<PAGE> 1
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
-----
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15 (d)
OF THE SECURITIES EXCHANGE ACT OF 1934
Date of Report (date of earliest event reported) January 15, 1998
Mellon Residential Funding Corporation
(Exact name of registrant as specified in its charter)
Delaware 333-24453 23-2889067
(State or other (Commission (IRS Employer
jurisdiction of incorporation) File Number) ID Number)
One Mellon Bank Center, Room 410, Pittsburgh, Pennsylvania 15258
(Address of principal executive offices) (Zip Code)
Registrant's Telephone Number, including area code: (412) 236-6559
--------------
N/A
(Former name or former address, if changed since last report)
<PAGE> 2
Item 5. Other Events
Filing of Computational Materials.
Pursuant to Rule 424(b) under the Securities Act of 1933, as amended,
Mellon Residential Funding Corporation (the "Depositor") is filing a prospectus
and prospectus supplement with the Securities and Exchange Commission relating
to its Mortgage Pass-Through Certificates, Series 1998-1.
In connection with the offering of the Mortgage Pass-Through
Certificates, Series 1998-1, Morgan Stanley & Co. Incorporated prepared certain
materials (the "Collateral Term Sheets") which were distributed by Morgan
Stanley & Co. Incorporated and Mellon Financial Markets, Inc. (the
"Underwriters") to their potential investors. Although the Depositor provided
the Underwriters with certain information regarding the characteristics of the
mortgage loans in the related portfolio (the "Mortgage Loans"), it did not
participate in the preparation of the Collateral Term Sheets. The Collateral
Term Sheets are attached hereto as Exhibit 99.1.
-2-
<PAGE> 3
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 Collateral Term Sheets.
-3-
<PAGE> 4
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
MELLON RESIDENTIAL FUNDING CORPORATION
By: /s/ Stephen Cobain
---------------------------------
Name: Stephen Cobain
Title: President
Dated: January 15, 1998
<PAGE> 5
EXHIBIT INDEX
Exhibit Page
- ------- ----
99.1 Collateral Term Sheets.
<PAGE> 1
.3 MORGAN STANLEY DEAN WITTER [LOGO] JANUARY 12, 1998
Mortgage Finance Group
MBS Capital Markets
$ 526,444,000
MELLON MORTGAGE COMPANY
Seller and Servicer
MELLON RESIDENTIAL FUNDING CORPORATION, SERIES 1998-1
MORTGAGE PASS-THROUGH CERTIFICATES
TRANSACTION HIGHLIGHTS
<TABLE>
<CAPTION>
PAYMENT PRICE
EXPECTED RATINGS AVERAGE LIFE WINDOW TALK
CLASS CLASS SIZE (S&P/DUFF) TO MATURITY TO MATURITY BENCHMARK (BPS)
- ----- ---------- ---------- ----------- ----------- --------- -----
<S> <C> <C> <C> <C>
A-1 $294,377,000 AAA/AAA 3.45 years 2/98 to 4/05 (months)
A-2 77,052,000 AAA/AAA 10.00 years 4/05 to 7/12 (months)
A-3 24,911,000 AAA/AAA 18.86 years 7/12 to 11/27 (months)
A-4 45,952,000 AAA/AAA 11.76 years 2/03 to 11/27 (months)
A-5 70,826,000 AAA/AAA 4.73 years 2/98 to 10/12 (months)
WIO 533,109,992* AAA/AAA 6.28 years 2/98 to 11/27 (months)
B-1 7,996,000 AA/AA 10.76 years 2/98 to11/27 (months)
B-2 2,665,000 A/A 10.76 years 2/98 to 11/27 (months)
B-3 2,665,000 BBB/BBB 10.76 years 2/98 to 11/27 (months)
B-4 3,465,000 BB/BB Not Offered Publicly
B-5 1,599,000 B/B Not Offered Publicly
B-6 1,601,992 UR/UR Not Offered Publicly
</TABLE>
*Notional balance
ISSUER: Mellon Residential Funding Corporation
SERVICER: Mellon Mortgage Company
TRUSTEE: Bankers Trust Company of California N.A.
MANAGERS: MORGAN STANLEY DEAN WITTER (LEAD MANAGER), and Mellon
Financial Markets, Inc.
DAY COUNT BASIS: 30/360
EXPECTED PRICING DATE: January 15, 1998
EXPECTED SETTLEMENT: January 27, 1998
FORMS OF CERTIFICATES: Classes A-1 through B-3 will settle through DTC,
Classes B-4 though B-6 will be in fully registered,
certificated form.
DISTRIBUTION DATES: The 25th of each month, beginning February 25, 1998
PRICING SPEED: 250 PSA
OPTIONAL CALL: 10% clean-up call (10% of pool balance)
TAX STATUS: REMIC
ERISA ELIGIBILITY: The Class A-1 through A-5 are ERISA eligible
SMMEA ELIGIBILITY: The Class A-1 through A-5 and B-1 are SMMEA eligible
The information herein has been provided solely by Morgan Stanley & Co.
Incorporated based on information with respect to the mortgage loans provided by
the sponsor. Neither the sponsor nor any of its affiliates makes any
representations as to the accuracy or completeness of the information herein.
The information herein is preliminary and will be superseded by the Prospectus
Supplement and by any other information subsequently filed with the Securities
and Exchange Commission (SEC). All assumptions and information in this report
reflect Morgan Stanley & Co. Incorporated's judgement as of this date and are
subject to change. All analyses are based on certain assumptions noted herein
and different assumptions could yield substantially different results. You are
cautioned that there is no universally accepted method for analyzing financial
instruments. You should review the assumptions: there may be differences between
these assumptions and your actual business practices. Further, Morgan Stanley &
Co. Incorporated does not guarantee any results and there is no guarantee as to
the liquidity of the instruments involved in this analysis. The decision to
adopt any strategy remains your responsibility. Morgan Stanley & Co.
Incorporated or any of its affiliates or their officers, directors, analysts, or
employees may have positions in securities, commodities or derivative
instruments therein referred to here, and may, as principal, or agent, buy or
sell such securities, commodities, or derivative instruments. In addition,
Morgan Stanley & Co. Incorporated may make a market in the securities referred
to herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy a solicitation of an
offer to sell or buy any securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
Prospectus and, if required, Prospectus Supplement. Finally, Morgan Stanley &
Co. Incorporated has not addressed the legal, accounting, and tax implications
of the analysis with respect to you, and Morgan Stanley & Co. Incorporated
strongly urges you to seek advice from your counsel, accountant and tax advisor.
To Our Readers Worldwide: In addition, please note that this publication has
been issued by Morgan Stanley & Co. Incorporated and approved by Morgan Stanley
& Co. International Limited, a member of The Securities and Futures Authority
Limited and Morgan Stanley Japan, Ltd. We recommend that investors obtain the
advice of their Morgan Stanley & Co. International Limited or Morgan Stanley
Japan Ltd. representative about the investments concerned.
NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
<PAGE> 2
CREDIT ENHANCEMENT
- - Class A-1 through A-4 Credit Enhancement:
1. Subordination of Class B-1, B-2, B-3, B-4, B-5 and B-6
certificates, totaling 3.75% of the original pool balance.
- - Class B-1, B-2, B-3, B-4, B-5 and B-6 Credit Enhancement:
1. Class B-1 is enhanced by 2.25% in subordinate certificates.
2. Class B-2 is enhanced by 1.75% in subordinate certificates.
3. Class B-3 is enhanced by 1.25% in subordinate certificates.
4. Class B-4 is enhanced by 0.60% in subordinate certificates.
5. Class B-5 is enhanced by 0.30% in subordinate certificates.
CREDIT STRUCTURE
- - Cashflow priority for Mellon Residential Funding Corporation, Series
1998-1
Distributions will be made on each distribution date from available
funds in the following order of priority:
1. To pay a servicing fee of 25 bps,
2. To interest on each class of senior certificates,
3. To principal of the classes of senior certificates then
entitled to receive distributions of principal,
4. To interest on each class of subordinated certificates,
5. To principal of the classes of subordinated certificates then
entitled to receive distributions of principal.
