 - 60.00 4 1,346,000 0.68 6.458 357 57.98 624
60.01 - 65.00 12 3,196,385 1.62 5.682 335 62.53 666
65.01 - 70.00 16 4,730,516 2.39 6.048 352 68.62 626
70.01 - 75.00 25 7,358,561 3.72 6.065 352 73.68 650
75.01 - 80.00 473 109,786,228 55.48 6.410 354 79.88 661
80.01 - 85.00 72 22,653,831 11.45 6.039 339 84.32 663
85.01 - 90.00 108 31,582,271 15.96 6.873 352 89.58 653
90.01 - 95.00 47 12,762,173 6.45 7.275 357 94.72 653
95.01 - 100.00 14 2,952,693 1.49 7.285 356 99.83 662
----------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
----------------------------------------------------------------------------------------------------------------------------------
Minimum: 42.42
Maximum: 100.00
Weighted Average: 82.01
----------------------------------------------------------------------------------------------------------------------------------
3. Documentation Level
----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------------
Full 450 110,466,777 55.82 6.228 353 82.23 646
Stated Documentation 287 76,889,564 38.85 6.856 350 81.87 675
Limited 41 10,533,117 5.32 6.257 356 80.74 654
----------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
----------------------------------------------------------------------------------------------------------------------------------
4. Occupancy
----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------------
Primary 773 196,133,675 99.11 6.477 352 81.99 658
Second Home 5 1,755,784 0.89 6.177 344 84.00 658
----------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
----------------------------------------------------------------------------------------------------------------------------------
6. % Purchase Loans
----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
% Purchase Loans Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------------
Purchase 457 113,873,861 57.54 6.504 352 82.29 667
Refinance - Rate Term 38 7,631,145 3.86 6.307 350 81.07 657
Refinance - Cashout 283 76,384,453 38.60 6.446 352 81.69 644
----------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
----------------------------------------------------------------------------------------------------------------------------------
7. % Silent Seconds
% Silent Seconds: 48.71
8. Product Types
----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------------
ARM - 2 Year IO/6 Month 544 140,786,605 71.14 6.648 357 82.04 651
ARM - 3 Year IO/6 Month 127 28,471,176 14.39 6.588 356 83.36 649
ARM - 5 Year IO/6 Month 4 688,800 0.35 6.824 357 78.03 634
ARM - 10 Year IO/1 Month 52 15,560,172 7.86 4.816 297 81.03 725
Interest Only Fixed - 30 Year 51 12,382,706 6.26 6.301 356 80.10 671
----------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
----------------------------------------------------------------------------------------------------------------------------------
9. Interest Only Term
----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------------
24 398 105,747,096 53.44 6.664 357 82.65 653
36 57 14,162,966 7.16 6.444 357 82.47 647
60 271 62,419,224 31.54 6.572 357 81.08 652
120 52 15,560,172 7.86 4.816 297 81.03 725
----------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
MORGAN STANLEY
MSAC 2004-HE9
All records
Table of Contents
1. Range of Gross Interest Rates (%)
2. Lien Position
3. Range of Cut-off Date Principal Balances ($)
4. Range of Original Combined LTV Ratios (%)
5. Range of Current Combined LTV Ratios (%)
6. Range of Credit Scores
7. Documentation Level
8. Loan Purpose
9. Occupancy Type
10. Property Type
11. Geographic Distribution of Mortgaged Properties
12. Range of Remaining Terms (Months)
13. Product Types
14. Subsequent Periodic Cap (%)
15. Range of Maximum Loan Rates (%)
16. Range of Gross Margins (%)
7. Documentation Level
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
of Principal Date Interest Remaining Combined
Mortgage Balance Principal Rate Term LTV
Documentation Level Loans ($) Balance (%) (Months) (%)
-------------------------------------------------------------------------------------------------------------------------------
Full Documentation 5,926 942,734,608 54.93 7.154 350 79.93
Stated Documentation 3,760 697,104,127 40.62 7.495 353 79.36
Limited/Alternate Documentation 390 76,403,353 4.45 7.073 349 79.27
-------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,088 100.00 7.289 351 79.67
-------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Non-Zero
Weighted
Average Pct Pct Pct Weighted
FICO Full Owner Fixed Average
Documentation Level Score Doc Occ Rate DTI
----------------------------------------------------------------------------------------------------
Full Documentation 605 100 94.79 29.8 40.94
Stated Documentation 635 0 93.08 18.69 41.12
Limited/Alternate Documentation 616 0 92.13 38.03 37.64
----------------------------------------------------------------------------------------------------
Total: 617 54.93 93.98 25.65 40.86
----------------------------------------------------------------------------------------------------
8. Loan Purpose
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
of Principal Date Interest Remaining Combined
Mortgage Balance Principal Rate Term LTV
Loan Purpose Loans ($) Balance (%) (Months) (%)
-------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 6,101 1,053,008,058 61.36 7.255 350 77.53
Purchase 3,391 582,936,898 33.97 7.339 355 83.54
Refinance - Rate Term 584 80,297,131 4.68 7.362 344 79.69
-------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,088 100.00 7.289 351 79.67
-------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Non-Zero
Weighted
Average Pct Pct Pct Weighted
FICO Full Owner Fixed Average
Loan Purpose Score Doc Occ Rate DTI
----------------------------------------------------------------------------------------------------
Refinance - Cashout 604 59.91 94.45 31.12 40.43
Purchase 643 43.41 92.92 14.51 41.79
Refinance - Rate Term 607 73.23 95.58 34.8 39.86
----------------------------------------------------------------------------------------------------
Total: 617 54.93 93.98 25.65 40.86
----------------------------------------------------------------------------------------------------
9. Occupancy Type
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
of Principal Date Interest Remaining Combined
Mortgage Balance Principal Rate Term LTV
Occupancy Type Loans ($) Balance (%) (Months) (%)
-------------------------------------------------------------------------------------------------------------------------------
Primary 9,384 1,612,941,290 93.98 7.266 351 79.70
Non-Owner Occupied 630 91,333,385 5.32 7.677 354 79.19
Second Home 62 11,967,412 0.70 7.406 353 79.68
-------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,088 100.00 7.289 351 79.67
-------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Non-Zero
Weighted
Average Pct Pct Pct Weighted
FICO Full Owner Fixed Average
Occupancy Type Score Doc Occ Rate DTI
----------------------------------------------------------------------------------------------------
Primary 616 55.41 100 25.69 41.05
Non-Owner Occupied 646 47.96 0 27.13 37.53
Second Home 632 44.04 0 9.22 41.92
----------------------------------------------------------------------------------------------------
Total: 617 54.93 93.98 25.65 40.86
----------------------------------------------------------------------------------------------------
10. Property Type
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
of Principal Date Interest Remaining Combined
Mortgage Balance Principal Rate Term LTV
Property Type Loans ($) Balance (%) (Months) (%)
-------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 7,990 1,324,049,606 77.15 7.301 351 79.58
Planned Unit Development 803 150,301,412 8.76 7.139 350 81.17
2-4 Family 649 139,672,272 8.14 7.34 354 78.24
Condominium 634 102,218,797 5.96 7.277 354 80.56
-------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,088 100.00 7.289 351 79.67
-------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Non-Zero
Weighted
Average Pct Pct Pct Weighted
FICO Full Owner Fixed Average
Property Type Score Doc Occ Rate DTI
----------------------------------------------------------------------------------------------------
Single Family Residence 614 56.58 95.81 25.89 40.79
Planned Unit Development 622 54.88 95.6 23.78 41.1
2-4 Family 638 43.97 75.5 31.4 40.87
Condominium 628 48.64 93.16 17.5 41.5
----------------------------------------------------------------------------------------------------
Total: 617 54.93 93.98 25.65 40.86
----------------------------------------------------------------------------------------------------
11. Geographic Distribution of Mortgaged Properties
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
of Principal Date Interest Remaining Combined
Mortgage Balance Principal Rate Term LTV
Geographic Distribution of Mortgaged Properties Loans ($) Balance (%) (Months) (%)
-------------------------------------------------------------------------------------------------------------------------------
California 2,548 617,188,823 35.96 6.907 352 77.71
Florida 1,415 200,645,540 11.69 7.453 353 80.99
New York 488 107,568,173 6.27 7.221 353 77.01
Texas 888 85,994,064 5.01 7.808 332 78.77
New Jersey 299 62,949,634 3.67 7.465 353 79.61
Massachusetts 205 45,285,847 2.64 7.156 355 79.09
Nevada 226 43,126,960 2.51 7.37 355 81.42
Maryland 228 42,671,366 2.49 7.671 353 81.40
Virginia 217 41,836,062 2.44 7.554 352 80.99
Washington 251 41,801,939 2.44 7.173 352 81.69
Illinois 235 37,279,680 2.17 7.731 352 82.35
Arizona 230 30,889,879 1.80 7.331 354 83.18
Ohio 287 29,672,013 1.73 7.844 350 83.52
Pennsylvania 228 27,731,829 1.62 7.739 348 83.55
Michigan 238 26,034,897 1.52 7.933 354 82.20
Other 2,093 275,565,382 16.06 7.544 351 81.68
-------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,088 100.00 7.289 351 79.67
-------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 51
-------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Non-Zero
Weighted
Average Pct Pct Pct Weighted
FICO Full Owner Fixed Average
Geographic Distribution of Mortgaged Properties Score Doc Occ Rate DTI
----------------------------------------------------------------------------------------------------
California 626 49.75 94.43 23.98 41.52
Florida 610 53.19 93.22 27.55 40.49
New York 623 50.4 94.28 43.25 41.31
Texas 604 59.95 93.57 44.74 39.55
New Jersey 612 57.84 94.55 19.65 41.91
Massachusetts 623 58.44 94.78 22.68 41.9
Nevada 619 59.33 89.3 17.97 40.52
Maryland 602 62.31 98.54 16.38 41.18
Virginia 614 57.44 95.51 19.64 40.63
Washington 622 54.15 96.38 19.81 40.74
Illinois 605 57.4 94.37 10.59 40.57
Arizona 619 60.05 93.37 21.48 39.11
Ohio 602 65.59 89.77 26.07 39.64
Pennsylvania 608 61.71 96.21 30.51 40.9
Michigan 600 62.38 90.95 13.29 39.3
Other 614 61.22 93.24 24.63 40.06
----------------------------------------------------------------------------------------------------
Total: 617 54.93 93.98 25.65 40.86
----------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 51
----------------------------------------------------------------------------------------------------
12. Range of Remaining Terms (Months)
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
of Principal Date Interest Remaining Combined
Mortgage Balance Principal Rate Term LTV
(Months) Loans ($) Balance (%) (Months) (%)
-------------------------------------------------------------------------------------------------------------------------------
109 - 120 21 1,429,838 0.08 7.72 117 71.84
169 - 180 302 28,850,869 1.68 7.319 177 69.90
229 - 240 317 24,436,427 1.42 8.214 237 78.97
289 - 300 89 19,273,159 1.12 5.411 297 79.74
349 - 360 9,347 1,642,251,794 95.69 7.296 357 79.86
-------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,088 100.00 7.289 351 79.67
-------------------------------------------------------------------------------------------------------------------------------
Minimum: 116
Maximum: 358
Weighted Average: 351
-------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Non-Zero
Weighted
Average Pct Pct Pct Weighted
FICO Full Owner Fixed Average
(Months) Score Doc Occ Rate DTI
----------------------------------------------------------------------------------------------------
109 - 120 641 91.74 100 100 34.04
169 - 180 619 65.11 96.16 99.75 38.36
229 - 240 634 62.46 97.34 100 40.75
289 - 300 703 48.89 96.92 19.27 40.76
349 - 360 616 54.68 93.85 23.25 40.92
----------------------------------------------------------------------------------------------------
Total: 617 54.93 93.98 25.65 40.86
----------------------------------------------------------------------------------------------------
Minimum: 116
Maximum: 358
Weighted Average: 351
----------------------------------------------------------------------------------------------------
13. Product Types
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
of Principal Date Interest Remaining Combined
Mortgage Balance Principal Rate Term LTV
Product Types Loans ($) Balance (%) (Months) (%)
-------------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 21 1,429,838 0.08 7.72 117 71.84
Fixed - 15 Year 301 28,777,380 1.68 7.308 177 69.85
Fixed - 20 Year 317 24,436,427 1.42 8.214 237 78.97
Fixed - 25 Year 37 3,712,987 0.22 7.906 297 74.36
Fixed - 30 Year 2,355 369,519,358 21.53 7.271 357 76.21
ARM - 2 Year/6 Month 5,375 946,606,648 55.16 7.415 357 80.61
ARM - 3 Year/6 Month 839 133,708,520 7.79 7.476 357 81.83
