SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW 1 - 243 1 - 199 1 - 166 ---------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 37 - 201 40 - 163 42 - 135 ---------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 37 - 184 38 - 149 39 - 123 ---------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 37 - 159 37 - 128 38 - 105 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 37 - 123 37 - 98 37 - 80 ----------------------------------------------------------------------------------------
Appears in 1 contract
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- ------------------------------------------------------------------------------ Page 13 CPR SENSITIVITY TO 14 Weighted Average Life Sensitivity To MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A ---------------------------------------------------------------------------------------------------------------------------------- PPC (%) 50 60 75 100 125 150 175 ---------------------------------------------------------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (yrs) 5.76 4.95 4.05 3.06 2.37 1.85 1.38 First Payment Date 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 Expected Final Maturity 6/25/2031 9/25/2029 7/25/2026 9/25/2021 2/25/2018 7/25/2015 8/25/2013 Window 1 - 243 328 1 - 199 307 1 - 166 ---------------------------------------------------------------------------------------- 269 1 - 211 1 - 168 1 - 137 1 - 114 ---------------------------------------------------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 11.05 9.49 7.73 5.88 5.00 4.76 5.40 First Payment Date 2/25/2009 5/25/2008 7/25/2007 5/25/2007 8/25/2007 11/25/2007 5/25/2008 Expected Final Maturity 10/25/2028 6/25/2026 12/25/2022 8/25/2018 8/25/2015 6/25/2013 11/25/2011 Window 60 - 296 51 - 268 41 - 226 39 - 174 42 - 138 45 - 112 51 - 93 ---------------------------------------------------------------------------------------------------------------------------------- M-2 WAL 10.97 9.40 7.65 5.79 4.81 4.33 4.21 First Payment Date 2/25/2009 5/25/2008 7/25/2007 4/25/2007 5/25/2007 7/25/2007 9/25/2007 Expected Final Maturity 4/25/2027 10/25/2024 5/25/2021 4/25/2017 7/25/2014 8/25/2012 3/25/2011 Window 60 - 278 51 - 248 41 - 207 38 - 158 39 - 125 41 - 102 43 - 85 ---------------------------------------------------------------------------------------------------------------------------------- M-3 WAL 10.85 9.29 7.55 5.70 4.70 4.14 3.89 First Payment Date 2/25/2009 5/25/2008 7/25/2007 3/25/2007 5/25/2007 6/25/2007 7/25/2007 Expected Final Maturity 10/25/2024 4/25/2022 2/25/2019 7/25/2015 2/25/2013 6/25/2011 3/25/2010 Window 60 - 248 51 - 218 41 - 180 37 - 201 137 39 - 108 40 - 163 42 88 41 - 135 ---------------------------------------------------------------------------------------- M-2 73 ---------------------------------------------------------------------------------------------------------------------------------- B-1 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 10.74 9.18 7.46 5.63 4.61 4.06 3.77 First Payment Date 2/25/2009 5/25/2008 7/25/2007 3/25/2007 4/25/2007 5/25/2007 6/25/2007 Expected Final Maturity 11/25/2023 5/25/2021 4/25/2018 11/25/2014 8/25/2012 1/25/2011 11/25/2009 Window 60 - 237 51 - 207 41 - 170 37 - 184 129 38 - 149 102 39 - 123 ---------------------------------------------------------------------------------------- B-1 83 40 - 69 ---------------------------------------------------------------------------------------------------------------------------------- B-2 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 10.54 8.99 7.30 5.50 4.51 3.94 3.63 First Payment Date 2/25/2009 5/25/2008 7/25/2007 3/25/2007 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 4/25/2022 11/25/2019 1/25/2017 11/25/2013 10/25/2011 5/25/2010 4/25/2009 Window 60 - 218 51 - 189 41 - 155 37 - 159 117 37 - 128 92 38 - 105 ---------------------------------------------------------------------------------------- B-2 75 39 - 62 ---------------------------------------------------------------------------------------------------------------------------------- B-3 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 10.18 8.67 7.02 5.29 4.32 3.79 3.46 First Payment Date 2/25/2009 5/25/2008 7/25/2007 3/25/2007 3/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 5/25/2020 2/25/2018 8/25/2015 9/25/2012 11/25/2010 8/25/2009 9/25/2008 Window 60 - 195 51 - 168 41 - 138 37 - 123 103 37 - 98 81 37 - 80 ----------------------------------------------------------------------------------------66 38 - 55 ----------------------------------------------------------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- Sensitivity To Call ------------------------------------------------------------------------------- CPR (%) 20 25 30 ---------------------------------------------------------------------------------------- ------------------------------------------------------------------------------- A WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (years) 3.36 2.66 2.16 First Payment Date 2/25/2004 2/25/2004 2/25/2004 Expected Final Maturity 5/25/2013 6/25/2011 3/25/2010 Window 1 - 243 112 1 - 199 89 1 - 166 ---------------------------------------------------------------------------------------- 74 ------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW (years) 6.12 4.99 4.38 First Payment Date 2/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 5/25/2013 6/25/2011 3/25/2010 Window 37 - 201 112 39 - 89 40 - 163 42 - 135 ---------------------------------------------------------------------------------------- 74 ------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW (years) 6.12 4.97 4.31 First Payment Date 2/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 5/25/2013 6/25/2011 3/25/2010 Window 37 - 184 112 38 - 149 89 39 - 123 ---------------------------------------------------------------------------------------- B-1 74 ------------------------------------------------------------------------------- B WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW (years) 6.10 4.94 4.25 First Payment Date 2/25/2007 2/25/2007 2/25/2007 Expected Final Maturity 5/25/2013 6/25/2011 3/25/2010 Window 37 - 159 112 37 - 128 38 - 105 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 89 37 - 123 37 - 98 37 - 80 ----------------------------------------------------------------------------------------74 -------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO Weighted Average Life Sensitivity To MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A PPC (%) 50 60 75 100 125 150 175 ------------------------------------------------------------------------------------------------------------------------------------ A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW 8.84 8.10 7.30 6.52 6.11 5.99 6.25 First Payment Date 3/25/2007 3/25/2007 3/25/2007 5/25/2007 10/25/2007 3/25/2008 12/25/2008 Expected Final Maturity 3/25/2031 5/25/2029 1/25/2026 1/25/2021 6/25/2017 11/25/2014 11/25/2012 Window 37 - 325 37 - 303 37 - 263 39 - 203 44 - 160 49 - 129 58 - 105 ------------------------------------------------------------------------------------------------------------------------------------ A-3 WAL 1.71 1.45 1.18 0.90 0.72 0.60 0.52 First Payment Date 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 Expected Final Maturity 9/25/2007 2/25/2007 7/25/2006 12/25/2005 8/25/2005 4/25/2005 2/25/2005 Window 1 - 243 43 1 - 199 36 1 - 166 ---------------------------------------------------------------------------------------- 29 1 - 22 1 - 18 1 - 14 1 - 12 ------------------------------------------------------------------------------------------------------------------------------------ A-4 WAL 9.44 8.11 6.63 4.97 3.85 3.03 2.36 First Payment Date 9/25/2007 2/25/2007 7/25/2006 12/25/2005 8/25/2005 4/25/2005 2/25/2005 Expected Final Maturity 6/25/2031 9/25/2029 6/25/2026 8/25/2021 2/25/2018 7/25/2015 8/25/2013 Window 43 - 328 36 - 307 29 - 268 22 - 210 18 - 168 14 - 137 12 - 114 ------------------------------------------------------------------------------------------------------------------------------------ M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 10.98 9.41 7.66 5.81 4.86 4.45 4.48 First Payment Date 2/25/2009 4/25/2008 6/25/2007 4/25/2007 6/25/2007 8/25/2007 11/25/2007 Expected Final Maturity 11/25/2027 5/25/2025 1/25/2022 10/25/2017 12/25/2014 12/25/2012 6/25/2011 Window 60 - 285 50 - 255 40 - 215 38 - 164 40 - 130 42 - 106 45 - 88 ------------------------------------------------------------------------------------------------------------------------------------ M-2 WAL 10.86 9.29 7.55 5.71 4.71 4.18 3.96 First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 5/25/2007 6/25/2007 7/25/2007 Expected Final Maturity 9/25/2025 2/25/2023 1/25/2019 2/25/2016 7/25/2013 10/25/2011 6/25/2010 Window 60 - 259 50 - 228 40 - 189 37 - 201 144 39 - 113 40 - 163 42 92 41 - 135 ---------------------------------------------------------------------------------------- M-2 76 ------------------------------------------------------------------------------------------------------------------------------------ M-3 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 10.74 9.18 7.45 5.62 4.62 4.07 3.79 First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 4/25/2007 5/25/2007 6/25/2007 Expected Final Maturity 10/25/2023 4/25/2021 4/25/2018 11/25/2014 7/25/2012 12/25/2010 10/25/2009 Window 60 - 236 50 - 206 40 - 170 37 - 184 129 38 - 149 101 39 - 123 ---------------------------------------------------------------------------------------- 82 40 - 68 ------------------------------------------------------------------------------------------------------------------------------------ B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 10.62 9.07 7.36 5.55 4.55 4.00 3.70 First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 4/25/2007 5/25/2007 5/25/2007 Expected Final Maturity 11/25/2022 5/25/2020 7/25/2017 3/25/2014 1/25/2012 7/25/2010 6/25/2009 Window 60 - 225 50 - 195 40 - 161 37 - 159 121 38 - 95 39 - 77 39 - 64 ------------------------------------------------------------------------------------------------------------------------------------ B-2 WAL 10.42 8.88 7.20 5.43 4.45 3.88 3.58 First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 8/25/2021 3/25/2019 7/25/2016 6/25/2013 6/25/2011 1/25/2010 1/25/2009 Window 60 - 210 50 - 181 40 - 149 37 - 128 112 37 - 88 38 - 105 ---------------------------------------------------------------------------------------- B-2 71 39 - 59 ------------------------------------------------------------------------------------------------------------------------------------ B-3 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 10.01 8.52 6.89 5.19 4.24 3.72 3.41 First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 3/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 11/25/2019 8/25/2017 3/25/2015 5/25/2012 8/25/2010 5/25/2009 7/25/2008 Window 60 - 189 50 - 162 40 - 133 37 - 123 99 37 - 98 78 37 - 80 ----------------------------------------------------------------------------------------63 38 - 53
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A Weighted Average Life Sensitivity To CALL ---------------------------------------------------------------------------------------------------------------------------------- PPC (%) 50 60 75 100 125 150 175 ---------------------------------------------------------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (yrs) 5.39 4.59 3.73 2.79 2.15 1.67 1.29 First Payment Date 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Window 1 - 243 183 1 - 199 157 1 - 166 ---------------------------------------------------------------------------------------- 128 1 - 96 1 - 75 1 - 61 1 - 51 ---------------------------------------------------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 37 10.20 8.68 7.03 5.33 4.55 4.40 4.24 First Payment Date 2/25/2009 5/25/2008 7/25/2007 5/25/2007 8/25/2007 11/25/2007 5/25/2008 Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Window 60 - 201 40 183 51 - 163 157 41 - 128 39 - 96 42 - 135 ---------------------------------------------------------------------------------------- 75 45 - 61 51 - 51 ---------------------------------------------------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 37 10.20 8.68 7.03 5.31 4.42 4.01 3.95 First Payment Date 2/25/2009 5/25/2008 7/25/2007 4/25/2007 5/25/2007 7/25/2007 9/25/2007 Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Window 60 - 184 38 183 51 - 149 39 - 123 ---------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 37 - 159 37 157 41 - 128 38 - 105 ---------------------------------------------------------------------------------------- 96 39 - 75 41 - 61 43 - 51 ---------------------------------------------------------------------------------------------------------------------------------- M-3 WAL 10.20 8.68 7.03 5.30 4.37 3.88 3.67 First Payment Date 2/25/2009 5/25/2008 7/25/2007 3/25/2007 5/25/2007 6/25/2007 7/25/2007 Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Window 60 - 183 51 - 157 41 - 128 37 - 96 39 - 75 40 - 61 41 - 51 ---------------------------------------------------------------------------------------------------------------------------------- B-1 WAL 10.20 8.68 7.03 5.30 4.35 3.84 3.59 First Payment Date 2/25/2009 5/25/2008 7/25/2007 3/25/2007 4/25/2007 5/25/2007 6/25/2007 Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Window 60 - 183 51 - 157 41 - 128 37 - 96 38 - 75 39 - 61 40 - 51 ---------------------------------------------------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 10.20 8.68 7.03 5.30 4.34 3.80 3.53 First Payment Date 2/25/2009 5/25/2008 7/25/2007 3/25/2007 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Window 60 - 183 51 - 157 41 - 128 37 - 123 96 37 - 98 75 38 - 61 39 - 51 ---------------------------------------------------------------------------------------------------------------------------------- B-3 WAL 10.13 8.62 6.98 5.26 4.29 3.76 3.45 First Payment Date 2/25/2009 5/25/2008 7/25/2007 3/25/2007 3/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Window 60 - 183 51 - 157 41 - 128 37 - 80 ----------------------------------------------------------------------------------------96 37 - 75 37 - 61 38 - 51 ----------------------------------------------------------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 15 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- Sensitivity To CALL ------------------------------------------------------------------------------- CPR (%) 20 25 30 ---------------------------------------------------------------------------------------- A ------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (yrs) 3.27 2.56 2.03 First Payment Date 3/25/2004 3/25/2004 3/25/2004 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 1 - 243 116 1 - 199 92 1 - 166 ---------------------------------------------------------------------------------------- 75 ------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 6.33 5.15 4.57 First Payment Date 3/25/2007 6/25/2007 8/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 201 116 40 - 163 92 42 - 135 ---------------------------------------------------------------------------------------- 75 ------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 6.33 5.10 4.41 First Payment Date 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 184 116 38 - 149 92 39 - 123 ---------------------------------------------------------------------------------------- 75 ------------------------------------------------------------------------------- M-3 WAL 6.33 5.09 4.35 First Payment Date 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 116 38 - 92 39 - 75 ------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 6.33 5.08 4.33 First Payment Date 3/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 159 116 37 - 128 92 38 - 105 ---------------------------------------------------------------------------------------- 75 ------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 6.33 5.07 4.32 First Payment Date 3/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 123 116 37 - 98 92 38 - 75 ------------------------------------------------------------------------------- B-3 WAL 6.28 5.03 4.27 First Payment Date 3/25/2007 3/25/2007 3/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 80 ----------------------------------------------------------------------------------------116 37 - 92 37 - 75 -------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A ________________________________________________________________________________ Weighted Average Life Sensitivity To CALL ---------------------------------------------------------------------------------------------------------------------------------- PPC (%) 50 60 75 100 125 150 175 ---------------------------------------------------------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (yrs) 2.87 2.44 1.98 1.49 1.19 0.99 0.85 First Payment Date 11/25/2003 11/25/2003 11/25/2003 11/25/2003 11/25/2003 11/25/2003 11/25/2003 Expected Final Maturity 12/25/2010 11/25/2009 9/25/2008 7/25/2007 5/25/2006 11/25/2005 8/25/2005 Window 1 - 243 86 1 - 199 73 1 - 166 ---------------------------------------------------------------------------------------- 59 1 - 45 1 - 31 1 - 25 1 - 22 ---------------------------------------------------------------------------------------------------------------------------------- A-3 WAL 11.85 10.14 8.25 6.20 4.71 3.44 2.43 First Payment Date 12/25/2010 11/25/2009 9/25/2008 7/25/2007 5/25/2006 11/25/2005 8/25/2005 Expected Final Maturity 2/25/2019 12/25/2016 7/25/2014 11/25/2011 2/25/2010 12/25/2008 2/25/2008 Window 86 - 184 73 - 158 59 - 129 45 - 97 31 - 76 25 - 62 22 - 52 ---------------------------------------------------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 10.26 8.74 7.09 5.37 4.60 4.49 4.32 First Payment Date 11/25/2008 1/25/2008 3/25/2007 1/25/2007 4/25/2007 8/25/2007 2/25/2008 Expected Final Maturity 2/25/2019 12/25/2016 7/25/2014 11/25/2011 2/25/2010 12/25/2008 2/25/2008 Window 61 - 184 51 - 158 41 - 129 39 - 97 42 - 76 46 - 62 52 - 52 ---------------------------------------------------------------------------------------------------------------------------------- M-2 WAL 10.26 8.74 7.09 5.35 4.46 4.06 4.03 First Payment Date 11/25/2008 1/25/2008 3/25/2007 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 1/25/2007 3/25/2007 5/25/2007 Expected Final Maturity 2/25/2019 12/25/2016 7/25/2014 11/25/2011 2/25/2010 12/25/2008 2/25/2008 Window 61 - 184 51 - 158 41 - 129 38 - 97 39 - 76 41 - 62 43 - 52 ---------------------------------------------------------------------------------------------------------------------------------- M-3 WAL 10.26 8.74 7.09 5.35 4.40 3.92 3.73 First Payment Date 11/25/2008 1/25/2008 3/25/2007 11/25/2006 1/25/2007 2/25/2007 4/25/2007 Expected Final Maturity 2/25/2019 12/25/2016 7/25/2014 11/25/2011 2/25/2010 12/25/2008 2/25/2008 Window 61 - 184 51 - 158 41 - 129 37 - 201 97 39 - 76 40 - 163 62 42 - 135 ---------------------------------------------------------------------------------------- M-2 52 ---------------------------------------------------------------------------------------------------------------------------------- B-1 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 10.26 8.74 7.09 5.34 4.39 3.88 3.64 First Payment Date 11/25/2008 1/25/2008 3/25/2007 11/25/2006 12/25/2006 1/25/2007 2/25/2007 Expected Final Maturity 2/25/2019 12/25/2016 7/25/2014 11/25/2011 2/25/2010 12/25/2008 2/25/2008 Window 61 - 184 51 - 158 41 - 129 37 - 184 97 38 - 149 76 39 - 123 ---------------------------------------------------------------------------------------- B-1 62 40 - 52 ---------------------------------------------------------------------------------------------------------------------------------- B-2 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 10.26 8.74 7.09 5.34 4.38 3.84 3.56 First Payment Date 11/25/2008 1/25/2008 3/25/2007 11/25/2006 12/25/2006 12/25/2006 1/25/2007 Expected Final Maturity 2/25/2019 12/25/2016 7/25/2014 11/25/2011 2/25/2010 12/25/2008 2/25/2008 Window 61 - 184 51 - 158 41 - 129 37 - 159 97 38 - 76 38 - 62 39 - 52 ---------------------------------------------------------------------------------------------------------------------------------- B-3 WAL 10.25 8.73 7.08 5.33 4.35 3.81 3.50 First Payment Date 11/25/2008 1/25/2008 3/25/2007 11/25/2006 11/25/2006 12/25/2006 12/25/2006 Expected Final Maturity 2/25/2019 12/25/2016 7/25/2014 11/25/2011 2/25/2010 12/25/2008 2/25/2008 Window 61 - 184 51 - 158 41 - 129 37 - 128 97 37 - 76 38 - 105 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 37 62 38 - 123 37 - 98 37 - 80 ----------------------------------------------------------------------------------------52 ---------------------------------------------------------------------------------------------------------------------------------- ________________________________________________________________________________