- - Distribution of Principal:
Principal will be allocated among the classes as follows:
1. Scheduled principal allocable to the A5 class. All unscheduled
principal coming from the 15-year collateral will be paid to
the A5 for the first 60 months. Beginning in month 61,
unscheduled principal will be paid to the A5 based on a
shifting interest schedule.
2. During the first 60 months, scheduled principal allocable to
classes A1, A2 and A3 will be paid sequentially starting with
A1 until it is fully paid down, next to A2 until it is fully
paid down, and then to A3. The NAS class, A4, will be not
receive scheduled or unscheduled principal for the first 60
periods.
3. Beginning in month 61, the NAS class will begin to receive its
pro rata share of scheduled principal and a scheduled amount
of prepayments.
4. All subordinated classes will receive their pro-rata share of
scheduled principal payments based on their allocable
percentages and beginning in month 61 a scheduled amount of
prepayments.
5. The WIO class does not receive any principal.
The information herein has been provided solely by Morgan Stanley & Co.
Incorporated based on information with respect to the mortgage loans provided by
the sponsor. Neither the sponsor nor any of its affiliates makes any
representations as to the accuracy or completeness of the information herein.
The information herein is preliminary and will be superseded by the Prospectus
Supplement and by any other information subsequently filed with the Securities
and Exchange Commission (SEC). All assumptions and information in this report
reflect Morgan Stanley & Co. Incorporated's judgement as of this date and are
subject to change. All analyses are based on certain assumptions noted herein
and different assumptions could yield substantially different results. You are
cautioned that there is no universally accepted method for analyzing financial
instruments. You should review the assumptions: there may be differences between
these assumptions and your actual business practices. Further, Morgan Stanley &
Co. Incorporated does not guarantee any results and there is no guarantee as to
the liquidity of the instruments involved in this analysis. The decision to
adopt any strategy remains your responsibility. Morgan Stanley & Co.
Incorporated or any of its affiliates or their officers, directors, analysts, or
employees may have positions in securities, commodities or derivative
instruments therein referred to here, and may, as principal, or agent, buy or
sell such securities, commodities, or derivative instruments. In addition,
Morgan Stanley & Co. Incorporated may make a market in the securities referred
to herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy a solicitation of an
offer to sell or buy any securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
Prospectus and, if required, Prospectus Supplement. Finally, Morgan Stanley &
Co. Incorporated has not addressed the legal, accounting, and tax implications
of the analysis with respect to you, and Morgan Stanley & Co. Incorporated
strongly urges you to seek advice from your counsel, accountant and tax advisor.
To Our Readers Worldwide: In addition, please note that this publication has
been issued by Morgan Stanley & Co. Incorporated and approved by Morgan Stanley
& Co. International Limited, a member of The Securities and Futures Authority
Limited and Morgan Stanley Japan, Ltd. We recommend that investors obtain the
advice of their Morgan Stanley & Co. International Limited or Morgan Stanley
Japan Ltd. representative about the investments concerned.
NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
<PAGE> 3
MRFC 1998-1 COLLATERAL DESCRIPTION
COLLATERAL: The collateral pool consists of fixed-rate, mortgage loans with
remaining terms to maturity of not more than 360 months. As of
January 1, 1998 (the "Cut-off Date"), the pool totaled $533,109,992.
<TABLE>
<CAPTION>
30 YEAR COLLATERAL* 15 YEAR COLLATERAL* TOTAL COLLATERAL POOL*
------------------- ------------------- ----------------------
<S> <C> <C> <C>
AGGREGATE BALANCE: $459,524,098 $73,585,894 $533,109,992
NUMBER OF LOANS: 1,467 231 1,698
AVERAGE OUTSTANDING BALANCE: $313,241 $318,554 $313,963
AVERAGE ORIGINAL BALANCE: $314,021 $323,963 $315,373
WEIGHTED AVERAGE GROSS COUPON: 7.703% 7.459% 7.669%
LATEST SCHEDULED MATURITY: January 2028 January 2013 January 2028
LOAN TYPE: 100% Fixed Rate 100% Fixed Rate 100% Fixed Rate
ORIGINAL WEIGHTED AVERAGE TERM: 359 Months 179 Months 335 Months
REMAINING WEIGHTED AVERAGE MATURITY: 357 Months 175 Months 332 Months
WEIGHTED AVERAGE SEASONING: 2 Months 4 Months 3 Months
WEIGHTED AVERAGE FICO SCORE: 733 736 733
LIEN POSITION: 100% 1st 100% 1st 100% 1st
ORIGINAL LOAN TO VALUE RATIO: 74.71% 68.59% 73.87%
PROPERTY TYPE: 98.18% Single Family, 95.27% Single Family, 97.78% Single Family,
1.70% Condo, 0.12% PUD 3.76% Condo, 0.97% PUD 1.99% Condo, 0.24% PUD
OWNER OCCUPANCY: 97.74% Owner Occupied, 98.88% Owner Occupied, 97.90% Owner Occupied,
2.26% Investor Property 1.12% Investor Property 2.10% Investor Property
GEOGRAPHIC DISTRIBUTION (> 5%): CA 35.20%, MA 8.76%, CO CA 29.78%, PA 11.69%, MA CA 34.45%, MA 8.84%, CO
7.81%, WA 6.97%, OR 9.34%, TX 8.41%, WA 7.60%, 7.25%, WA 7.05%, OR
5.78%, TX 5.25% OR 6.49% 5.88%, TX 5.68%, PA 5.50%
</TABLE>
* The description of the Collateral herein will be superceded by the description
of the collateral in the Prospectus Supplement.
The information herein has been provided solely by Morgan Stanley & Co.
Incorporated based on information with respect to the mortgage loans provided by
the sponsor. Neither the sponsor nor any of its affiliates makes any
representations as to the accuracy or completeness of the information herein.
The information herein is preliminary and will be superseded by the Prospectus
Supplement and by any other information subsequently filed with the Securities
and Exchange Commission (SEC). All assumptions and information in this report
reflect Morgan Stanley & Co. Incorporated's judgement as of this date and are
subject to change. All analyses are based on certain assumptions noted herein
and different assumptions could yield substantially different results. You are
cautioned that there is no universally accepted method for analyzing financial
instruments. You should review the assumptions: there may be differences between
these assumptions and your actual business practices. Further, Morgan Stanley &
Co. Incorporated does not guarantee any results and there is no guarantee as to
the liquidity of the instruments involved in this analysis. The decision to
adopt any strategy remains your responsibility. Morgan Stanley & Co.
Incorporated or any of its affiliates or their officers, directors, analysts, or
employees may have positions in securities, commodities or derivative
instruments therein referred to here, and may, as principal, or agent, buy or
sell such securities, commodities, or derivative instruments. In addition,
Morgan Stanley & Co. Incorporated may make a market in the securities referred
to herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy a solicitation of an
offer to sell or buy any securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
Prospectus and, if required, Prospectus Supplement. Finally, Morgan Stanley &
Co. Incorporated has not addressed the legal, accounting, and tax implications
of the analysis with respect to you, and Morgan Stanley & Co. Incorporated
strongly urges you to seek advice from your counsel, accountant and tax advisor.
To Our Readers Worldwide: In addition, please note that this publication has
been issued by Morgan Stanley & Co. Incorporated and approved by Morgan Stanley
& Co. International Limited, a member of The Securities and Futures Authority
Limited and Morgan Stanley Japan, Ltd. We recommend that investors obtain the
advice of their Morgan Stanley & Co. International Limited or Morgan Stanley
Japan Ltd. representative about the investments concerned.
NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
<PAGE> 4
30 YEAR COLLATERAL
<TABLE>
<CAPTION>
Aggregate Weighted Weighted Weighted Weighted
Number of Principal Percent of Weighted Average Average Average Average
Mortgage Balance Mortgage Average Original Remaining Current FICO
Remaining Principal Balance Loans Outstanding Pool Coupon Term Term LTV Ratio Score
--------------------------- ----- ----------- ---- ------ ---- ---- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
125,000.01-150,000.00 1 131,696.81 0.03 7.375 360.0 357.0 72.36 790.0
200,000.01-225,000.00 83 18,324,417.42 3.99 7.707 360.0 356.3 78.53 730.8
225,000.01-250,000.00 315 75,027,682.98 16.33 7.728 359.2 356.3 76.94 731.2
250,000.01-275,000.00 245 64,385,348.10 14.01 7.727 359.5 356.9 77.30 734.3
275,000.01-300,000.00 234 67,561,349.26 14.70 7.709 358.0 355.3 73.95 734.3
300,000.01-325,000.00 121 37,753,246.92 8.22 7.701 359.5 357.0 75.64 730.3
325,000.01-350,000.00 113 38,186,806.34 8.31 7.676 358.4 355.5 75.78 740.7
350,000.01-375,000.00 87 31,505,457.08 6.86 7.713 360.0 357.1 75.84 736.2
375,000.01-400,000.00 75 29,147,566.46 6.34 7.647 360.0 357.6 73.88 717.8
400,000.01-425,000.00 35 14,508,330.83 3.16 7.690 360.0 357.4 70.52 736.5
425,000.01-450,000.00 35 15,415,844.37 3.35 7.655 360.0 357.8 71.65 735.7
450,000.01-475,000.00 22 10,212,915.57 2.22 7.602 360.0 358.2 74.32 725.6
475,000.01-500,000.00 30 14,678,962.59 3.19 7.750 360.0 357.2 70.18 729.9
500,000.01-525,000.00 15 7,730,851.84 1.68 7.690 360.0 357.8 67.57 718.9
525,000.01-550,000.00 11 5,946,248.13 1.29 7.670 360.0 357.3 71.19 735.7
550,000.01-575,000.00 8 4,494,014.39 0.98 7.781 360.0 356.9 59.41 728.6
575,000.01-600,000.00 7 4,183,936.41 0.91 7.660 360.0 357.3 73.72 752.0
600,000.01-625,000.00 8 4,928,248.41 1.07 7.703 360.0 357.5 74.04 758.0
625,000.01-650,000.00 13 8,392,045.91 1.83 7.654 360.0 358.5 59.65 709.8
Greater than 650,000.00 9 7,009,127.70 1.53 7.731 360.0 357.8 64.89 740.3
--- -------------- ------ ----- ----- ----- ----- -----
Total: 1467 459,524,097.52 100.00 7.703 359.3 356.7 74.52 732.5
</TABLE>
As of the Cut Off Date the average Remaining Principal Balance was $313,240.69
<TABLE>
<CAPTION>
Aggregate Weighted Weighted Weighted Weighted
Number of Principal Percent of Weighted Average Average Average Average
Mortgage Balance Mortgage Average Original Remaining Current FICO
Original Principal Balance Loans Outstanding Pool Coupon Term Term LTV Ratio Score
--------------------------- ----- ----------- ---- ------ ---- ---- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
125,001 - 150,000 1 131,696.81 0.03 7.375 360.0 357.0 72.36 790.0
200,001 - 225,000 79 17,434,753.45 3.79 7.716 360.0 356.5 78.69 730.0
225,001 - 250,000 317 75,418,391.61 16.41 7.723 359.2 356.2 76.93 731.2
250,001 - 275,000 241 63,237,509.05 13.76 7.723 359.5 357.0 77.09 734.2
275,001 - 300,000 240 69,208,143.65 15.06 7.716 358.0 355.2 74.22 734.5
300,001 - 325,000 118 36,801,294.68 8.01 7.695 359.5 357.2 75.56 729.8
325,001 - 350,000 115 38,835,959.51 8.45 7.676 358.5 355.5 75.93 740.4
350,001 - 375,000 85 30,691,826.53 6.68 7.733 360.0 357.4 75.63 735.7
375,001 - 400,000 78 30,263,996.08 6.59 7.637 360.0 357.1 74.06 719.7
400,001 - 425,000 34 14,083,720.68 3.06 7.684 360.0 357.5 70.24 737.7
425,001 - 450,000 36 15,840,454.52 3.45 7.661 360.0 357.7 71.86 734.7
450,001 - 475,000 22 10,212,915.57 2.22 7.602 360.0 358.2 74.32 725.6
475,001 - 500,000 30 14,678,962.59 3.19 7.750 360.0 357.2 70.18 729.9
</TABLE>
The information herein has been provided solely by Morgan Stanley & Co.
Incorporated based on information with respect to the mortgage loans provided by
the sponsor. Neither the sponsor nor any of its affiliates makes any
representations as to the accuracy or completeness of the information herein.
The information herein is preliminary and will be superseded by the Prospectus
Supplement and by any other information subsequently filed with the Securities
and Exchange Commission (SEC). All assumptions and information in this report
reflect Morgan Stanley & Co. Incorporated's judgement as of this date and are
subject to change. All analyses are based on certain assumptions noted herein
and different assumptions could yield substantially different results. You are
cautioned that there is no universally accepted method for analyzing financial
instruments. You should review the assumptions: there may be differences between
these assumptions and your actual business practices. Further, Morgan Stanley &
Co. Incorporated does not guarantee any results and there is no guarantee as to
the liquidity of the instruments involved in this analysis. The decision to
adopt any strategy remains your responsibility. Morgan Stanley & Co.
Incorporated or any of its affiliates or their officers, directors, analysts, or
employees may have positions in securities, commodities or derivative
instruments therein referred to here, and may, as principal, or agent, buy or
sell such securities, commodities, or derivative instruments. In addition,
Morgan Stanley & Co. Incorporated may make a market in the securities referred
to herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy a solicitation of an
offer to sell or buy any securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
Prospectus and, if required, Prospectus Supplement. Finally, Morgan Stanley &
Co. Incorporated has not addressed the legal, accounting, and tax implications
of the analysis with respect to you, and Morgan Stanley & Co. Incorporated
strongly urges you to seek advice from your counsel, accountant and tax advisor.
To Our Readers Worldwide: In addition, please note that this publication has
been issued by Morgan Stanley & Co. Incorporated and approved by Morgan Stanley
& Co. International Limited, a member of The Securities and Futures Authority
Limited and Morgan Stanley Japan, Ltd. We recommend that investors obtain the
advice of their Morgan Stanley & Co. International Limited or Morgan Stanley
Japan Ltd. representative about the investments concerned.
NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
<PAGE> 5
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
500,001 - 525,000 15 7,730,851.84 1.68 7.690 360.0 357.8 67.57 718.9
525,001 - 550,000 11 5,946,248.13 1.29 7.670 360.0 357.3 71.19 735.7
550,001 - 575,000 8 4,494,014.39 0.98 7.781 360.0 356.9 59.41 728.6
575,001 - 600,000 7 4,183,936.41 0.91 7.660 360.0 357.3 73.72 752.0
600,001 - 625,000 8 4,928,248.41 1.07 7.703 360.0 357.5 74.04 758.0
625,001 - 650,000 13 8,392,045.91 1.83 7.654 360.0 358.5 59.65 709.8
Greater than 650,000 9 7,009,127.70 1.53 7.731 360.0 357.8 64.89 740.3
- ------------ ---- ----- ----- ----- ----- -----
Total: 1467 459,524,097.52 100.00 7.703 359.3 356.7 74.52 732.5
</TABLE>
As of the Cut Off Date the average Remaining Principal Balance was $314,020.98
<TABLE>
<CAPTION>
Aggregate Weighted Weighted Weighted Weighted
Number of Principal Percent of Weighted Average Average Average Average
Mortgage Balance Mortgage Average Original Remaining Current FICO
Mortgage Rates Loans Outstanding Pool Coupon Term Term LTV Ratio Score
-------------- ----- ----------- ---- ------ ---- ---- --------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
6.501 - 6.750 1 385,832.57 0.08 6.750 360.0 358.0 82.27 737.0
6.751 - 7.000 18 5,902,702.97 1.28 6.952 360.0 358.0 76.74 745.9
7.001 - 7.250 47 14,529,727.28 3.16 7.219 360.0 355.9 76.36 727.4
7.251 - 7.500 327 102,778,022.95 22.37 7.473 359.8 357.7 73.91 736.3
7.501 - 7.750 609 194,166,771.03 42.25 7.691 358.6 356.5 74.26 732.6
7.751 - 8.000 381 117,402,790.69 25.55 7.904 359.9 356.7 74.08 730.5
8.001 - 8.250 57 16,909,167.73 3.68 8.178 360.0 353.8 78.67 730.2
8.251 - 8.500 20 5,488,655.24 1.19 8.430 360.0 351.9 79.66 722.5
8.501 - 8.750 6 1,674,797.80 0.36 8.688 360.0 350.9 85.84 696.9
8.751 - 9.000 1 285,629.26 0.06 8.875 360.0 352.0 94.55 646.0
- ---------- ---- ----- ----- ----- ----- -----
Total: 1467 459,524,097.52 100.00 7.703 359.3 356.7 74.52 732.5
</TABLE>
As of the Cut Off Date, the weighted average Mortgage Rate was 7.703
<TABLE>
<CAPTION>
Aggregate Weighted Weighted Weighted Weighted
Number of Principal Percent of Weighted Average Average Average Average
Mortgage Balance Mortgage Average Original Remaining Current FICO
Original Loan-to-Value Ratios Loans Outstanding Pool Coupon Term Term LTV Ratio Score
- ----------------------------- ----- ----------- ---- ------ ---- ---- --------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
10.01 - 20.00 1 298,872.75 0.07 7.500 360.0 355.0 15.45 743.0
20.01 - 30.00 3 1,183,530.33 0.26 7.669 360.0 358.9 22.36 792.3
30.01 - 40.00 22 7,488,713.76 1.63 7.671 360.0 358.2 36.29 726.2
40.01 - 50.00 29 10,426,504.09 2.27 7.703 360.0 358.2 46.55 741.2
50.01 - 60.00 80 28,536,054.44 6.21 7.722 360.0 357.9 56.25 738.8
60.01 - 70.00 207 68,976,022.34 15.01 7.702 359.2 356.9 65.68 739.1
70.01 - 80.00 877 275,088,342.57 59.86 7.688 359.4 356.6 77.33 733.4
80.01 - 90.00 183 51,189,393.59 11.14 7.702 359.1 356.2 88.01 718.7
90.01 - 100.00 65 16,336,663.65 3.56 7.933 358.2 353.3 94.42 714.7
-- ------------- ---- ----- ----- ----- ----- -----
Total: 1467 459,524,097.52 100.00 7.703 359.3 356.7 74.52 732.5
</TABLE>
As of the Cut Off Date the weighted average Original LTV Ratio was 74.71
The information herein has been provided solely by Morgan Stanley & Co.
Incorporated based on information with respect to the mortgage loans provided by
the sponsor. Neither the sponsor nor any of its affiliates makes any
representations as to the accuracy or completeness of the information herein.
The information herein is preliminary and will be superseded by the Prospectus
Supplement and by any other information subsequently filed with the Securities
and Exchange Commission (SEC). All assumptions and information in this report
reflect Morgan Stanley & Co. Incorporated's judgement as of this date and are
subject to change. All analyses are based on certain assumptions noted herein
and different assumptions could yield substantially different results. You are
cautioned that there is no universally accepted method for analyzing financial
instruments. You should review the assumptions: there may be differences between
these assumptions and your actual business practices. Further, Morgan Stanley &
Co. Incorporated does not guarantee any results and there is no guarantee as to
the liquidity of the instruments involved in this analysis. The decision to
adopt any strategy remains your responsibility. Morgan Stanley & Co.
Incorporated or any of its affiliates or their officers, directors, analysts, or
employees may have positions in securities, commodities or derivative
instruments therein referred to here, and may, as principal, or agent, buy or
sell such securities, commodities, or derivative instruments. In addition,
Morgan Stanley & Co. Incorporated may make a market in the securities referred
to herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy a solicitation of an
offer to sell or buy any securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
Prospectus and, if required, Prospectus Supplement. Finally, Morgan Stanley &
Co. Incorporated has not addressed the legal, accounting, and tax implications
of the analysis with respect to you, and Morgan Stanley & Co. Incorporated
strongly urges you to seek advice from your counsel, accountant and tax advisor.
To Our Readers Worldwide: In addition, please note that this publication has
been issued by Morgan Stanley & Co. Incorporated and approved by Morgan Stanley
& Co. International Limited, a member of The Securities and Futures Authority
Limited and Morgan Stanley Japan, Ltd. We recommend that investors obtain the
advice of their Morgan Stanley & Co. International Limited or Morgan Stanley
Japan Ltd. representative about the investments concerned.
NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
<PAGE> 6
<TABLE>
<CAPTION>
Aggregate Weighted Weighted Weighted Weighted
Number of Principal Percent of Weighted Average Average Average Average
Current Mortgage Balance Mortgage Average Original Remaining Current FICO
Loan-to-Value Ratios Loans Outstanding Pool Coupon Term Term LTV Ratio Score
-------------------- ----- ----------- ---- ------ ---- ---- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
10.00 - 19.99 1 298,872.75 0.07 7.500 360.0 355.0 15.45 743.0
20.00 - 29.99 3 1,183,530.33 0.26 7.669 360.0 358.9 22.36 792.3
30.00 - 39.99 22 7,488,713.76 1.63 7.671 360.0 358.2 36.29 726.2
40.00 - 49.99 29 10,426,504.09 2.27 7.703 360.0 358.2 46.55 741.2
50.00 - 59.99 78 27,621,054.44 6.01 7.724 360.0 357.8 56.13 738.3
60.00 - 69.99 212 70,636,980.24 15.37 7.702 358.7 356.3 65.63 739.8
70.00 - 79.99 821 256,480,582.11 55.81 7.693 359.5 356.6 77.17 733.0
80.00 - 89.99 226 66,272,046.15 14.42 7.683 359.3 357.0 85.77 723.8
90.00 - 99.99 75 19,115,813.65 4.16 7.884 358.5 354.3 93.77 714.6
-- ------------- ---- ----- ----- ----- ----- -----
Total: 1467 459,524,097.52 100.00 7.703 359.3 356.7 74.52 732.5
</TABLE>
As of the Cut Off Date the weighted average Original LTV Ratio was 74.52
<TABLE>
<CAPTION>
Aggregate Weighted Weighted Weighted Weighted
Number of Principal Percent of Weighted Average Average Average Average
Distribution of Mortgage Balance Mortgage Average Original Remaining Current FICO
Loan Purpose Loans Outstanding Pool Coupon Term Term LTV Ratio Score
------------ ----- ----------- ---- ------ ---- ---- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Purchase 686 209,759,145.86 45.65 7.688 359.7 356.3 79.34 734.1
Refinance - Rate 645 207,886,156.64 45.24 7.713 359.0 357.0 71.06 732.7
Term
Refinance - Cashout 136 41,878,795.02 9.11 7.721 359.2 356.3 67.57 723.2
--- ------------- ---- ----- ----- ----- ----- -----
Total: 1467 459,524,097.52 100.00 7.703 359.3 356.7 74.52 732.5
</TABLE>
<TABLE>
<CAPTION>
Aggregate Weighted Weighted Weighted Weighted
Number of Principal Percent of Weighted Average Average Average Average
Distribution of Mortgage Balance Mortgage Average Original Remaining Current FICO
Occupancy Status Loans Outstanding Pool Coupon Term Term LTV Ratio Score
- ---------------- ----- ----------- ---- ------ ---- ---- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Primary 1432 449,133,986.23 97.74 7.700 359.3 356.7 74.47 732.3
Second Home 35 10,390,111.29 2.26 7.828 360.0 354.8 76.79 740.3
-- ------------- ---- ----- ----- ----- ----- -----
Total: 1467 459,524,097.52 100.00 7.703 359.3 356.7 74.52 732.5
</TABLE>
<TABLE>
<CAPTION>
Aggregate Weighted Weighted Weighted Weighted
Number of Principal Percent of Weighted Average Average Average Average
Distribution of Mortgage Balance Mortgage Average Original Remaining Current FICO
Property Types Loans Outstanding Pool Coupon Term Term LTV Ratio Score
-------------- ----- ----------- ---- ------ ---- ---- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Single Family 1439 451,156,432.26 98.18 7.701 359.3 356.6 74.50 732.6
Detached
Condo 26 7,817,466.96 1.70 7.809 360.0 357.7 75.50 732.1
PUD 2 550,198.30 0.12 7.875 360.0 349.5 75.74 696.0
- ---------- ---- ----- ----- ----- ----- -----
Total: 1467 459,524,097.52 100.00 7.703 359.3 356.7 74.52 732.5
</TABLE>
The information herein has been provided solely by Morgan Stanley & Co.