ARM - 5 Year/6 Month 53 10,161,470 0.59 6.957 358 76.40
ARM - 2 Year IO/6 Month 544 140,786,605 8.20 6.648 357 82.04
ARM - 3 Year IO/6 Month 127 28,471,176 1.66 6.588 356 83.36
ARM - 5 Year IO/6 Month 4 688,800 0.04 6.824 357 78.03
ARM - 10 Year IO/1 Month 52 15,560,172 0.91 4.816 297 81.03
Interest Only Fixed - 30 Year 51 12,382,706 0.72 6.301 356 80.10
-------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,088 100.00 7.289 351 79.67
-------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------
Non-Zero
Weighted
Average Pct Pct Pct Weighted
FICO Full Owner Fixed Average
Product Types Score Doc Occ Rate DTI
-----------------------------------------------------------------------------------------------------
Fixed - 10 Year 641 91.74 100 100 34.04
Fixed - 15 Year 619 65.03 96.15 100 38.35
Fixed - 20 Year 634 62.46 97.34 100 40.75
Fixed - 25 Year 610 73.5 93.63 100 38.77
Fixed - 30 Year 636 63.02 93.54 100 40.21
ARM - 2 Year/6 Month 602 52.19 92.92 0 40.96
ARM - 3 Year/6 Month 613 45.66 94.22 0 41.34
ARM - 5 Year/6 Month 629 61.9 90.58 0 42.44
ARM - 2 Year IO/6 Month 651 51.96 99.21 0 41.45
ARM - 3 Year IO/6 Month 649 69.95 99.01 0 42.51
ARM - 5 Year IO/6 Month 634 100 100 0 34.75
ARM - 10 Year IO/1 Month 725 43.01 97.71 0 41.23
Interest Only Fixed - 30 Year 671 80.9 100 100 43.78
-----------------------------------------------------------------------------------------------------
Total: 617 54.93 93.98 25.65 40.86
-----------------------------------------------------------------------------------------------------
14. Subsequent Periodic Cap (%)
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
of Principal Date Interest Remaining Combined
Mortgage Balance Principal Rate Term LTV
Subsequent Periodic Cap (%) Loans ($) Balance (%) (Months) (%)
-------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 3,082 440,258,697 25.65 7.306 337 76.03
1 2,262 384,230,515 22.39 7.452 357 79.34
1.5 4,680 876,192,704 51.05 7.253 357 81.62
3 52 15,560,172 0.91 4.816 297 81.03
-------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,088 100.00 7.289 351 79.67
-------------------------------------------------------------------------------------------------------------------------------
Minimum: 1.000
Maximum: 3.000
Weighted Average: 1.368
-------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Non-Zero
Weighted
Average Pct Pct Pct Weighted
FICO Full Owner Fixed Average
Subsequent Periodic Cap (%) Score Doc Occ Rate DTI
----------------------------------------------------------------------------------------------------
Fixed Rate Loans 636 63.8 94.12 100 40.18
1 603 57.04 95.56 0 41.79
1.5 613 49.76 93.15 0 40.8
3 725 43.01 97.71 0 41.23
----------------------------------------------------------------------------------------------------
Total: 617 54.93 93.98 25.65 40.86
----------------------------------------------------------------------------------------------------
Minimum: 1.000
Maximum: 3.000
Weighted Average: 1.368
----------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
MORGAN STANLEY
MSAC 2004-HE9
FICO Less than 550
Table of Contents
1. Purpose
2. Range of Combined Original LTV Ratios (%)
3. Documentation Level
4. Geographic Distribution by State
1. Purpose
--------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------------------------------------------------------------------------------
Purchase 170 25,025,973 10.34 8.568 357 79.46 531
Refinance - Rate Term 117 13,622,736 5.63 8.541 351 78.71 528
Refinance - Cashout 1,351 203,396,160 84.03 8.165 353 74.40 528
--------------------------------------------------------------------------------------------------------------------------------
Total: 1,638 242,044,869 100.00 8.227 353 75.17 528
--------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
MORGAN STANLEY
MSAC 2004-HE9
ARM Loans
Table of Contents
1. Summary Statistics
2. Originator
3. Product Types
4. Range of Gross Interest Rates (%)
5. Range of Cut-off Date Principal Balances ($)
6. Stated Original Term (months)
7. Range of Stated Remaining Terms (months)
8. Range of Combined Original LTV Ratios (%)
9. Range of Gross Margins (%)
10. Range of Minimum Mortgage Rates (%)
11. Range of Maximum Mortgage Rates (%)
12. Initial Periodic Cap (%)
13. Subsequent Periodic Cap (%)
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
16. Occupancy
17. Property Type
18. Loan Purpose
19. Documentation Level
20. Credit Score
21. Prepayment Penalty Term
22. Lien Position
23. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 6,994
Aggregate Principal Balance ($): 1,275,983,391
Weighted Average Current Mortgage Rate (%): 7.283
Non-Zero Weighted Average Margin (%): 5.652
Non-Zero Weighted Average Maximum Rate (%): 13.976
Weighted Average Stated Original Term (months): 359
Weighted Average Stated Remaining Term (months): 356
Weighted Average Combined Original LTV (%): 80.93
% First Liens: 100.00
% Owner Occupied: 93.93
% Purchase: 39.06
% Full Doc: 51.87
Weighted Average Credit Score: 611
2. Originator
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Originator Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Aames 2,247 382,327,650 29.96 7.451 357 79.32 603
Accredited 1,161 196,192,807 15.38 7.504 356 82.25 616
New Century 3,586 697,462,933 54.66 7.128 356 81.44 614
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,994 1,275,983,391 100.00 7.283 356 80.93 611
------------------------------------------------------------------------------------------------------------------------------------
3. Product Types
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
ARM - 2 Year/6 Month 5,375 946,606,648 74.19 7.415 357 80.61 602
ARM - 3 Year/6 Month 839 133,708,520 10.48 7.476 357 81.83 613
ARM - 5 Year/6 Month 53 10,161,470 0.80 6.957 358 76.40 629
ARM - 2 Year IO/6 Month 544 140,786,605 11.03 6.648 357 82.04 651
ARM - 3 Year IO/6 Month 127 28,471,176 2.23 6.588 356 83.36 649
ARM - 5 Year IO/6 Month 4 688,800 0.05 6.824 357 78.03 634
ARM - 10 Year IO/1 Month 52 15,560,172 1.22 4.816 297 81.03 725
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,994 1,275,983,391 100.00 7.283 356 80.93 611
------------------------------------------------------------------------------------------------------------------------------------
4. Range of Gross Interest Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Gross Mortgage Principal Principal Interest Term Original FICO
Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 48 14,625,267 1.15 4.716 305 80.57 729
5.000 - 5.999 507 123,484,466 9.68 5.699 355 77.37 640
6.000 - 6.999 1,994 410,931,118 32.21 6.602 357 79.92 628
7.000 - 7.999 2,512 452,974,389 35.50 7.529 357 82.11 606
8.000 - 8.999 1,443 217,867,659 17.07 8.487 357 82.72 580
9.000 - 9.999 352 43,310,463 3.39 9.458 357 81.07 555
10.000 - 10.999 92 9,180,536 0.72 10.478 357 75.29 545
11.000 - 11.999 35 2,866,027 0.22 11.426 352 74.80 530
12.000 - 12.999 10 694,487 0.05 12.377 357 75.27 525
13.000 - 13.999 1 48,978 0.00 13.055 358 70.00 542
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,994 1,275,983,391 100.00 7.283 356 80.93 611
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 4.125
Maximum: 13.055
Weighted Average: 7.283
6. Stated Original Term (months)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Stated Original Mortgage Principal Principal Interest Term Original FICO
Term (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
180 1 73,489 0.01 11.500 178 90.00 556
300 52 15,560,172 1.22 4.816 297 81.03 725
360 6,941 1,260,349,730 98.77 7.313 357 80.93 610
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,994 1,275,983,391 100.00 7.283 356 80.93 611
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 180
Maximum: 360
Weighted Average: 359
7. Range of Stated Remaining Terms (months)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Stated Mortgage Principal Principal Interest Term Original FICO
Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
169 - 180 1 73,489 0.01 11.500 178 90.00 556
289 - 300 52 15,560,172 1.22 4.816 297 81.03 725
349 - 360 6,941 1,260,349,730 98.77 7.313 357 80.93 610
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,994 1,275,983,391 100.00 7.283 356 80.93 611
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 178
Maximum: 358
Weighted Average: 356
15. Geographic Distribution of Mortgaged Properties
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Geographic Distribution Mortgage Principal Principal Interest Term Original FICO
of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
California 1,808 469,201,905 36.77 6.895 355 79.15 618
Florida 974 145,362,488 11.39 7.434 357 81.95 605
New York 267 61,047,619 4.78 7.325 357 79.41 612
New Jersey 231 50,582,053 3.96 7.477 357 80.34 608
Texas 417 47,521,454 3.72 7.793 357 81.06 601
Maryland 182 35,682,165 2.80 7.706 357 81.54 599
Nevada 177 35,376,187 2.77 7.344 357 82.25 615
Massachusetts 145 35,012,813 2.74 7.236 357 82.16 619
Virginia 168 33,620,907 2.63 7.612 357 81.37 610
Washington 191 33,519,867 2.63 7.120 357 81.93 617
Illinois 201 33,330,435 2.61 7.677 357 82.89 602
Arizona 171 24,253,969 1.90 7.336 357 83.36 612
Michigan 193 22,574,926 1.77 7.888 357 82.24 596
Ohio 203 21,936,835 1.72 7.796 356 84.19 596
Georgia 127 19,546,108 1.53 7.525 357 82.84 609
Other 1,539 207,413,660 16.26 7.564 356 82.75 607
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,994 1,275,983,391 100.00 7.283 356 80.93 611
------------------------------------------------------------------------------------------------------------------------------------
Number of States/District
of Columbia Represented: 51
16. Occupancy
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Primary 6,521 1,198,560,044 93.93 7.260 356 80.95 609
Investment 418 66,558,761 5.22 7.668 357 80.57 644
Second Home 55 10,864,586 0.85 7.407 355 81.10 634
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,994 1,275,983,391 100.00 7.283 356 80.93 611
------------------------------------------------------------------------------------------------------------------------------------
17. Property Type
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 5,519 981,269,947 76.90 7.294 356 80.82 607
Planned Unit Development 561 114,561,983 8.98 7.120 356 82.45 616
2-4 Family 427 95,816,441 7.51 7.386 357 79.90 631
Condo 487 84,335,020 6.61 7.261 356 81.27 623
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,994 1,275,983,391 100.00 7.283 356 80.93 611
------------------------------------------------------------------------------------------------------------------------------------
18. Loan Purpose
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 3,929 725,288,533 56.84 7.298 356 79.09 593
Purchase 2,699 498,337,201 39.06 7.245 356 83.52 639
Refinance - Rate Term 366 52,357,656 4.10 7.431 356 81.75 596
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,994 1,275,983,391 100.00 7.283 356 80.93 611
------------------------------------------------------------------------------------------------------------------------------------
19. Documentation Level
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Full 3,909 661,831,739 51.87 7.153 356 81.46 594
Stated Documentation 2,854 566,802,133 44.42 7.450 356 80.23 631
Limited 231 47,349,519 3.71 7.099 357 81.82 607
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,994 1,275,983,391 100.00 7.283 356 80.93 611
------------------------------------------------------------------------------------------------------------------------------------
21. Prepayment Penalty Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
0 1,521 274,211,692 21.49 7.524 354 80.58 616
6 2 257,248 0.02 9.209 356 82.89 556
12 147 32,125,556 2.52 7.316 357 81.54 620
18 1 225,000 0.02 6.890 356 90.00 632
24 4,261 784,966,996 61.52 7.197 357 80.81 607
30 1 321,983 0.03 7.250 356 85.00 540
36 1,033 179,878,355 14.10 7.266 356 81.81 619
60 28 3,996,561 0.31 7.951 356 83.03 576
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,994 1,275,983,391 100.00 7.283 356 80.93 611
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 6
Maximum: 60
Non-Zero Weighted
Average: 26
22. Lien Position
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Lien Mortgage Principal Principal Interest Term Original FICO
Position Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
1st Lien 6,994 1,275,983,391 100.00 7.283 356 80.93 611
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,994 1,275,983,391 100.00 7.283 356 80.93 611
------------------------------------------------------------------------------------------------------------------------------------
23. Interest Only Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
0 6,267 1,090,476,638 85.46 7.418 357 80.72 603
24 398 105,747,096 8.29 6.664 357 82.65 653
36 57 14,162,966 1.11 6.444 357 82.47 647
60 220 50,036,519 3.92 6.639 357 81.32 648
120 52 15,560,172 1.22 4.816 297 81.03 725
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,994 1,275,983,391 100.00 7.283 356 80.93 611
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
MORGAN STANLEY
MSAC 2004-HE9
Group 3 Interest Only Loans
Table of Contents
1. Summary Statistics
2. Originator
3. Product Types
4. Range of Gross Interest Rates (%)
5. Range of Cut-off Date Principal Balances ($)
6. Stated Original Term (months)
7. Range of Stated Remaining Terms (months)
8. Range of Combined Original LTV Ratios (%)