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 15 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- Sensitivity To CALL -------------------------------------------------------------------------------- CPR (%) 20 25 30 ---------------------------------------------------------------------------------------- A -------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (yrs) 3.26 2.55 2.02 First Payment Date 2/25/2004 2/25/2004 2/25/2004 Expected Final Maturity 9/25/2013 9/25/2011 4/25/2010 Window 1 - 243 116 1 - 199 92 1 - 166 ---------------------------------------------------------------------------------------- 75 -------------------------------------------------------------------------------- A-3 WAL 1.71 1.32 1.08 First Payment Date 2/25/2004 2/25/2004 2/25/2004 Expected Final Maturity 7/25/2008 8/25/2007 7/25/2006 Window 1 - 54 1 - 43 1 - 30 -------------------------------------------------------------------------------- A-4 WAL 7.44 5.89 4.58 First Payment Date 7/25/2008 8/25/2007 7/25/2006 Expected Final Maturity 9/25/2013 9/25/2011 4/25/2010 Window 54 - 116 43 - 92 30 - 75 -------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 6.31 5.14 4.57 First Payment Date 2/25/2007 5/25/2007 7/25/2007 Expected Final Maturity 9/25/2013 9/25/2011 4/25/2010 Window 37 - 201 116 40 - 163 92 42 - 135 ---------------------------------------------------------------------------------------- 75 -------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 6.31 5.09 4.41 First Payment Date 2/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 9/25/2013 WINDOW 9/25/2011 4/25/2010 Window 37 - 184 116 38 - 149 92 39 - 123 ---------------------------------------------------------------------------------------- 75 -------------------------------------------------------------------------------- M-3 WAL 6.31 5.08 4.35 First Payment Date 2/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 9/25/2013 9/25/2011 4/25/2010 Window 37 - 116 38 - 92 39 - 75 -------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 6.31 5.07 4.33 First Payment Date 2/25/2007 2/25/2007 3/25/2007 Expected Final Maturity 9/25/2013 9/25/2011 4/25/2010 Window 37 - 159 116 37 - 128 92 38 - 105 ---------------------------------------------------------------------------------------- 75 -------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 6.31 5.06 4.31 First Payment Date 2/25/2007 2/25/2007 3/25/2007 Expected Final Maturity 9/25/2013 8/25/2011 2/25/2010 WINDOW 9/25/2011 4/25/2010 Window 37 - 123 116 37 - 98 92 38 - 75 -------------------------------------------------------------------------------- B-3 WAL 6.26 5.02 4.26 First Payment Date 2/25/2007 2/25/2007 2/25/2007 Expected Final Maturity 9/25/2013 9/25/2011 4/25/2010 Window 37 - 80 ----------------------------------------------------------------------------------------116 37 - 92 37 - 75 --------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A 11 Weighted Average Life Sensitivity To CALL ------- ---------------------------------------------------------------------------------------------------------------------------- PPC 50 60 75 100 125 ---------------------------------------------------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 5.40 4.61 3.75 2.82 2.18 First Payment Date 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW 7/25/2003 7/25/2003 Expected Final Maturity 8/25/2018 8/25/2016 3/25/2014 6/25/2011 10/25/2009 Window 1 - 243 182 1 - 199 158 1 - 166 ---------------------------------------------------------------------------------------- 129 1 - 96 1 - 76 ---------------------------------------------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 10.24 8.74 7.08 5.35 4.62 First Payment Date 6/25/2008 9/25/2007 11/25/2006 9/25/2006 1/25/2007 Expected Final Maturity 8/25/2018 8/25/2016 3/25/2014 6/25/2011 10/25/2009 Window 60 - 182 51 - 158 41 - 129 39 - 96 43 - 76 ---------------------------------------------------------------------------------------------------------------------------- M-2 WAL 10.24 8.74 7.08 5.33 4.46 First Payment Date 6/25/2008 9/25/2007 11/25/2006 8/25/2006 9/25/2006 Expected Final Maturity 8/25/2018 8/25/2016 3/25/2014 6/25/2011 10/25/2009 Window 60 - 182 51 - 158 41 - 129 38 - 96 39 - 76 ---------------------------------------------------------------------------------------------------------------------------- M-3 WAL 10.24 8.74 7.08 5.32 4.40 First Payment Date 6/25/2008 9/25/2007 11/25/2006 7/25/2006 9/25/2006 Expected Final Maturity 8/25/2018 8/25/2016 3/25/2014 6/25/2011 10/25/2009 Window 60 - 182 51 - 158 41 - 129 37 - 96 39 - 76 ---------------------------------------------------------------------------------------------------------------------------- B-1 WAL 10.24 8.74 7.08 5.31 4.38 First Payment Date 6/25/2008 9/25/2007 11/25/2006 7/25/2006 8/25/2006 Expected Final Maturity 8/25/2018 8/25/2016 3/25/2014 6/25/2011 10/25/2009 Window 60 - 182 51 - 158 41 - 129 37 - 96 38 - 76 ---------------------------------------------------------------------------------------------------------------------------- B-2 WAL 10.24 8.74 7.08 5.31 4.37 First Payment Date 6/25/2008 9/25/2007 11/25/2006 7/25/2006 8/25/2006 Expected Final Maturity 8/25/2018 8/25/2016 3/25/2014 6/25/2011 10/25/2009 Window 60 - 182 51 - 158 41 - 129 37 - 96 38 - 76 ---------------------------------------------------------------------------------------------------------------------------- B-3 WAL 10.22 8.72 7.06 5.30 4.34 First Payment Date 6/25/2008 9/25/2007 11/25/2006 7/25/2006 7/25/2006 Expected Final Maturity 8/25/2018 8/25/2016 3/25/2014 6/25/2011 10/25/2009 Window 60 - 182 51 - 158 41 - 129 37 - 96 37 - 76 ---------------------------------------------------------------------------------------------------------------------------- (TABLE CONTINUED) --------------------------------------------------------------------- PPC 150 175 --------------------------------------------------------------------- A-2 WAL 1.66 1.27 First Payment Date 7/25/2003 7/25/2003 Expected Final Maturity 7/25/2008 6/25/2006 Window 1 - 61 1 - 36 --------------------------------------------------------------------- M-1 WAL 4.55 4.20 First Payment Date 5/25/2007 6/25/2006 Expected Final Maturity 7/25/2008 9/25/2007 Window 47 - 61 36 - 51 --------------------------------------------------------------------- M-2 WAL 4.07 4.35 First Payment Date 11/25/2006 2/25/2007 Expected Final Maturity 7/25/2008 9/25/2007 Window 41 - 61 44 - 51 --------------------------------------------------------------------- M-3 WAL 3.91 3.73 First Payment Date 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 37 - 201 Expected Final Maturity 7/25/2008 9/25/2007 Window 40 - 163 61 42 - 135 ---------------------------------------------------------------------------------------- M-2 51 --------------------------------------------------------------------- B-1 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 3.86 3.63 First Payment Date 9/25/2006 10/25/2006 Expected Final Maturity 7/25/2008 9/25/2007 Window 39 - 61 40 - 51 --------------------------------------------------------------------- B-2 WAL 3.82 3.55 First Payment Date 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 37 - 184 Expected Final Maturity 7/25/2008 9/25/2007 Window 38 - 149 61 39 - 123 ---------------------------------------------------------------------------------------- B-1 51 --------------------------------------------------------------------- B-3 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 3.78 3.48 First Payment Date 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 37 - 159 37 - 128 8/25/2006 Expected Final Maturity 7/25/2008 9/25/2007 Window 38 - 105 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 37 61 38 - 123 37 - 98 37 - 80 ----------------------------------------------------------------------------------------51 --------------------------------------------------------------------- --------------------------------------------------------------------------------
Appears in 1 contract
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page MORGAN STANLEY 12 ------------------------------------------------------------------------------ MORGAN STANLEY Xxxx 0, 0000 Xecuritized Products Group MORGAN STANLEY [GRAPHIC] ------------------------------------------------------------------------------ Distribution of Receivables by Remaining Stated Term to Scheduled Maturity No. of Total Dollar Principal Remaining Stated Term Receivables (#) Amount ($) Balance (%) --------------------- --------------- ---------- ----------- 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR 20 - 18 Months 142 $ 672,567.64 .12% 19 - 24 Months 558 4,012,370.52 .72 25 - 30 ---------------------------------------------------------------------------------------- A WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW 1 Months 772 5,836,030.32 1.05 31 - 243 1 - 199 1 - 166 ---------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 36 Months 1,579 14,993,843.98 2.71 37 - 201 40 42 Months 3,189 34,515,276.92 6.23 43 - 163 42 48 Months 6,487 86,764,491.33 15.67 49 - 135 ---------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 54 Months 6,102 97,036,972.01 17.52 55 - 60 Months 7,993 138,472,532.33 25.01 61 - 72 Months 7,351 151,992,013.93 27.45 >= 73 720 19,431,602.66 3.51 ------------------------------------------------------------------------------------------------------------------- Total 34,893 $553,727,701.64 100.00% =================================================================================================================== Column totals may not add to 100.00% due to rounding. Distribution of Receivables by Stated Original Trm to Scheduled Maturity No. of Total Dollar Principal Stated Original Term Receivables (#) Amount ($) Balance (%) -------------------- --------------- ---------- ----------- 19 - 24 Months 111 $ 830,440.31 .15% 25 - 30 Months 28 197,168.23 .04 31 - 36 Months 1,269 11,120,562.06 2.01 37 - 184 38 42 Months 300 2,247,861.14 .41 43 - 149 39 48 Months 2,518 25,942,874.98 4.69 49 - 123 ---------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 37 54 Months 1,255 12,521,862.47 2.26 55 - 159 37 60 Months 13,122 191,040,648.83 34.50 61 - 128 38 - 105 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 37 - 123 37 - 98 37 - 80 ----------------------------------------------------------------------------------------72 Months 14,343 261,155,565.46 47.16 >= 73 1,947 48,670,718.16 8.79 ------------------------------------------------------------------------------------------------------------------- Total 34,893 $553,727,701.64 100.00% =================================================================================================================== Column totals may not add to 100.00% due to rounding.
Appears in 1 contract
Samples: Morgan Stanley Abs Capital Ii Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 15 CPR SENSITIVITY TO Sensitivity To MATURITY ---------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- CPR (%) 20 25 30 ---------------------------------------------------------------------------------------- A ------------------------------------------------------------------------------------------------------- A-2 WAL 3.49 (yrs) 3.51 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW 2.19 First Payment Date 11/25/2003 11/25/2003 11/25/2003 Expected Final Maturity 6/25/2024 9/25/2020 10/25/2017 Window 1 - 243 248 1 - 199 203 1 - 166 ---------------------------------------------------------------------------------------- 168 ------------------------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 6.99 5.69 5.05 First Payment Date 11/25/2006 2/25/2007 5/25/2007 Expected Final Maturity 4/25/2021 12/25/2017 6/25/2015 Window 37 - 201 210 40 - 163 42 170 43 - 135 ---------------------------------------------------------------------------------------- 140 ------------------------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 6.92 5.59 4.82 First Payment Date 11/25/2006 12/25/2006 1/25/2007 Expected Final Maturity 10/25/2019 9/25/2016 5/25/2014 Window 37 - 184 192 38 - 149 155 39 - 123 ---------------------------------------------------------------------------------------- 127 ------------------------------------------------------------------------------------------------------- M-3 WAL 6.84 5.50 4.69 First Payment Date 11/25/2006 12/25/2006 1/25/2007 Expected Final Maturity 10/25/2017 12/25/2014 12/25/2012 Window 37 - 168 38 - 134 39 - 110 ------------------------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 6.78 5.46 4.66 First Payment Date 11/25/2006 12/25/2006 12/25/2006 Expected Final Maturity 3/25/2017 6/25/2014 7/25/2012 Window 37 - 159 37 161 38 - 128 38 - 105 ---------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 6.70 5.37 4.57 First Payment Date 11/25/2006 11/25/2006 12/25/2006 Expected Final Maturity 5/25/2016 10/25/2013 1/25/2012 Window 37 - 123 151 37 - 98 120 38 - 99 ------------------------------------------------------------------------------------------------------- B-3 WAL 6.51 5.21 4.43 First Payment Date 11/25/2006 11/25/2006 11/25/2006 Expected Final Maturity 5/25/2015 1/25/2013 5/25/2011 Window 37 - 80 ----------------------------------------------------------------------------------------137 37 - 109 37 - 89 -------------------------------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 ________________________________________________________________________________ CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- Sensitivity To CALL --------------------------------------------------------------------------------- CPR (%) 20 25 30 ---------------------------------------------------------------------------------------- A --------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (yrs) 1.64 1.27 1.03 First Payment Date 11/25/2003 11/25/2003 11/25/2003 Expected Final Maturity 1/25/2008 9/25/2006 3/25/2006 Window 1 - 243 51 1 - 199 35 1 - 166 ---------------------------------------------------------------------------------------- 29 --------------------------------------------------------------------------------- A-3 WAL 7.25 5.70 4.41 First Payment Date 1/25/2008 9/25/2006 3/25/2006 Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010 Window 51 - 116 35 - 92 29 - 75 --------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 6.32 5.15 4.61 First Payment Date 11/25/2006 2/25/2007 5/25/2007 Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010 Window 37 - 201 116 40 - 163 42 92 43 - 135 ---------------------------------------------------------------------------------------- 75 --------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 6.32 5.10 4.43 First Payment Date 11/25/2006 12/25/2006 2/25/2007 Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010 Window 37 - 184 116 38 - 149 92 40 - 75 --------------------------------------------------------------------------------- M-3 WAL 6.32 5.08 4.36 First Payment Date 11/25/2006 12/25/2006 1/25/2007 Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010 Window 37 - 116 38 - 92 39 - 123 ---------------------------------------------------------------------------------------- 75 --------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 6.32 5.08 4.34 First Payment Date 11/25/2006 12/25/2006 12/25/2006 Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010 Window 37 - 159 116 38 - 92 38 - 75 --------------------------------------------------------------------------------- B-2 WAL 6.32 5.07 4.32 First Payment Date 11/25/2006 11/25/2006 12/25/2006 Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010 Window 37 - 128 116 37 - 92 38 - 105 ---------------------------------------------------------------------------------------- B-2 75 --------------------------------------------------------------------------------- B-3 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 6.31 5.06 4.30 First Payment Date 11/25/2006 11/25/2006 11/25/2006 Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010 Window 37 - 123 116 37 - 98 92 37 - 80 ----------------------------------------------------------------------------------------75 --------------------------------------------------------------------------------- ________________________________________________________________________________
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR 12 WEIGHTED AVERAGE LIFE SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A ----------------------------------------------------------------------------------------------------------------------------------- PPC (%) 50 60 75 100 125 150 175 ---- ------------------------------------------------------------------------------------------------------------------------------ A-2 WAL 3.49 2.75 2.20 (YRS) 5.76 4.96 4.07 3.08 2.39 1.86 1.25 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 10/25/2003 10/25/2003 10/25/2003 10/25/2003 10/25/2003 10/25/2003 10/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 2/25/2031 4/25/2029 1/25/2026 3/25/2021 8/25/2017 1/25/2015 9/25/2006 WINDOW 1 - 243 329 1 - 199 307 1 - 166 ---------------------------------------------------------------------------------------- 268 1 - 210 1 - 167 1 - 136 1 - 36 ---- ------------------------------------------------------------------------------------------------------------------------------ M-1 WAL 6.83 5.60 4.96 11.07 9.49 7.72 5.87 5.03 4.90 5.95 FIRST PAYMENT DATE 7/25/2006 9/25/2008 11/25/2007 1/25/2007 12/25/2006 4/25/2007 8/25/2007 9/25/2006 EXPECTED FINAL MATURITY 8/25/2028 3/25/2026 9/25/2022 4/25/2018 4/25/2015 2/25/2013 2/25/2013 WINDOW 60 - 299 50 - 270 40 - 228 39 - 175 43 - 139 47 - 113 36 - 113 ---- ------------------------------------------------------------------------------------------------------------------------------ M-2 WAL 11.00 9.41 7.65 5.78 4.82 4.38 4.33 FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 11/25/2006 1/25/2007 2/25/2007 5/25/2007 EXPECTED FINAL MATURITY 3/25/2027 8/25/2024 3/25/2021 1/25/2017 3/25/2014 4/25/2012 10/25/2010 WINDOW 60 - 282 50 - 251 40 - 210 38 - 160 40 - 126 41 - 103 44 - 85 ---- ------------------------------------------------------------------------------------------------------------------------------ M-3 WAL 10.90 9.31 7.55 5.70 4.69 4.17 3.94 FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 10/25/2006 12/25/2006 1/25/2007 3/25/2007 EXPECTED FINAL MATURITY 12/25/2024 5/25/2022 3/25/2019 5/25/2015 12/25/2012 3/25/2011 11/25/2009 WINDOW 60 - 255 50 - 224 40 - 186 37 - 140 39 - 111 40 - 90 42 - 74 ---- ------------------------------------------------------------------------------------------------------------------------------ B-1 WAL 10.79 9.21 7.46 5.62 4.62 4.07 3.80 FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 10/25/2006 11/25/2006 12/25/2006 1/25/2007 EXPECTED FINAL MATURITY 10/25/2023 3/25/2021 2/25/2018 8/25/2014 4/25/2012 8/25/2010 6/25/2009 WINDOW 60 - 241 50 - 210 40 - 173 37 - 131 38 - 103 39 - 83 40 - 69 ---- ------------------------------------------------------------------------------------------------------------------------------ B-2 WAL 10.64 9.06 7.34 5.52 4.53 3.97 3.67 FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 10/25/2006 11/25/2006 11/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 5/25/2022 11/25/2019 12/25/2016 9/25/2013 7/25/2011 1/25/2010 12/25/2008 WINDOW 37 60 - 201 224 50 - 194 40 - 163 42 - 135 ---------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 37 - 184 38 - 149 39 - 123 ---------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 37 - 159 37 - 128 120 38 - 105 ---------------------------------------------------------------------------------------- B-2 94 38 - 76 39 - 63 ---- ------------------------------------------------------------------------------------------------------------------------------ B-3 WAL 6.15 4.95 4.22 10.35 8.80 7.11 5.35 4.38 3.83 3.52 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 9/25/2008 11/25/2007 1/25/2007 10/25/2006 10/25/2006 11/25/2006 11/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 12/25/2020 8/25/2018 11/25/2015 10/25/2012 11/25/2010 7/25/2009 7/25/2008 WINDOW 60 - 207 50 - 179 40 - 146 37 - 123 109 37 - 98 37 86 38 - 80 ----------------------------------------------------------------------------------------70 38 - 58 -----------------------------------------------------------------------------------------------------------------------------------
Appears in 1 contract
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- Sensitivity To CALL ------------------------------------------------------------------------------------------------------- CPR (%) 20 25 30 ---------------------------------------------------------------------------------------- A ------------------------------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (yrs) 3.24 2.53 2.00 First Payment Date 11/25/2003 11/25/2003 11/25/2003 Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010 Window 1 - 243 116 1 - 199 92 1 - 166 ---------------------------------------------------------------------------------------- 75 ------------------------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 6.33 5.15 4.60 First Payment Date 11/25/2006 2/25/2007 5/25/2007 Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010 Window 37 - 201 116 40 - 163 42 92 43 - 135 ---------------------------------------------------------------------------------------- 75 ------------------------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 6.33 5.11 4.42 First Payment Date 11/25/2006 12/25/2006 1/25/2007 Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010 Window 37 - 184 116 38 - 149 92 39 - 123 ---------------------------------------------------------------------------------------- 75 ------------------------------------------------------------------------------------------------------- M-3 WAL 6.33 5.09 4.35 First Payment Date 11/25/2006 12/25/2006 1/25/2007 Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010 Window 37 - 116 38 - 92 39 - 75 ------------------------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 6.33 5.09 4.35 First Payment Date 11/25/2006 12/25/2006 12/25/2006 Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010 Window 37 - 159 116 38 - 92 38 - 75 ------------------------------------------------------------------------------------------------------- B-2 WAL 6.33 5.08 4.32 First Payment Date 11/25/2006 11/25/2006 12/25/2006 Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010 Window 37 - 128 116 37 - 92 38 - 105 ---------------------------------------------------------------------------------------- B-2 75 ------------------------------------------------------------------------------------------------------- B-3 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 6.33 5.07 4.31 First Payment Date 11/25/2006 11/25/2006 11/25/2006 Expected Final Maturity 6/25/2013 6/25/2011 1/25/2010 Window 37 - 123 116 37 - 98 92 37 - 80 ----------------------------------------------------------------------------------------75 -------------------------------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A ------------------------------------------------------------------------------- Weighted Average Life Sensitivity To Call ------- ---------------------------------------------------------------------------------------------------------------------------------- PPC (%) 50 60 75 100 125 150 175 ---------------------------------------------------------------------------------------------------------------------------------- A-1 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (years) 5.74 4.92 4.02 3.02 2.35 1.86 1.47 First Payment Date 6/25/2004 6/25/2004 6/25/2004 6/25/2004 6/25/2004 6/25/2004 6/25/2004 Expected Final Maturity 2/25/2020 2/25/2018 9/25/2015 1/25/2013 3/25/2011 12/25/2009 1/25/2009 Window 1 - 243 189 1 - 199 165 1 - 166 ---------------------------------------------------------------------------------------- 136 1 - 104 1 - 82 1 - 67 1 - 56 ---------------------------------------------------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW (years) 10.60 9.14 7.47 5.67 4.71 4.28 4.26 First Payment Date 8/25/2009 10/25/2008 12/25/2007 7/25/2007 9/25/2007 12/25/2007 3/25/2008 Expected Final Maturity 2/25/2020 2/25/2018 9/25/2015 1/25/2013 3/25/2011 12/25/2009 1/25/2009 Window 63 - 189 53 - 165 43 - 136 38 - 104 40 - 82 43 - 67 46 - 56 ---------------------------------------------------------------------------------------------------------------------------------- M-2 WAL (years) 10.60 9.14 7.47 5.67 4.65 4.11 3.89 First Payment Date 8/25/2009 10/25/2008 12/25/2007 6/25/2007 8/25/2007 9/25/2007 11/25/2007 Expected Final