Sensitivity of Class UA to Prepayments
Assumed Price 9.5%*
PSA Prepayment Assumption Rates
LIBOR
100%
225%
350%
500%
0.1% ..........................................
61.8%
56.9%
53.8%
46.7%
1.1% ..........................................
48.8%
43.8%
40.3%
32.7%
4.1% ..........................................
10.7%
5.9%
0.7%
(8.2)%
6.0% and above ......................
**
**
**
**
Sensitivity of Class UB to Prepayments
Assumed Price 4.07812%*
PSA Prepayment Assumption Rates
LIBOR
100%
225%
350%
500%
6.0% and below ......................
21.8%
16.7%
12.1%
3.5%
6.6% ..........................................
3.6%
(0.7)%
(6.2)%
(15.4)%
7.2% and above ......................
**
**
**
**
SECURITY GROUP 2
Sensitivity of Class ED to Prepayments
Assumed Price 46.5525%
PSA Prepayment Assumption Rates
100%
175%
300%
400%
3.2%
5.4%
31.6%
46.2%
Sensitivity of Class EL to Prepayments
Assumed Price 53.5%
PSA Prepayment Assumption Rates
100%
175%
300%
400%
3.3%
3.3%
3.8%
4.9%
Sensitivity of Class IA to Prepayments
Assumed Price 12.0%*
PSA Prepayment Assumption Rates
100%
175%
300%
400%
421%
1.9%
1.9%
1.9%
0.9%
0.0%
* 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-38