9. Range of Gross Margins (%)
10. Range of Minimum Mortgage Rates (%)
11. Range of Maximum Mortgage Rates (%)
12. Initial Periodic Cap (%)
13. Subsequent Periodic Cap (%)
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
16. Occupancy
17. Property Type
18. Loan Purpose
19. Documentation Level
20. Credit Score
21. Prepayment Penalty Term
22. Lien Position
23. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 496
Aggregate Principal Balance ($): 137,262,776
Weighted Average Current Mortgage Rate (%): 6.424
Non-Zero Weighted Average Margin (%): 5.215
Non-Zero Weighted Average Maximum Rate (%): 13.274
Weighted Average Stated Original Term (months): 355
Weighted Average Stated Remaining Term (months): 352
Weighted Average Combined Original LTV (%): 81.88
% First Liens: 100.00
% Owner Occupied: 98.93
% Purchase: 53.88
% Full Doc: 58.60
Weighted Average Credit Score: 658
2. Originator
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Originator Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Aames 91 21,482,143 15.65 6.739 358 79.12 644
Accredited 180 40,937,081 29.82 6.484 356 82.11 657
New Century 225 74,843,551 54.53 6.301 348 82.55 663
------------------------------------------------------------------------------------------------------------------------------------
Total: 496 137,262,776 100.00 6.424 352 81.88 658
------------------------------------------------------------------------------------------------------------------------------------
3. Product Types
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
ARM - 2 Year IO/6 Month 315 92,656,824 67.50 6.558 357 81.78 651
ARM - 3 Year IO/6 Month 94 21,149,000 15.41 6.689 356 84.15 649
ARM - 5 Year IO/6 Month 4 688,800 0.50 6.824 357 78.03 634
ARM - 10 Year IO/1 Month 32 10,385,446 7.57 4.817 297 80.56 728
Interest Only Fixed - 30 Year 51 12,382,706 9.02 6.301 356 80.1 671
------------------------------------------------------------------------------------------------------------------------------------
Total: 496 137,262,776 100.00 6.424 352 81.88 658
------------------------------------------------------------------------------------------------------------------------------------
4. Range of Gross Interest Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Interest Rates(%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 30 9,556,370 6.96 4.708 302 80.8 735
5.000 - 5.999 120 34,548,936 25.17 5.668 353 78.8 653
6.000 - 6.999 233 63,155,731 46.01 6.554 357 81.75 654
7.000 - 7.999 99 26,514,519 19.32 7.459 357 85.88 649
8.000 - 8.999 14 3,487,220 2.54 8.414 357 87.39 649
------------------------------------------------------------------------------------------------------------------------------------
Total: 496 137,262,776 100.00 6.424 352 81.88 658
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 4.125
Maximum: 8.650
Weighted Average: 6.424
6. Stated Original Term (months)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
300 32 10,385,446 7.57 4.817 297 80.56 728
360 464 126,877,330 92.43 6.556 357 81.99 653
------------------------------------------------------------------------------------------------------------------------------------
Total: 496 137,262,776 100.00 6.424 352 81.88 658
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 300
Maximum: 360
Weighted Average: 355
7. Range of Stated Remaining Terms (months)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Stated Remaining Terms Mortgage Principal Principal Interest Term Original FICO
(months) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
289 - 300 32 10,385,446 7.57 4.817 297 80.56 728
349 - 360 464 126,877,330 92.43 6.556 357 81.99 653
------------------------------------------------------------------------------------------------------------------------------------
Total: 496 137,262,776 100.00 6.424 352 81.88 658
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 297
Maximum: 358
Weighted Average: 352
8. Range of Combined Original LTV Ratios (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Combined Original Mortgage Principal Principal Interest Term Original FICO
LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
40.01 - 45.00 2 365,000 0.27 5.679 320 42.94 660
45.01 - 50.00 2 445,000 0.32 5.865 357 47.1 659
50.01 - 55.00 1 345,800 0.25 5.950 357 50.12 677
55.01 - 60.00 4 1,346,000 0.98 6.458 357 57.98 624
60.01 - 65.00 9 2,443,885 1.78 5.482 335 62.55 671
65.01 - 70.00 10 3,403,556 2.48 5.935 350 68.56 621
70.01 - 75.00 16 5,338,966 3.89 6.093 353 73.66 657
75.01 - 80.00 299 74,162,751 54.03 6.390 355 79.87 661
80.01 - 85.00 49 17,195,172 12.53 6.049 340 84.28 665
85.01 - 90.00 65 21,417,938 15.60 6.730 352 89.57 657
90.01 - 95.00 25 7,846,015 5.72 7.222 357 94.56 639
95.01 - 100.00 14 2,952,693 2.15 7.285 356 99.83 662
------------------------------------------------------------------------------------------------------------------------------------
Total: 496 137,262,776 100.00 6.424 352 81.88 658
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 42.42
Maximum: 100.00
Weighted Average: 81.88
9. Range of Gross Margins (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 51 12,382,706 9.02 6.301 356 80.1 671
<= 3.500 30 9,556,370 6.96 4.708 302 80.8 735
3.501 - 4.000 11 3,385,076 2.47 5.358 340 81.81 670
4.001 - 4.500 25 6,176,871 4.50 5.947 349 77.86 648
4.501 - 5.000 21 4,449,702 3.24 6.243 356 82.02 643
5.001 - 5.500 239 66,234,432 48.25 6.501 357 81.76 643
5.501 - 6.000 98 31,049,473 22.62 6.906 357 82.92 666
6.001 - 6.500 15 2,772,777 2.02 7.549 356 91 637
6.501 - 7.000 4 627,700 0.46 7.759 356 85.78 661
7.001 - 7.500 1 300,000 0.22 8.450 356 100 617
7.501 - 8.000 1 327,670 0.24 8.625 356 80 661
------------------------------------------------------------------------------------------------------------------------------------
Total: 496 137,262,776 100.00 6.424 352 81.88 658
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 2.750
Maximum: 7.625
Non-Zero Weighted Average: 5.215
10. Range of Minimum Mortgage Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Minimum Mortgage Mortgage Principal Principal Interest Term Original FICO
Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 51 12,382,706 9.02 6.301 356 80.1 671
<=5.000 32 9,813,170 7.15 4.715 304 80.78 734
5.001 - 5.500 34 10,887,028 7.93 5.377 351 79.47 662
5.501 - 6.000 78 22,293,446 16.24 5.834 355 79.04 641
6.001 - 6.500 83 22,761,394 16.58 6.336 357 81.5 646
6.501 - 7.000 108 29,733,694 21.66 6.793 357 82.04 658
7.001 - 7.500 62 16,858,810 12.28 7.302 357 85.11 653
7.501 - 8.000 34 9,045,309 6.59 7.769 357 87.72 643
8.001 - 8.500 9 2,214,200 1.61 8.303 357 87.53 646
8.501 - 9.000 5 1,273,020 0.93 8.607 357 87.15 655
------------------------------------------------------------------------------------------------------------------------------------
Total: 496 137,262,776 100.00 6.424 352 81.88 658
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 4.030
Maximum: 8.650
Non-Zero Weighted Average: 6.434
11. Range of Maximum Mortgage Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Maximum Mortgage Mortgage Principal Principal Interest Term Original FICO
Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 51 12,382,706 9.02 6.301 356 80.1 671
<= 12.500 105 30,858,706 22.48 5.418 337 79.01 679
12.501 - 13.000 87 23,244,315 16.93 6.048 357 79.78 636
13.001 - 13.500 78 21,331,431 15.54 6.516 357 82.47 649
13.501 - 14.000 90 25,872,587 18.85 6.855 357 82.61 661
14.001 - 14.500 48 13,355,952 9.73 7.369 357 86.02 657
14.501 - 15.000 28 7,945,809 5.79 7.815 357 89.23 644
15.001 - 15.500 5 1,344,750 0.98 8.321 357 89.7 633
15.501 - 16.000 4 926,520 0.67 8.617 356 86.08 644
------------------------------------------------------------------------------------------------------------------------------------
Total: 496 137,262,776 100.00 6.424 352 81.88 658
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 11.250
Maximum: 15.650
Non-Zero Weighted
Average: 13.274
12. Initial Periodic Cap (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 51 12,382,706 9.02 6.301 356 80.1 671
1.5 322 93,012,481 67.76 6.547 357 82.9 652
3 119 31,178,789 22.71 6.097 337 79.62 672
5 4 688,800 0.50 6.824 357 78.03 634
------------------------------------------------------------------------------------------------------------------------------------
Total: 496 137,262,776 100.00 6.424 352 81.88 658
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.500
Maximum: 5.000
Non-Zero Weighted Average: 1.894
13. Subsequent Periodic Cap (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 51 12,382,706 9.02 6.301 356 80.1 671
1 91 21,482,143 15.65 6.739 358 79.12 644
1.5 322 93,012,481 67.76 6.547 357 82.9 652
3 32 10,385,446 7.57 4.817 297 80.56 728
------------------------------------------------------------------------------------------------------------------------------------
Total: 496 137,262,776 100.00 6.424 352 81.88 658
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.539
14. Next Rate Adjustment Dates
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 51 12,382,706 9.02 6.301 356 80.1 671
Dec-04 32 10,385,446 7.57 4.817 297 80.56 728
May-06 4 1,626,600 1.19 5.673 354 79.82 617
Jun-06 13 3,521,108 2.57 5.828 355 79.75 663
Jul-06 49 14,478,067 10.55 6.325 356 81.88 633
Aug-06 198 61,632,875 44.90 6.616 357 82.33 656
Sep-06 51 11,398,174 8.30 6.886 358 79.54 648
May-07 1 167,199 0.12 5.170 354 80 620
Jun-07 11 2,941,602 2.14 5.876 355 80.92 636
Jul-07 32 7,132,164 5.20 7.009 356 85.8 652
Aug-07 50 10,908,035 7.95 6.722 357 84 652
Jul-09 1 159,200 0.12 6.530 356 80 681
Aug-09 3 529,600 0.39 6.913 357 77.44 619
------------------------------------------------------------------------------------------------------------------------------------
Total: 496 137,262,776 100.00 6.424 352 81.88 658
------------------------------------------------------------------------------------------------------------------------------------
15. Geographic Distribution of Mortgaged Properties
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Geographic Distribution of Mortgage Principal Principal Interest Term Original FICO
Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
California 262 88,456,412 64.44 6.260 350 81.23 662
Florida 31 5,209,969 3.80 6.705 355 82.38 652
Washington 25 4,776,344 3.48 6.638 357 82.27 660
New York 13 4,031,700 2.94 6.754 357 82.23 643
Nevada 14 3,530,176 2.57 6.867 356 85.19 662
Arizona 22 3,407,411 2.48 6.874 357 84.51 634
Maryland 12 3,078,551 2.24 7.060 353 82.53 667
Colorado 14 2,744,863 2.00 6.335 356 83.37 638
Georgia 7 2,345,706 1.71 6.989 357 85.17 652
Hawaii 5 2,048,500 1.49 5.854 356 80.39 649
Oregon 13 1,986,569 1.45 6.512 357 81.1 671
Illinois 9 1,868,586 1.36 7.071 357 89.39 637
Virginia 8 1,684,870 1.23 7.145 356 81.05 651
Minnesota 9 1,588,080 1.16 6.451 357 80 646
Michigan 9 1,570,700 1.14 6.802 357 83.52 649
Other 43 8,934,338 6.51 6.710 353 82.97 655
------------------------------------------------------------------------------------------------------------------------------------
Total: 496 137,262,776 100.00 6.424 352 81.88 658
------------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 28
16. Occupancy
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Primary 492 135,789,992 98.93 6.427 352 81.84 658
Second Home 4 1,472,784 1.07 6.220 342 85.79 664
------------------------------------------------------------------------------------------------------------------------------------
Total: 496 137,262,776 100.00 6.424 352 81.88 658
------------------------------------------------------------------------------------------------------------------------------------
17. Property Type
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 368 102,572,098 74.73 6.416 352 81.54 659
Planned Unit Development 68 18,395,828 13.40 6.403 353 83.59 653
Condo 43 11,475,612 8.36 6.422 352 82.67 659
2-4 Family 17 4,819,237 3.51 6.683 356 80.85 655
------------------------------------------------------------------------------------------------------------------------------------
Total: 496 137,262,776 100.00 6.424 352 81.88 658
------------------------------------------------------------------------------------------------------------------------------------
18. Loan Purpose
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Purchase 269 73,962,501 53.88 6.439 352 82.38 669
Refinance - Cashout 203 58,154,680 42.37 6.428 352 81.47 645
Refinance - Rate Term 24 5,145,595 3.75 6.173 350 79.28 660
------------------------------------------------------------------------------------------------------------------------------------
Total: 496 137,262,776 100.00 6.424 352 81.88 658
------------------------------------------------------------------------------------------------------------------------------------
19. Documentation Level
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Full 311 80,432,412 58.60 6.247 353 82.25 646
Stated Documentation 152 47,958,617 34.94 6.759 350 81.63 679
Limited 33 8,871,747 6.46 6.221 356 79.9 655
------------------------------------------------------------------------------------------------------------------------------------
Total: 496 137,262,776 100.00 6.424 352 81.88 658
------------------------------------------------------------------------------------------------------------------------------------
21. Prepayment Penalty Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
