Sensitivity of Class XI to Prepayments
Assumed Price 1.625%*
PSA Prepayment Assumption Rates
125%
251%
386%
400%
550%
20.4%
11.0%
0.0%
(1.1)%
(14.7)%
Sensitivity of Class XS to Prepayments
Assumed Price 10.125%*
PSA Prepayment Assumption Rates
LIBOR
125%
251%
400%
550%
0.10% ........................................
68.1%
57.2%
43.5%
28.7%
1.10% ........................................
56.1%
45.6%
32.4%
18.1%
4.10% ........................................
21.7%
12.3%
0.2%
(13.4)%
7.25% and above ....................
**
**
**
**
SECURITY GROUP 7
Sensitivity of Class ID to Prepayments
Assumed Price 10.1875%*
PSA Prepayment Assumption Rates
75%
150%
250%
400%
547%
13.8%
9.2%
9.2%
7.2%
0.0%
SECURITY GROUPS 7, 8, 9, 10, 11 AND 13
Sensitivity of Class IX to Prepayments
Assumed Price 12.21146%*
PSA Prepayment Assumption Rates
75%
150%
250%
396%
400%
30.2%
18.1%
10.7%
0.1%
(0.2)%
SECURITY GROUP 8
Sensitivity of Class IE to Prepayments
Assumed Price 11.71875%*
PSA Prepayment Assumption Rates
75%
150%
250%
294%
400%
40.9%
27.0%
9.6%
0.0%
(23.4)%
* 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-43