Incorporated based on information with respect to the mortgage loans provided by
the sponsor. Neither the sponsor nor any of its affiliates makes any
representations as to the accuracy or completeness of the information herein.
The information herein is preliminary and will be superseded by the Prospectus
Supplement and by any other information subsequently filed with the Securities
and Exchange Commission (SEC). All assumptions and information in this report
reflect Morgan Stanley & Co. Incorporated's judgement as of this date and are
subject to change. All analyses are based on certain assumptions noted herein
and different assumptions could yield substantially different results. You are
cautioned that there is no universally accepted method for analyzing financial
instruments. You should review the assumptions: there may be differences between
these assumptions and your actual business practices. Further, Morgan Stanley &
Co. Incorporated does not guarantee any results and there is no guarantee as to
the liquidity of the instruments involved in this analysis. The decision to
adopt any strategy remains your responsibility. Morgan Stanley & Co.
Incorporated or any of its affiliates or their officers, directors, analysts, or
employees may have positions in securities, commodities or derivative
instruments therein referred to here, and may, as principal, or agent, buy or
sell such securities, commodities, or derivative instruments. In addition,
Morgan Stanley & Co. Incorporated may make a market in the securities referred
to herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy a solicitation of an
offer to sell or buy any securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
Prospectus and, if required, Prospectus Supplement. Finally, Morgan Stanley &
Co. Incorporated has not addressed the legal, accounting, and tax implications
of the analysis with respect to you, and Morgan Stanley & Co. Incorporated
strongly urges you to seek advice from your counsel, accountant and tax advisor.
To Our Readers Worldwide: In addition, please note that this publication has
been issued by Morgan Stanley & Co. Incorporated and approved by Morgan Stanley
& Co. International Limited, a member of The Securities and Futures Authority
Limited and Morgan Stanley Japan, Ltd. We recommend that investors obtain the
advice of their Morgan Stanley & Co. International Limited or Morgan Stanley
Japan Ltd. representative about the investments concerned.
NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
<PAGE> 7
<TABLE>
<CAPTION>
Aggregate Weighted Weighted Weighted Weighted
Number of Principal Percent of Weighted Average Average Average Average
Mortgage Balance Mortgage Average Original Remaining Current FICO
Loan Documentation Loans Outstanding Pool Coupon Term Term LTV Ratio Score
- ------------------ ----- ----------- ---- ------ ---- ---- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Full Documentation 1077 340,933,806.41 74.19 7.700 359.4 356.9 74.62 733.6
Alternative-Full 369 110,799,877.72 24.11 7.704 359.0 356.0 75.29 729.0
Documentation
No Income 21 7,790,413.39 1.70 7.810 360.0 356.6 59.31 733.0
-- ------------ ---- ----- ----- ----- ----- -----
Verification
Total: 1467 459,524,097.52 100.00 7.703 359.3 356.7 74.52 732.5
</TABLE>
<TABLE>
<CAPTION>
Aggregate Weighted Weighted Weighted Weighted
Number of Principal Percent of Weighted Average Average Average Average
Mortgage Balance Mortgage Average Original Remaining Current FICO
Top 10 States Loans Outstanding Pool Coupon Term Term LTV Ratio Score
------------- ----- ----------- ---- ------ ---- ---- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
California 485 161,750,513.27 35.20 7.723 360.0 358.2 71.50 740.3
Massachusetts 137 40,239,500.40 8.76 7.683 358.8 356.6 75.31 734.9
Colorado 117 35,899,727.68 7.81 7.725 359.5 356.4 72.54 725.2
Washington 113 32,012,508.32 6.97 7.636 357.9 355.0 78.01 725.7
Oregon 92 26,574,148.85 5.78 7.700 360.0 355.9 77.26 736.9
Texas 76 24,114,019.61 5.25 7.753 360.0 356.3 77.31 722.5
Pennsylvania 68 20,719,972.65 4.51 7.679 356.9 353.5 76.20 721.7
Maryland 58 16,886,195.33 3.67 7.620 358.8 353.6 76.48 729.3
New Jersey 45 14,007,275.93 3.05 7.731 358.6 355.4 76.42 727.9
Arizona 35 10,791,699.57 2.35 7.668 357.3 354.9 77.21 729.3
Other 241 76,528,535.91 16.65 7.697 359.5 356.5 76.53 727.5
--- ------------- ----- ----- ----- ----- ----- -----
Total: 1467 459,524,097.52 100.00 7.703 359.3 356.7 74.52 732.5
</TABLE>
<TABLE>
<CAPTION>
Aggregate Weighted Weighted Weighted Weighted
Number of Principal Percent of Weighted Average Average Average Average
Mortgage Balance Mortgage Average Original Remaining Current FICO
FICO Score Loans Outstanding Pool Coupon Term Term LTV Ratio Score
---------- ----- ----------- ---- ------ ---- ---- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Not Available 5 1,395,305.90 0.30 7.738 360.0 358.8 79.77 0.0
551 - 575 1 282,148.61 0.06 7.750 360.0 351.0 77.30 553.0
576 - 600 1 500,673.07 0.11 8.125 360.0 356.0 64.19 591.0
601 - 625 23 6,736,663.54 1.47 7.766 360.0 356.6 78.62 621.1
626 - 650 64 19,499,033.91 4.24 7.748 360.0 356.7 75.28 638.4
651 - 675 78 25,282,874.42 5.50 7.734 360.0 357.1 75.71 663.6
676 - 700 166 53,017,576.02 11.54 7.731 358.3 355.4 77.33 688.8
701 - 725 199 62,287,243.38 13.55 7.684 357.4 354.9 74.67 713.1
726 - 750 312 95,418,393.60 20.76 7.710 359.8 357.2 75.12 738.5
751 - 775 416 133,280,266.00 29.00 7.682 359.7 357.2 73.72 762.4
776 - 800 182 56,179,049.26 12.23 7.686 360.0 357.5 71.54 785.7
801 - 825 20 5,644,869.81 1.23 7.728 360.0 356.6 71.76 806.9
Total: 1467 459,524,097.52 100.00 7.703 359.3 356.7 74.52 732.5
</TABLE>
As of the Cut Off Date the non zero weighted average FICO Score was 732.5
The information herein has been provided solely by Morgan Stanley & Co.
Incorporated based on information with respect to the mortgage loans provided by
the sponsor. Neither the sponsor nor any of its affiliates makes any
representations as to the accuracy or completeness of the information herein.
The information herein is preliminary and will be superseded by the Prospectus
Supplement and by any other information subsequently filed with the Securities
and Exchange Commission (SEC). All assumptions and information in this report
reflect Morgan Stanley & Co. Incorporated's judgement as of this date and are
subject to change. All analyses are based on certain assumptions noted herein
and different assumptions could yield substantially different results. You are
cautioned that there is no universally accepted method for analyzing financial
instruments. You should review the assumptions: there may be differences between
these assumptions and your actual business practices. Further, Morgan Stanley &
Co. Incorporated does not guarantee any results and there is no guarantee as to
the liquidity of the instruments involved in this analysis. The decision to
adopt any strategy remains your responsibility. Morgan Stanley & Co.
Incorporated or any of its affiliates or their officers, directors, analysts, or
employees may have positions in securities, commodities or derivative
instruments therein referred to here, and may, as principal, or agent, buy or
sell such securities, commodities, or derivative instruments. In addition,
Morgan Stanley & Co. Incorporated may make a market in the securities referred
to herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy a solicitation of an
offer to sell or buy any securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
Prospectus and, if required, Prospectus Supplement. Finally, Morgan Stanley &
Co. Incorporated has not addressed the legal, accounting, and tax implications
of the analysis with respect to you, and Morgan Stanley & Co. Incorporated
strongly urges you to seek advice from your counsel, accountant and tax advisor.