0 73 23,169,483 16.88 6.139 330 80.97 684
12 8 2,051,748 1.49 6.657 356 85.88 644
18 1 225,000 0.16 6.890 356 90 632
24 243 72,122,368 52.54 6.476 357 81.91 651
36 157 36,812,269 26.82 6.497 356 82.21 657
60 14 2,881,907 2.10 6.294 355 80.64 658
------------------------------------------------------------------------------------------------------------------------------------
Total: 496 137,262,776 100.00 6.424 352 81.88 658
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12
Maximum: 60
Non-Zero Weighted Average: 29
22. Lien Position
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Position Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
1st Lien 496 137,262,776 100.00 6.424 352 81.88 658
------------------------------------------------------------------------------------------------------------------------------------
Total: 496 137,262,776 100.00 6.424 352 81.88 658
------------------------------------------------------------------------------------------------------------------------------------
23. Interest Only Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
24 169 57,617,316 41.98 6.533 357 82.74 653
36 24 6,840,790 4.98 6.602 357 83.93 647
60 271 62,419,224 45.47 6.572 357 81.08 652
120 32 10,385,446 7.57 4.817 297 80.56 728
------------------------------------------------------------------------------------------------------------------------------------
Total: 496 137,262,776 100.00 6.424 352 81.88 658
------------------------------------------------------------------------------------------------------------------------------------
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
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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
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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
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We recommend that such investors obtain the advice of their Morgan Stanley,
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the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
MORGAN STANLEY
MSAC 2004-HE9
Interest Only Loans
Table of Contents
1. Summary Statistics
2. Originator
3. Product Types
4. Range of Gross Interest Rates (%)
5. Range of Cut-off Date Principal Balances ($)
6. Stated Original Term (months)
7. Range of Stated Remaining Terms (months)
8. Range of Combined Original LTV Ratios (%)
9. Range of Gross Margins (%)
10. Range of Minimum Mortgage Rates (%)
11. Range of Maximum Mortgage Rates (%)
12. Initial Periodic Cap (%)
13. Subsequent Periodic Cap (%)
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
16. Occupancy
17. Property Type
18. Loan Purpose
19. Documentation Level
20. Credit Score
21. Prepayment Penalty Term
22. Lien Position
23. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 778
Aggregate Principal Balance ($): 197,889,459
Weighted Average Current Mortgage Rate (%): 6.474
Non-Zero Weighted Average Margin (%): 5.230
Non-Zero Weighted Average Maximum Rate (%): 13.381
Weighted Average Stated Original Term (months): 355
Weighted Average Stated Remaining Term (months): 352
Weighted Average Combined Original LTV (%): 82.01
% First Liens: 100.00
% Owner Occupied: 99.11
% Purchase: 57.54
% Full Doc: 55.82
Weighted Average Credit Score: 658
2. Originator
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Originator Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Aames 91 21,482,143 10.86 6.739 358 79.12 644
Accredited 180 40,937,081 20.69 6.484 356 82.11 657
New Century 507 135,470,234 68.46 6.429 350 82.44 661
------------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
------------------------------------------------------------------------------------------------------------------------------------
3. Product Types
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
ARM - 2 Year IO/6 Month 544 140,786,605 71.14 6.648 357 82.04 651
ARM - 3 Year IO/6 Month 127 28,471,176 14.39 6.588 356 83.36 649
ARM - 5 Year IO/6 Month 4 688,800 0.35 6.824 357 78.03 634
ARM - 10 Year IO/1 Month 52 15,560,172 7.86 4.816 297 81.03 725
Interest Only Fixed - 30 Year 51 12,382,706 6.26 6.301 356 80.10 671
------------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
------------------------------------------------------------------------------------------------------------------------------------
4. Range of Gross Interest Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Interest Rates(%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 45 13,524,046 6.83 4.693 301 81.15 734
5.000 - 5.999 175 47,807,977 24.16 5.662 353 79.13 651
6.000 - 6.999 346 87,424,250 44.18 6.543 357 81.70 654
7.000 - 7.999 174 41,300,747 20.87 7.469 357 85.29 652
8.000 - 8.999 36 7,368,939 3.72 8.452 357 87.14 640
9.000 - 9.999 2 463,500 0.23 9.050 357 90.00 617
------------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 4.125
Maximum: 9.050
Weighted Average: 6.474
6. Stated Original Term (months)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
300 52 15,560,172 7.86 4.816 297 81.03 725
360 726 182,329,287 92.14 6.615 357 82.10 652
------------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 300
Maximum: 360
Weighted Average: 355
7. Range of Stated Remaining Terms (months)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Stated Remaining Terms Mortgage Principal Principal Interest Term Original FICO
(months) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
289 - 300 52 15,560,172 7.86 4.816 297 81.03 725
349 - 360 726 182,329,287 92.14 6.615 357 82.10 652
------------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 297
Maximum: 358
Weighted Average: 352
8. Range of Combined Original LTV Ratios (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Combined Original Mortgage Principal Principal Interest Term Original FICO
LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
40.01 - 45.00 2 365,000 0.18 5.679 320 42.94 660
45.01 - 50.00 3 560,000 0.28 5.903 357 46.69 649
50.01 - 55.00 2 595,800 0.30 6.149 357 50.15 652
55.01 - 60.00 4 1,346,000 0.68 6.458 357 57.98 624
60.01 - 65.00 12 3,196,385 1.62 5.682 335 62.53 666
65.01 - 70.00 16 4,730,516 2.39 6.048 352 68.62 626
70.01 - 75.00 25 7,358,561 3.72 6.065 352 73.68 650
75.01 - 80.00 473 109,786,228 55.48 6.410 354 79.88 661
80.01 - 85.00 72 22,653,831 11.45 6.039 339 84.32 663
85.01 - 90.00 108 31,582,271 15.96 6.873 352 89.58 653
90.01 - 95.00 47 12,762,173 6.45 7.275 357 94.72 653
95.01 - 100.00 14 2,952,693 1.49 7.285 356 99.83 662
------------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 42.42
Maximum: 100.00
Weighted Average: 82.01
9. Range of Gross Margins (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 51 12,382,706 6.26 6.301 356 80.10 671
<= 3.500 45 13,524,046 6.83 4.693 301 81.15 734
3.501 - 4.000 16 4,592,126 2.32 5.351 329 81.82 674
4.001 - 4.500 25 6,176,871 3.12 5.947 349 77.86 648
4.501 - 5.000 21 4,449,702 2.25 6.243 356 82.02 643
5.001 - 5.500 389 97,988,868 49.52 6.456 357 81.87 644
5.501 - 6.000 209 54,532,754 27.56 7.065 357 82.83 663
6.001 - 6.500 16 2,987,017 1.51 7.506 356 90.21 638
6.501 - 7.000 4 627,700 0.32 7.759 356 85.78 661
7.001 - 7.500 1 300,000 0.15 8.450 356 100.00 617
7.501 - 8.000 1 327,670 0.17 8.625 356 80.00 661
------------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 2.750
Maximum: 7.625
Non-Zero Weighted Average: 5.230
10. Range of Minimum Mortgage Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Minimum Mortgage Mortgage Principal Principal Interest Term Original FICO
Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 51 12,382,706 6.26 6.301 356 80.10 671
<=5.000 48 13,952,845 7.05 4.703 302 81.12 733
5.001 - 5.500 50 14,758,814 7.46 5.359 348 79.42 659
5.501 - 6.000 121 32,548,967 16.45 5.829 355 79.43 641
6.001 - 6.500 137 34,767,779 17.57 6.321 357 81.35 649
6.501 - 7.000 164 41,227,562 20.83 6.796 357 82.08 658
7.001 - 7.500 103 24,850,109 12.56 7.289 357 84.37 654
7.501 - 8.000 67 15,767,043 7.97 7.779 357 86.97 650
8.001 - 8.500 23 4,466,642 2.26 8.305 357 86.27 641
8.501 - 9.000 12 2,703,492 1.37 8.728 357 89.11 639
9.001 - 9.500 2 463,500 0.23 9.050 357 90.00 617
------------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 4.030
Maximum: 9.050
Non-Zero Weighted Average: 6.484
11. Range of Maximum Mortgage Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Maximum Mortgage Mortgage Principal Principal Interest Term Original FICO
Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 51 12,382,706 6.26 6.301 356 80.10 671
<= 12.500 137 38,870,167 19.64 5.328 333 79.35 682
12.501 - 13.000 130 33,499,836 16.93 5.978 357 79.94 638
13.001 - 13.500 132 33,337,816 16.85 6.435 357 81.96 651
13.501 - 14.000 146 37,366,455 18.88 6.840 357 82.48 660
14.001 - 14.500 89 21,347,251 10.79 7.329 357 84.82 657
14.501 - 15.000 61 14,667,543 7.41 7.804 357 87.72 651
15.001 - 15.500 19 3,597,192 1.82 8.312 357 86.77 635
15.501 - 16.000 11 2,356,992 1.19 8.750 357 88.98 632
16.001 - 16.500 2 463,500 0.23 9.050 357 90.00 617
------------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 11.250
Maximum: 16.050
Non-Zero Weighted
Average: 13.381
12. Initial Periodic Cap (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 51 12,382,706 6.26 6.301 356 80.10 671
1.5 584 148,464,438 75.02 6.624 357 82.69 652
3 139 36,353,515 18.37 5.915 332 79.95 679
5 4 688,800 0.35 6.824 357 78.03 634
------------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.500
Maximum: 5.000
Non-Zero Weighted Average: 1.807
13. Subsequent Periodic Cap (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 51 12,382,706 6.26 6.301 356 80.10 671
1 91 21,482,143 10.86 6.739 358 79.12 644
1.5 584 148,464,438 75.02 6.624 357 82.69 652
3 52 15,560,172 7.86 4.816 297 81.03 725
------------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.568
14. Next Rate Adjustment Dates
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 51 12,382,706 6.26 6.301 356 80.10 671
Dec-04 52 15,560,172 7.86 4.816 297 81.03 725
May-06 9 2,636,657 1.33 5.676 354 79.82 620
Jun-06 14 3,665,068 1.85 5.825 355 79.76 661
Jul-06 73 20,124,490 10.17 6.416 356 81.58 628
Aug-06 397 102,962,216 52.03 6.720 357 82.54 657
Sep-06 51 11,398,174 5.76 6.886 358 79.54 648
May-07 1 167,199 0.08 5.170 354 80.00 620
Jun-07 12 3,101,602 1.57 5.867 355 80.87 635
Jul-07 37 8,321,572 4.21 6.808 356 84.31 651
Aug-07 77 16,880,802 8.53 6.626 357 83.39 651
Jul-09 1 159,200 0.08 6.530 356 80.00 681
Aug-09 3 529,600 0.27 6.913 357 77.44 619
------------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
------------------------------------------------------------------------------------------------------------------------------------
15. Geographic Distribution of Mortgaged Properties
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Geographic Distribution of Mortgage Principal Principal Interest Term Original FICO
Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
California 385 118,885,580 60.08 6.294 350 81.20 661
Florida 46 7,856,781 3.97 6.932 356 82.10 646
Washington 41 7,651,841 3.87 6.480 355 82.56 663
Nevada 32 6,736,235 3.40 6.768 357 83.12 657
Colorado 29 5,770,763 2.92 6.409 356 83.92 636
Arizona 36 5,325,809 2.69 6.954 357 84.17 645
New York 16 4,835,700 2.44 6.869 357 81.93 640
Massachusetts 17 4,439,237 2.24 6.985 357 85.25 673
Hawaii 11 4,135,101 2.09 5.910 352 82.03 654
Maryland 14 3,419,501 1.73 7.124 353 83.07 662
Minnesota 17 3,037,669 1.54 6.547 351 83.29 672
Texas 14 2,968,642 1.50 6.482 353 83.17 639
Oregon 19 2,887,119 1.46 6.698 357 81.27 658
Georgia 9 2,620,826 1.32 7.047 357 84.63 652
Virginia 11 2,458,781 1.24 7.148 357 81.38 650
Other 81 14,859,874 7.51 6.839 351 84.29 656
------------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
------------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 34
16. Occupancy
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Primary 773 196,133,675 99.11 6.477 352 81.99 658
Second Home 5 1,755,784 0.89 6.177 344 84.00 658
------------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
------------------------------------------------------------------------------------------------------------------------------------
17. Property Type
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 549 141,498,683 71.50 6.444 352 81.63 659
Planned Unit Development 123 29,542,963 14.93 6.450 352 83.21 655
Condo 74 18,134,256 9.16 6.563 352 82.23 660
2-4 Family 32 8,713,556 4.40 6.851 357 83.66 657
------------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
------------------------------------------------------------------------------------------------------------------------------------
18. Loan Purpose
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Purchase 457 113,873,861 57.54 6.504 352 82.29 667
Refinance - Cashout 283 76,384,453 38.60 6.446 352 81.69 644
Refinance - Rate Term 38 7,631,145 3.86 6.307 350 81.07 657
------------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
------------------------------------------------------------------------------------------------------------------------------------
19. Documentation Level
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Full 450 110,466,777 55.82 6.228 353 82.23 646
Stated Documentation 287 76,889,564 38.85 6.856 350 81.87 675
Limited 41 10,533,117 5.32 6.257 356 80.74 654
------------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