Maturity 2/25/2020 2/25/2018 9/25/2015 1/25/2013 3/25/2011 12/25/2009 1/25/2009 Window 63 - 189 53 - 165 43 - 136 37 - 201 104 39 - 82 40 - 163 67 42 - 135 ---------------------------------------------------------------------------------------- M-2 56 ---------------------------------------------------------------------------------------------------------------------------------- B-1 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW (years) 10.60 9.14 7.47 5.67 4.61 4.02 3.69 First Payment Date 8/25/2009 10/25/2008 12/25/2007 6/25/2007 6/25/2007 7/25/2007 8/25/2007 Expected Final Maturity 2/25/2020 2/25/2018 9/25/2015 1/25/2013 3/25/2011 12/25/2009 1/25/2009 Window 63 - 189 53 - 165 43 - 136 37 - 184 104 37 - 82 38 - 149 67 39 - 123 ---------------------------------------------------------------------------------------- B-1 56 ---------------------------------------------------------------------------------------------------------------------------------- B-2 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW (years) 10.60 9.14 7.47 5.67 4.59 3.98 3.61 First Payment Date 8/25/2009 10/25/2008 12/25/2007 6/25/2007 6/25/2007 7/25/2007 7/25/2007 Expected Final Maturity 2/25/2020 2/25/2018 9/25/2015 1/25/2013 3/25/2011 12/25/2009 1/25/2009 Window 63 - 189 53 - 165 43 - 136 37 - 159 104 37 - 128 82 38 - 105 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 37 67 38 - 123 37 - 98 37 - 80 ----------------------------------------------------------------------------------------56 ---------------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 14 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- Sensitivity To CALL ------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A ----------------------- ---------- ---------- ---------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 3.22 2.51 1.98 First Payment Date 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009 Window 1 - 243 116 1 - 199 92 1 - 166 ---------------------------------------------------------------------------------------- 75 A-3 WAL 1.38 1.09 0.89 First Payment Date 7/25/2003 7/25/2003 7/25/2003 Expected Final Maturity 8/25/2006 11/25/2005 6/25/2005 Window 1 - 38 1 - 29 1 - 24 A-4 WAL 6.43 5.01 3.89 First Payment Date 8/25/2006 11/25/2005 6/25/2005 Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009 Window 38 - 116 29 - 92 24 - 75 M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 6.34 5.17 4.63 First Payment Date 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 1/25/2007 Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009 Window 37 - 201 116 40 - 163 42 92 43 - 135 ---------------------------------------------------------------------------------------- 75 M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 6.34 5.12 4.44 First Payment Date 7/25/2006 8/25/2006 10/25/2006 Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009 Window 37 - 116 38 - 92 40 - 75 M-3 WAL 6.34 5.10 4.37 First Payment Date 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009 Window 37 - 184 116 38 - 149 92 39 - 123 ---------------------------------------------------------------------------------------- 75 B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 6.34 5.10 4.35 First Payment Date 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009 Window 37 - 159 116 37 - 128 92 38 - 105 ---------------------------------------------------------------------------------------- 75 B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 6.34 5.08 4.33 First Payment Date 7/25/2006 7/25/2006 8/25/2006 Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009 Window 37 - 116 37 - 92 38 - 75 B-3 WAL 6.33 5.07 4.30 First Payment Date 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009 Window 37 - 123 116 37 - 98 92 37 - 80 ----------------------------------------------------------------------------------------75
Appears in 1 contract
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ------------------------------------------------------------------------------- CPR Sensitivity To Maturity ----------- -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR (%) 20 25 30 ---------------------------------------------------------------------------------------- A -------------------------------------------------------------------------------- A-1 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (years) 3.59 2.84 2.28 First Payment Date 6/25/2004 6/25/2004 6/25/2004 Expected Final Maturity 9/25/2024 1/25/2021 3/25/2018 Window 1 - 243 244 1 - 199 200 1 - 166 ---------------------------------------------------------------------------------------- -------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW (years) 6.80 5.55 4.87 First Payment Date 6/25/2007 8/25/2007 10/25/2007 Expected Final Maturity 8/25/2020 7/25/2017 3/25/2015 Window 37 - 201 40 195 39 - 163 42 158 41 - 135 ---------------------------------------------------------------------------------------- 130 -------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW (years) 6.73 5.46 4.72 First Payment Date 6/25/2007 7/25/2007 8/25/2007 Expected Final Maturity 4/25/2019 6/25/2016 5/25/2014 Window 37 - 184 179 38 - 149 145 39 - 123 ---------------------------------------------------------------------------------------- 120 -------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 (years) 6.57 5.31 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW First Payment Date 6/25/2007 6/25/2007 7/25/2007 Expected Final Maturity 8/25/2017 1/25/2015 2/25/2013 Window 37 - 159 37 - 128 38 - 105 ---------------------------------------------------------------------------------------- -------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW (years) 6.31 5.09 4.35 First Payment Date 6/25/2007 6/25/2007 6/25/2007 Expected Final Maturity 2/25/2015 12/25/2012 6/25/2011 Window 37 - 123 129 37 - 98 103 37 - 80 ----------------------------------------------------------------------------------------85 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A Weighted Average Life Sensitivity To CALL PPC (%) 50 60 75 100 125 150 175 ------------------------------------------------------------------------------------------------------------------------------------ A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW 8.22 7.46 6.64 5.81 5.28 4.87 4.25 First Payment Date 3/25/2007 3/25/2007 3/25/2007 5/25/2007 10/25/2007 3/25/2008 5/25/2008 Expected Final Maturity 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Window 37 - 182 37 - 157 37 - 128 39 - 96 44 - 75 49 - 61 51 - 51 ------------------------------------------------------------------------------------------------------------------------------------ A-3 WAL 1.71 1.45 1.18 0.90 0.72 0.60 0.52 First Payment Date 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 Expected Final Maturity 9/25/2007 2/25/2007 7/25/2006 12/25/2005 8/25/2005 4/25/2005 2/25/2005 Window 1 - 243 43 1 - 199 36 1 - 166 ---------------------------------------------------------------------------------------- 29 1 - 22 1 - 18 1 - 14 1 - 12 ------------------------------------------------------------------------------------------------------------------------------------ A-4 WAL 8.74 7.45 6.04 4.50 3.47 2.71 2.11 First Payment Date 9/25/2007 2/25/2007 7/25/2006 12/25/2005 8/25/2005 4/25/2005 2/25/2005 Expected Final Maturity 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Window 43 - 182 36 - 157 29 - 128 22 - 96 18 - 75 14 - 61 12 - 51 ------------------------------------------------------------------------------------------------------------------------------------ M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 37 10.16 8.66 7.01 5.30 4.45 4.12 4.12 First Payment Date 2/25/2009 4/25/2008 6/25/2007 4/25/2007 6/25/2007 8/25/2007 11/25/2007 Expected Final Maturity 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Window 60 - 201 182 50 - 157 40 - 163 42 - 135 ---------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 37 - 184 38 - 149 39 - 123 ---------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 37 - 159 37 - 128 38 - 105 ---------------------------------------------------------------------------------------- 96 40 - 75 42 - 61 45 - 51 ------------------------------------------------------------------------------------------------------------------------------------ M-2 WAL 10.16 8.66 7.01 5.29 4.37 3.91 3.74 First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 5/25/2007 6/25/2007 7/25/2007 Expected Final Maturity 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Window 60 - 182 50 - 157 40 - 128 37 - 96 39 - 75 40 - 61 41 - 51 ------------------------------------------------------------------------------------------------------------------------------------ M-3 WAL 10.16 8.66 7.01 5.28 4.34 3.85 3.61 First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 4/25/2007 5/25/2007 6/25/2007 Expected Final Maturity 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Window 60 - 182 50 - 157 40 - 128 37 - 96 38 - 75 39 - 61 40 - 51 ------------------------------------------------------------------------------------------------------------------------------------ B-1 WAL 10.16 8.66 7.01 5.28 4.34 3.83 3.56 First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 4/25/2007 5/25/2007 5/25/2007 Expected Final Maturity 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Window 60 - 182 50 - 157 40 - 128 37 - 96 38 - 75 39 - 61 39 - 51 ------------------------------------------------------------------------------------------------------------------------------------ B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 10.16 8.66 7.01 5.28 4.33 3.78 3.51 First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Window 60 - 182 50 - 157 40 - 128 37 - 123 96 37 - 98 75 38 - 61 39 - 51 ------------------------------------------------------------------------------------------------------------------------------------ B-3 WAL 10.00 8.51 6.88 5.18 4.23 3.71 3.40 First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 3/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Window 60 - 182 50 - 157 40 - 128 37 - 80 ----------------------------------------------------------------------------------------96 37 - 75 37 - 61 38 - 51
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO MATURITY CALL ---------------------------------------------------------------------------------------- CPR (%) 20 25 30 ---------------------------------------------------------------------------------------- A ----- ---------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 (YRS) 3.25 2.54 2.00 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 10/25/2003 10/25/2003 10/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 6/25/2013 5/25/2011 12/25/2009 WINDOW 1 - 243 117 1 - 199 92 1 - 166 ---------------------------------------------------------------------------------------- 75 ----- ---------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 6.36 5.17 4.62 FIRST PAYMENT DATE 7/25/2006 10/25/2006 1/25/2007 4/25/2007 EXPECTED FINAL MATURITY 6/25/2013 5/25/2011 12/25/2009 WINDOW 37 - 117 40 - 92 43 - 75 ----- ---------------------------------------------------------------------------------- M-2 WAL 6.36 5.12 4.44 FIRST PAYMENT DATE 10/25/2006 11/25/2006 1/25/2007 EXPECTED FINAL MATURITY 6/25/2013 5/25/2011 12/25/2009 WINDOW 37 - 117 38 - 92 40 - 75 ----- ---------------------------------------------------------------------------------- M-3 WAL 6.36 5.10 4.37 FIRST PAYMENT DATE 10/25/2006 11/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 6/25/2013 5/25/2011 12/25/2009 WINDOW 37 - 201 40 117 38 - 163 42 92 39 - 135 ---------------------------------------------------------------------------------------- M-2 75 ----- ---------------------------------------------------------------------------------- B-1 WAL 6.75 5.49 4.75 6.36 5.10 4.35 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 10/25/2006 10/25/2006 11/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 6/25/2013 5/25/2011 12/25/2009 WINDOW 37 - 184 117 37 - 92 38 - 149 39 - 123 ---------------------------------------------------------------------------------------- B-1 75 ----- ---------------------------------------------------------------------------------- B-2 WAL 6.55 5.30 4.54 6.36 5.09 4.33 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 10/25/2006 10/25/2006 11/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 6/25/2013 5/25/2011 12/25/2009 WINDOW 37 - 159 117 37 - 128 92 38 - 105 ---------------------------------------------------------------------------------------- B-2 75 ----- ---------------------------------------------------------------------------------- B-3 WAL 6.15 4.95 4.22 6.36 5.08 4.32 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 10/25/2006 10/25/2006 10/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 6/25/2013 5/25/2011 12/25/2009 WINDOW 37 - 123 117 37 - 98 92 37 - 80 75 ----------------------------------------------------------------------------------------
Appears in 1 contract
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- Sensitivity To CALL ------- ------------------------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A ------------------------------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 3.22 2.51 1.98 First Payment Date 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009 Window 1 - 243 116 1 - 199 92 1 - 166 ---------------------------------------------------------------------------------------- 75 ------------------------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 6.34 5.17 4.63 First Payment Date 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 1/25/2007 Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009 Window 37 - 201 116 40 - 163 42 92 43 - 135 ---------------------------------------------------------------------------------------- 75 ------------------------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 6.34 5.12 4.44 First Payment Date 7/25/2006 8/25/2006 10/25/2006 Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009 Window 37 - 116 38 - 92 40 - 75 ------------------------------------------------------------------------------------------------------- M-3 WAL 6.34 5.10 4.37 First Payment Date 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009 Window 37 - 184 116 38 - 149 92 39 - 123 ---------------------------------------------------------------------------------------- 75 ------------------------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 6.34 5.10 4.35 First Payment Date 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009 Window 37 - 159 116 37 - 128 92 38 - 105 ---------------------------------------------------------------------------------------- 75 ------------------------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 6.34 5.08 4.33 First Payment Date 7/25/2006 7/25/2006 8/25/2006 Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009 Window 37 - 116 37 - 92 38 - 75 ------------------------------------------------------------------------------------------------------- B-3 WAL 6.33 5.07 4.30 First Payment Date 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009 Window 37 - 123 116 37 - 98 92 37 - 80 ----------------------------------------------------------------------------------------75 ------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------
Appears in 1 contract
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- ------------------------------------------------------------------------------ Page 13 16 CPR SENSITIVITY TO Sensitivity To MATURITY ---------------------------------------------------------------------------------------- CPR (%) 20 25 30 ---------------------------------------------------------------------------------------- A A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (yrs) 3.54 2.78 2.22 First Payment Date 3/25/2004 3/25/2004 3/25/2004 Expected Final Maturity 10/25/2024 1/25/2021 2/25/2018 Window 1 - 243 248 1 - 199 203 1 - 166 168 ---------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 6.98 5.68 5.02 First Payment Date 3/25/2007 6/25/2007 8/25/2007 Expected Final Maturity 6/25/2021 2/25/2018 8/25/2015 Window 37 - 201 208 40 - 163 168 42 - 135 ---------------------------------------------------------------------------------------- 138 --------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 6.90 5.57 4.80 First Payment Date 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 12/25/2019 11/25/2016 8/25/2014 Window 37 - 184 190 38 - 149 153 39 - 123 126 ---------------------------------------------------------------------------------------- M-3 WAL 6.81 5.48 4.68 First Payment Date 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 11/25/2017 2/25/2015 2/25/2013 Window 37 - 165 38 - 132 39 - 108 ---------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 6.72 5.40 4.60 First Payment Date 3/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 2/25/2017 6/25/2014 8/25/2012 Window 37 - 159 156 37 - 128 124 38 - 105 102 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 6.57 5.27 4.49 First Payment Date 3/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 11/25/2015 7/25/2013 10/25/2011 Window 37 - 123 141 37 - 98 113 38 - 92 ---------------------------------------------------------------------------------------- B-3 WAL 6.31 5.06 4.29 First Payment Date 3/25/2007 3/25/2007 3/25/2007 Expected Final Maturity 7/25/2014 5/25/2012 11/25/2010 Window 37 - 80 125 37 - 99 37 - 81 ----------------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- ----------- --------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A --------------------------------------------------------------------------------------- A-1 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW 1 - 243 1 - 199 1 - 166 ---------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW 1 - 243 1 - 199 1 - 166 --------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 37 - 201 40 - 163 42 - 135 ---------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 37 - 184 38 - 149 39 - 123 ---------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 37 - 159 37 - 128 38 - 105 ---------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 37 - 123 37 - 98 37 - 80 ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------
Appears in 1 contract
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO Weighted Average Life Sensitivity To MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A ----------- ---------------------------------------------------------------------------------------------------------------------------- PPC 50 60 75 100 125 ---------------------------------------------------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 5.79 4.99 4.10 3.11 2.42 First Payment Date 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW 7/25/2003 7/25/2003 Expected Final Maturity 11/25/2030 2/25/2029 11/25/2025 1/25/2021 7/25/2017 Window 1 - 243 329 1 - 199 308 1 - 166 ---------------------------------------------------------------------------------------- 269 1 - 211 1 - 169 ---------------------------------------------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 11.12 9.55 7.78 5.92 5.06 First Payment Date 6/25/2008 9/25/2007 11/25/2006 9/25/2006 1/25/2007 Expected Final Maturity 6/25/2028 2/25/2026 8/25/2022 3/25/2018 3/25/2015 Window 60 - 300 51 - 272 41 - 230 39 - 177 43 - 141 ---------------------------------------------------------------------------------------------------------------------------- M-2 WAL 11.06 9.48 7.71 5.84 4.86 First Payment Date 6/25/2008 9/25/2007 11/25/2006 8/25/2006 9/25/2006 Expected Final Maturity 1/25/2027 7/25/2024 2/25/2021 1/25/2017 3/25/2014 Window 60 - 283 51 - 253 41 - 212 38 - 163 39 - 129 ---------------------------------------------------------------------------------------------------------------------------- M-3 WAL 10.95 9.38 7.62 5.76 4.74 First Payment Date 6/25/2008 9/25/2007 11/25/2006 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 9/25/2006 Expected Final Maturity 11/25/2024 3/25/2022 1/25/2019 5/25/2015 10/25/2012 Window 60 - 257 51 - 225 41 - 187 37 - 201 40 143 39 - 163 42 - 135 ---------------------------------------------------------------------------------------- M-2 112 ---------------------------------------------------------------------------------------------------------------------------- B-1 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 10.86 9.28 7.55 5.69 4.67 First Payment Date 6/25/2008 9/25/2007 11/25/2006 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW Expected Final Maturity 10/25/2023 3/25/2021 2/25/2018 8/25/2014 3/25/2012 Window 60 - 244 51 - 213 41 - 176 37 - 184 38 - 149 39 - 123 ---------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 37 - 159 37 - 128 134 38 - 105 ---------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 10.70 9.13 7.42 5.58 4.57 First Payment Date 6/25/2008 9/25/2007 11/25/2006 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 8/25/2006 Expected Final Maturity 5/25/2022 11/25/2019 1/25/2017 9/25/2013 8/25/2011 2/25/2010 WINDOW 7/25/2011 Window 60 - 227 51 - 197 41 - 163 37 - 123 38 - 97 ---------------------------------------------------------------------------------------------------------------------------- B-3 WAL 10.37 8.85 7.16 5.39 4.40 First Payment Date 6/25/2008 9/25/2007 11/25/2006 7/25/2006 7/25/2006 Expected Final Maturity 9/25/2020 4/25/2018 9/25/2015 8/25/2012 9/25/2010 Window 60 - 207 51 - 178 41 - 147 37 - 98 110 37 - 80 ----------------------------------------------------------------------------------------87 ---------------------------------------------------------------------------------------------------------------------------- (TABLE CONTINUED) ----------------------------------------------------------------------- PPC 150 175 ----------------------------------------------------------------------- A-2 WAL 1.88 1.27 First Payment Date 7/25/2003 7/25/2003 Expected Final Maturity 12/25/2014 6/25/2006 Window 1 - 138 1 - 36 ----------------------------------------------------------------------- M-1 WAL 4.93 5.99 First Payment Date 5/25/2007 6/25/2006 Expected Final Maturity 1/25/2013 1/25/2013 Window 47 - 115 36 - 115 ----------------------------------------------------------------------- M-2 WAL 4.40 4.35 First Payment Date 11/25/2006 2/25/2007 Expected Final Maturity 3/25/2012 9/25/2010 Window 41 - 105 44 - 87 ----------------------------------------------------------------------- M-3 WAL 4.20 3.96 First Payment Date 10/25/2006 12/25/2006 Expected Final Maturity 1/25/2011 10/25/2009 Window 40 - 91 42 - 76 ----------------------------------------------------------------------- B-1 WAL 4.11 3.83 First Payment Date 9/25/2006 10/25/2006 Expected Final Maturity 8/25/2010 5/25/2009 Window 39 - 86 40 - 71 ----------------------------------------------------------------------- B-2 WAL 4.00 3.69 First Payment Date 8/25/2006 9/25/2006 Expected Final Maturity 12/25/2009 11/25/2008 Window 38 - 78 39 - 65 ----------------------------------------------------------------------- B-3 WAL 3.84 3.53 First Payment Date 8/25/2006 8/25/2006 Expected Final Maturity 4/25/2009 4/25/2008 Window 38 - 70 38 - 58 ----------------------------------------------------------------------- --------------------------------------------------------------------------------