To Our Readers Worldwide: In addition, please note that this publication has
been issued by Morgan Stanley & Co. Incorporated and approved by Morgan Stanley
& Co. International Limited, a member of The Securities and Futures Authority
Limited and Morgan Stanley Japan, Ltd. We recommend that investors obtain the
advice of their Morgan Stanley & Co. International Limited or Morgan Stanley
Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION
TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE> 8
<TABLE>
<CAPTION>
15 YEAR COLLATERAL
Aggregate Weighted Weighted Weighted Weighted
Number of Principal Percent of Weighted Average Average Average Average
Remaining Mortgage Balance Mortgage Average Original Remaining Current FICO
Principal Balance Loans Outstanding Pool Coupon Term Term LTV Ratio Score
- ----------------- --------- ----------- ---------- -------- -------- --------- --------- -- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
200,000.01 - 225,000.00 13 2,844,257.27 3.87 7.527 180.0 174.7 64.48 728.4
225,000.01 - 250,000.00 45 10,740,842.50 14.60 7.516 178.1 174.0 68.85 742.8
250,000.01 - 275,000.00 40 10,533,642.23 14.31 7.418 180.0 175.8 69.93 747.6
275,000.01 - 300,000.00 34 9,716,542.97 13.20 7.471 180.0 175.1 67.19 739.7
300,000.01 - 325,000.00 22 6,829,641.57 9.28 7.539 180.0 176.0 66.81 744.2
325,000.01 - 350,000.00 25 8,459,804.59 11.50 7.335 180.0 174.6 70.07 718.9
350,000.01 - 375,000.00 5 1,811,108.05 2.46 7.570 180.0 173.6 61.16 726.2
375,000.01 - 400,000.00 13 5,068,012.57 6.89 7.441 175.5 172.0 63.82 739.7
400,000.01 - 425,000.00 7 2,885,962.47 3.92 7.499 180.0 177.6 70.40 733.7
425,000.01 - 450,000.00 5 2,193,238.65 2.98 7.425 180.0 177.0 67.82 730.8
450,000.01 - 475,000.00 3 1,395,097.10 1.90 7.418 180.0 176.7 65.03 748.8
475,000.01 - 500,000.00 5 2,449,902.99 3.33 7.527 180.0 176.6 58.16 686.5
500,000.01 - 525,000.00 1 503,000.00 0.68 7.625 180.0 180.0 67.07 741.0
525,000.01 - 550,000.00 4 2,137,009.71 2.90 7.312 180.0 178.5 71.97 748.0
550,000.01 - 575,000.00 1 575,000.00 0.78 7.625 180.0 180.0 71.43 763.0
575,000.01 - 600,000.00 3 1,768,529.07 2.40 7.250 180.0 176.0 68.72 751.0
600,000.01 - 625,000.00 1 615,208.26 0.84 7.375 180.0 178.0 72.38 744.0
625,000.01 - 650,000.00 2 1,278,015.28 1.74 7.375 180.0 179.5 68.15 679.9
Greater than 650,000.00 2 1,781,078.75 2.42 7.682 180.0 175.9 57.47 744.8
--- ------------- ------ ----- ----- ----- ----- -----
Total: 231 73,585,894.03 100.00 7.459 179.4 175.3 67.47 736.3
</TABLE>
As of the Cut Off Date the average Remaining Principal Balance was $318,553.65
<TABLE>
<CAPTION>
Aggregate Weighted Weighted Weighted Weighted
Number of Principal Percent of Weighted Average Average Average Average
Original Mortgage Balance Mortgage Average Original Remaining Current FICO
Principal Balance Loans Outstanding Pool Coupon Term Term LTV Ratio Score
- ----------------- ----- ----------- ---- ------ ---- ---- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
200,001 - 225,000 9 1,959,335.80 2.66 7.582 180.0 176.2 64.74 723.6
225,001 - 250,000 45 10,672,149.56 14.50 7.499 178.1 174.1 69.30 743.3
250,001 - 275,000 37 9,645,744.63 13.11 7.430 180.0 176.2 68.90 748.3
275,001 - 300,000 39 11,022,546.93 14.98 7.474 180.0 174.5 68.10 741.9
300,001 - 325,000 21 6,410,766.82 8.71 7.480 180.0 177.0 66.18 738.2
325,001 - 350,000 23 7,698,411.53 10.46 7.378 180.0 174.7 68.81 725.3
350,001 - 375,000 9 3,158,672.18 4.29 7.525 180.0 173.6 67.47 708.6
375,001 - 400,000 12 4,646,039.78 6.31 7.406 175.0 170.6 64.83 740.1
400,001 - 425,000 9 3,676,146.99 5.00 7.512 180.0 176.6 67.73 739.5
425,001 - 450,000 5 2,193,238.65 2.98 7.425 180.0 177.0 67.82 730.8
450,001 - 475,000 3 1,395,097.10 1.90 7.418 180.0 176.7 65.03 748.8
475,001 - 500,000 4 1,959,140.47 2.66 7.440 180.0 179.0 55.78 683.6
500,001 - 525,000 1 503,000.00 0.68 7.625 180.0 180.0 67.07 741.0
525,001 - 550,000 5 2,627,772.23 3.57 7.417 180.0 176.4 71.17 738.7
</TABLE>
The information herein has been provided solely by Morgan Stanley & Co.
Incorporated based on information with respect to the mortgage loans provided by
the sponsor. Neither the sponsor nor any of its affiliates makes any
representations as to the accuracy or completeness of the information herein.
The information herein is preliminary and will be superseded by the Prospectus
Supplement and by any other information subsequently filed with the Securities
and Exchange Commission (SEC). All assumptions and information in this report
reflect Morgan Stanley & Co. Incorporated's judgement as of this date and are
subject to change. All analyses are based on certain assumptions noted herein
and different assumptions could yield substantially different results. You are
cautioned that there is no universally accepted method for analyzing financial
instruments. You should review the assumptions: there may be differences between
these assumptions and your actual business practices. Further, Morgan Stanley &
Co. Incorporated does not guarantee any results and there is no guarantee as to
the liquidity of the instruments involved in this analysis. The decision to
adopt any strategy remains your responsibility. Morgan Stanley & Co.
Incorporated or any of its affiliates or their officers, directors, analysts, or
employees may have positions in securities, commodities or derivative
instruments therein referred to here, and may, as principal, or agent, buy or
sell such securities, commodities, or derivative instruments. In addition,
Morgan Stanley & Co. Incorporated may make a market in the securities referred
to herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy a solicitation of an
offer to sell or buy any securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
Prospectus and, if required, Prospectus Supplement. Finally, Morgan Stanley &
Co. Incorporated has not addressed the legal, accounting, and tax implications
of the analysis with respect to you, and Morgan Stanley & Co. Incorporated
strongly urges you to seek advice from your counsel, accountant and tax advisor.
