Sensitivity of Class QE to Prepayments
Assumed Price 98.09375%*
PSA Prepayment Assumption Rates
LIBOR
100%
225%
350%
500%
0.1% ..........................................
18.9%
19.0%
19.0%
19.1%
1.1% ..........................................
15.7%
15.7%
15.8%
15.9%
4.1% ..........................................
6.2%
6.3%
6.4%
6.5%
6.0% and above ......................
0.3%
0.4%
0.5%
0.7%
Sensitivity of Class UC to Prepayments
Assumed Price 8.875%*
PSA Prepayment Assumption Rates
LIBOR
100%
225%
350%
500%
0.1% ..........................................
67.4%
62.6%
59.6%
52.7%
1.1% ..........................................
53.4%
48.4%
45.0%
37.7%
4.1% ..........................................
12.5%
7.6%
2.5%
(6.4)%
6.0% and above ......................
**
**
**
**
Sensitivity of Class UD to Prepayments
Assumed Price 3.75%*
PSA Prepayment Assumption Rates
LIBOR
100%
225%
350%
500%
6.0% and below ......................
24.9%
19.8%
15.3%
6.9%
6.6% ..........................................
5.3%
0.9%
(4.5)%
(13.7)%
7.2% and above ......................
**
**
**
**
SECURITY GROUP 6
Sensitivity of Class QX to Prepayments
Assumed Price 11.75%*
PSA Prepayment Assumption Rates
LIBOR
125%
251%
400%
550%
0.10% ........................................
61.2%
50.5%
37.1%
22.6%
1.10% ........................................
51.0%
40.7%
27.7%
13.6%
4.10% ........................................
21.6%
12.2%
0.0%
(13.5)%
7.25% and above ....................
(14.3)%
(23.9)%
(37.6)%
(53.2)%
* 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.
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