Appears in 1 contract
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- ------------------------------------------------------------------------------ Page 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A Weighted Average Life Sensitivity To CALL ------------------------------------------------------------------------------------------------------------------------------- PPC (%) 50 60 75 100 125 150 175 ------------------------------------------------------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (yrs) 5.39 4.59 3.73 2.79 2.15 1.67 1.29 First Payment Date 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Window 1 - 243 183 1 - 199 157 1 - 166 ---------------------------------------------------------------------------------------- 128 1 - 96 1 - 75 1 - 61 1 - 51 ------------------------------------------------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 37 10.20 8.68 7.03 5.33 4.55 4.40 4.24 First Payment Date 2/25/2009 5/25/2008 7/25/2007 5/25/2007 8/25/2007 11/25/2007 5/25/2008 Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Window 60 - 201 40 183 51 - 163 157 41 - 128 39 - 96 42 - 135 ---------------------------------------------------------------------------------------- 75 45 - 61 51 - 51 ------------------------------------------------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 37 10.20 8.68 7.03 5.31 4.42 4.01 3.95 First Payment Date 2/25/2009 5/25/2008 7/25/2007 4/25/2007 5/25/2007 7/25/2007 9/25/2007 Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Window 60 - 184 38 183 51 - 149 39 - 123 ---------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 37 - 159 37 157 41 - 128 38 - 105 ---------------------------------------------------------------------------------------- 96 39 - 75 41 - 61 43 - 51 ------------------------------------------------------------------------------------------------------------------------------- M-3 WAL 10.20 8.68 7.03 5.30 4.37 3.88 3.67 First Payment Date 2/25/2009 5/25/2008 7/25/2007 3/25/2007 5/25/2007 6/25/2007 7/25/2007 Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Window 60 - 183 51 - 157 41 - 128 37 - 96 39 - 75 40 - 61 41 - 51 ------------------------------------------------------------------------------------------------------------------------------- B-1 WAL 10.20 8.68 7.03 5.30 4.35 3.84 3.59 First Payment Date 2/25/2009 5/25/2008 7/25/2007 3/25/2007 4/25/2007 5/25/2007 6/25/2007 Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Window 60 - 183 51 - 157 41 - 128 37 - 96 38 - 75 39 - 61 40 - 51 ------------------------------------------------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 10.20 8.68 7.03 5.30 4.34 3.80 3.53 First Payment Date 2/25/2009 5/25/2008 7/25/2007 3/25/2007 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Window 60 - 183 51 - 157 41 - 128 37 - 123 96 37 - 98 75 38 - 61 39 - 51 ------------------------------------------------------------------------------------------------------------------------------- B-3 WAL 10.13 8.62 6.98 5.26 4.29 3.76 3.45 First Payment Date 2/25/2009 5/25/2008 7/25/2007 3/25/2007 3/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Window 60 - 183 51 - 157 41 - 128 37 - 80 ----------------------------------------------------------------------------------------96 37 - 75 37 - 61 38 - 51 -------------------------------------------------------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 16 CPR SENSITIVITY TO Sensitivity To MATURITY ---------------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CPR (%) 20 25 30 ---------------------------------------------------------------------------------------- A -------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (yrs) 3.53 2.77 2.21 First Payment Date 2/25/2004 2/25/2004 2/25/2004 Expected Final Maturity 10/25/2024 12/25/2020 1/25/2018 Window 1 - 243 249 1 - 199 203 1 - 166 ---------------------------------------------------------------------------------------- 168 -------------------------------------------------------------------------------- A-3 WAL 1.71 1.32 1.08 First Payment Date 2/25/2004 2/25/2004 2/25/2004 Expected Final Maturity 7/25/2008 8/25/2007 7/25/2006 Window 1 - 54 1 - 43 1 - 30 -------------------------------------------------------------------------------- A-4 WAL 8.45 6.72 5.28 First Payment Date 7/25/2008 8/25/2007 7/25/2006 Expected Final Maturity 10/25/2024 12/25/2020 1/25/2018 Window 54 - 249 43 - 203 30 - 168 -------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 6.96 5.67 5.01 First Payment Date 2/25/2007 5/25/2007 7/25/2007 Expected Final Maturity 5/25/2021 1/25/2018 7/25/2015 Window 37 - 201 208 40 - 163 168 42 - 135 ---------------------------------------------------------------------------------------- 138 -------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 6.89 5.56 4.80 First Payment Date 2/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 11/25/2019 9/25/2016 6/25/2014 Window 37 - 184 190 38 - 149 152 39 - 123 ---------------------------------------------------------------------------------------- 125 -------------------------------------------------------------------------------- M-3 WAL 6.79 5.47 4.67 First Payment Date 2/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 11/25/2017 1/25/2015 2/25/2013 Window 37 - 166 38 - 132 39 - 109 -------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 6.71 5.39 4.59 First Payment Date 2/25/2007 2/25/2007 3/25/2007 Expected Final Maturity 12/25/2016 5/25/2014 6/25/2012 Window 37 - 159 155 37 - 124 38 - 101 -------------------------------------------------------------------------------- B-2 WAL 6.58 5.28 4.50 First Payment Date 2/25/2007 2/25/2007 3/25/2007 Expected Final Maturity 12/25/2015 7/25/2013 10/25/2011 Window 37 - 143 37 - 114 38 - 93 -------------------------------------------------------------------------------- B-3 WAL 6.31 5.06 4.30 First Payment Date 2/25/2007 2/25/2007 2/25/2007 Expected Final Maturity 9/25/2014 6/25/2012 12/25/2010 Window 37 - 128 38 - 105 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 37 - 123 101 37 - 98 37 - 80 ----------------------------------------------------------------------------------------83 --------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 14 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- Sensitivity To Maturity ------------------------------------------------------------------------------- CPR (%) 20 25 30 ---------------------------------------------------------------------------------------- ------------------------------------------------------------------------------- A WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (years) 3.65 2.90 2.35 First Payment Date 2/25/2004 2/25/2004 2/25/2004 Expected Final Maturity 1/25/2024 6/25/2020 9/25/2017 Window 1 - 243 240 1 - 199 197 1 - 166 ---------------------------------------------------------------------------------------- 164 ------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW (years) 6.68 5.46 4.76 First Payment Date 2/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 4/25/2019 5/25/2016 4/25/2014 Window 37 - 201 183 39 - 148 40 - 163 42 123 ------------------------------------------------------------------------------- M-2 WAL (years) 6.58 5.36 4.63 First Payment Date 2/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 11/25/2017 4/25/2015 4/25/2013 Window 37 - 166 38 - 135 ---------------------------------------------------------------------------------------- M-2 39 - 111 ------------------------------------------------------------------------------- B WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW (years) 6.31 5.12 4.38 First Payment Date 2/25/2007 2/25/2007 2/25/2007 Expected Final Maturity 2/25/2016 10/25/2013 2/25/2012 Window 37 - 184 38 - 149 39 - 123 ---------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 145 37 - 159 117 37 - 128 38 - 105 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 37 - 123 37 - 98 37 - 80 ----------------------------------------------------------------------------------------97 -------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 14 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- Sensitivity To CALL ------------------------------------------------------------------------ CPR (%) 20 25 30 ---------------------------------------------------------------------------------------- A ------------------------------------------------------------------------ A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (yrs) 3.41 2.68 2.15 First Payment Date 3/25/2004 3/25/2004 3/25/2004 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 1 - 243 116 1 - 199 92 1 - 166 ---------------------------------------------------------------------------------------- 75 ------------------------------------------------------------------------ M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 6.32 5.11 4.45 First Payment Date 3/25/2007 4/25/2007 6/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 201 116 38 - 92 40 - 163 42 - 135 ---------------------------------------------------------------------------------------- 75 ------------------------------------------------------------------------ M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 6.32 5.09 4.36 First Payment Date 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 184 116 38 - 149 92 39 - 123 ---------------------------------------------------------------------------------------- 75 ------------------------------------------------------------------------ M-3 WAL 6.32 5.09 4.34 First Payment Date 3/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 116 37 - 92 38 - 75 ------------------------------------------------------------------------ B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 6.32 5.07 4.32 First Payment Date 3/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 159 116 37 - 128 92 38 - 105 ---------------------------------------------------------------------------------------- 75 ------------------------------------------------------------------------ B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 6.32 5.07 4.32 First Payment Date 3/25/2007 3/25/2007 3/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 123 116 37 - 98 92 37 - 80 ----------------------------------------------------------------------------------------75 ------------------------------------------------------------------------ B-3 WAL 6.21 4.98 4.22 First Payment Date 3/25/2007 3/25/2007 3/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 116 37 - 92 37 - 75 ------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY -------------------------------------------------------------------------------- MORGAN STANLEY Apxxx 00, 0000 Xxxxxxxxxxx Xxxxxxxx Xxxxx [XXXXXXX XXXXXXX] -------------------------------------------------------------------------------- APPROXIMATELY $485,081,000 MORGAN STANLEY ABS CAPITAL I INC., SERIES 2003-NC5 XXXXXX STANLEY ABS CAPITAL I INC. XXXXSXXXX HOMEEQ SERVICING CORP. SERVICER TRANSACTION HIGHLIGHTS MODIFIED EXPECTED RATINGS AVG LIFE DURATION OFFERED (S&P/FITCH/ TO MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A WAL 3.49 2.75 2.20 FIRST CALL TO CALL / PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW TO CALL / CLASSES DESCRIPTION BALANCE MOODY'S) MTY (1)(2) MTY (1)(2)(3) MTY (1)(2) ------------------------------------------------------------------------------------------------------------------------------------ A-1 Not Offered 502,341,000 *****Not Offered***** A-2 Floater 311,716,000 AAA/AAA/Aaa 2.86 / 3.17 2.76 / 3.03 06/03 - 05/11 / 06/03 - 12/20 M-1 Floater 63,818,000 AA/AA/Aa2 5.33 / 5.88 5.02 / 5.47 08/06 - 05/11 / 08/06 - 12/17 M-2 Floater 55,276,000 A/A/A2 5.30 / 5.79 4.83 / 5.20 07/06 - 05/11 / 07/06 - 09/16 M-3 Floater 17,588,000 A-/A-/A3 5.29 / 5.69 4.76 / 5.05 06/06 - 05/11 / 06/06 - 11/14 B-1 Floater 13,065,000 BBB+/BBB+/Baa1 5.29 / 5.60 4.59 / 4.81 06/06 - 05/11 / 06/06 - 12/13 B-2 Floater 11,055,000 BBB/BBB/Baa2 5.29 / 5.48 4.53 / 4.66 06/06 - 05/11 / 06/06 - 01/13 B-3 Floater 12,563,000 BBB-/BBB-/Baa3 5.21 / 5.23 4.48 / 4.49 06/06 - 05/11 / 06/06 - 12/11 (TABLE CONTINUED) INITIAL OFFERED SUBORDINATION CLASSES LEVEL BENCHMARK ----------------------------------------- A-1 A-2 19.00% 1 - 243 Mo. LIBOR M-1 12.65% 1 - 199 Mo. LIBOR M-2 7.15% 1 - 166 ---------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 37 - 201 40 - 163 42 - 135 ---------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 37 - 184 38 - 149 39 - 123 ---------------------------------------------------------------------------------------- Mo. LIBOR M-3 5.40% 1 Mo. LIBOR B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 37 - 159 37 - 128 38 - 105 ---------------------------------------------------------------------------------------- 4.10% 1 Mo. LIBOR B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 37 - 123 37 - 98 37 - 80 ----------------------------------------------------------------------------------------3.00% 1 Mo. LIBOR B-3 1.75% 1 Mo. LIBOR
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO 14 Weighted Average Life Sensitivity To MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A ----------------------------------------------------------------------------------------------------------------------------------- PPC (%) 50 60 75 100 125 150 175 ----------------------------------------------------------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (yrs) 5.76 4.95 4.05 3.06 2.37 1.85 1.38 First Payment Date 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 Expected Final Maturity 6/25/2031 9/25/2029 7/25/2026 9/25/2021 2/25/2018 7/25/2015 8/25/2013 Window 1 - 243 328 1 - 199 307 1 - 166 ---------------------------------------------------------------------------------------- 269 1 - 211 1 - 168 1 - 137 1 - 114 ----------------------------------------------------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 11.05 9.49 7.73 5.88 5.00 4.76 5.40 First Payment Date 2/25/2009 5/25/2008 7/25/2007 5/25/2007 8/25/2007 11/25/2007 5/25/2008 Expected Final Maturity 10/25/2028 6/25/2026 12/25/2022 8/25/2018 8/25/2015 6/25/2013 11/25/2011 Window 60 - 296 51 - 268 41 - 226 39 - 174 42 - 138 45 - 112 51 - 93 ----------------------------------------------------------------------------------------------------------------------------------- M-2 WAL 10.97 9.40 7.65 5.79 4.81 4.33 4.21 First Payment Date 2/25/2009 5/25/2008 7/25/2007 4/25/2007 5/25/2007 7/25/2007 9/25/2007 Expected Final Maturity 4/25/2027 10/25/2024 5/25/2021 4/25/2017 7/25/2014 8/25/2012 3/25/2011 Window 60 - 278 51 - 248 41 - 207 38 - 158 39 - 125 41 - 102 43 - 85 ----------------------------------------------------------------------------------------------------------------------------------- M-3 WAL 10.85 9.29 7.55 5.70 4.70 4.14 3.89 First Payment Date 2/25/2009 5/25/2008 7/25/2007 3/25/2007 5/25/2007 6/25/2007 7/25/2007 Expected Final Maturity 10/25/2024 4/25/2022 2/25/2019 7/25/2015 2/25/2013 6/25/2011 3/25/2010 Window 60 - 248 51 - 218 41 - 180 37 - 201 137 39 - 108 40 - 163 42 88 41 - 135 ---------------------------------------------------------------------------------------- M-2 73 ----------------------------------------------------------------------------------------------------------------------------------- B-1 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 10.74 9.18 7.46 5.63 4.61 4.06 3.77 First Payment Date 2/25/2009 5/25/2008 7/25/2007 3/25/2007 4/25/2007 5/25/2007 6/25/2007 Expected Final Maturity 11/25/2023 5/25/2021 4/25/2018 11/25/2014 8/25/2012 1/25/2011 11/25/2009 Window 60 - 237 51 - 207 41 - 170 37 - 184 129 38 - 149 102 39 - 123 ---------------------------------------------------------------------------------------- B-1 83 40 - 69 ----------------------------------------------------------------------------------------------------------------------------------- B-2 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 10.54 8.99 7.30 5.50 4.51 3.94 3.63 First Payment Date 2/25/2009 5/25/2008 7/25/2007 3/25/2007 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 4/25/2022 11/25/2019 1/25/2017 11/25/2013 10/25/2011 5/25/2010 4/25/2009 Window 60 - 218 51 - 189 41 - 155 37 - 159 117 37 - 128 92 38 - 105 ---------------------------------------------------------------------------------------- B-2 75 39 - 62 ----------------------------------------------------------------------------------------------------------------------------------- B-3 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 10.18 8.67 7.02 5.29 4.32 3.79 3.46 First Payment Date 2/25/2009 5/25/2008 7/25/2007 3/25/2007 3/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 5/25/2020 2/25/2018 8/25/2015 9/25/2012 11/25/2010 8/25/2009 9/25/2008 Window 60 - 195 51 - 168 41 - 138 37 - 123 103 37 - 98 81 37 - 80 ----------------------------------------------------------------------------------------66 38 - 55 -----------------------------------------------------------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR 11 WEIGHTED AVERAGE LIFE SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- PPC 50 60 75 100 125 150 175 --------------------------------------------------------------------------------------------------------------------------------- A WAL 3.49 2.75 2.20 5.94 5.14 4.23 3.21 2.50 1.97 1.53 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 9/25/2030 5/25/2029 8/25/2026 3/25/2022 8/25/2018 12/25/2015 12/25/2013 WINDOW 1 - 243 327 1 - 199 311 1 - 166 ---------------------------------------------------------------------------------------- 278 1 - 225 1 - 182 1 - 150 1 - 126 --------------------------------------------------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 11.45 9.95 8.22 6.28 5.23 4.79 4.87 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 9/25/2008 12/25/2007 1/25/2007 8/25/2006 11/25/2006 2/25/2007 6/25/2007 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 4/25/2028 3/25/2026 2/25/2023 11/25/2018 11/25/2015 9/25/2013 12/25/2011 WINDOW 37 63 - 201 40 298 54 - 163 42 273 43 - 135 ---------------------------------------------------------------------------------------- 236 38 - 185 41 - 149 44 - 123 48 - 102 --------------------------------------------------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 11.37 9.87 8.13 6.20 5.09 4.49 4.22 FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 8/25/2006 9/25/2006 10/25/2006 11/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 11/25/2026 8/25/2024 7/25/2021 7/25/2017 9/25/2014 9/25/2012 3/25/2011 WINDOW 63 - 281 54 - 254 43 - 217 37 - 184 38 - 149 169 39 - 123 ---------------------------------------------------------------------------------------- 135 40 - 111 41 - 93 --------------------------------------------------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 11.12 9.62 7.91 6.01 4.90 4.25 3.88 FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 7/25/2006 8/25/2006 8/25/2006 EXPECTED FINAL MATURITY 6/25/2024 3/25/2022 2/25/2019 7/25/2015 2/25/2013 5/25/2011 1/25/2010 WINDOW 63 - 252 54 - 225 43 - 188 37 - 145 37 - 116 38 - 95 38 - 79 --------------------------------------------------------------------------------------------------------------------------------- B-2 WAL 10.52 9.07 7.44 5.63 4.57 3.95 3.57 FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 4/25/2020 3/25/2018 9/25/2015 10/25/2012 11/25/2010 7/25/2009 7/25/2008 WINDOW 63 - 202 54 - 177 43 - 147 37 - 159 112 37 - 128 89 37 - 73 38 - 105 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 37 - 123 37 - 98 37 - 80 ----------------------------------------------------------------------------------------61 ---------------------------------------------------------------------------------------------------------------------------------
Appears in 1 contract
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW 1 -------------------------------------------------------------------------------- Morgan Stanley Juxx 0, 2000 Xxxxxxxxxxx Xxxxxxxx Xxxxx [XXXGAN STANLEY LOGO] -------------------------------------------------------------------------------- Approximately $550,791,000 Morgan Stanley ABS Capital I Inc., Series 2003-HE1 Mxxxxx Xtanley ABS Capital I Inc. Xxxxxxtxx Chase Manhattan Mortgage Corporation The Provident Bank Servicers Transaction Highlights ---------------------- Modified Expected Ratings Avg Life to Duration Offered (S&P/Fitch/ Call / To Call / Classes Description Balance(4) Moody's) Mty(1)(2) Mty(1)(2)(3) ------- ----------- ------------ ---------------- ----------- ------------ A-1 Not Offered $339,605,000 A-2 Floater $231,363,000 AAA/AAA/Aaa 2.82 / 3.11 2.72 / 2.97 A-3 Floater $100,000,000 AAA/AAA/Aaa 1.28 / 1.28 1.28 / 1.28 A-4 Floater $57,000,000 AAA/AAA/Aaa 5.51 / 6.32 5.24 / 5.92 M-1 Floater $59,147,000 AA/AA/Aa2 5.35 / 5.92 5.04 / 5.50 M-2 Floater $50,048,000 A/A/A2 5.33 / 5.84 4.83 / 5.21 M-3 Floater $14,560,000 A-/A-/A3 5.32 / 5.76 4.77 / 5.09 B-1 Floater $14,104,000 BBB+/BBB+/Baa1 5.31 / 5.69 4.59 / 4.85 B-2 Floater $11,830,000 BBB/BBB/Baa2 5.31 / 5.58 4.54 / 4.72 B-3 Floater $12,739,000 BBB-/BBB-/Baa3 5.30 / 5.39 4.54 / 4.59 Initial Offered Payment Window To Call / Subordination Classes Mty(1)(2) Level Benchmark ------- ----------------------------- ------------- ----------- A-1 *****Not Offered***** A-2 07/03 - 243 06/11 / 07/03 - 01/21 20.00% 1 Mo. LIBOR A-3 07/03 - 199 02/06 / 07/03 - 02/06 20.00% 1 Mo. LIBOR A-4 02/06 - 166 ---------------------------------------------------------------------------------------- 06/11 / 02/06 - 01/21 20.00% 1 Mo. LIBOR M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 37 09/06 - 201 40 06/11 / 09/06 - 163 42 03/18 13.50% 1 Mo. LIBOR M-2 08/06 - 135 ---------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 37 06/11 / 08/06 - 184 38 01/17 8.00% 1 Mo. LIBOR M-3 07/06 - 149 39 06/11 / 07/06 - 123 ---------------------------------------------------------------------------------------- 05/15 6.40% 1 Mo. LIBOR B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 37 07/06 - 159 37 06/11 / 07/06 - 128 38 08/14 4.85% 1 Mo. LIBOR B-2 07/06 - 105 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 37 06/11 / 07/06 - 123 37 09/13 3.55% 1 Mo. LIBOR B-3 07/06 - 98 37 06/11 / 07/06 - 80 ----------------------------------------------------------------------------------------08/12 2.15% 1 Mo. LIBOR Notes: (1) Certificates are priced to the 10% optional clean-up call.