To Our Readers Worldwide: In addition, please note that this publication has
been issued by Morgan Stanley & Co. Incorporated and approved by Morgan Stanley
& Co. International Limited, a member of The Securities and Futures Authority
Limited and Morgan Stanley Japan, Ltd. We recommend that investors obtain the
advice of their Morgan Stanley & Co. International Limited or Morgan Stanley
Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION
TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE> 9
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
550,001 - 575,000 1 575,000.00 0.78 7.625 180.0 180.0 71.43 763.0
575,001 - 600,000 3 1,768,529.07 2.40 7.250 180.0 176.0 68.72 751.0
600,001 - 625,000 1 615,208.26 0.84 7.375 180.0 178.0 72.38 744.0
625,001 - 650,000 2 1,278,015.28 1.74 7.375 180.0 179.5 68.15 679.9
Greater than 650,000 2 1,781,078.75 2.42 7.682 180.0 175.9 57.47 744.8
- ------------ ---- ----- ----- ----- ----- -----
Total: 231 73,585,894.03 100.00 7.459 179.4 175.3 67.47 736.3
</TABLE>
As of the Cut Off Date the average Remaining Principal Balance was $323,962.55
<TABLE>
<CAPTION>
Aggregate Weighted Weighted Weighted Weighted
Number of Principal Percent of Weighted Average Average Average Average
Mortgage Balance Mortgage Average Original Remaining Current FICO
Mortgage Rates Loans Outstanding Pool Coupon Term Term LTV Ratio Score
-------------- ----- ----------- ---- ------ ---- ---- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
6.501 - 6.750 2 599,027.80 0.81 6.750 180.0 177.3 67.87 730.0
6.751 - 7.000 17 5,369,780.23 7.30 6.945 180.0 175.8 67.84 737.0
7.001 - 7.250 49 15,264,634.25 20.74 7.217 180.0 175.9 70.66 742.9
7.251 - 7.500 79 25,742,203.99 34.98 7.433 179.8 176.4 66.00 740.9
7.501 - 7.750 63 20,544,222.56 27.92 7.654 178.9 175.0 66.94 730.8
7.751 - 8.000 11 3,261,236.82 4.43 7.903 175.6 167.3 69.74 710.9
8.001 - 8.250 9 2,486,170.65 3.38 8.182 180.0 173.1 64.43 729.4
8.251 - 8.500 1 318,617.73 0.43 8.375 180.0 173.0 61.27 704.0
- ---------- ---- ----- ----- ----- ----- -----
Total: 231 73,585,894.03 100.00 7.459 179.4 175.3 67.47 736.3
</TABLE>
As of the Cut Off Date, the weighted average Mortgage Rate was 7.459
<TABLE>
<CAPTION>
Aggregate Weighted Weighted Weighted Weighted
Original Number of Principal Percent of Weighted Average Average Average Average
Loan-to-Value Mortgage Balance Mortgage Average Original Remaining Current FICO
Ratios Loans Outstanding Pool Coupon Term Term LTV Ratio Score
------ ----- ----------- ---- ------ ---- ---- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
10.01 - 20.00 1 394,000.00 0.54 7.375 180.0 180.0 18.76 783.0
20.01 - 30.00 2 668,298.56 0.91 7.515 180.0 176.8 27.46 717.8
30.01 - 40.00 6 1,701,360.93 2.31 7.446 166.5 162.4 34.56 759.2
40.01 - 50.00 13 4,131,808.31 5.61 7.540 180.0 176.2 45.48 745.1
50.01 - 60.00 26 9,506,668.09 12.92 7.430 180.0 176.0 55.70 727.5
60.01 - 70.00 57 18,151,656.09 24.67 7.452 179.7 176.2 65.00 745.1
70.01 - 80.00 113 35,270,655.94 47.93 7.477 179.6 175.5 75.12 731.2
80.01 - 90.00 7 2,136,643.95 2.90 7.237 180.0 175.0 86.65 734.0
90.01 - 100.00 6 1,624,802.16 2.21 7.410 180.0 168.1 91.35 750.6
- ------------ ---- ----- ----- ----- ----- -----
Total: 231 73,585,894.03 100.00 7.459 179.4 175.3 67.47 736.3
</TABLE>
As of the Cut Off Date the weighted average Original LTV Ratio was 68.59
The information herein has been provided solely by Morgan Stanley & Co.
Incorporated based on information with respect to the mortgage loans provided by
the sponsor. Neither the sponsor nor any of its affiliates makes any
representations as to the accuracy or completeness of the information herein.
The information herein is preliminary and will be superseded by the Prospectus
Supplement and by any other information subsequently filed with the Securities
and Exchange Commission (SEC). All assumptions and information in this report
reflect Morgan Stanley & Co. Incorporated's judgement as of this date and are
subject to change. All analyses are based on certain assumptions noted herein
and different assumptions could yield substantially different results. You are
cautioned that there is no universally accepted method for analyzing financial
instruments. You should review the assumptions: there may be differences between
these assumptions and your actual business practices. Further, Morgan Stanley &
Co. Incorporated does not guarantee any results and there is no guarantee as to
the liquidity of the instruments involved in this analysis. The decision to
adopt any strategy remains your responsibility. Morgan Stanley & Co.
Incorporated or any of its affiliates or their officers, directors, analysts, or
employees may have positions in securities, commodities or derivative
instruments therein referred to here, and may, as principal, or agent, buy or
sell such securities, commodities, or derivative instruments. In addition,
Morgan Stanley & Co. Incorporated may make a market in the securities referred
to herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy a solicitation of an
offer to sell or buy any securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
Prospectus and, if required, Prospectus Supplement. Finally, Morgan Stanley &
Co. Incorporated has not addressed the legal, accounting, and tax implications
of the analysis with respect to you, and Morgan Stanley & Co. Incorporated
strongly urges you to seek advice from your counsel, accountant and tax advisor.
To Our Readers Worldwide: In addition, please note that this publication has
been issued by Morgan Stanley & Co. Incorporated and approved by Morgan Stanley
& Co. International Limited, a member of The Securities and Futures Authority
Limited and Morgan Stanley Japan, Ltd. We recommend that investors obtain the
advice of their Morgan Stanley & Co. International Limited or Morgan Stanley
Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION
TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE> 10
<TABLE>
<CAPTION>
Aggregate Weighted Weighted Weighted Weighted
Current Number of Principal Percent of Weighted Average Average Average Average
Loan-to-Value Mortgage Balance Mortgage Average Original Remaining Current FICO
Ratios Loans Outstanding Pool Coupon Term Term LTV Ratio Score
------ ----- ----------- ---- ------ ---- ---- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
10.00 - 19.99 1 394,000.00 0.54 7.375 180.0 180.0 18.76 783.0
20.00 - 29.99 2 668,298.56 0.91 7.515 180.0 176.8 27.46 717.8
30.00 - 39.99 7 1,944,466.45 2.64 7.468 168.2 163.5 35.22 758.9
40.00 - 49.99 12 3,853,848.55 5.24 7.520 180.0 175.3 45.73 744.1
50.00 - 59.99 29 10,286,520.35 13.98 7.439 180.0 176.3 55.72 731.0
60.00 - 69.99 63 20,207,013.80 27.46 7.470 179.7 175.3 65.80 744.6
70.00 - 79.99 101 31,466,300.21 42.76 7.464 179.5 176.0 75.57 731.1
80.00 - 89.99 11 3,483,012.42 4.73 7.318 180.0 174.5 84.77 724.2
90.00 - 99.99 5 1,282,433.69 1.74 7.486 180.0 171.6 92.50 745.2
- ------------ ---- ----- ----- ----- ----- -----
Total: 231 73,585,894.03 100.00 7.459 179.4 175.3 67.47 736.3
</TABLE>
As of the Cut Off Date the weighted average Original LTV Ratio was 67.47
<TABLE>
<CAPTION>
Aggregate Weighted Weighted Weighted Weighted
Number of Principal Percent of Weighted Average Average Average Average
Distribution of Mortgage Balance Mortgage Average Original Remaining Current FICO
Loan Purpose Loans Outstanding Pool Coupon Term Term LTV Ratio Score
------------ ----- ----------- ---- ------ ---- ---- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Refinance - Rate 129 43,202,130.11 58.71 7.453 179.0 176.0 65.36 735.7
Term
Purchase 73 22,185,058.73 30.15 7.455 180.0 173.8 72.56 738.1
Refinance - Cashout 29 8,198,705.19 11.14 7.502 180.0 176.1 64.85 734.2
-- ------------ ----- ----- ----- ----- ----- -----
Total: 231 73,585,894.03 100.00 7.459 179.4 175.3 67.47 736.3
</TABLE>
<TABLE>
<CAPTION>
Aggregate Weighted Weighted Weighted Weighted
Number of Principal Percent of Weighted Average Average Average Average
Distribution of Mortgage Balance Mortgage Average Original Remaining Current FICO
Occupancy Status Loans Outstanding Pool Coupon Term Term LTV Ratio Score
- ---------------- ----- ----------- ---- ------ ---- ---- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Primary 228 72,761,757.14 98.88 7.456 179.4 175.3 67.40 736.2
Second Home 3 824,136.89 1.12 7.668 180.0 178.8 73.63 741.8
- ---------- ---- ----- ----- ----- ----- -----
Total: 231 73,585,894.03 100.00 7.459 179.4 175.3 67.47 736.3
</TABLE>
<TABLE>
<CAPTION>
Aggregate Weighted Weighted Weighted Weighted
Number of Principal Percent of Weighted Average Average Average Average
Distribution of Mortgage Balance Mortgage Average Original Remaining Current FICO
Property Types Loans Outstanding Pool Coupon Term Term LTV Ratio Score
-------------- ----- ----------- ---- ------ ---- ---- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Single Family 219 70,106,096.57 95.27 7.455 179.4 175.4 67.29 736.4
Detached
Condo 10 2,766,012.71 3.76 7.512 180.0 176.9 71.29 742.9
PUD 2 713,784.75 0.97 7.641 180.0 167.3 70.57 697.4
- ---------- ---- ----- ----- ----- ----- -----
Total: 231 73,585,894.03 100.00 7.459 179.4 175.3 67.47 736.3
</TABLE>
The information herein has been provided solely by Morgan Stanley & Co.
