Sensitivity of Class WO to Prepayments
Assumed Price 86.625%
PSA Prepayment Assumption Rates
355%
400%
600%
800%
4.3%
4.3%
4.3%
5.3%
SECURITY GROUP 9
Sensitivity of Class EN to Prepayments
Assumed Price 90.13087%
PSA Prepayment Assumption Rates
290%
500%
530%
1000%
2.9%
2.9%
2.9%
4.5%
Sensitivity of Class FN to Prepayments
Assumed Price 5.43923%*
PSA Prepayment Assumption Rates
LIBOR
290%
500%
530%
1000%
0.25%..................................
(29.9)%
(29.9)%
(29.9)%
(65.3)%
1.25%..................................
1.4%
1.4%
1.4%
(24.6)%
4.25%..................................
76.0%
76.0%
76.0%
62.6%
7.20% and above..............
153.1%
153.1%
153.1%
145.2%
Sensitivity of Class NI to Prepayments
Assumed Price 17.23945%*
PSA Prepayment Assumption Rates
290%
500%
530%
564%
1000%
1.5%
1.5%
1.5%
0.0%
(24.5)%
Sensitivity of Class SN to Prepayments
Assumed Price 20.41994%*
PSA Prepayment Assumption Rates
LIBOR
290%
500%
530%
1000%
0.25%..................................
9.4%
9.4%
9.4%
(14.7)%
1.25%..................................
2.4%
2.4%
2.4%
(23.4)%
4.25%..................................
(21.2)%
(21.2)%
(21.2)%
(53.7)%
7.20% and above..............
**
**
**
**
*
The price does not include accrued interest. Accrued interest has been added to the price in
calculating the yields set forth in the table.
** Indicates that investors will suffer a loss of virtually all of their investment.
S-37