Appears in 1 contract
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO Weighted Average Life Sensitivity To MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A ------------------------------------------------------------------------------------------------------------ PPC (%) 50 60 75 100 125 150 175 ------------------------------------------------------------------------------------------------------------ A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (yrs) 5.96 5.11 4.17 3.14 2.45 1.94 1.53 First Payment Date 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 Expected Final 6/25/2031 9/25/2029 6/25/2026 8/25/2021 2/25/2018 7/25/2015 8/25/2013 Maturity Window 1 - 243 328 1 - 199 307 1 - 166 ---------------------------------------------------------------------------------------- 268 1 - 210 1 - 168 1 - 137 1 - 114 ------------------------------------------------------------------------------------------------------------ M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 10.97 9.40 7.65 5.80 4.85 4.43 4.43 First Payment Date 2/25/2009 4/25/2008 6/25/2007 4/25/2007 6/25/2007 7/25/2007 10/25/2007 Expected Final 11/25/2027 5/25/2025 12/25/2021 10/25/2017 12/25/2014 11/25/2012 6/25/2011 Maturity Window 60 - 285 50 - 255 40 - 214 38 - 164 40 - 130 41 - 105 44 - 88 ------------------------------------------------------------------------------------------------------------ M-2 WAL 10.84 9.28 7.54 5.70 4.70 4.16 3.93 First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 5/25/2007 6/25/2007 7/25/2007 Expected Final 4/25/2025 10/25/2022 7/25/2019 11/25/2015 5/25/2013 8/25/2011 5/25/2010 Maturity Window 60 - 254 50 - 224 40 - 185 37 - 201 141 39 - 111 40 - 163 42 90 41 - 135 ---------------------------------------------------------------------------------------- M-2 75 ------------------------------------------------------------------------------------------------------------ M-3 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 10.74 9.18 7.45 5.62 4.62 4.07 3.79 First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 4/25/2007 5/25/2007 6/25/2007 Expected Final 10/25/2023 4/25/2021 4/25/2018 11/25/2014 7/25/2012 12/25/2010 10/25/2009 Maturity Window 60 - 236 50 - 206 40 - 170 37 - 184 129 38 - 149 101 39 - 123 ---------------------------------------------------------------------------------------- 82 40 - 68 ------------------------------------------------------------------------------------------------------------ B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 10.62 9.07 7.36 5.55 4.55 4.00 3.70 First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 4/25/2007 5/25/2007 5/25/2007 Expected Final 11/25/2022 5/25/2020 7/25/2017 3/25/2014 1/25/2012 7/25/2010 6/25/2009 Maturity Window 60 - 225 50 - 195 40 - 161 37 - 159 121 38 - 95 39 - 77 39 - 64 ------------------------------------------------------------------------------------------------------------ B-2 WAL 10.42 8.88 7.20 5.43 4.45 3.88 3.58 First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 3/25/2007 4/25/2007 5/25/2007 Expected Final 8/25/2021 3/25/2019 7/25/2016 6/25/2013 6/25/2011 1/25/2010 1/25/2009 Maturity Window 60 - 210 50 - 181 40 - 149 37 - 128 112 37 - 88 38 - 105 ---------------------------------------------------------------------------------------- B-2 71 39 - 59 ------------------------------------------------------------------------------------------------------------ B-3 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 10.01 8.52 6.89 5.19 4.24 3.72 3.41 First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 3/25/2007 3/25/2007 4/25/2007 Expected Final 11/25/2019 8/25/2017 3/25/2015 5/25/2012 8/25/2010 5/25/2009 7/25/2008 Maturity Window 60 - 189 50 - 162 40 - 133 37 - 123 99 37 - 98 78 37 - 80 ----------------------------------------------------------------------------------------63 38 - 53 ------------------------------------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR 11 WEIGHTED AVERAGE LIFE SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A ----------- ------------------------------------------------------------------------------------------------------------------------------ PPC 50 60 75 100 125 150 175 ------------------------------------------------------------------------------------------------------------------------------ A-1 WAL 3.49 2.75 2.20 5.94 5.14 4.23 3.21 2.50 1.97 1.53 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 9/25/2030 5/25/2029 8/25/2026 3/25/2022 8/25/2018 12/25/2015 12/25/2013 WINDOW 1 - 243 327 1 - 199 311 1 - 166 ---------------------------------------------------------------------------------------- M-1 278 1 - 225 1 - 182 1 - 150 1 - 126 ------------------------------------------------------------------------------------------------------------------------------ A-2 WAL 6.83 5.60 4.96 5.94 5.14 4.23 3.21 2.50 1.97 1.53 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 9/25/2030 5/25/2029 8/25/2026 3/25/2022 8/25/2018 12/25/2015 12/25/2013 WINDOW 37 1 - 201 40 327 1 - 163 42 311 1 - 135 ---------------------------------------------------------------------------------------- M-2 278 1 - 225 1 - 182 1 - 150 1 - 126 ------------------------------------------------------------------------------------------------------------------------------ M-1 WAL 6.75 5.49 4.75 11.45 9.95 8.22 6.28 5.23 4.79 4.87 FIRST PAYMENT DATE 7/25/2006 9/25/2008 12/25/2007 1/25/2007 8/25/2006 9/25/2006 11/25/2006 2/25/2007 6/25/2007 EXPECTED FINAL MATURITY 10/25/2018 4/25/2028 3/25/2026 2/25/2023 11/25/2018 11/25/2015 9/25/2013 12/25/2011 WINDOW 37 63 - 184 298 54 - 273 43 - 236 38 - 185 41 - 149 39 44 - 123 ---------------------------------------------------------------------------------------- B-1 48 - 102 ------------------------------------------------------------------------------------------------------------------------------ M-2 WAL 6.55 5.30 4.54 11.37 9.87 8.13 6.20 5.09 4.49 4.22 FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 9/25/2006 10/25/2006 11/25/2006 EXPECTED FINAL MATURITY 11/25/2026 8/25/2024 7/25/2021 7/25/2017 9/25/2014 9/25/2012 3/25/2011 WINDOW 63 - 281 54 - 254 43 - 217 37 - 169 39 - 135 40 - 111 41 - 93 ------------------------------------------------------------------------------------------------------------------------------ B-1 WAL 11.12 9.62 7.91 6.01 4.90 4.25 3.88 FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 7/25/2006 8/25/2006 8/25/2006 EXPECTED FINAL MATURITY 6/25/2024 3/25/2022 2/25/2019 7/25/2015 2/25/2013 5/25/2011 1/25/2010 WINDOW 63 - 252 54 - 225 43 - 188 37 - 145 37 - 116 38 - 95 38 - 79 ------------------------------------------------------------------------------------------------------------------------------ B-2 WAL 10.52 9.07 7.44 5.63 4.57 3.95 3.57 FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 4/25/2020 3/25/2018 9/25/2015 10/25/2012 11/25/2010 7/25/2009 7/25/2008 WINDOW 63 - 202 54 - 177 43 - 147 37 - 159 112 37 - 128 89 37 - 73 38 - 105 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 37 - 123 37 - 98 37 - 80 ----------------------------------------------------------------------------------------61 ------------------------------------------------------------------------------------------------------------------------------ --------------------------------------------------------------------------------
Appears in 1 contract
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR 11 WEIGHTED AVERAGE LIFE SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A CALL ---------------------------------------------------------------------------------------------------------------------------------- PPC (%) 50 60 75 100 125 150 175 ----- ---------------------------------------------------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 (YRS) 5.38 4.58 3.73 2.79 2.15 1.64 1.25 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 10/25/2003 10/25/2003 10/25/2003 10/25/2003 10/25/2003 10/25/2003 10/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 12/25/2018 10/25/2016 5/25/2014 8/25/2011 12/25/2009 10/25/2008 9/25/2006 WINDOW 1 - 243 183 1 - 199 157 1 - 166 ---------------------------------------------------------------------------------------- 128 1 - 95 1 - 75 1 - 61 1 - 36 ----- ---------------------------------------------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 10.20 8.67 7.01 5.31 4.59 4.55 4.12 FIRST PAYMENT DATE 7/25/2006 9/25/2008 11/25/2007 1/25/2007 12/25/2006 4/25/2007 8/25/2007 9/25/2006 EXPECTED FINAL MATURITY 12/25/2018 10/25/2016 5/25/2014 8/25/2011 12/25/2009 10/25/2008 11/25/2007 WINDOW 60 - 183 50 - 157 40 - 128 39 - 95 43 - 75 47 - 61 36 - 50 ----- ---------------------------------------------------------------------------------------------------------------------------- M-2 WAL 10.20 8.67 7.01 5.28 4.43 4.06 4.02 FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 11/25/2006 1/25/2007 2/25/2007 5/25/2007 EXPECTED FINAL MATURITY 12/25/2018 10/25/2016 5/25/2014 8/25/2011 12/25/2009 10/25/2008 11/25/2007 WINDOW 60 - 183 50 - 157 40 - 128 38 - 95 40 - 75 41 - 61 44 - 50 ----- ---------------------------------------------------------------------------------------------------------------------------- M-3 WAL 10.20 8.67 7.01 5.27 4.36 3.90 3.71 FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 10/25/2006 12/25/2006 1/25/2007 3/25/2007 EXPECTED FINAL MATURITY 12/25/2018 10/25/2016 5/25/2014 8/25/2011 12/25/2009 10/25/2008 11/25/2007 WINDOW 60 - 183 50 - 157 40 - 128 37 - 95 39 - 75 40 - 61 42 - 50 ----- ---------------------------------------------------------------------------------------------------------------------------- B-1 WAL 10.20 8.67 7.01 5.26 4.34 3.85 3.61 FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 10/25/2006 11/25/2006 12/25/2006 1/25/2007 EXPECTED FINAL MATURITY 12/25/2018 10/25/2016 5/25/2014 8/25/2011 12/25/2009 10/25/2008 11/25/2007 WINDOW 60 - 183 50 - 157 40 - 128 37 - 95 38 - 75 39 - 61 40 - 50 ----- ---------------------------------------------------------------------------------------------------------------------------- B-2 WAL 10.20 8.67 7.01 5.26 4.33 3.82 3.53 FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 10/25/2006 11/25/2006 11/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 12/25/2018 10/25/2016 5/25/2014 8/25/2011 12/25/2009 10/25/2008 11/25/2007 WINDOW 60 - 183 50 - 157 40 - 128 37 - 201 40 95 38 - 163 42 75 38 - 135 ---------------------------------------------------------------------------------------- M-2 61 39 - 50 ----- ---------------------------------------------------------------------------------------------------------------------------- B-3 WAL 6.75 5.49 4.75 10.19 8.66 7.00 5.25 4.31 3.77 3.47 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 9/25/2008 11/25/2007 1/25/2007 10/25/2006 10/25/2006 11/25/2006 11/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 12/25/2018 10/25/2016 5/25/2014 8/25/2011 12/25/2009 10/25/2008 11/25/2007 WINDOW 60 - 183 50 - 157 40 - 128 37 - 184 95 37 - 75 38 - 149 39 - 123 ---------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 37 - 159 37 - 128 61 38 - 105 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 37 - 123 37 - 98 37 - 80 ----------------------------------------------------------------------------------------50 ----------------------------------------------------------------------------------------------------------------------------------
Appears in 1 contract
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A ------------------------------------------------------------------------------- Weighted Average Life Sensitivity To Maturity ----------- ------------------------------------------------------------------------------------------------------------------------------------ PPC (%) 50 60 75 100 125 150 175 ------------------------------------------------------------------------------------------------------------------------------------ A-1 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (years) 6.11 5.28 4.34 3.28 2.57 2.04 1.62 First Payment Date 6/25/2004 6/25/2004 6/25/2004 6/25/2004 6/25/2004 6/25/2004 6/25/2004 Expected Final Maturity 9/25/2031 5/25/2030 9/25/2027 2/25/2023 7/25/2019 11/25/2016 11/25/2014 Window 1 - 243 328 1 - 199 312 1 - 166 ---------------------------------------------------------------------------------------- 280 1 - 225 1 - 182 1 - 150 1 - 126 ------------------------------------------------------------------------------------------------------------------------------------ M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW (years) 11.45 9.93 8.19 6.23 5.17 4.65 4.57 First Payment Date 8/25/2009 10/25/2008 12/25/2007 7/25/2007 9/25/2007 12/25/2007 3/25/2008 Expected Final Maturity 10/25/2028 9/25/2026 7/25/2023 4/25/2019 4/25/2016 3/25/2014 7/25/2012 Window 63 - 293 53 - 268 43 - 230 38 - 179 40 - 143 43 - 118 46 - 98 ------------------------------------------------------------------------------------------------------------------------------------ M-2 WAL (years) 11.37 9.85 8.10 6.16 5.06 4.44 4.16 First Payment Date 8/25/2009 10/25/2008 12/25/2007 6/25/2007 8/25/2007 9/25/2007 11/25/2007 Expected Final Maturity 7/25/2027 4/25/2025 2/25/2022 2/25/2018 5/25/2015 5/25/2013 11/25/2011 Window 63 - 278 53 - 251 43 - 213 37 - 201 165 39 - 132 40 - 163 108 42 - 135 ---------------------------------------------------------------------------------------- M-2 90 ------------------------------------------------------------------------------------------------------------------------------------ B-1 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW (years) 11.16 9.64 7.92 6.01 4.90 4.25 3.88 First Payment Date 8/25/2009 10/25/2008 12/25/2007 6/25/2007 6/25/2007 7/25/2007 8/25/2007 Expected Final Maturity 7/25/2025 2/25/2023 2/25/2020 7/25/2016 1/25/2014 4/25/2012 12/25/2010 Window 63 - 254 53 - 225 43 - 189 37 - 184 146 37 - 116 38 - 149 95 39 - 123 ---------------------------------------------------------------------------------------- B-1 79 ------------------------------------------------------------------------------------------------------------------------------------ B-2 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 (years) 10.79 9.30 7.62 5.77 4.68 4.05 3.67 First Payment Date 8/25/2009 10/25/2008 12/25/2007 6/25/2007 6/25/2007 7/25/2007 7/25/2007 Expected Final Maturity 2/25/2022 11/25/2019 3/25/2017 3/25/2014 3/25/2012 WINDOW 9/25/2010 9/25/2009 Window 63 - 213 53 - 186 43 - 154 37 - 159 118 37 - 128 94 38 - 105 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 37 76 38 - 123 37 - 98 37 - 80 ----------------------------------------------------------------------------------------64 ------------------------------------------------------------------------------------------------------------------------------------ -------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO Weighted Average Life Sensitivity To MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A ------------------------------------------------------------------------------------------------------------------------- PPC (%) 50 60 75 100 125 ------------------------------------------------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (yrs) 5.72 4.92 4.03 3.04 2.36 First Payment Date 11/25/2003 11/25/2003 11/25/2003 11/25/2003 11/25/2003 Expected Final Maturity 3/25/2031 5/25/2029 3/25/2026 5/25/2021 10/25/2017 Window 1 - 243 329 1 - 199 307 1 - 166 ---------------------------------------------------------------------------------------- 269 1 - 211 1 - 168 ------------------------------------------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 11.08 9.51 7.75 5.89 5.02 First Payment Date 10/25/2008 1/25/2008 3/25/2007 1/25/2007 4/25/2007 Expected Final Maturity 8/25/2028 4/25/2026 10/25/2022 5/25/2018 5/25/2015 Window 60 - 298 51 - 270 41 - 228 39 - 175 42 - 139 ------------------------------------------------------------------------------------------------------------------------- M-2 WAL 11.00 9.43 7.67 5.81 4.82 First Payment Date 10/25/2008 1/25/2008 3/25/2007 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 1/25/2007 Expected Final Maturity 2/25/2027 8/25/2024 4/25/2021 2/25/2017 5/25/2014 Window 60 - 280 51 - 250 41 - 210 38 - 160 39 - 127 ------------------------------------------------------------------------------------------------------------------------- M-3 WAL 10.90 9.33 7.58 5.73 4.71 First Payment Date 10/25/2008 1/25/2008 3/25/2007 11/25/2006 1/25/2007 Expected Final Maturity 10/25/2024 3/25/2022 1/25/2019 5/25/2015 12/25/2012 Window 60 - 252 51 - 221 41 - 183 37 - 201 40 139 39 - 163 42 110 ------------------------------------------------------------------------------------------------------------------------- B-1 WAL 10.83 9.26 7.52 5.67 4.66 First Payment Date 10/25/2008 1/25/2008 3/25/2007 11/25/2006 12/25/2006 Expected Final Maturity 1/25/2024 7/25/2021 6/25/2018 11/25/2014 7/25/2012 Window 60 - 135 ---------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 243 51 - 213 41 - 176 37 - 184 38 - 149 39 - 123 ---------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 37 - 159 37 - 128 133 38 - 105 ---------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 10.71 9.14 7.42 5.59 4.58 First Payment Date 10/25/2008 1/25/2008 3/25/2007 11/25/2006 12/25/2006 Expected Final Maturity 1/25/2023 7/25/2020 8/25/2017 3/25/2014 1/25/2012 Window 60 - 231 51 - 201 41 - 166 37 - 123 125 38 - 99 ------------------------------------------------------------------------------------------------------------------------- B-3 WAL 10.44 8.89 7.21 5.43 4.44 First Payment Date 10/25/2008 1/25/2008 3/25/2007 11/25/2006 11/25/2006 Expected Final Maturity 6/25/2021 2/25/2019 5/25/2016 3/25/2013 3/25/2011 Window 60 - 212 51 - 184 41 - 151 37 - 98 113 37 - 89 ------------------------------------------------------------------------------------------------------------------------- TABLE (CONTINUED) ----------------------------------------------------------------------- PPC (%) 150 175 ----------------------------------------------------------------------- A-2 WAL (yrs) 1.83 1.33 First Payment Date 11/25/2003 11/25/2003 Expected Final Maturity 3/25/2015 4/25/2013 Window 1 - 137 1 - 114 ----------------------------------------------------------------------- M-1 WAL 4.83 5.71 First Payment Date 8/25/2007 2/25/2008 Expected Final Maturity 3/25/2013 1/25/2012 Window 46 - 113 52 - 99 ----------------------------------------------------------------------- M-2 WAL 4.35 4.25 First Payment Date 3/25/2007 5/25/2007 Expected Final Maturity 5/25/2012 11/25/2010 Window 41 - 103 43 - 85 ----------------------------------------------------------------------- M-3 WAL 4.17 3.93 First Payment Date 2/25/2007 4/25/2007 Expected Final Maturity 3/25/2011 12/25/2009 Window 40 - 89 42 - 74 ----------------------------------------------------------------------- B-1 WAL 4.11 3.83 First Payment Date 1/25/2007 3/25/2007 Expected Final Maturity 11/25/2010 9/25/2009 Window 39 - 85 41 - 71 ----------------------------------------------------------------------- B-2 WAL 4.02 3.72 First Payment Date 1/25/2007 1/25/2007 Expected Final Maturity 6/25/2010 4/25/2009 Window 39 - 80 ----------------------------------------------------------------------------------------39 - 66 ----------------------------------------------------------------------- B-3 WAL 3.87 3.56 First Payment Date 12/25/2006 12/25/2006 Expected Final Maturity 10/25/2009 10/25/2008 Window 38 - 72 38 - 60 -----------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 15 CPR SENSITIVITY TO Sensitivity To MATURITY ---------------------------------------------------------------------------------------- ----------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A ----------------------- ---------- ---------- ---------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 3.48 2.73 2.16 First Payment Date 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW Expected Final Maturity 2/25/2024 4/25/2020 6/25/2017 Window 1 - 243 248 1 - 199 202 1 - 166 ---------------------------------------------------------------------------------------- 168 A-3 WAL 1.38 1.09 0.89 First Payment Date 7/25/2003 7/25/2003 7/25/2003 Expected Final Maturity 8/25/2006 11/25/2005 6/25/2005 Window 1 - 38 1 - 29 1 - 24 A-4 WAL 7.16 5.61 4.40 First Payment Date 8/25/2006 11/25/2005 6/25/2005 Expected Final Maturity 2/25/2024 4/25/2020 6/25/2017 Window 38 - 248 29 - 202 24 - 168 M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7.01 5.71 5.09 First Payment Date 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 1/25/2007 Expected Final Maturity 2/25/2021 9/25/2017 3/25/2015 Window 37 - 201 212 40 - 163 42 171 43 - 135 ---------------------------------------------------------------------------------------- 141 M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 6.95 5.61 4.85 First Payment Date 7/25/2006 8/25/2006 10/25/2006 Expected Final Maturity 8/25/2019 7/25/2016 3/25/2014 Window 37 - 194 38 - 157 40 - 129 M-3 WAL 6.87 5.52 4.72 First Payment Date 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW Expected Final Maturity 10/25/2017 11/25/2014 10/25/2012 Window 37 - 184 172 38 - 149 137 39 - 123 ---------------------------------------------------------------------------------------- 112 B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 6.79 5.46 4.65 First Payment Date 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 Expected Final Maturity 11/25/2016 3/25/2014 3/25/2012 WINDOW Window 37 - 159 161 37 - 128 129 38 - 105 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 6.67 5.34 4.55 First Payment Date 7/25/2006 7/25/2006 8/25/2006 Expected Final Maturity 10/25/2015 4/25/2013 7/25/2011 Window 37 - 148 37 - 118 38 - 97 B-3 WAL 6.43 5.15 4.37 First Payment Date 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW Expected Final Maturity 7/25/2014 4/25/2012 9/25/2010 Window 37 - 123 133 37 - 98 106 37 - 80 ----------------------------------------------------------------------------------------87