------------------------------------------------------------------------------------------------------------------------------------
21. Prepayment Penalty Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
0 125 35,037,080 17.71 6.213 330 81.24 685
12 12 2,910,077 1.47 6.820 356 83.88 647
18 1 225,000 0.11 6.890 356 90.00 632
24 441 113,515,990 57.36 6.559 357 82.17 651
36 185 43,319,405 21.89 6.448 356 82.13 656
60 14 2,881,907 1.46 6.294 355 80.64 658
------------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12
Maximum: 60
Non-Zero Weighted Average: 28
22. Lien Position
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Lien Position Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
1st Lien 778 197,889,459 100.00 6.474 352 82.01 658
------------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
------------------------------------------------------------------------------------------------------------------------------------
23. Interest Only Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
24 398 105,747,096 53.44 6.664 357 82.65 653
36 57 14,162,966 7.16 6.444 357 82.47 647
60 271 62,419,224 31.54 6.572 357 81.08 652
120 52 15,560,172 7.86 4.816 297 81.03 725
------------------------------------------------------------------------------------------------------------------------------------
Total: 778 197,889,459 100.00 6.474 352 82.01 658
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
MORGAN STANLEY
MSAC 2004-HE9
Stated Doc
Table of Contents
1. Summary Statistics
2. Originator
3. Product Types
4. Range of Gross Interest Rates (%)
5. Range of Cut-off Date Principal Balances ($)
6. Stated Original Term (months)
7. Range of Stated Remaining Terms (months)
8. Range of Combined Original LTV Ratios (%)
9. Range of Gross Margins (%)
10. Range of Minimum Mortgage Rates (%)
11. Range of Maximum Mortgage Rates (%)
12. Initial Periodic Cap (%)
13. Subsequent Periodic Cap (%)
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
16. Occupancy
17. Property Type
18. Loan Purpose
19. Documentation Level
20. Credit Score
21. Prepayment Penalty Term
22. Lien Position
23. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 3,760
Aggregate Principal Balance ($): 697,104,127
Weighted Average Current Mortgage Rate (%): 7.495
Non-Zero Weighted Average Margin (%): 5.673
Non-Zero Weighted Average Maximum Rate (%): 14.170
Weighted Average Stated Original Term (months): 356
Weighted Average Stated Remaining Term (months): 353
Weighted Average Combined Original LTV (%): 79.36
% First Liens: 98.78
% Owner Occupied: 93.08
% Purchase: 43.81
% Full Doc: 0.00
Weighted Average Credit Score: 635
2. Originator
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Originator Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Aames 988 180,151,502 25.84 7.614 355 77.12 619
Accredited 720 121,003,913 17.36 7.567 354 79.67 646
New Century 2,052 395,948,712 56.80 7.418 351 80.28 639
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,760 697,104,127 100.00 7.495 353 79.36 635
------------------------------------------------------------------------------------------------------------------------------------
3. Product Types
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 2 118,084 0.02 8.378 117 70.28 623
Fixed - 15 Year 69 7,353,708 1.05 7.548 177 65.87 635
Fixed - 20 Year 124 8,222,807 1.18 8.991 237 79.69 656
Fixed - 25 Year 8 984,072 0.14 9.719 297 77.76 602
Fixed - 30 Year 700 113,138,523 16.23 7.591 357 75.87 652
ARM - 2 Year/6 Month 2,175 421,710,134 60.49 7.546 357 80.02 622
ARM - 3 Year/6 Month 382 65,854,392 9.45 7.532 357 79.88 635
ARM - 5 Year/6 Month 13 2,832,843 0.41 7.218 357 74.58 643
ARM - 2 Year IO/6 Month 226 60,779,536 8.72 7.139 357 82.22 670
ARM - 3 Year IO/6 Month 28 6,758,017 0.97 7.114 357 82.26 666
ARM - 10 Year IO/1 Month 30 8,867,212 1.27 4.739 297 79.24 719
Interest Only Fixed - 30 Year 3 484,800 0.07 6.523 356 80.00 718
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,760 697,104,127 100.00 7.495 353 79.36 635
------------------------------------------------------------------------------------------------------------------------------------
4. Range of Gross Interest Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 27 8,192,731 1.18 4.685 301 78.22 724
5.000 - 5.999 114 28,491,340 4.09 5.794 353 70.98 664
6.000 - 6.999 936 210,071,873 30.13 6.649 353 76.98 654
7.000 - 7.999 1,444 275,665,446 39.54 7.546 355 80.38 635
8.000 - 8.999 825 133,430,665 19.14 8.480 354 81.90 606
9.000 - 9.999 194 25,591,708 3.67 9.436 353 78.44 571
10.000 - 10.999 126 9,646,567 1.38 10.552 326 85.92 623
11.000 - 11.999 85 5,063,249 0.73 11.374 315 94.24 644
12.000 - 12.999 8 901,569 0.13 12.451 330 92.31 614
13.000 - 13.999 1 48,978 0.01 13.055 358 70.00 542
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,760 697,104,127 100.00 7.495 353 79.36 635
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 4.125
Maximum: 13.055
Weighted Average: 7.495
15. Geographic Distribution of Mortgaged Properties
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Geographic Distribution of Mortgage Principal Principal Interest Term Original FICO
Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
California 1,143 277,427,426 39.80 7.135 352 77.46 639
Florida 576 86,050,060 12.34 7.629 355 80.15 624
New York 217 50,934,866 7.31 7.528 354 78.53 633
Texas 276 29,688,426 4.26 8.116 340 78.17 623
New Jersey 119 25,504,256 3.66 7.726 355 80.59 629
Massachusetts 78 18,141,354 2.60 7.652 355 82.86 647
Washington 94 16,651,518 2.39 7.431 355 81.50 641
Virginia 71 16,205,363 2.32 7.757 355 80.34 641
Nevada 82 16,087,553 2.31 7.591 354 81.91 649
Illinois 81 14,964,795 2.15 7.954 353 82.85 619
Maryland 71 14,621,477 2.10 7.922 356 81.69 632
Arizona 82 10,907,221 1.56 7.606 355 83.34 643
Minnesota 56 9,638,815 1.38 7.817 352 81.79 631
Pennsylvania 71 9,194,607 1.32 7.867 350 82.42 631
Michigan 74 9,046,481 1.30 8.129 354 82.25 625
Other 669 92,039,910 13.20 7.798 353 80.89 635
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,760 697,104,127 100.00 7.495 353 79.36 635
------------------------------------------------------------------------------------------------------------------------------------
Number of States/District of
Columbia Represented: 51
16. Occupancy
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Primary 3,467 648,896,351 93.08 7.461 353 79.34 633
Investment 263 42,559,015 6.11 7.945 355 79.91 659
Second Home 30 5,648,761 0.81 7.961 357 77.44 627
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,760 697,104,127 100.00 7.495 353 79.36 635
------------------------------------------------------------------------------------------------------------------------------------
17. Property Type
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 2,848 517,356,036 74.22 7.485 352 79.00 631
2-4 Family 317 73,846,984 10.59 7.588 355 79.36 650
Planned Unit Development 303 58,189,235 8.35 7.381 353 82.16 647
Condo 292 47,711,872 6.84 7.597 355 79.88 637
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,760 697,104,127 100.00 7.495 353 79.36 635
------------------------------------------------------------------------------------------------------------------------------------
18. Loan Purpose
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 1,930 372,228,449 53.40 7.435 352 76.67 618
Purchase 1,709 305,400,559 43.81 7.576 355 82.83 656
Refinance - Rate Term 121 19,475,119 2.79 7.347 340 76.29 620
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,760 697,104,127 100.00 7.495 353 79.36 635
------------------------------------------------------------------------------------------------------------------------------------
19. Documentation Level
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Stated Documentation 3,760 697,104,127 100.00 7.495 353 79.36 635
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,760 697,104,127 100.00 7.495 353 79.36 635
------------------------------------------------------------------------------------------------------------------------------------
21. Prepayment Penalty Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
0 783 145,258,851 20.84 7.786 349 80.48 636
12 162 35,768,642 5.13 7.476 353 77.99 645
24 1,799 344,794,296 49.46 7.409 356 80.32 627
36 938 161,377,572 23.15 7.421 349 76.48 646
60 78 9,904,765 1.42 7.475 346 81.29 659
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,760 697,104,127 100.00 7.495 353 79.36 635
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12
Maximum: 60
Non-Zero Weighted Average: 27
22. Lien Position
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Lien Position Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
1st Lien 3,607 688,604,307 98.78 7.450 353 79.10 634
2nd Lien 153 8,499,820 1.22 11.074 308 99.93 690
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,760 697,104,127 100.00 7.495 353 79.36 635
------------------------------------------------------------------------------------------------------------------------------------
23. Interest Only Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
0 3,473 620,214,563 88.97 7.574 353 79.05 630
24 195 52,780,903 7.57 7.117 357 82.48 669
36 18 4,762,180 0.68 7.068 357 83.06 657
60 44 10,479,270 1.50 7.240 357 80.44 682
120 30 8,867,212 1.27 4.739 297 79.24 719
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,760 697,104,127 100.00 7.495 353 79.36 635
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Please fill in all blue values!
Thank You!
ARM FRM Total/Avg.
----------------------------------------------------------------------
Percentage Bal. 74.35% 25.65% 100.00%
Deal Balance 1,275,983,391 440,258,697 1,716,242,088
WAM 356 337
WALA 3 3
WAC 7.283 7.306
LTV 80.93 76.03
FICO 611 636
Avg. Loan Size 182,439.72 142,848.38
Stated Document % 44.42 29.60
DTI 41.10 40.18
IO % 14.54 2.81
Second Lien % 0.00 3.35
Property Type 1.00 1.00
------------------------
Single Family % 76.79 77.74
PUD % 8.98 8.12
2-4 Unit % 7.51 9.96
CO % 6.55 4.06
MH % 0.00 0.00
Occupancy Type 1.00 1.00
------------------------
Owner Occupied 93.93 94.12
2nd Home 0.85 0.25
Investor Prop. 5.22 5.63
Loan Purpose 1.00 1.00
------------------------
Purchase 39.06 19.22
Cash-Out 56.84 74.44
Rate-Reduction 4.10 6.35
----------------------------------------------------------------------
ARM Check FRM Check
--------- ---------
100.00% 100.00%
--------- ---------
State Percent State Percent
-------------------- ------------------
NY 4.78 NY 10.57
PA 1.51 PA 1.92
OH 1.72 OH 1.76
NJ 3.96 NJ 2.81
GA 1.53 GA 1.14
FL 11.39 FL 12.56
IL 2.61 IL 0.90
Other 72.49 Other 68.35
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------
G Summary of pool per NC grades
-------------------------------------------------------------------------------------------------------------
New Century Credit Grade Count Balance ($) % of Balance WAC Remaining Term WA LTV WA FICO
-------------------------------------------------------------------------------------------------------------
A 916 151,916,369 8.85 7.452 353 81.22 605
AA 3,953 717,790,737 41.82 7.09 350 81.04 634
A- 897 138,573,050 8.07 7.682 351 77.88 572
A+ 3,112 528,070,091 30.77 7.21 353 79.86 627
B 721 105,863,216 6.17 7.973 353 75.41 556
B+ 1 114,816 0.01 9.155 357 60.53 517
C 378 53,004,011 3.09 8.34 354 69.35 557
C- 46 5,349,626 0.31 10.121 355 62.51 547
FICO 52 15,560,172 0.91 4.816 297 81.03 725
-------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,088 100 7.289 351 79.67 617
------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
H What are top 10 cities and average strats for each
---------------------------------------------------------------------------------------------------------------
Top 10 Cities of Overall Pool Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------
Los Angeles CA 175 43,112,275 2.51 6.962 353 74.79 628
Miami FL 237 36,163,112 2.11 7.355 350 80.16 621
Las Vegas NV 155 30,475,500 1.78 7.395 355 81.68 623
San Diego CA 60 17,164,959 1 6.801 356 73.49 623
Sacramento CA 80 14,787,870 0.86 7.206 351 80.82 622
Fontana CA 59 13,228,179 0.77 7.028 353 78.89 610
Houston TX 141 12,463,984 0.73 8.027 315 75.65 599
Chicago IL 68 12,461,877 0.73 7.597 352 82.12 609
Riverside CA 56 12,158,114 0.71 6.895 354 76.27 628
Brooklyn NY 44 11,904,915 0.69 7.029 357 74.99 632
Other 9,001 1,512,321,303 88.12 7.299 351 79.9 617
---------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,088 100 7.289 351 79.67 617
--------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------
I What % of pool are LTV above 90% and stated doc, IO, FICO below 600 or NOO?
------------------------------------------------------------------------------------------------------------
% non-
% stated owner % Fico Less
LTV > 90 Loans Balance ($) % of Balance Rate (%) Doctype % IO Loans Occupied Than 600
------------------------------------------------------------------------------------------------------------
LTV > 90 966 134,872,495 7.86 8.105 29.45 11.65 0.22 21.88
-----------------------------------------------------------------------------------------------------------------
J What is max LTV for stated income and minimum FICO for stated income?
Max LTV for Stated Income Documentation: 100.00
Min Fico for Stated Income Documentation: 500
K What is min FICO for loans above 90% LTV
Min Fico for ltv greater than 90: 538
L Seasoning hisotry - any over 3m?