Incorporated based on information with respect to the mortgage loans provided by
the sponsor. Neither the sponsor nor any of its affiliates makes any
representations as to the accuracy or completeness of the information herein.
The information herein is preliminary and will be superseded by the Prospectus
Supplement and by any other information subsequently filed with the Securities
and Exchange Commission (SEC). All assumptions and information in this report
reflect Morgan Stanley & Co. Incorporated's judgement as of this date and are
subject to change. All analyses are based on certain assumptions noted herein
and different assumptions could yield substantially different results. You are
cautioned that there is no universally accepted method for analyzing financial
instruments. You should review the assumptions: there may be differences between
these assumptions and your actual business practices. Further, Morgan Stanley &
Co. Incorporated does not guarantee any results and there is no guarantee as to
the liquidity of the instruments involved in this analysis. The decision to
adopt any strategy remains your responsibility. Morgan Stanley & Co.
Incorporated or any of its affiliates or their officers, directors, analysts, or
employees may have positions in securities, commodities or derivative
instruments therein referred to here, and may, as principal, or agent, buy or
sell such securities, commodities, or derivative instruments. In addition,
Morgan Stanley & Co. Incorporated may make a market in the securities referred
to herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy a solicitation of an
offer to sell or buy any securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
Prospectus and, if required, Prospectus Supplement. Finally, Morgan Stanley &
Co. Incorporated has not addressed the legal, accounting, and tax implications
of the analysis with respect to you, and Morgan Stanley & Co. Incorporated
strongly urges you to seek advice from your counsel, accountant and tax advisor.
To Our Readers Worldwide: In addition, please note that this publication has
been issued by Morgan Stanley & Co. Incorporated and approved by Morgan Stanley
& Co. International Limited, a member of The Securities and Futures Authority
Limited and Morgan Stanley Japan, Ltd. We recommend that investors obtain the
advice of their Morgan Stanley & Co. International Limited or Morgan Stanley
Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION
TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE> 11
<TABLE>
<CAPTION>
Aggregate Weighted Weighted Weighted Weighted
Number of Principal Percent of Weighted Average Average Average Average
Mortgage Balance Mortgage Average Original Remaining Current FICO
Loan Documentation Loans Outstanding Pool Coupon Term Term LTV Ratio Score
- ------------------ ----- ----------- ---- ------ ---- ---- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Full Documentation 160 50,874,089.92 69.14 7.459 179.7 175.9 67.17 737.5
Alternative-Full 61 19,222,737.73 26.12 7.449 179.7 175.2 70.93 733.3
Documentation
No Income 10 3,489,066.38 4.74 7.509 173.4 168.1 52.84 733.6
Verification -- ------------ ---- ----- ----- ----- ----- -----
Total: 231 73,585,894.03 100.00 7.459 179.4 175.3 67.47 736.3
</TABLE>
<TABLE>
<CAPTION>
Aggregate Weighted Weighted Weighted Weighted
Number of Principal Percent of Weighted Average Average Average Average
Mortgage Balance Mortgage Average Original Remaining Current FICO
Top 10 States Loans Outstanding Pool Coupon Term Term LTV Ratio Score
------------- ----- ----------- ---- ------ ---- ---- --------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
California 67 21,917,219.02 29.78 7.460 178.9 176.8 65.94 751.0
Pennsylvania 27 8,602,408.15 11.69 7.449 177.6 172.7 65.12 727.3
Massachusetts 22 6,872,707.24 9.34 7.446 180.0 178.0 68.56 731.5
Texas 16 6,188,892.43 8.41 7.414 180.0 174.8 68.95 739.6
Washington 20 5,593,426.68 7.60 7.387 180.0 174.8 68.37 727.2
Oregon 15 4,778,401.06 6.49 7.497 180.0 174.9 70.90 723.7
Colorado 10 2,772,439.26 3.77 7.479 180.0 173.2 64.28 722.3
Missouri 7 2,417,199.31 3.28 7.500 180.0 175.9 73.11 759.2
New Jersey 8 2,187,380.88 2.97 7.575 180.0 175.5 72.06 701.6
Arizona 6 1,862,107.03 2.53 7.480 180.0 176.7 67.14 738.7
Other 33 10,393,712.97 14.12 7.478 180.0 173.7 67.62 729.5
-- ------------- ----- ----- ----- ----- ----- -----
Total: 231 73,585,894.03 100.00 7.459 179.4 175.3 67.47 736.3
</TABLE>
<TABLE>
<CAPTION>
Aggregate Weighted Weighted Weighted Weighted
Number of Principal Percent of Weighted Average Average Average Average
Mortgage Balance Mortgage Average Original Remaining Current FICO
FICO Score Loans Outstanding Pool Coupon Term Term LTV Ratio Score
---------- ----- ----------- ---- ------ ---- ---- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
601 - 625 3 886,408.59 1.20 7.513 180.0 177.0 76.59 616.2
626 - 650 11 4,233,487.07 5.75 7.491 180.0 177.4 71.00 641.9
651 - 675 6 1,806,956.08 2.46 7.679 180.0 174.1 60.40 662.7
676 - 700 26 8,042,549.07 10.93 7.450 178.2 173.2 66.89 689.1
701 - 725 30 9,063,308.51 12.32 7.503 180.0 175.8 71.11 714.5
726 - 750 50 17,207,455.90 23.38 7.491 180.0 177.0 67.43 738.2
751 - 775 55 17,172,878.12 23.34 7.372 178.7 174.5 65.88 762.7
776 - 800 50 15,172,850.69 20.62 7.460 179.6 174.8 66.78 784.2
-- ------------- ----- ----- ----- ----- ----- -----
Total: 231 73,585,894.03 100.00 7.459 179.4 175.3 67.47 736.3
</TABLE>
As of the Cut Off Date the non zero weighted average FICO Score was 736.3
The information herein has been provided solely by Morgan Stanley & Co.
Incorporated based on information with respect to the mortgage loans provided by
the sponsor. Neither the sponsor nor any of its affiliates makes any
representations as to the accuracy or completeness of the information herein.
The information herein is preliminary and will be superseded by the Prospectus
Supplement and by any other information subsequently filed with the Securities
and Exchange Commission (SEC). All assumptions and information in this report
reflect Morgan Stanley & Co. Incorporated's judgement as of this date and are
subject to change. All analyses are based on certain assumptions noted herein
and different assumptions could yield substantially different results. You are
cautioned that there is no universally accepted method for analyzing financial
instruments. You should review the assumptions: there may be differences between
these assumptions and your actual business practices. Further, Morgan Stanley &
Co. Incorporated does not guarantee any results and there is no guarantee as to
the liquidity of the instruments involved in this analysis. The decision to
adopt any strategy remains your responsibility. Morgan Stanley & Co.
Incorporated or any of its affiliates or their officers, directors, analysts, or
employees may have positions in securities, commodities or derivative
instruments therein referred to here, and may, as principal, or agent, buy or
sell such securities, commodities, or derivative instruments. In addition,
Morgan Stanley & Co. Incorporated may make a market in the securities referred
to herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy a solicitation of an
offer to sell or buy any securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
Prospectus and, if required, Prospectus Supplement. Finally, Morgan Stanley &
Co. Incorporated has not addressed the legal, accounting, and tax implications
of the analysis with respect to you, and Morgan Stanley & Co. Incorporated
strongly urges you to seek advice from your counsel, accountant and tax advisor.
To Our Readers Worldwide: In addition, please note that this publication has
been issued by Morgan Stanley & Co. Incorporated and approved by Morgan Stanley
& Co. International Limited, a member of The Securities and Futures Authority
Limited and Morgan Stanley Japan, Ltd. We recommend that investors obtain the
advice of their Morgan Stanley & Co. International Limited 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.