Appears in 1 contract
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 14 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR (%) 20 25 30 ---------------------------------------------------------------------------------------- A ----- ---------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 (YRS) 3.51 2.76 2.19 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 10/25/2003 10/25/2003 10/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 5/25/2024 8/25/2020 9/25/2017 WINDOW 1 - 243 248 1 - 199 203 1 - 166 ---------------------------------------------------------------------------------------- 168 ----- ---------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 7.02 5.71 5.07 FIRST PAYMENT DATE 7/25/2006 10/25/2006 1/25/2007 4/25/2007 EXPECTED FINAL MATURITY 5/25/2021 12/25/2017 5/25/2015 WINDOW 37 - 212 40 - 171 43 - 140 ----- ---------------------------------------------------------------------------------- M-2 WAL 6.96 5.61 4.85 FIRST PAYMENT DATE 10/25/2006 11/25/2006 1/25/2007 EXPECTED FINAL MATURITY 11/25/2019 9/25/2016 5/25/2014 WINDOW 37 - 194 38 - 156 40 - 128 ----- ---------------------------------------------------------------------------------- M-3 WAL 6.87 5.52 4.72 FIRST PAYMENT DATE 10/25/2006 11/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 12/25/2017 1/25/2015 1/25/2013 WINDOW 37 - 201 40 171 38 - 163 42 136 39 - 135 ---------------------------------------------------------------------------------------- M-2 112 ----- ---------------------------------------------------------------------------------- B-1 WAL 6.75 5.49 4.75 6.78 5.45 4.64 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 10/25/2006 10/25/2006 11/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 37 - 184 38 - 149 39 - 123 ---------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 12/25/2016 4/25/2014 5/25/2012 WINDOW 37 - 159 37 - 128 127 38 - 105 ---------------------------------------------------------------------------------------- 104 ----- ---------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 6.67 5.34 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 10/25/2006 10/25/2006 11/25/2006 EXPECTED FINAL MATURITY 9/25/2013 11/25/2015 5/25/2013 8/25/2011 2/25/2010 WINDOW 37 - 123 146 37 - 98 116 38 - 95 ----- ---------------------------------------------------------------------------------- B-3 WAL 6.46 5.17 4.39 FIRST PAYMENT DATE 10/25/2006 10/25/2006 10/25/2006 EXPECTED FINAL MATURITY 10/25/2014 7/25/2012 12/25/2010 WINDOW 37 - 80 133 37 - 106 37 - 87 ----------------------------------------------------------------------------------------
Appears in 1 contract
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO 14 Weighted Average Life Sensitivity To MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A ----------------------------------------------------------------------------------------------------------------------------------- PPC (%) 50 60 75 100 125 150 175 ----------------------------------------------------------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (yrs) 5.73 4.92 4.02 3.03 2.34 1.82 1.35 First Payment Date 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 Expected Final Maturity 5/25/2031 7/25/2029 5/25/2026 7/25/2021 12/25/2017 6/25/2015 7/25/2013 Window 1 - 243 328 1 - 199 306 1 - 166 ---------------------------------------------------------------------------------------- 268 1 - 210 1 - 167 1 - 137 1 - 114 ----------------------------------------------------------------------------------------------------------------------------------- A-3 WAL 2.92 2.47 2.00 1.49 1.18 0.97 0.82 First Payment Date 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 Expected Final Maturity 7/25/2011 5/25/2010 2/25/2009 11/25/2007 8/25/2006 3/25/2006 10/25/2005 Window 1 - 90 1 - 76 1 - 61 1 - 46 1 - 31 1 - 26 1 - 21 ----------------------------------------------------------------------------------------------------------------------------------- A-4 WAL 13.32 11.54 9.49 7.18 5.51 4.12 2.76 First Payment Date 7/25/2011 5/25/2010 2/25/2009 11/25/2007 8/25/2006 3/25/2006 10/25/2005 Expected Final Maturity 5/25/2031 7/25/2029 5/25/2026 7/25/2021 12/25/2017 6/25/2015 7/25/2013 Window 90 - 328 76 - 306 61 - 268 46 - 210 31 - 167 26 - 137 21 - 114 ----------------------------------------------------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 10.99 9.44 7.69 5.85 4.98 4.76 5.46 First Payment Date 1/25/2009 3/25/2008 5/25/2007 4/25/2007 7/25/2007 11/25/2007 4/25/2008 Expected Final Maturity 9/25/2028 4/25/2026 10/25/2022 6/25/2018 6/25/2015 5/25/2013 10/25/2011 Window 60 - 296 50 - 267 40 - 225 39 - 173 42 - 137 46 - 112 51 - 93 ----------------------------------------------------------------------------------------------------------------------------------- M-2 WAL 10.91 9.35 7.61 5.77 4.79 4.32 4.21 First Payment Date 1/25/2009 3/25/2008 5/25/2007 3/25/2007 4/25/2007 6/25/2007 8/25/2007 Expected Final Maturity 2/25/2027 7/25/2024 3/25/2021 2/25/2017 6/25/2014 6/25/2012 1/25/2011 Window 60 - 277 50 - 246 40 - 206 38 - 157 39 - 125 41 - 101 43 - 84 ----------------------------------------------------------------------------------------------------------------------------------- M-3 WAL 10.80 9.24 7.51 5.68 4.68 4.14 3.89 First Payment Date 1/25/2009 3/25/2008 5/25/2007 2/25/2007 4/25/2007 5/25/2007 6/25/2007 Expected Final Maturity 10/25/2024 3/25/2022 2/25/2019 6/25/2015 1/25/2013 5/25/2011 2/25/2010 Window 60 - 249 50 - 218 40 - 181 37 - 201 137 39 - 108 40 - 163 42 88 41 - 135 ---------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 37 - 184 38 - 149 39 - 123 ---------------------------------------------------------------------------------------- 73 ----------------------------------------------------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 37 10.69 9.14 7.42 5.60 4.60 4.05 3.76 First Payment Date 1/25/2009 3/25/2008 5/25/2007 2/25/2007 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 8/25/2023 2/25/2021 2/25/2018 9/25/2014 6/25/2012 11/25/2010 9/25/2009 Window 60 - 159 235 50 - 205 40 - 169 37 - 128 38 - 105 ---------------------------------------------------------------------------------------- 101 39 - 82 40 - 68 ----------------------------------------------------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 10.52 8.98 7.28 5.49 4.51 3.94 3.64 First Payment Date 1/25/2009 3/25/2008 5/25/2007 2/25/2007 3/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 5/25/2022 12/25/2019 2/25/2017 11/25/2013 10/25/2011 5/25/2010 4/25/2009 Window 60 - 220 50 - 191 40 - 157 37 - 123 118 38 - 93 38 - 76 39 - 63 ----------------------------------------------------------------------------------------------------------------------------------- B-3 WAL 10.14 8.64 7.00 5.27 4.31 3.78 3.47 First Payment Date 1/25/2009 3/25/2008 5/25/2007 2/25/2007 2/25/2007 2/25/2007 3/25/2007 Expected Final Maturity 8/25/2020 4/25/2018 9/25/2015 10/25/2012 12/25/2010 8/25/2009 9/25/2008 Window 60 - 199 50 - 171 40 - 140 37 - 98 105 37 - 80 ----------------------------------------------------------------------------------------83 37 - 67 38 - 56 -----------------------------------------------------------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR 10 WEIGHTED AVERAGE LIFE SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A CALL ------- ------------------------------------------------------------------------------------------------------------------------- PPC 50 60 75 100 125 150 175 ------------------------------------------------------------------------------------------------------------------------- A-1 WAL 3.49 2.75 2.20 5.59 4.80 3.92 2.96 2.30 1.80 1.39 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 3/25/2019 3/25/2017 10/25/2014 2/25/2012 4/25/2010 1/25/2009 2/25/2008 WINDOW 1 - 243 189 1 - 199 165 1 - 166 ---------------------------------------------------------------------------------------- M-1 136 1 - 104 1 - 82 1 - 67 1 - 56 ------------------------------------------------------------------------------------------------------------------------- A-2 WAL 6.83 5.60 4.96 5.59 4.80 3.92 2.96 2.30 1.80 1.39 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 3/25/2019 3/25/2017 10/25/2014 2/25/2012 4/25/2010 1/25/2009 2/25/2008 WINDOW 37 1 - 201 40 189 1 - 163 42 165 1 - 135 ---------------------------------------------------------------------------------------- M-2 136 1 - 104 1 - 82 1 - 67 1 - 56 ------------------------------------------------------------------------------------------------------------------------- M-1 WAL 6.75 5.49 4.75 10.61 9.15 7.50 5.70 4.76 4.40 4.47 FIRST PAYMENT DATE 7/25/2006 9/25/2008 12/25/2007 1/25/2007 8/25/2006 9/25/2006 11/25/2006 2/25/2007 6/25/2007 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 3/25/2019 3/25/2017 10/25/2014 2/25/2012 4/25/2010 1/25/2009 2/25/2008 WINDOW 37 63 - 184 189 54 - 165 43 - 136 38 - 149 39 104 41 - 123 ---------------------------------------------------------------------------------------- B-1 82 44 - 67 48 - 56 ------------------------------------------------------------------------------------------------------------------------- M-2 WAL 6.55 5.30 4.54 10.61 9.15 7.50 5.69 4.67 4.14 3.94 FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 9/25/2006 10/25/2006 11/25/2006 EXPECTED FINAL MATURITY 3/25/2019 3/25/2017 10/25/2014 2/25/2012 4/25/2010 1/25/2009 2/25/2008 WINDOW 63 - 189 54 - 165 43 - 136 37 - 104 39 - 82 40 - 67 41 - 56 ------------------------------------------------------------------------------------------------------------------------- B-1 WAL 10.61 9.15 7.50 5.69 4.63 4.03 3.69 FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 7/25/2006 8/25/2006 8/25/2006 EXPECTED FINAL MATURITY 3/25/2019 3/25/2017 10/25/2014 2/25/2012 4/25/2010 1/25/2009 2/25/2008 WINDOW 63 - 189 54 - 165 43 - 136 37 - 104 37 - 82 38 - 67 38 - 56 ------------------------------------------------------------------------------------------------------------------------- B-2 WAL 10.48 9.03 7.40 5.61 4.55 3.93 3.56 FIRST PAYMENT DATE 9/25/2008 12/25/2007 1/25/2007 7/25/2006 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 3/25/2019 3/25/2017 10/25/2014 2/25/2012 4/25/2010 1/25/2009 2/25/2008 WINDOW 63 - 189 54 - 165 43 - 136 37 - 159 104 37 - 128 82 37 - 67 38 - 105 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 37 - 123 37 - 98 37 - 80 ----------------------------------------------------------------------------------------56 ------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------
Appears in 1 contract
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW 1 -------------------------------------------------------------------------------- Morgan Stanley Juxx 0, 2000 Xxxxxxxxxxx Xxxxxxxx Xxxxx [XXXXXX XXXXXXX XXXX] -------------------------------------------------------------------------------- Approximately $550,791,000 Morgan Stanley ABS Capital I Inc., Series 2003-HE1 Xxxxxx Stanley ABS Capital I Inc. Xxxxxxtxx Chase Manhattan Mortgage Corporation The Provident Bank Servicers Transaction Highlights ----------------------------------------------------------------------------------------------------------------- Modified Avg Life to Duration To Offered Expected Ratings Call/ Call/ Classes Description Balance(4) (S&P/Fitch/ Moody's) Mty(1)(2) Mty(1)(2)(3) ----------------------------------------------------------------------------------------------------------------- A-1 Not Offered $339,605,000 *****Not Offered***** A-2 Floater $388,363,000 AAA/AAA/Aaa 2.82 / 3.11 2.72 / 2.97 M-1 Floater $59,147,000 AA/AA/Aa2 5.35 / 5.92 5.04 / 5.50 M-2 Floater $50,048,000 A/A/A2 5.33 / 5.84 4.83 / 5.21 M-3 Floater $14,560,000 A-/A-/A3 5.32 / 5.76 4.77 / 5.09 B-1 Floater $14,104,000 BBB+/BBB+/Baa1 5.31 / 5.69 4.59 / 4.85 B-2 Floater $11,830,000 BBB/BBB/Baa2 5.31 / 5.58 4.54 / 4.72 B-3 Floater $12,739,000 BBB-/BBB-/Baa3 5.30 / 5.39 4.54 / 4.59 ----------------------------------------------------------------------------------------------------------------- (TABLE CONTINUED) -------------------------------------------------------------------------------- Offered Payment Window To Call/ Initial Classes Mty(1)(2) Subordination Level Benchmark -------------------------------------------------------------------------------- A-1 *****Not Offered***** A-2 07/03 - 243 06/11 / 07/03 - 01/21 20.00% 1 Mo. LIBOR M-1 09/06 - 199 06/11 / 09/06 - 03/18 13.50% 1 Mo. LIBOR M-2 08/06 - 166 ---------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 37 06/11 / 08/06 - 201 40 01/17 8.00% 1 Mo. LIBOR M-3 07/06 - 163 42 06/11 / 07/06 - 135 ---------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 37 05/15 6.40% 1 Mo. LIBOR B-1 07/06 - 184 38 06/11 / 07/06 - 149 39 08/14 4.85% 1 Mo. LIBOR B-2 07/06 - 123 ---------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 37 06/11 / 07/06 - 159 37 09/13 3.55% 1 Mo. LIBOR B-3 07/06 - 128 38 06/11 / 07/06 - 105 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 37 - 123 37 - 98 37 - 80 ----------------------------------------------------------------------------------------08/12 2.15% 1 Mo. LIBOR --------------------------------------------------------------------------------
Appears in 1 contract
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 12 CPR SENSITIVITY TO MATURITY CALL ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A WAL 3.49 2.75 2.20 3.22 2.53 2.01 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 12/25/2012 1/25/2011 8/25/2009 WINDOW 1 - 243 114 1 - 199 91 1 - 166 74 ---------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 6.21 5.08 4.53 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 12/25/2012 1/25/2011 8/25/2009 WINDOW 37 - 201 114 40 - 163 91 42 - 135 74 ---------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 6.21 5.04 4.37 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 12/25/2012 1/25/2011 8/25/2009 WINDOW 37 - 184 114 38 - 149 91 39 - 123 74 ---------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 6.21 5.02 4.29 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 12/25/2012 1/25/2011 8/25/2009 WINDOW 37 - 159 114 37 - 128 91 38 - 105 74 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 6.12 4.93 4.20 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 12/25/2012 1/25/2011 8/25/2009 WINDOW 37 - 123 114 37 - 98 91 37 - 80 74 ----------------------------------------------------------------------------------------
Appears in 1 contract
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ________________________________________________________________________________ CPR Sensitivity To MATURITY -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR (%) 20 25 30 ---------------------------------------------------------------------------------------- A -------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (yrs) 1.64 1.27 1.03 First Payment Date 11/25/2003 11/25/2003 11/25/2003 Expected Final Maturity 1/25/2008 9/25/2006 3/25/2006 Window 1 - 243 51 1 - 199 35 1 - 166 ---------------------------------------------------------------------------------------- 29 -------------------------------------------------------------------------------- A-3 WAL 8.21 6.49 5.06 First Payment Date 1/25/2008 9/25/2006 3/25/2006 Expected Final Maturity 7/25/2024 9/25/2020 11/25/2017 Window 51 - 249 35 - 203 29 - 169 -------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 6.99 5.69 5.06 First Payment Date 11/25/2006 2/25/2007 5/25/2007 Expected Final Maturity 5/25/2021 1/25/2018 7/25/2015 Window 37 - 201 211 40 - 163 42 171 43 - 135 ---------------------------------------------------------------------------------------- 141 -------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 6.92 5.59 4.83 First Payment Date 11/25/2006 12/25/2006 2/25/2007 Expected Final Maturity 12/25/2019 10/25/2016 6/25/2014 Window 37 - 184 194 38 - 149 156 40 - 128 -------------------------------------------------------------------------------- M-3 WAL 6.84 5.50 4.71 First Payment Date 11/25/2006 12/25/2006 1/25/2007 Expected Final Maturity 1/25/2018 3/25/2015 2/25/2013 Window 37 - 171 38 - 137 39 - 123 ---------------------------------------------------------------------------------------- 112 -------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 6.77 5.45 4.64 First Payment Date 11/25/2006 12/25/2006 12/25/2006 Expected Final Maturity 4/25/2017 7/25/2014 8/25/2012 Window 37 - 159 162 38 - 129 38 - 106 -------------------------------------------------------------------------------- B-2 WAL 6.65 5.33 4.53 First Payment Date 11/25/2006 11/25/2006 12/25/2006 Expected Final Maturity 3/25/2016 9/25/2013 11/25/2011 Window 37 - 128 149 37 - 119 38 - 105 ---------------------------------------------------------------------------------------- B-2 97 -------------------------------------------------------------------------------- B-3 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 6.42 5.14 4.37 First Payment Date 11/25/2006 11/25/2006 11/25/2006 Expected Final Maturity 10/25/2014 7/25/2012 12/25/2010 Window 37 - 123 132 37 - 98 105 37 - 80 ----------------------------------------------------------------------------------------86 -------------------------------------------------------------------------------- ________________________________________________________________________________