M For loans below 100k do for D above but for top 5 MSAs
MORGAN STANLEY
MSAC 2004-HE9
All records
Table of Contents
1. Summary Statistics
2. Originator
3. Product Types
4. Range of Gross Interest Rates (%)
5. Range of Cut-off Date Principal Balances ($)
6. Stated Original Term (months)
7. Range of Stated Remaining Terms (months)
8. Range of Combined Original LTV Ratios (%)
9. Range of Gross Margins (%)
10. Range of Minimum Mortgage Rates (%)
11. Range of Maximum Mortgage Rates (%)
12. Initial Periodic Cap (%)
13. Subsequent Periodic Cap (%)
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
16. Occupancy
17. Property Type
18. Loan Purpose
19. Documentation Level
20. Credit Score
21. Prepayment Penalty Term
22. Lien Position
23. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 10,076
Aggregate Principal Balance ($): 1,716,242,088
Weighted Average Current Mortgage Rate (%): 7.289
Non-Zero Weighted Average Margin (%): 5.652
Non-Zero Weighted Average Maximum Rate (%): 13.976
Weighted Average Stated Original Term (months): 354
Weighted Average Stated Remaining Term (months): 351
Weighted Average Combined Original LTV (%): 79.67
% First Liens: 99.14
% Owner Occupied: 93.98
% Purchase: 33.97
% Full Doc: 54.93
Weighted Average Credit Score: 617
2. Originator
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Originator Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Aames 2,781 451,134,221 26.29 7.497 354 78.70 605
Accredited 1,708 274,503,370 15.99 7.412 353 81.23 623
New Century 5,587 990,604,496 57.72 7.160 349 79.68 621
------------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,088 100.00 7.289 351 79.67 617
------------------------------------------------------------------------------------------------------------------------------------
3. Product Types
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 21 1,429,838 0.08 7.720 117 71.84 641
Fixed - 15 Year 301 28,777,380 1.68 7.308 177 69.85 619
Fixed - 20 Year 317 24,436,427 1.42 8.214 237 78.97 634
Fixed - 25 Year 37 3,712,987 0.22 7.906 297 74.36 610
Fixed - 30 Year 2,355 369,519,358 21.53 7.271 357 76.21 636
ARM - 2 Year/6 Month 5,375 946,606,648 55.16 7.415 357 80.61 602
ARM - 3 Year/6 Month 839 133,708,520 7.79 7.476 357 81.83 613
ARM - 5 Year/6 Month 53 10,161,470 0.59 6.957 358 76.40 629
ARM - 2 Year IO/6 Month 544 140,786,605 8.20 6.648 357 82.04 651
ARM - 3 Year IO/6 Month 127 28,471,176 1.66 6.588 356 83.36 649
ARM - 5 Year IO/6 Month 4 688,800 0.04 6.824 357 78.03 634
ARM - 10 Year IO/1 Month 52 15,560,172 0.91 4.816 297 81.03 725
Interest Only Fixed - 30 Year 51 12,382,706 0.72 6.301 356 80.10 671
------------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,088 100.00 7.289 351 79.67 617
------------------------------------------------------------------------------------------------------------------------------------
4. Range of Gross Interest Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Interest Rates(%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 49 14,685,425 0.86 4.717 305 80.57 729
5.000 - 5.999 692 167,065,588 9.73 5.759 352 75.48 649
6.000 - 6.999 2,943 584,316,900 34.05 6.587 351 77.77 635
7.000 - 7.999 3,468 589,533,110 34.35 7.525 353 81.13 610
8.000 - 8.999 1,942 270,200,388 15.74 8.484 352 82.10 584
9.000 - 9.999 520 58,421,671 3.40 9.444 352 81.05 564
10.000 - 10.999 281 20,729,915 1.21 10.521 331 83.82 600
11.000 - 11.999 157 9,416,624 0.55 11.396 315 90.73 613
12.000 - 12.999 23 1,823,488 0.11 12.425 337 86.70 580
13.000 - 13.999 1 48,978 0.00 13.055 358 70.00 542
------------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,088 100.00 7.289 351 79.67 617
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 4.125
Maximum: 13.055
Weighted Average: 7.289
15. Geographic Distribution of Mortgaged Properties
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Geographic Distribution of Mortgage Principal Principal Interest Term Original FICO
Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
California 2,548 617,188,823 35.96 6.907 352 77.71 626
Florida 1,415 200,645,540 11.69 7.453 353 80.99 610
New York 488 107,568,173 6.27 7.221 353 77.01 623
Texas 888 85,994,064 5.01 7.808 332 78.77 604
New Jersey 299 62,949,634 3.67 7.465 353 79.61 612
Massachusetts 205 45,285,847 2.64 7.156 355 79.09 623
Nevada 226 43,126,960 2.51 7.370 355 81.42 619
Maryland 228 42,671,366 2.49 7.671 353 81.40 602
Virginia 217 41,836,062 2.44 7.554 352 80.99 614
Washington 251 41,801,939 2.44 7.173 352 81.69 622
Illinois 235 37,279,680 2.17 7.731 352 82.35 605
Arizona 230 30,889,879 1.80 7.331 354 83.18 619
Ohio 287 29,672,013 1.73 7.844 350 83.52 602
Pennsylvania 228 27,731,829 1.62 7.739 348 83.55 608
Michigan 238 26,034,897 1.52 7.933 354 82.20 600
Other 2,093 275,565,382 16.06 7.544 351 81.68 614
------------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,088 100.00 7.289 351 79.67 617
------------------------------------------------------------------------------------------------------------------------------------
Number of States/District
of Columbia Represented: 51
16. Occupancy
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Primary 9,384 1,612,941,290 93.98 7.266 351 79.70 616
Investment 630 91,333,385 5.32 7.677 354 79.19 646
Second Home 62 11,967,412 0.70 7.406 353 79.68 632
------------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,088 100.00 7.289 351 79.67 617
------------------------------------------------------------------------------------------------------------------------------------
17. Property Type
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 7,990 1,324,049,606 77.15 7.301 351 79.58 614
Planned Unit Development 803 150,301,412 8.76 7.139 350 81.17 622
2-4 Family 649 139,672,272 8.14 7.340 354 78.24 638
Condo 634 102,218,797 5.96 7.277 354 80.56 628
------------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,088 100.00 7.289 351 79.67 617
------------------------------------------------------------------------------------------------------------------------------------
18. Loan Purpose
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 6,101 1,053,008,058 61.36 7.255 350 77.53 604
Purchase 3,391 582,936,898 33.97 7.339 355 83.54 643
Refinance - Rate Term 584 80,297,131 4.68 7.362 344 79.69 607
------------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,088 100.00 7.289 351 79.67 617
------------------------------------------------------------------------------------------------------------------------------------
19. Documentation Level
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Full 5,926 942,734,608 54.93 7.154 350 79.93 605
Stated Documentation 3,760 697,104,127 40.62 7.495 353 79.36 635
Limited 390 76,403,353 4.45 7.073 349 79.27 616
------------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,088 100.00 7.289 351 79.67 617
------------------------------------------------------------------------------------------------------------------------------------
21. Prepayment Penalty Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
0 2,167 335,094,562 19.52 7.614 346 79.97 616
6 3 313,150 0.02 9.127 356 82.37 593
12 371 78,648,921 4.58 7.195 351 76.91 631
18 1 225,000 0.01 6.890 356 90.00 632
24 4,428 797,150,004 46.45 7.237 357 80.97 608
30 2 481,149 0.03 7.495 356 83.35 555
36 2,872 474,224,119 27.63 7.155 347 77.62 631
54 1 200,454 0.01 7.990 356 84.81 567
60 231 29,904,727 1.74 7.375 342 81.42 621
------------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,088 100.00 7.289 351 79.67 617
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 6
Maximum: 60
Non-Zero Weighted Average: 28
22. Lien Position
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Lien Mortgage Principal Principal Interest Term Original FICO
Position Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
1st Lien 9,809 1,701,499,076 99.14 7.258 352 79.50 617
2nd Lien 267 14,743,011 0.86 10.883 308 99.96 677
------------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,088 100.00 7.289 351 79.67 617
------------------------------------------------------------------------------------------------------------------------------------
23. Interest Only Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
0 9,298 1,518,352,629 88.47 7.395 351 79.37 612
24 398 105,747,096 6.16 6.664 357 82.65 653
36 57 14,162,966 0.83 6.444 357 82.47 647
60 271 62,419,224 3.64 6.572 357 81.08 652
120 52 15,560,172 0.91 4.816 297 81.03 725
------------------------------------------------------------------------------------------------------------------------------------
Total: 10,076 1,716,242,088 100.00 7.289 351 79.67 617
------------------------------------------------------------------------------------------------------------------------------------
MORGAN STANLEY
MSAC 2004-HE9
Group 1
Table of Contents
1. Summary Statistics
2. Originator
3. Product Types
4. Range of Gross Interest Rates (%)
5. Range of Cut-off Date Principal Balances ($)
6. Stated Original Term (months)
7. Range of Stated Remaining Terms (months)
8. Range of Combined Original LTV Ratios (%)
9. Range of Gross Margins (%)
10. Range of Minimum Mortgage Rates (%)
11. Range of Maximum Mortgage Rates (%)
12. Initial Periodic Cap (%)
13. Subsequent Periodic Cap (%)
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
16. Occupancy
17. Property Type
18. Loan Purpose
19. Documentation Level
20. Credit Score
21. Prepayment Penalty Term
22. Lien Position
23. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 943
Aggregate Principal Balance ($): 150,142,028
Weighted Average Current Mortgage Rate (%): 7.255
Non-Zero Weighted Average Margin (%): 5.540
Non-Zero Weighted Average Maximum Rate (%): 14.253
Weighted Average Stated Original Term (months): 354
Weighted Average Stated Remaining Term (months): 351
Weighted Average Combined Original LTV (%): 80.17
% First Liens: 98.33
% Owner Occupied: 92.66
% Purchase: 31.68
% Full Doc: 54.87
Weighted Average Credit Score: 617
2. Originator
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Originator Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
New Century 943 150,142,028 100.00 7.255 351 80.17 617
------------------------------------------------------------------------------------------------------------------------------------
Total: 943 150,142,028 100.00 7.255 351 80.17 617
------------------------------------------------------------------------------------------------------------------------------------
3. Product Types
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed - 15 Year 25 2,447,719 1.63 7.201 177 68.72 621
Fixed - 20 Year 66 3,551,809 2.37 8.765 237 84.62 662
Fixed - 25 Year 3 277,145 0.18 6.811 297 80.95 589
Fixed - 30 Year 153 23,736,182 15.81 7.036 357 75.31 641
ARM - 2 Year/6 Month 575 95,394,899 63.54 7.367 357 81.46 608
ARM - 3 Year/6 Month 39 5,911,526 3.94 7.397 357 78.53 596
ARM - 2 Year IO/6 Month 69 15,640,746 10.42 6.740 357 81.34 636
ARM - 3 Year IO/6 Month 13 3,182,001 2.12 6.191 357 78.97 621
------------------------------------------------------------------------------------------------------------------------------------
Total: 943 150,142,028 100.00 7.255 351 80.17 617
------------------------------------------------------------------------------------------------------------------------------------
4. Range of Gross Interest Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Gross Interest Mortgage Principal Principal Interest Term Original FICO
Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
5.000 - 5.999 51 11,144,311 7.42 5.780 353 71.05 629
6.000 - 6.999 310 55,434,910 36.92 6.558 352 78.40 636
7.000 - 7.999 339 56,139,438 37.39 7.521 352 81.40 607
8.000 - 8.999 166 23,007,798 15.32 8.426 356 83.49 591
9.000 - 9.999 17 1,875,677 1.25 9.284 348 85.01 570
10.000 - 10.999 32 1,368,558 0.91 10.544 271 99.12 689
11.000 - 11.999 25 989,238 0.66 11.293 265 98.87 652
12.000 - 12.999 3 182,098 0.12 12.332 340 85.02 588
------------------------------------------------------------------------------------------------------------------------------------
Total: 943 150,142,028 100.00 7.255 351 80.17 617
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 5.250
Maximum: 12.550
Weighted Average: 7.255
11. Range of Maximum Mortgage Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Maximum Mortgage Mortgage Principal Principal Interest Term Original FICO
Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 247 30,012,855 19.99 7.252 327 75.92 641
<= 12.500 4 759,003 0.51 5.683 357 79.83 612
12.501 - 13.000 42 9,384,730 6.25 5.817 357 76.02 620
13.001 - 13.500 96 18,950,198 12.62 6.314 357 79.38 640
13.501 - 14.000 135 23,306,090 15.52 6.814 357 80.72 626
14.001 - 14.500 114 19,884,839 13.24 7.281 357 82.55 610
14.501 - 15.000 150 26,033,136 17.34 7.790 357 81.91 595
15.001 - 15.500 81 11,581,555 7.71 8.263 357 83.03 593
15.501 - 16.000 59 8,328,293 5.55 8.755 357 84.83 586
16.001 - 16.500 12 1,674,611 1.12 9.242 357 83.21 559
17.001 - 17.500 1 80,644 0.05 10.100 357 85.00 562
18.001 - 18.500 1 55,144 0.04 11.250 357 80.00 543
19.501 - 20.000 1 90,930 0.06 12.550 357 70.00 508
------------------------------------------------------------------------------------------------------------------------------------
Total: 943 150,142,028 100.00 7.255 351 80.17 617
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12.500
Maximum: 19.550
Non-Zero Weighted Average: 14.253
12. Initial Periodic Cap (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 247 30,012,855 19.99 7.252 327 75.92 641
1 3 333,605 0.22 7.610 357 90.00 602
1.5 693 119,795,567 79.79 7.255 357 81.21 611
------------------------------------------------------------------------------------------------------------------------------------
Total: 943 150,142,028 100.00 7.255 351 80.17 617
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 1.500
Non-Zero Weighted
Average: 1.499
13. Subsequent Periodic Cap (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 247 30,012,855 19.99 7.252 327 75.92 641
1 3 333,605 0.22 7.610 357 90.00 602
1.5 693 119,795,567 79.79 7.255 357 81.21 611
------------------------------------------------------------------------------------------------------------------------------------
Total: 943 150,142,028 100.00 7.255 351 80.17 617
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 1.500
Non-Zero Weighted
Average: 1.499
14. Next Rate Adjustment Dates
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 247 30,012,855 19.99 7.252 327 75.92 641
May-06 2 330,883 0.22 6.260 354 80.00 597
Jul-06 38 8,127,072 5.41 6.823 356 79.79 604
Aug-06 604 102,577,690 68.32 7.318 357 81.58 613
Jul-07 6 1,126,773 0.75 6.032 356 73.93 611
Aug-07 46 7,966,754 5.31 7.108 357 79.35 603
------------------------------------------------------------------------------------------------------------------------------------
Total: 943 150,142,028 100.00 7.255 351 80.17 617
------------------------------------------------------------------------------------------------------------------------------------
15. Geographic Distribution of Mortgaged Properties
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Geographic Distribution of Mortgage Principal Principal Interest Term Original FICO
Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
California 266 53,523,464 35.65 6.971 351 77.14 618
Florida 105 14,539,340 9.68 7.448 349 82.07 614
New Jersey 41 8,132,199 5.42 7.437 353 83.16 622
Texas 57 5,791,402 3.86 7.419 335 81.03 609
New York 28 5,410,781 3.60 7.218 353 75.90 608
Massachusetts 24 4,771,509 3.18 7.187 354 84.97 652
Illinois 27 4,211,004 2.80 7.811 356 82.97 619
Nevada 23 4,173,655 2.78 7.133 356 77.35 617
Michigan 31 3,325,665 2.22 7.945 357 83.80 609
Maryland 19 3,300,063 2.20 7.854 350 82.43 606
