SECURITY GROUP 10
Sensitivity of Class SC to Prepayments
Assumed Price 202.89063%*
PSA Prepayment Assumption Rates
LIBOR
450%
900%
1250%
1600%
0.14%..................................
21.6%
14.4%
5.4%
(9.5)%
1.14%..................................
17.7%
10.3%
1.3%
(13.5)%
4.14%..................................
6.0%
(2.0)%
(10.9)%
(25.2)%
7.15% and above..............
(6.6)%
(14.5)%
(23.0)%
(36.6)%
Sensitivity of Class UA to Prepayments
Assumed Price 116.50%*
PSA Prepayment Assumption Rates
LIBOR
450%
900%
1250%
1600%
0.14%..................................
9.8%
8.0%
5.8%
2.3%
1.14%..................................
8.2%
6.3%
4.2%
0.8%
4.14%..................................
3.4%
1.5%
(0.5)%
(3.9)%
7.15% and above..............
(1.5)%
(3.3)%
(5.2)%
(8.5)%
Sensitivity of Class UB to Prepayments
Assumed Price 18.1875%*
PSA Prepayment Assumption Rates
LIBOR
450%
900%
1250%
1600%
0.14%..................................
40.1%
27.0%
4.5%
(38.5)%
1.14%..................................
33.2%
18.4%
(5.4)%
(49.4)%
4.14%..................................
11.0%
(10.7)%
(39.0)%
(86.5)%
7.15% 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.
CERTAIN FEDERAL INCOME TAX CONSEQUENCES
The following tax discussion, when read in conjunction with the discussion of "Certain
Federal Income Tax Consequences" in the Base Offering Circular, describes the material
federal income tax considerations for investors in the Securities. However, these two tax
discussions do not purport to deal with all federal tax consequences applicable to all categories
of investors, some of which may be subject to special rules.
Investors should consult their own tax advisors in determining the federal, state,
local and any other tax consequences to them of the purchase, ownership and
disposition of the Securities.
S-38