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 16 CPR SENSITIVITY TO Sensitivity To MATURITY ---------------------------------------------------------------------------------------- ------------------------------------------------------------------------------- CPR (%) 20 25 30 ---------------------------------------------------------------------------------------- A ------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (yrs) 3.54 2.78 2.22 First Payment Date 3/25/2004 3/25/2004 3/25/2004 Expected Final Maturity 10/25/2024 1/25/2021 2/25/2018 Window 1 - 243 248 1 - 199 203 1 - 166 ---------------------------------------------------------------------------------------- 168 ------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 6.98 5.68 5.02 First Payment Date 3/25/2007 6/25/2007 8/25/2007 Expected Final Maturity 6/25/2021 2/25/2018 8/25/2015 Window 37 - 201 208 40 - 163 168 42 - 135 ---------------------------------------------------------------------------------------- 138 ------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 6.90 5.57 4.80 First Payment Date 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 12/25/2019 11/25/2016 8/25/2014 Window 37 - 184 190 38 - 149 153 39 - 123 ---------------------------------------------------------------------------------------- 126 ------------------------------------------------------------------------------- M-3 WAL 6.81 5.48 4.68 First Payment Date 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 11/25/2017 2/25/2015 2/25/2013 Window 37 - 165 38 - 132 39 - 108 ------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 6.72 5.40 4.60 First Payment Date 3/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 2/25/2017 6/25/2014 8/25/2012 Window 37 - 159 156 37 - 128 124 38 - 105 ---------------------------------------------------------------------------------------- 102 ------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 6.57 5.27 4.49 First Payment Date 3/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 11/25/2015 7/25/2013 10/25/2011 Window 37 - 123 141 37 - 98 113 38 - 92 ------------------------------------------------------------------------------- B-3 WAL 6.31 5.06 4.29 First Payment Date 3/25/2007 3/25/2007 3/25/2007 Expected Final Maturity 7/25/2014 5/25/2012 11/25/2010 Window 37 - 80 ----------------------------------------------------------------------------------------125 37 - 99 37 - 81 -------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO ________________________________________________________________________________ Weighted Average Life Sensitivity To MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A ----------------------------------------------------------------------------------------------------------------------------------- PPC (%) 50 60 75 100 125 150 175 ----------------------------------------------------------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (yrs) 2.87 2.44 1.98 1.49 1.19 0.99 0.85 First Payment Date 11/25/2003 11/25/2003 11/25/2003 11/25/2003 11/25/2003 11/25/2003 11/25/2003 Expected Final Maturity 12/25/2010 11/25/2009 9/25/2008 7/25/2007 5/25/2006 11/25/2005 8/25/2005 Window 1 - 243 86 1 - 199 73 1 - 166 ---------------------------------------------------------------------------------------- 59 1 - 45 1 - 31 1 - 25 1 - 22 ----------------------------------------------------------------------------------------------------------------------------------- A-3 WAL 13.19 11.45 9.43 7.17 5.52 4.14 2.65 First Payment Date 12/25/2010 11/25/2009 9/25/2008 7/25/2007 5/25/2006 11/25/2005 8/25/2005 Expected Final Maturity 4/25/2031 7/25/2029 4/25/2026 6/25/2021 11/25/2017 4/25/2015 5/25/2013 Window 86 - 330 73 - 309 59 - 270 45 - 212 31 - 169 25 - 138 22 - 115 ----------------------------------------------------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 11.14 9.56 7.80 5.93 5.05 4.85 5.74 First Payment Date 11/25/2008 1/25/2008 3/25/2007 1/25/2007 4/25/2007 8/25/2007 3/25/2008 Expected Final Maturity 11/25/2028 6/25/2026 1/25/2023 7/25/2018 7/25/2015 5/25/2013 2/25/2012 Window 61 - 301 51 - 272 41 - 231 39 - 177 42 - 141 46 - 115 53 - 100 ----------------------------------------------------------------------------------------------------------------------------------- M-2 WAL 11.07 9.49 7.73 5.85 4.86 4.39 4.29 First Payment Date 11/25/2008 1/25/2008 3/25/2007 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 1/25/2007 3/25/2007 5/25/2007 Expected Final Maturity 5/25/2027 11/25/2024 6/25/2021 5/25/2017 7/25/2014 7/25/2012 1/25/2011 Window 61 - 283 51 - 253 41 - 212 38 - 163 39 - 129 41 - 105 43 - 87 ----------------------------------------------------------------------------------------------------------------------------------- M-3 WAL 10.97 9.39 7.64 5.78 4.75 4.20 3.95 First Payment Date 11/25/2008 1/25/2008 3/25/2007 11/25/2006 1/25/2007 2/25/2007 4/25/2007 Expected Final Maturity 4/25/2025 9/25/2022 6/25/2019 9/25/2015 3/25/2013 6/25/2011 2/25/2010 Window 61 - 258 51 - 227 41 - 188 37 - 201 143 39 - 113 40 - 163 92 42 - 135 ---------------------------------------------------------------------------------------- M-2 76 ----------------------------------------------------------------------------------------------------------------------------------- B-1 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 10.88 9.31 7.57 5.71 4.69 4.12 3.83 First Payment Date 11/25/2008 1/25/2008 3/25/2007 11/25/2006 12/25/2006 1/25/2007 2/25/2007 Expected Final Maturity 4/25/2024 9/25/2021 7/25/2018 1/25/2015 8/25/2012 1/25/2011 10/25/2009 Window 61 - 246 51 - 215 41 - 177 37 - 184 135 38 - 149 106 39 - 123 ---------------------------------------------------------------------------------------- B-1 87 40 - 72 ----------------------------------------------------------------------------------------------------------------------------------- B-2 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 10.72 9.15 7.44 5.61 4.59 4.01 3.70 First Payment Date 11/25/2008 1/25/2008 3/25/2007 11/25/2006 12/25/2006 12/25/2006 1/25/2007 Expected Final Maturity 12/25/2022 6/25/2020 7/25/2017 2/25/2014 3/25/2012 WINDOW 12/25/2011 6/25/2010 4/25/2009 Window 61 - 230 51 - 200 41 - 165 37 - 159 124 38 - 98 38 - 80 39 - 66 ----------------------------------------------------------------------------------------------------------------------------------- B-3 WAL 10.39 8.87 7.19 5.41 4.42 3.86 3.54 First Payment Date 11/25/2008 1/25/2008 3/25/2007 11/25/2006 11/25/2006 12/25/2006 12/25/2006 Expected Final Maturity 1/25/2021 8/25/2018 1/25/2016 12/25/2012 1/25/2011 9/25/2009 9/25/2008 Window 61 - 207 51 - 178 41 - 147 37 - 128 110 37 - 87 38 - 105 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 37 71 38 - 123 37 - 98 37 - 80 ----------------------------------------------------------------------------------------59 ----------------------------------------------------------------------------------------------------------------------------------- ________________________________________________________________________________
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- ------------------------------------------------------------------------------ MORGAN STANLEY Xxxx 0, 0000 Xecuritized Products Group MORGAN STANLEY [GRAPHIC] ------------------------------------------------------------------------------ $549,575,000 Morgan Stanley Auto Loan Trust 2003-HB1 Morgan Staxxxx XBX Xxxxxal II, Inc., Depositor Overview of the Ofxxxxx Nxxxx ----------------------------- ----------------------------------------------------------------------------------------------------------------- Expected Moody's and Class Initial Estimaxxx Principal S&P of Principal Credit Avg. Life Payment Final Expected Notes Balance Support Coupon (yrs)(1) Window(1) Payment Date Ratings ----------------------------------------------------------------------------------------------------------------- A-1 $408,175,000 5.75% [ ] 1.00 08/03-12/05 July 16, 2007 Aaa / AAA ----------------------------------------------------------------------------------------------------------------- A-2 $113,714,000 5.75% [ ] 2.94 12/05-09/06 April 15, 2011 Aaa / AAA ----------------------------------------------------------------------------------------------------------------- B $ 17,996,000 2.50% [ ] 1.89 03/04-09/06 April 15, 2011 A1 / A WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW 1 - 243 1 - 199 1 - 166 ---------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 37 - 201 40 - 163 42 - 135 ---------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 37 - 184 38 - 149 39 - 123 ---------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 37 - 159 37 - 128 38 - 105 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 37 - 123 37 - 98 37 - 80 --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- C $ 9,690,000 .75% [ ] 1.71 03/04-07/06 April 15, 2011 Baa1 / BBB ----------------------------------------------------------------------------------------------------------------- Total $549,575,000 -----------------------------------------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital Ii Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 12 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CALL ------- --------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A --------------------------------------------------------------------------------------- A-1 WAL 3.49 2.75 2.20 3.22 2.53 2.01 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 12/25/2012 1/25/2011 8/25/2009 WINDOW 1 - 243 114 1 - 199 91 1 - 166 ---------------------------------------------------------------------------------------- 74 --------------------------------------------------------------------------------------- A-2 WAL 3.22 2.53 2.01 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 12/25/2012 1/25/2011 8/25/2009 WINDOW 1 - 114 1 - 91 1 - 74 --------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 6.21 5.08 4.53 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 12/25/2012 1/25/2011 8/25/2009 WINDOW 37 - 201 114 40 - 163 91 42 - 135 ---------------------------------------------------------------------------------------- 74 --------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 6.21 5.04 4.37 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 12/25/2012 1/25/2011 8/25/2009 WINDOW 37 - 184 114 38 - 149 91 39 - 123 ---------------------------------------------------------------------------------------- 74 --------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 6.21 5.02 4.29 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 12/25/2012 1/25/2011 8/25/2009 WINDOW 37 - 159 114 37 - 128 91 38 - 105 ---------------------------------------------------------------------------------------- 74 --------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 6.12 4.93 4.20 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 12/25/2012 1/25/2011 8/25/2009 WINDOW 37 - 123 114 37 - 98 91 37 - 80 ----------------------------------------------------------------------------------------74 --------------------------------------------------------------------------------------- --------------------------------------------------------------------------------
Appears in 1 contract
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- Sensitivity To CALL CPR (%) 20 25 30 ---------------------------------------------------------------------------------------- A -------------------------------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW 6.38 5.77 5.33 First Payment Date 3/25/2007 6/25/2007 10/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 116 40 - 92 44 - 75 -------------------------------------------------------------------------------------------------------- A-3 WAL 0.99 0.79 0.65 First Payment Date 3/25/2004 3/25/2004 3/25/2004 Expected Final Maturity 3/25/2006 10/25/2005 6/25/2005 Window 1 - 243 25 1 - 199 20 1 - 166 ---------------------------------------------------------------------------------------- 16 -------------------------------------------------------------------------------------------------------- A-4 WAL 5.40 4.24 3.39 First Payment Date 3/25/2006 10/25/2005 6/25/2005 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 25 - 116 20 - 92 16 - 75 -------------------------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 6.32 5.12 4.46 First Payment Date 3/25/2007 4/25/2007 6/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 201 116 38 - 92 40 - 163 42 - 135 ---------------------------------------------------------------------------------------- 75 -------------------------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 6.32 5.09 4.37 First Payment Date 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 184 116 38 - 149 92 39 - 123 ---------------------------------------------------------------------------------------- 75 -------------------------------------------------------------------------------------------------------- M-3 WAL 6.32 5.09 4.34 First Payment Date 3/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 116 37 - 92 38 - 75 -------------------------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 6.32 5.07 4.32 First Payment Date 3/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 159 116 37 - 128 92 38 - 105 ---------------------------------------------------------------------------------------- 75 -------------------------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 6.32 5.07 4.32 First Payment Date 3/25/2007 3/25/2007 3/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 123 116 37 - 98 92 37 - 80 ----------------------------------------------------------------------------------------75 -------------------------------------------------------------------------------------------------------- B-3 WAL 6.21 4.98 4.22 First Payment Date 3/25/2007 3/25/2007 3/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 116 37 - 92 37 - 75
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A Weighted Average Life Sensitivity To CALL ----------------------------------------------------------------------------------------------------------------------------------- PPC (%) 50 60 75 100 125 150 175 ----------------------------------------------------------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (yrs) 5.36 4.56 3.70 2.77 2.13 1.64 1.27 First Payment Date 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 Expected Final Maturity 3/25/2019 1/25/2017 8/25/2014 1/25/2012 4/25/2010 2/25/2009 4/25/2008 Window 1 - 243 182 1 - 199 156 1 - 166 ---------------------------------------------------------------------------------------- 127 1 - 96 1 - 75 1 - 61 1 - 51 ----------------------------------------------------------------------------------------------------------------------------------- A-3 WAL 2.92 2.47 2.00 1.49 1.18 0.97 0.82 First Payment Date 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 Expected Final Maturity 7/25/2011 5/25/2010 2/25/2009 11/25/2007 8/25/2006 3/25/2006 10/25/2005 Window 1 - 90 1 - 76 1 - 61 1 - 46 1 - 31 1 - 26 1 - 21 ----------------------------------------------------------------------------------------------------------------------------------- A-4 WAL 11.96 10.21 8.29 6.23 4.72 3.46 2.46 First Payment Date 7/25/2011 5/25/2010 2/25/2009 11/25/2007 8/25/2006 3/25/2006 10/25/2005 Expected Final Maturity 3/25/2019 1/25/2017 8/25/2014 1/25/2012 4/25/2010 2/25/2009 4/25/2008 Window 90 - 182 76 - 156 61 - 127 46 - 96 31 - 75 26 - 61 21 - 51 ----------------------------------------------------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 10.14 8.63 6.98 5.31 4.55 4.41 4.24 First Payment Date 1/25/2009 3/25/2008 5/25/2007 4/25/2007 7/25/2007 11/25/2007 4/25/2008 Expected Final Maturity 3/25/2019 1/25/2017 9/25/2014 WINDOW 8/25/2014 1/25/2012 4/25/2010 2/25/2009 4/25/2008 Window 60 - 182 50 - 156 40 - 127 39 - 96 42 - 75 46 - 61 51 - 51 ----------------------------------------------------------------------------------------------------------------------------------- M-2 WAL 10.14 8.63 6.98 5.29 4.41 4.01 3.96 First Payment Date 1/25/2009 3/25/2008 5/25/2007 3/25/2007 4/25/2007 6/25/2007 8/25/2007 Expected Final Maturity 3/25/2019 1/25/2017 8/25/2014 1/25/2012 4/25/2010 2/25/2009 4/25/2008 Window 60 - 182 50 - 156 40 - 127 38 - 96 39 - 75 41 - 61 43 - 51 ----------------------------------------------------------------------------------------------------------------------------------- M-3 WAL 10.14 8.63 6.98 5.28 4.36 3.88 3.68 First Payment Date 1/25/2009 3/25/2008 5/25/2007 2/25/2007 4/25/2007 5/25/2007 6/25/2007 Expected Final Maturity 3/25/2019 1/25/2017 8/25/2014 1/25/2012 4/25/2010 2/25/2009 4/25/2008 Window 60 - 182 50 - 156 40 - 127 37 - 201 96 39 - 75 40 - 163 42 61 41 - 135 ---------------------------------------------------------------------------------------- M-2 51 ----------------------------------------------------------------------------------------------------------------------------------- B-1 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 10.14 8.63 6.98 5.28 4.33 3.83 3.59 First Payment Date 1/25/2009 3/25/2008 5/25/2007 2/25/2007 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 3/25/2019 1/25/2017 8/25/2014 1/25/2012 4/25/2010 2/25/2009 4/25/2008 Window 60 - 182 50 - 156 40 - 127 37 - 184 96 38 - 149 75 39 - 123 ---------------------------------------------------------------------------------------- B-1 61 40 - 51 ----------------------------------------------------------------------------------------------------------------------------------- B-2 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 10.14 8.63 6.98 5.28 4.33 3.80 3.53 First Payment Date 1/25/2009 3/25/2008 5/25/2007 2/25/2007 3/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 3/25/2019 1/25/2017 8/25/2014 1/25/2012 4/25/2010 2/25/2009 4/25/2008 Window 60 - 182 50 - 156 40 - 127 37 - 159 96 38 - 75 38 - 61 39 - 51 ----------------------------------------------------------------------------------------------------------------------------------- B-3 WAL 10.07 8.57 6.94 5.23 4.27 3.75 3.45 First Payment Date 1/25/2009 3/25/2008 5/25/2007 2/25/2007 2/25/2007 2/25/2007 3/25/2007 Expected Final Maturity 3/25/2019 1/25/2017 8/25/2014 1/25/2012 4/25/2010 2/25/2009 4/25/2008 Window 60 - 182 50 - 156 40 - 127 37 - 128 96 37 - 75 37 - 61 38 - 105 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 37 - 123 37 - 98 37 - 80 ----------------------------------------------------------------------------------------51 -----------------------------------------------------------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- 11 Weighted Average Life Sensitivity To Call ---------------------------------------------------------------------------------------------------------------------------------- PPC (%) 50 60 75 100 125 150 175 ---------------------------------------------------------------------------------------------------------------------------------- A WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (years) 5.76 4.96 4.08 3.09 2.43 1.95 1.58 First Payment Date 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 Expected Final Maturity 5/25/2019 6/25/2017 3/25/2015 7/25/2012 10/25/2010 8/25/2009 9/25/2008 Window 1 - 243 184 1 - 199 161 1 - 166 ---------------------------------------------------------------------------------------- 134 1 - 102 1 - 81 1 - 67 1 - 56 ---------------------------------------------------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW (years) 10.33 8.94 7.37 5.61 4.65 4.18 4.02 First Payment Date 3/25/2009 6/25/2008 8/25/2007 2/25/2007 4/25/2007 6/25/2007 8/25/2007 Expected Final Maturity 5/25/2019 6/25/2017 3/25/2015 7/25/2012 10/25/2010 8/25/2009 9/25/2008 Window 62 - 184 53 - 161 43 - 134 37 - 201 102 39 - 81 41 - 67 43 - 56 ---------------------------------------------------------------------------------------------------------------------------------- M-2 WAL (years) 10.33 8.94 7.37 5.61 4.61 4.06 3.78 First Payment Date 3/25/2009 6/25/2008 8/25/2007 2/25/2007 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 5/25/2019 6/25/2017 3/25/2015 7/25/2012 10/25/2010 8/25/2009 9/25/2008 Window 62 - 184 53 - 161 43 - 134 37 - 102 38 - 81 39 - 67 40 - 163 42 56 ---------------------------------------------------------------------------------------------------------------------------------- B WAL (years) 10.31 8.92 7.35 5.59 4.57 3.98 3.63 First Payment Date 3/25/2009 6/25/2008 8/25/2007 2/25/2007 2/25/2007 2/25/2007 3/25/2007 Expected Final Maturity 5/25/2019 6/25/2017 3/25/2015 7/25/2012 10/25/2010 8/25/2009 9/25/2008 Window 62 - 135 ---------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 184 53 - 161 43 - 134 37 - 184 102 37 - 81 37 - 67 38 - 149 39 - 123 ---------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 37 - 159 37 - 128 38 - 105 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 37 - 123 37 - 98 37 - 80 ----------------------------------------------------------------------------------------56 ----------------------------------------------------------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. ------------------------------------------------------------------------------- CPR Sensitivity To Call ------- -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR (%) 20 25 30 ---------------------------------------------------------------------------------------- A -------------------------------------------------------------------------------- A-1 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (years) 3.31 2.61 2.08 First Payment Date 6/25/2004 6/25/2004 6/25/2004 Expected Final Maturity 11/25/2013 12/25/2011 7/25/2010 Window 1 - 243 114 1 - 199 91 1 - 166 ---------------------------------------------------------------------------------------- 74 -------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW (years) 6.19 5.06 4.45 First Payment Date 6/25/2007 8/25/2007 10/25/2007 Expected Final Maturity 11/25/2013 12/25/2011 7/25/2010 Window 37 - 201 40 114 39 - 163 42 91 41 - 135 ---------------------------------------------------------------------------------------- 74 -------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW (years) 6.19 5.02 4.34 First Payment Date 6/25/2007 7/25/2007 8/25/2007 Expected Final Maturity 11/25/2013 12/25/2011 7/25/2010 Window 37 - 184 114 38 - 149 91 39 - 123 ---------------------------------------------------------------------------------------- 74 -------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW (years) 6.19 5.01 4.28 First Payment Date 6/25/2007 6/25/2007 7/25/2007 Expected Final Maturity 11/25/2013 12/25/2011 7/25/2010 Window 37 - 159 114 37 - 128 91 38 - 105 ---------------------------------------------------------------------------------------- 74 -------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW (years) 6.19 5.00 4.26 First Payment Date 6/25/2007 6/25/2007 6/25/2007 Expected Final Maturity 11/25/2013 12/25/2011 7/25/2010 Window 37 - 123 114 37 - 98 91 37 - 80 ----------------------------------------------------------------------------------------74 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- ------------------------------------------------------------------------------ Page 13 15 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- Sensitivity To CALL --------------------------------------------------------------------------------------- CPR (%) 20 25 30 ---------------------------------------------------------------------------------------- A --------------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (yrs) 3.27 2.56 2.03 First Payment Date 3/25/2004 3/25/2004 3/25/2004 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 1 - 243 116 1 - 199 92 1 - 166 ---------------------------------------------------------------------------------------- 75 --------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 6.33 5.15 4.57 First Payment Date 3/25/2007 6/25/2007 8/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 201 116 40 - 163 92 42 - 135 ---------------------------------------------------------------------------------------- 75 --------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 6.33 5.10 4.41 First Payment Date 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 184 116 38 - 149 92 39 - 123 ---------------------------------------------------------------------------------------- 75 --------------------------------------------------------------------------------------- M-3 WAL 6.33 5.09 4.35 First Payment Date 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 116 38 - 92 39 - 75 --------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 6.33 5.08 4.33 First Payment Date 3/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 159 116 37 - 128 92 38 - 105 ---------------------------------------------------------------------------------------- 75 --------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 6.33 5.07 4.32 First Payment Date 3/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 123 116 37 - 98 92 38 - 75 --------------------------------------------------------------------------------------- B-3 WAL 6.28 5.03 4.27 First Payment Date 3/25/2007 3/25/2007 3/25/2007 Expected Final Maturity 10/25/2013 10/25/2011 5/25/2010 Window 37 - 80 ----------------------------------------------------------------------------------------116 37 - 92 37 - 75 ---------------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A 12 Weighted Average Life Sensitivity To CALL ----------------------------------------------------------------------------------------------------------- PPC (%) 50 60 75 100 125 150 175 ----------------------------------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (yrs) 5.58 4.75 3.85 2.88 2.23 1.76 1.39 First Payment Date 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 3/25/2004 Expected Final 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Maturity Window 1 - 243 182 1 - 199 157 1 - 166 ---------------------------------------------------------------------------------------- 128 1 - 96 1 - 75 1 - 61 1 - 51 ----------------------------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 37 10.16 8.66 7.01 5.30 4.44 4.10 4.09 First Payment Date 2/25/2009 4/25/2008 6/25/2007 4/25/2007 6/25/2007 7/25/2007 10/25/2007 Expected Final 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Maturity Window 60 - 201 182 50 - 157 40 - 163 42 - 135 ---------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 37 - 184 38 - 149 39 - 123 ---------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 37 - 159 37 - 128 38 - 105 ---------------------------------------------------------------------------------------- 96 40 - 75 41 - 61 44 - 51 ----------------------------------------------------------------------------------------------------------- M-2 WAL 10.16 8.66 7.01 5.29 4.37 3.90 3.71 First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 5/25/2007 6/25/2007 7/25/2007 Expected Final 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Maturity Window 60 - 182 50 - 157 40 - 128 37 - 96 39 - 75 40 - 61 41 - 51 ----------------------------------------------------------------------------------------------------------- M-3 WAL 10.16 8.66 7.01 5.28 4.34 3.85 3.61 First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 4/25/2007 5/25/2007 6/25/2007 Expected Final 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Maturity Window 60 - 182 50 - 157 40 - 128 37 - 96 38 - 75 39 - 61 40 - 51 ----------------------------------------------------------------------------------------------------------- B-1 WAL 10.16 8.66 7.01 5.28 4.34 3.83 3.56 First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 4/25/2007 5/25/2007 5/25/2007 Expected Final 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Maturity Window 60 - 182 50 - 157 40 - 128 37 - 96 38 - 75 39 - 61 39 - 51 ----------------------------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 10.16 8.66 7.01 5.28 4.33 3.78 3.51 First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 3/25/2007 4/25/2007 5/25/2007 Expected Final 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Maturity Window 60 - 182 50 - 157 40 - 128 37 - 123 96 37 - 98 75 38 - 61 39 - 51 ----------------------------------------------------------------------------------------------------------- B-3 WAL 10.00 8.51 6.88 5.18 4.23 3.71 3.40 First Payment Date 2/25/2009 4/25/2008 6/25/2007 3/25/2007 3/25/2007 3/25/2007 4/25/2007 Expected Final 4/25/2019 3/25/2017 10/25/2014 2/25/2012 5/25/2010 3/25/2009 5/25/2008 Maturity Window 60 - 182 50 - 157 40 - 128 37 - 80 ----------------------------------------------------------------------------------------96 37 - 75 37 - 61 38 - 51 -----------------------------------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- Weighted Average Life Sensitivity To Maturity ------------------------------------------------------------------------------------------------------------------------------------ PPC (%) 50 60 75 100 125 150 175 ------------------------------------------------------------------------------------------------------------------------------------ A WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (years) 6.14 5.33 4.40 3.35 2.64 2.13 1.73 First Payment Date 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 2/25/2004 Expected Final Maturity 12/25/2030 8/25/2029 12/25/2026 7/25/2022 1/25/2019 6/25/2016 6/25/2014 Window 1 - 243 323 1 - 199 307 1 - 166 ---------------------------------------------------------------------------------------- 275 1 - 222 1 - 180 1 - 149 1 - 125 ------------------------------------------------------------------------------------------------------------------------------------ M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW (years) 11.12 9.68 8.01 6.14 5.08 4.52 4.31 First Payment Date 3/25/2009 6/25/2008 8/25/2007 2/25/2007 4/25/2007 6/25/2007 8/25/2007 Expected Final Maturity 3/25/2027 1/25/2025 1/25/2022 1/25/2018 4/25/2015 4/25/2013 10/25/2011 Window 62 - 278 53 - 252 43 - 216 37 - 201 168 39 - 135 41 - 111 43 - 93 ------------------------------------------------------------------------------------------------------------------------------------ M-2 WAL (years) 11.01 9.56 7.90 6.05 4.97 4.35 4.02 First Payment Date 3/25/2009 6/25/2008 8/25/2007 2/25/2007 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 9/25/2025 5/25/2023 6/25/2020 10/25/2016 3/25/2014 6/25/2012 1/25/2011 Window 62 - 260 53 - 232 43 - 197 37 - 153 38 - 122 39 - 101 40 - 163 42 84 \----------------------------------------------------------------------------------------------------------------------------------- B WAL (years) 10.62 9.19 7.58 5.79 4.73 4.11 3.73 First Payment Date 3/25/2009 6/25/2008 8/25/2007 2/25/2007 2/25/2007 2/25/2007 3/25/2007 Expected Final Maturity 5/25/2023 3/25/2021 5/25/2018 2/25/2015 11/25/2012 4/25/2011 2/25/2010 Window 62 - 135 ---------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 232 53 - 206 43 - 172 37 - 184 133 37 - 106 37 - 87 38 - 149 39 - 123 ---------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 37 - 159 37 - 128 38 - 105 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 37 - 123 37 - 98 37 - 80 ----------------------------------------------------------------------------------------73 ------------------------------------------------------------------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 CPR SENSITIVITY TO MATURITY ---------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A Weighted Average Life Sensitivity To CALL ----------------------------------------------------------------------------------------------------------------------- PPC (%) 50 60 75 100 125 ----------------------------------------------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (yrs) 5.36 4.56 3.71 2.78 2.14 First Payment Date 11/25/2003 11/25/2003 11/25/2003 11/25/2003 11/25/2003 Expected Final Maturity 1/25/2019 11/25/2016 6/25/2014 10/25/2011 1/25/2010 Window 1 - 243 183 1 - 199 157 1 - 166 ---------------------------------------------------------------------------------------- 128 1 - 96 1 - 75 ----------------------------------------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 37 10.21 8.69 7.04 5.34 4.57 First Payment Date 10/25/2008 1/25/2008 3/25/2007 1/25/2007 4/25/2007 Expected Final Maturity 1/25/2019 11/25/2016 6/25/2014 10/25/2011 1/25/2010 Window 60 - 201 40 183 51 - 163 157 41 - 128 39 - 96 42 - 135 ---------------------------------------------------------------------------------------- 75 ----------------------------------------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 37 10.21 8.69 7.04 5.31 4.42 First Payment Date 10/25/2008 1/25/2008 3/25/2007 12/25/2006 1/25/2007 Expected Final Maturity 1/25/2019 11/25/2016 6/25/2014 10/25/2011 1/25/2010 Window 60 - 184 38 183 51 - 149 39 - 123 ---------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 37 - 159 37 157 41 - 128 38 - 105 ---------------------------------------------------------------------------------------- 96 39 - 75 ----------------------------------------------------------------------------------------------------------------------- M-3 WAL 10.21 8.69 7.04 5.31 4.37 First Payment Date 10/25/2008 1/25/2008 3/25/2007 11/25/2006 1/25/2007 Expected Final Maturity 1/25/2019 11/25/2016 6/25/2014 10/25/2011 1/25/2010 Window 60 - 183 51 - 157 41 - 128 37 - 96 39 - 75 ----------------------------------------------------------------------------------------------------------------------- B-1 WAL 10.21 8.69 7.04 5.30 4.36 First Payment Date 10/25/2008 1/25/2008 3/25/2007 11/25/2006 12/25/2006 Expected Final Maturity 1/25/2019 11/25/2016 6/25/2014 10/25/2011 1/25/2010 Window 60 - 183 51 - 157 41 - 128 37 - 96 38 - 75 ----------------------------------------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 10.21 8.69 7.04 5.30 4.34 First Payment Date 10/25/2008 1/25/2008 3/25/2007 11/25/2006 12/25/2006 Expected Final Maturity 1/25/2019 11/25/2016 6/25/2014 10/25/2011 1/25/2010 Window 60 - 183 51 - 157 41 - 128 37 - 123 96 38 - 75 ----------------------------------------------------------------------------------------------------------------------- B-3 WAL 10.21 8.69 7.04 5.30 4.33 First Payment Date 10/25/2008 1/25/2008 3/25/2007 11/25/2006 11/25/2006 Expected Final Maturity 1/25/2019 11/25/2016 6/25/2014 10/25/2011 1/25/2010 Window 60 - 183 51 - 157 41 - 128 37 - 98 96 37 - 80 ----------------------------------------------------------------------------------------75 ----------------------------------------------------------------------------------------------------------------------- TABLE (CONTINUED) ----------------------------------------------------------------------------- PPC (%) 150 175 ----------------------------------------------------------------------------- A-2 WAL (yrs) 1.64 1.27 First Payment Date 11/25/2003 11/25/2003 Expected Final Maturity 11/25/2008 1/25/2008 Window 1 - 61 1 - 51 ------------------------------------------------------------------------- M-1 WAL 4.46 4.24 First Payment Date 8/25/2007 1/25/2008 Expected Final Maturity 11/25/2008 1/25/2008 Window 46 - 61 51 - 51 ------------------------------------------------------------------------- M-2 WAL 4.03 3.99 First Payment Date 3/25/2007 5/25/2007 Expected Final Maturity 11/25/2008 1/25/2008 Window 41 - 61 43 - 51 ------------------------------------------------------------------------- M-3 WAL 3.90 3.70 First Payment Date 2/25/2007 4/25/2007 Expected Final Maturity 11/25/2008 1/25/2008 Window 40 - 61 42 - 51 ------------------------------------------------------------------------- B-1 WAL 3.86 3.64 First Payment Date 1/25/2007 3/25/2007 Expected Final Maturity 11/25/2008 1/25/2008 Window 39 - 61 41 - 51 ------------------------------------------------------------------------- B-2 WAL 3.83 3.57 First Payment Date 1/25/2007 1/25/2007 Expected Final Maturity 11/25/2008 1/25/2008 Window 39 - 61 39 - 51 ------------------------------------------------------------------------- B-3 WAL 3.79 3.50 First Payment Date 12/25/2006 12/25/2006 Expected Final Maturity 11/25/2008 1/25/2008 Window 38 - 61 38 - 51 -------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 15 CPR SENSITIVITY TO Sensitivity To MATURITY ---------------------------------------------------------------------------------------- ------------------------------------------------------------------------ CPR (%) 20 25 30 ---------------------------------------------------------------------------------------- A ------------------------------------------------------------------------ A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW (yrs) 3.70 2.92 2.35 First Payment Date 3/25/2004 3/25/2004 3/25/2004 Expected Final Maturity 11/25/2024 1/25/2021 2/25/2018 Window 1 - 243 249 1 - 199 203 1 - 166 ---------------------------------------------------------------------------------------- 168 ------------------------------------------------------------------------ M-1 WAL 6.83 6.93 5.60 4.96 FIRST PAYMENT DATE 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 4.86 First Payment Date 3/25/2007 4/25/2007 6/25/2007 Expected Final Maturity 7/25/2020 5/25/2017 1/25/2015 Window 37 - 201 197 38 - 159 40 - 163 42 131 ------------------------------------------------------------------------ M-2 WAL 6.82 5.49 4.70 First Payment Date 3/25/2007 4/25/2007 5/25/2007 Expected Final Maturity 4/25/2018 6/25/2015 5/25/2013 Window 37 - 170 38 - 136 39 - 111 ------------------------------------------------------------------------ M-3 WAL 6.74 5.42 4.62 First Payment Date 3/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 1/25/2017 6/25/2014 8/25/2012 Window 37 - 155 37 - 124 38 - 102 ------------------------------------------------------------------------ B-1 WAL 6.65 5.34 4.54 First Payment Date 3/25/2007 3/25/2007 4/25/2007 Expected Final Maturity 5/25/2016 11/25/2013 2/25/2012 Window 37 - 147 37 - 117 38 - 96 ------------------------------------------------------------------------ B-2 WAL 6.50 5.22 4.44 First Payment Date 3/25/2007 3/25/2007 3/25/2007 Expected Final Maturity 5/25/2015 2/25/2013 6/25/2011 Window 37 - 135 ---------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW 37 - 184 38 - 149 39 - 123 ---------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 3/25/2012 WINDOW 108 37 - 159 88 ------------------------------------------------------------------------ B-3 WAL 6.22 4.99 4.23 First Payment Date 3/25/2007 3/25/2007 3/25/2007 Expected Final Maturity 2/25/2014 2/25/2012 8/25/2010 Window 37 - 128 38 - 105 ---------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW 120 37 - 123 96 37 - 98 37 - 80 ----------------------------------------------------------------------------------------78 ------------------------------------------------------------------------
Appears in 1 contract
Samples: Morgan Stanley Abs Capital I Inc
SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the contrary contained in a definitive Private Placement Memorandum or any transaction document, all persons may disclose to any and all persons, without limitation of any kind, the federal income tax treatment and tax structure of the securities described herein, any fact relevant to understanding the federal tax treatment or tax structure of the securities described herein, and all materials of any kind (including opinions or other tax analyses) relating to such federal tax treatment or tax structure. -------------------------------------------------------------------------------- Page 13 14 CPR SENSITIVITY TO Sensitivity To MATURITY ---------------------------------------------------------------------------------------- ----------- ------------------------------------------------------------------------------------------------------- CPR 20 25 30 ---------------------------------------------------------------------------------------- A ------------------------------------------------------------------------------------------------------- A-2 WAL 3.49 2.75 2.20 FIRST PAYMENT DATE 3.48 2.73 2.16 First Payment Date 7/25/2003 7/25/2003 7/25/2003 EXPECTED FINAL MATURITY 9/25/2023 1/25/2020 4/25/2017 WINDOW Expected Final Maturity 2/25/2024 4/25/2020 6/25/2017 Window 1 - 243 248 1 - 199 202 1 - 166 ---------------------------------------------------------------------------------------- 168 ------------------------------------------------------------------------------------------------------- M-1 WAL 6.83 5.60 4.96 FIRST PAYMENT DATE 7.01 5.71 5.09 First Payment Date 7/25/2006 10/25/2006 12/25/2006 EXPECTED FINAL MATURITY 3/25/2020 1/25/2017 9/25/2014 WINDOW 1/25/2007 Expected Final Maturity 2/25/2021 9/25/2017 3/25/2015 Window 37 - 201 212 40 - 163 42 171 43 - 135 ---------------------------------------------------------------------------------------- 141 ------------------------------------------------------------------------------------------------------- M-2 WAL 6.75 5.49 4.75 FIRST PAYMENT DATE 6.95 5.61 4.85 First Payment Date 7/25/2006 8/25/2006 10/25/2006 Expected Final Maturity 8/25/2019 7/25/2016 3/25/2014 Window 37 - 194 38 - 157 40 - 129 ------------------------------------------------------------------------------------------------------- M-3 WAL 6.87 5.52 4.72 First Payment Date 7/25/2006 8/25/2006 9/25/2006 EXPECTED FINAL MATURITY 10/25/2018 11/25/2015 9/25/2013 WINDOW Expected Final Maturity 10/25/2017 11/25/2014 10/25/2012 Window 37 - 184 172 38 - 149 137 39 - 123 ---------------------------------------------------------------------------------------- 112 ------------------------------------------------------------------------------------------------------- B-1 WAL 6.55 5.30 4.54 FIRST PAYMENT DATE 6.79 5.46 4.65 First Payment Date 7/25/2006 7/25/2006 8/25/2006 EXPECTED FINAL MATURITY 9/25/2016 2/25/2014 Expected Final Maturity 11/25/2016 3/25/2014 3/25/2012 WINDOW Window 37 - 159 161 37 - 128 129 38 - 105 ---------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- B-2 WAL 6.15 4.95 4.22 FIRST PAYMENT DATE 6.67 5.34 4.55 First Payment Date 7/25/2006 7/25/2006 8/25/2006 Expected Final Maturity 10/25/2015 4/25/2013 7/25/2011 Window 37 - 148 37 - 118 38 - 97 ------------------------------------------------------------------------------------------------------- B-3 WAL 6.43 5.15 4.37 First Payment Date 7/25/2006 7/25/2006 7/25/2006 EXPECTED FINAL MATURITY 9/25/2013 8/25/2011 2/25/2010 WINDOW Expected Final Maturity 7/25/2014 4/25/2012 9/25/2010 Window 37 - 123 133 37 - 98 106 37 - 80 ----------------------------------------------------------------------------------------87 ------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------
Appears in 1 contract