Arizona 31 3,292,858 2.19 7.479 349 86.61 634
Washington 19 3,183,977 2.12 7.242 356 82.94 626
Pennsylvania 23 3,039,841 2.02 7.189 340 80.70 624
Virginia 16 3,007,244 2.00 7.075 357 79.88 633
Ohio 26 2,792,899 1.86 7.827 357 81.46 583
Other 207 27,646,128 18.41 7.358 351 82.04 613
------------------------------------------------------------------------------------------------------------------------------------
Total: 943 150,142,028 100.00 7.255 351 80.17 617
------------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia
Represented: 49
16. Occupancy
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Primary 884 139,116,484 92.66 7.229 351 79.94 613
Investment 51 9,888,091 6.59 7.567 356 84.40 674
Second Home 8 1,137,453 0.76 7.733 357 72.38 610
------------------------------------------------------------------------------------------------------------------------------------
Total: 943 150,142,028 100.00 7.255 351 80.17 617
------------------------------------------------------------------------------------------------------------------------------------
17. Property Type
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 721 108,625,794 72.35 7.256 350 79.17 609
2-4 Family 66 16,115,083 10.73 7.404 357 83.35 649
Planned Unit Development 93 15,490,030 10.32 7.119 352 82.22 629
Condo 63 9,911,120 6.60 7.210 348 82.77 635
------------------------------------------------------------------------------------------------------------------------------------
Total: 943 150,142,028 100.00 7.255 351 80.17 617
------------------------------------------------------------------------------------------------------------------------------------
18. Loan Purpose
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 576 95,817,543 63.82 7.177 350 77.81 602
Purchase 318 47,561,180 31.68 7.409 352 84.76 648
Refinance - Rate Term 49 6,763,304 4.50 7.279 349 81.33 614
------------------------------------------------------------------------------------------------------------------------------------
Total: 943 150,142,028 100.00 7.255 351 80.17 617
------------------------------------------------------------------------------------------------------------------------------------
19. Documentation Level
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Full 548 82,380,856 54.87 7.063 350 79.26 604
Stated Documentation 360 61,983,254 41.28 7.498 353 81.30 637
Limited 35 5,777,918 3.85 7.385 351 81.11 596
------------------------------------------------------------------------------------------------------------------------------------
Total: 943 150,142,028 100.00 7.255 351 80.17 617
------------------------------------------------------------------------------------------------------------------------------------
21. Prepayment Penalty Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
0 208 30,751,375 20.48 7.658 350 81.78 616
12 28 5,641,786 3.76 7.366 353 79.77 629
24 524 85,590,354 57.01 7.230 355 81.58 612
36 183 28,158,513 18.75 6.869 338 74.22 634
------------------------------------------------------------------------------------------------------------------------------------
Total: 943 150,142,028 100.00 7.255 351 80.17 617
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 26
------------------------------------------------------------------------------------------------------------------------------------
22. Lien Position
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Lien Position Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
1st Lien 881 147,627,786 98.33 7.194 352 79.83 616
2nd Lien 62 2,514,241 1.67 10.821 266 99.99 679
------------------------------------------------------------------------------------------------------------------------------------
Total: 943 150,142,028 100.00 7.255 351 80.17 617
------------------------------------------------------------------------------------------------------------------------------------
23. Interest Only Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
0 861 131,319,281 87.46 7.342 350 80.06 615
24 69 15,640,746 10.42 6.740 357 81.34 636
36 13 3,182,001 2.12 6.191 357 78.97 621
------------------------------------------------------------------------------------------------------------------------------------
Total: 943 150,142,028 100.00 7.255 351 80.17 617
------------------------------------------------------------------------------------------------------------------------------------
MORGAN STANLEY
MSAC 2004-HE9
Group 2
Table of Contents
1. Summary Statistics
2. Originator
3. Product Types
4. Range of Gross Interest Rates (%)
5. Range of Cut-off Date Principal Balances ($)
6. Stated Original Term (months)
7. Range of Stated Remaining Terms (months)
8. Range of Combined Original LTV Ratios (%)
9. Range of Gross Margins (%)
10. Range of Minimum Mortgage Rates (%)
11. Range of Maximum Mortgage Rates (%)
12. Initial Periodic Cap (%)
13. Subsequent Periodic Cap (%)
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
16. Occupancy
17. Property Type
18. Loan Purpose
19. Documentation Level
20. Credit Score
21. Prepayment Penalty Term
22. Lien Position
23. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 2,922
Aggregate Principal Balance ($): 450,095,528
Weighted Average Current Mortgage Rate (%): 7.288
Non-Zero Weighted Average Margin (%): 5.519
Non-Zero Weighted Average Maximum Rate (%): 14.304
Weighted Average Stated Original Term (months): 352
Weighted Average Stated Remaining Term (months): 349
Weighted Average Combined Original LTV (%): 79.73
% First Liens: 98.87
% Owner Occupied: 93.08
% Purchase: 30.53
% Full Doc: 56.81
Weighted Average Credit Score: 617
2. Originator
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Originator Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
New Century 2,922 450,095,528 100.00 7.288 349 79.73 617
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,922 450,095,528 100.00 7.288 349 79.73 617
------------------------------------------------------------------------------------------------------------------------------------
3. Product Types
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 2 110,625 0.02 7.386 117 75.28 646
Fixed - 15 Year 116 10,766,808 2.39 7.244 177 68.22 618
Fixed - 20 Year 148 9,886,505 2.20 8.546 237 81.66 647
Fixed - 25 Year 6 661,773 0.15 6.624 297 65.15 653
Fixed - 30 Year 733 113,602,257 25.24 7.143 357 75.74 641
ARM - 2 Year/6 Month 1,601 255,405,994 56.74 7.436 357 81.38 598
ARM - 3 Year/6 Month 116 17,857,629 3.97 7.169 357 80.47 611
ARM - 2 Year IO/6 Month 160 32,489,035 7.22 6.860 357 83.10 660
ARM - 3 Year IO/6 Month 20 4,140,175 0.92 6.376 357 82.73 669
ARM - 10 Year IO/1 Month 20 5,174,726 1.15 4.815 297 81.97 721
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,922 450,095,528 100.00 7.288 349 79.73 617
------------------------------------------------------------------------------------------------------------------------------------
4. Range of Gross Interest Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Gross Interest Mortgage Principal Principal Interest Term Original FICO
Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 15 3,967,676 0.88 4.658 297 82.00 732
5.000 - 5.999 211 44,121,690 9.80 5.790 349 74.73 653
6.000 - 6.999 842 149,537,768 33.22 6.550 348 76.66 633
7.000 - 7.999 940 147,247,898 32.71 7.509 353 81.47 607
8.000 - 8.999 640 84,754,815 18.83 8.465 352 83.15 590
9.000 - 9.999 125 12,176,773 2.71 9.368 347 82.19 573
10.000 - 10.999 87 5,367,388 1.19 10.472 306 89.49 634
11.000 - 11.999 60 2,789,435 0.62 11.429 288 95.10 635
12.000 - 12.999 2 132,085 0.03 12.172 334 79.72 548
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,922 450,095,528 100.00 7.288 349 79.73 617
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 4.375
Maximum: 12.200
Weighted Average: 7.288
12. Initial Periodic Cap (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,005 135,027,968 30.00 7.251 333 75.52 639
1 8 967,479 0.21 7.545 357 80.49 609
1.5 1,889 308,925,355 68.64 7.345 357 81.53 606
3 20 5,174,726 1.15 4.815 297 81.97 721
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,922 450,095,528 100.00 7.288 349 79.73 617
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.523
13. Subsequent Periodic Cap (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,005 135,027,968 30.00 7.251 333 75.52 639
1 8 967,479 0.21 7.545 357 80.49 609
1.5 1,889 308,925,355 68.64 7.345 357 81.53 606
3 20 5,174,726 1.15 4.815 297 81.97 721
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,922 450,095,528 100.00 7.288 349 79.73 617
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.523
------------------------------------------------------------------------------------------------------------------------------------
14. Next Rate Adjustment Dates
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,005 135,027,968 30.00 7.251 333 75.52 639
Dec-04 20 5,174,726 1.15 4.815 297 81.97 721
May-06 6 1,021,657 0.23 6.104 354 78.16 616
Jun-06 8 1,412,990 0.31 6.576 355 85.08 610
Jul-06 77 12,546,063 2.79 7.442 356 82.97 582
Aug-06 1,670 272,914,319 60.63 7.376 357 81.50 606
Jun-07 1 160,000 0.04 5.700 355 80.00 619
Jul-07 6 875,460 0.19 6.877 356 81.97 615
Aug-07 129 20,962,344 4.66 7.036 357 80.86 622
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,922 450,095,528 100.00 7.288 349 79.73 617
------------------------------------------------------------------------------------------------------------------------------------
15. Geographic Distribution of Mortgaged Properties
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Geographic Distribution of Mortgage Principal Principal Interest Term Original FICO
Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
California 724 149,901,740 33.30 6.850 351 76.25 628
Florida 313 38,517,830 8.56 7.568 351 80.53 607
New York 113 27,239,981 6.05 7.196 352 78.59 624
Texas 269 25,497,663 5.66 7.622 322 78.11 603
New Jersey 84 16,784,654 3.73 7.466 355 82.30 606
Massachusetts 79 16,134,533 3.58 7.050 356 79.95 621
Illinois 85 12,369,248 2.75 7.677 349 81.53 602
Nevada 72 12,170,196 2.70 7.541 353 82.47 625
Ohio 103 10,539,984 2.34 7.847 346 85.64 604
Maryland 56 9,594,851 2.13 7.551 351 81.08 594
Washington 63 9,470,776 2.10 7.119 348 82.83 634
Pennsylvania 81 9,408,284 2.09 7.778 347 83.28 612
Colorado 62 9,349,840 2.08 7.264 354 81.49 611
Arizona 71 8,799,356 1.95 7.352 353 84.43 618
Michigan 86 8,737,199 1.94 7.940 352 82.84 604
Other 661 85,579,393 19.01 7.574 348 82.50 614
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,922 450,095,528 100.00 7.288 349 79.73 617
------------------------------------------------------------------------------------------------------------------------------------
Number of States/District of
Columbia Represented: 48
16. Occupancy
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Primary 2,702 418,954,331 93.08 7.255 349 79.68 615
Investment 204 29,107,322 6.47 7.718 355 80.57 649
Second Home 16 2,033,876 0.45 7.913 352 76.82 613
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,922 450,095,528 100.00 7.288 349 79.73 617
------------------------------------------------------------------------------------------------------------------------------------
17. Property Type
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 2,222 329,994,211 73.32 7.306 349 79.62 614
Planned Unit Development 325 50,193,432 11.15 7.234 346 80.56 616
2-4 Family 198 43,638,573 9.70 7.203 351 79.36 638
Condo 177 26,269,312 5.84 7.317 354 80.07 624
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,922 450,095,528 100.00 7.288 349 79.73 617
------------------------------------------------------------------------------------------------------------------------------------
18. Loan Purpose
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 1,805 289,690,629 64.36 7.176 349 77.03 606
Purchase 940 137,431,060 30.53 7.542 352 85.54 643
Refinance - Rate Term 177 22,973,839 5.10 7.180 333 78.96 609
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,922 450,095,528 100.00 7.288 349 79.73 617
------------------------------------------------------------------------------------------------------------------------------------
19. Documentation Level
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Full 1,743 255,721,622 56.81 7.098 349 79.64 608
Stated Documentation 1,070 177,564,750 39.45 7.577 350 79.85 632
Limited 109 16,809,157 3.73 7.137 342 79.82 612
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,922 450,095,528 100.00 7.288 349 79.73 617
------------------------------------------------------------------------------------------------------------------------------------
21. Prepayment Penalty Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
0 659 94,087,156 20.90 7.610 343 80.93 616
12 86 17,995,484 4.00 7.189 348 75.65 628
24 1,401 221,866,120 49.29 7.299 356 81.71 606
36 776 116,146,768 25.80 7.023 341 75.61 640
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,922 450,095,528 100.00 7.288 349 79.73 617
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 27
22. Lien Position
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Lien Mortgage Principal Principal Interest Term Original FICO
Position Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
1st Lien 2,799 445,016,770 98.87 7.247 350 79.50 617
2nd Lien 123 5,078,758 1.13 10.925 274 99.99 677
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,922 450,095,528 100.00 7.288 349 79.73 617
------------------------------------------------------------------------------------------------------------------------------------
23. Interest Only Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
0 2,722 408,291,592 90.71 7.363 349 79.40 612
24 160 32,489,035 7.22 6.860 357 83.10 660
36 20 4,140,175 0.92 6.376 357 82.73 669
120 20 5,174,726 1.15 4.815 297 81.97 721
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,922 450,095,528 100.00 7.288 349 79.73 617
------------------------------------------------------------------------------------------------------------------------------------
MORGAN STANLEY
MSAC 2004-HE9
Group 3
Table of Contents
1. Summary Statistics
2. Originator
3. Product Types
4. Range of Gross Interest Rates (%)
5. Range of Cut-off Date Principal Balances ($)
6. Stated Original Term (months)
7. Range of Stated Remaining Terms (months)
8. Range of Combined Original LTV Ratios (%)
9. Range of Gross Margins (%)
10. Range of Minimum Mortgage Rates (%)
11. Range of Maximum Mortgage Rates (%)
12. Initial Periodic Cap (%)
13. Subsequent Periodic Cap (%)
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
16. Occupancy
17. Property Type
18. Loan Purpose
19. Documentation Level
20. Credit Score
21. Prepayment Penalty Term
22. Lien Position
23. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 6,211
Aggregate Principal Balance ($): 1,116,004,532
Weighted Average Current Mortgage Rate (%): 7.293
Non-Zero Weighted Average Margin (%): 5.718
Non-Zero Weighted Average Maximum Rate (%): 13.813
Weighted Average Stated Original Term (months): 355
Weighted Average Stated Remaining Term (months): 352
Weighted Average Combined Original LTV (%): 79.58
% First Liens: 99.36
% Owner Occupied: 94.52
% Purchase: 35.66
% Full Doc: 54.18
Weighted Average Credit Score: 617
2. Originator
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Originator Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Aames 2,781 451,134,221 40.42 7.497 354 78.70 605
Accredited 1,708 274,503,370 24.60 7.412 353 81.23 623
New Century 1,722 390,366,940 34.98 6.975 349 79.43 628
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,211 1,116,004,532 100.00 7.293 352 79.58 617
------------------------------------------------------------------------------------------------------------------------------------
