Sensitivity of Class BI to Prepayments Assumed Price 20.609326%* PSA Prepayment Assumption Rates 265% 300% 335% 600% 687% 13.7% 13.7% 13.6% 4.6% 0.0% Sensitivity of Class CI to Prepayments Assumed Price 35.514229%* PSA Prepayment Assumption Rates 265% 300% 335% 600% 758% 11.3% 11.3% 11.8% 6.0% 0.0% Sensitivity of Class S to Prepayments Assumed Price 5.484375%* PSA Prepayment Assumption Rates LIBOR 265% 300% 335% 600% 1.85%   . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70.5% 70.5% 70.5% 54.1% 2.85%   . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46.3% 46.3% 46.3% 26.8% 4.85%   . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.8)% (0.8)% (0.8)% (33.0)% 6.20% and above   . . . . . . . . . . . . . . . . . . . . . ** ** ** ** Sensitivity of Class SA to Prepayments Assumed Price 5.59375%* PSA Prepayment Assumption Rates LIBOR 265% 300% 335% 600% 1.85%   . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68.4% 68.4% 68.4% 51.7% 2.85%   . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44.7% 44.7% 44.7% 24.9% 4.85%   . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1.4)% (1.4)% (1.4)% (33.9)% 6.20% and above   . . . . . . . . . . . . . . . . . . . . . ** ** ** ** SECURITY GROUP 2 Sensitivity of Class AO to Prepayments Assumed Price 50.738787% PSA Prepayment Assumption Rates 150% 325% 475% 650% 3.3% 5.4% 7.8% 11.0% Sensitivity of Class CO to Prepayments Assumed Price 58.443584% PSA Prepayment Assumption Rates 150% 325% 475% 650% 3.2% 5.9% 8.7% 12.6% Sensitivity of Class EO to Prepayments Assumed Price 64.837279% PSA Prepayment Assumption Rates 150% 325% 475% 650% 3.2% 6.2% 9.3% 13.5% *  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-29