3. Product Types
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 19 1,319,213 0.12 7.748 117 71.55 641
Fixed - 15 Year 160 15,562,853 1.39 7.369 177 71.15 619
Fixed - 20 Year 103 10,998,113 0.99 7.737 237 74.72 613
Fixed - 25 Year 28 2,774,069 0.25 8.321 297 75.89 601
Fixed - 30 Year 1,469 232,180,919 20.80 7.358 357 76.53 633
ARM - 2 Year/6 Month 3,199 595,805,754 53.39 7.414 357 80.15 602
ARM - 3 Year/6 Month 684 109,939,364 9.85 7.531 356 82.23 615
ARM - 5 Year/6 Month 53 10,161,470 0.91 6.957 358 76.40 629
ARM - 2 Year IO/6 Month 315 92,656,824 8.30 6.558 357 81.78 651
ARM - 3 Year IO/6 Month 94 21,149,000 1.90 6.689 356 84.15 649
ARM - 5 Year IO/6 Month 4 688,800 0.06 6.824 357 78.03 634
ARM - 10 Year IO/1 Month 32 10,385,446 0.93 4.817 297 80.56 728
Interest Only Fixed - 30 Year 51 12,382,706 1.11 6.301 356 80.10 671
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,211 1,116,004,532 100.00 7.293 352 79.58 617
------------------------------------------------------------------------------------------------------------------------------------
4. Range of Gross Interest Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Gross Interest Mortgage Principal Principal Interest Term Original FICO
Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 34 10,717,749 0.96 4.739 308 80.04 728
5.000 - 5.999 430 111,799,586 10.02 5.745 353 76.22 649
6.000 - 6.999 1,791 379,344,221 33.99 6.605 353 78.12 635
7.000 - 7.999 2,189 386,145,775 34.60 7.531 353 80.96 611
8.000 - 8.999 1,136 162,437,776 14.56 8.502 352 81.35 580
9.000 - 9.999 378 44,369,222 3.98 9.472 354 80.57 561
10.000 - 10.999 162 13,993,969 1.25 10.538 347 80.14 579
11.000 - 11.999 72 5,637,951 0.51 11.398 338 87.14 595
12.000 - 12.999 18 1,509,305 0.14 12.459 337 87.51 582
13.000 - 13.999 1 48,978 0.00 13.055 358 70.00 542
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,211 1,116,004,532 100.00 7.293 352 79.58 617
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 4.125
Maximum: 13.055
Weighted Average: 7.293
15. Geographic Distribution of Mortgaged Properties
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Geographic Distribution of Mortgage Principal Principal Interest Term Original FICO
Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
California 1,558 413,763,619 37.08 6.920 353 78.31 626
Florida 997 147,588,370 13.22 7.423 354 81.01 610
New York 347 74,917,412 6.71 7.230 353 76.52 624
Texas 562 54,704,999 4.90 7.936 336 78.83 604
New Jersey 174 38,032,781 3.41 7.471 352 77.66 612
Virginia 153 30,306,000 2.72 7.626 350 80.85 617
Maryland 153 29,776,453 2.67 7.690 353 81.39 604
Washington 169 29,147,186 2.61 7.183 353 81.18 618
Nevada 131 26,783,109 2.40 7.329 356 81.59 616
Massachusetts 102 24,379,805 2.18 7.219 355 77.38 619
Illinois 123 20,699,429 1.85 7.746 353 82.72 603
Arizona 128 18,797,666 1.68 7.296 355 81.99 616
Georgia 123 18,288,955 1.64 7.576 352 81.87 614
Ohio 158 16,339,130 1.46 7.845 351 82.50 603
Connecticut 87 15,542,788 1.39 7.526 355 79.34 615
Other 1,246 156,936,831 14.06 7.631 352 81.63 610
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,211 1,116,004,532 100.00 7.293 352 79.58 617
------------------------------------------------------------------------------------------------------------------------------------
Number of States/District of
Columbia Represented: 50
16. Occupancy
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Primary 5,798 1,054,870,475 94.52 7.275 352 79.67 616
Investment 375 52,337,973 4.69 7.674 353 77.43 639
Second Home 38 8,796,084 0.79 7.246 353 81.29 639
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,211 1,116,004,532 100.00 7.293 352 79.58 617
------------------------------------------------------------------------------------------------------------------------------------
17. Property Type
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 5,047 885,429,601 79.34 7.305 352 79.62 614
Planned Unit Development 385 84,617,950 7.58 7.086 352 81.34 625
2-4 Family 385 79,918,615 7.16 7.402 354 76.60 636
Condo 394 66,038,366 5.92 7.271 354 80.43 628
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,211 1,116,004,532 100.00 7.293 352 79.58 617
------------------------------------------------------------------------------------------------------------------------------------
18. Loan Purpose
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 3,720 667,499,886 59.81 7.300 350 77.70 603
Purchase 2,133 397,944,658 35.66 7.261 356 82.71 643
Refinance - Rate Term 358 50,559,988 4.53 7.456 348 79.80 605
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,211 1,116,004,532 100.00 7.293 352 79.58 617
------------------------------------------------------------------------------------------------------------------------------------
19. Documentation Level
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Full 3,635 604,632,130 54.18 7.190 351 80.15 603
Stated Documentation 2,330 457,556,123 41.00 7.462 354 78.90 635
Limited 246 53,816,278 4.82 7.020 351 78.90 620
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,211 1,116,004,532 100.00 7.293 352 79.58 617
------------------------------------------------------------------------------------------------------------------------------------
21. Prepayment Penalty Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
0 1,300 210,256,031 18.84 7.610 347 79.27 617
6 3 313,150 0.03 9.127 356 82.37 593
12 257 55,011,651 4.93 7.180 352 77.03 631
18 1 225,000 0.02 6.890 356 90.00 632
24 2,503 489,693,531 43.88 7.209 357 80.53 608
30 2 481,149 0.04 7.495 356 83.35 555
36 1,913 329,918,838 29.56 7.226 350 78.61 628
54 1 200,454 0.02 7.990 356 84.81 567
60 231 29,904,727 2.68 7.375 342 81.42 621
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,211 1,116,004,532 100.00 7.293 352 79.58 617
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 6
Maximum: 60
Non-Zero Weighted Average: 29
22. Lien Position
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Position Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
1st Lien 6,129 1,108,854,520 99.36 7.270 352 79.45 617
------------------------------------------------------------------------------------------------------------------------------------
23. Interest Only Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
0 5,715 978,741,756 87.70 7.415 352 79.26 612
24 169 57,617,316 5.16 6.533 357 82.74 653
36 24 6,840,790 0.61 6.602 357 83.93 647
60 271 62,419,224 5.59 6.572 357 81.08 652
120 32 10,385,446 0.93 4.817 297 80.56 728
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,211 1,116,004,532 100.00 7.293 352 79.58 617
------------------------------------------------------------------------------------------------------------------------------------
EXHIBIT 99.2
The information herein has been prepared solely for informational 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. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Morgan
Stanley and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Morgan Stanley is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Morgan Stanley does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Morgan Stanley and each recipient hereof are
deemed to agree that both Morgan Stanley and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Morgan Stanley or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Morgan Stanley does not undertake or have any responsibility to
notify you of any changes to the attached information. Morgan Stanley & Co.
Incorporated, its affiliates 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. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
Excess Interest Shown before payback of basis risk
shortfalls - Does not include Cap Cash Flow
6 CDR - 50% Loss Severity - 6m lag
Triggers Calculated
The information herein has been prepared solely for informational 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. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Morgan
Stanley and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Morgan Stanley is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Morgan Stanley does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Morgan Stanley and each recipient hereof are
deemed to agree that both Morgan Stanley and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Morgan Stanley or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Morgan Stanley does not undertake or have any responsibility to
notify you of any changes to the attached information. Morgan Stanley & Co.
Incorporated, its affiliates 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. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
The information herein has been prepared solely for informational 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. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Morgan
Stanley and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Morgan Stanley is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Morgan Stanley does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Morgan Stanley and each recipient hereof are
deemed to agree that both Morgan Stanley and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Morgan Stanley or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Morgan Stanley does not undertake or have any responsibility to
notify you of any changes to the attached information. Morgan Stanley & Co.
Incorporated, its affiliates 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. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
The information herein has been prepared solely for informational 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. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Morgan
Stanley and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Morgan Stanley is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Morgan Stanley does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Morgan Stanley and each recipient hereof are
deemed to agree that both Morgan Stanley and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Morgan Stanley or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Morgan Stanley does not undertake or have any responsibility to
notify you of any changes to the attached information. Morgan Stanley & Co.
Incorporated, its affiliates 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. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
The information herein has been prepared solely for informational 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. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Morgan
Stanley and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Morgan Stanley is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Morgan Stanley does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Morgan Stanley and each recipient hereof are
deemed to agree that both Morgan Stanley and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Morgan Stanley or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Morgan Stanley does not undertake or have any responsibility to
notify you of any changes to the attached information. Morgan Stanley & Co.
Incorporated, its affiliates 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. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
The information herein has been prepared solely for informational 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. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Morgan
Stanley and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Morgan Stanley is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Morgan Stanley does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Morgan Stanley and each recipient hereof are
deemed to agree that both Morgan Stanley and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Morgan Stanley or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Morgan Stanley does not undertake or have any responsibility to
notify you of any changes to the attached information. Morgan Stanley & Co.
Incorporated, its affiliates 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. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
The information herein has been prepared solely for informational 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. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Morgan
Stanley and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Morgan Stanley is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Morgan Stanley does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Morgan Stanley and each recipient hereof are
deemed to agree that both Morgan Stanley and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Morgan Stanley or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Morgan Stanley does not undertake or have any responsibility to
notify you of any changes to the attached information. Morgan Stanley & Co.
Incorporated, its affiliates 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. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
The information herein has been prepared solely for informational 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. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Morgan
Stanley and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Morgan Stanley is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Morgan Stanley does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Morgan Stanley and each recipient hereof are
deemed to agree that both Morgan Stanley and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Morgan Stanley or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Morgan Stanley does not undertake or have any responsibility to
notify you of any changes to the attached information. Morgan Stanley & Co.
Incorporated, its affiliates 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. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
The information herein has been prepared solely for informational 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. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Morgan
Stanley and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Morgan Stanley is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Morgan Stanley does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Morgan Stanley and each recipient hereof are
deemed to agree that both Morgan Stanley and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Morgan Stanley or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Morgan Stanley does not undertake or have any responsibility to
notify you of any changes to the attached information. Morgan Stanley & Co.
Incorporated, its affiliates 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. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
The information herein has been prepared solely for informational 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. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Morgan
Stanley and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Morgan Stanley is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Morgan Stanley does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Morgan Stanley and each recipient hereof are
deemed to agree that both Morgan Stanley and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Morgan Stanley or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Morgan Stanley does not undertake or have any responsibility to
notify you of any changes to the attached information. Morgan Stanley & Co.
Incorporated, its affiliates 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. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
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