Security Group 4
PSA Prepayment Assumption Rates
Class VC
Class ZC
Distribution Date
0%
150%
334%
500%
700%
0%
150%
334%
500%
700%
Initial Percent .................. 100
100
100
100
100
100
100
100
100
100
June 2006 ..........................
98
98
98
98
98
105
105
105
105
105
June 2007 ..........................
96
96
96
96
96
110
110
110
110
110
June 2008 ..........................
93
93
93
93
93
116
116
116
116
116
June 2009 ..........................
91
91
91
91
56
122
122
122
122
122
June 2010 ..........................
88
88
88
73
8
128
128
128
128
128
June 2011 ..........................
86
86
86
31
0
135
135
135
135
84
June 2012 ..........................
83
83
71
1
0
142
142
142
142
48
June 2013 ..........................
80
80
40
0
0
149
149
149
98
27
June 2014 ..........................
77
77
15
0
0
157
157
157
67
15
June 2015 ..........................
73
73
0
0
0
165
165
150
46
9
June 2016 ..........................
70
70
0
0
0
173
173
117
31
5
June 2017 ..........................
66
66
0
0
0
182
182
91
21
3
June 2018 ..........................
62
57
0
0
0
191
191
70
14
2
June 2019 ..........................
58
36
0
0
0
201
201
54
10
1
June 2020 ..........................
54
17
0
0
0
211
211
41
7
0
June 2021 ..........................
50
0
0
0
0
222
219
32
4
0
June 2022 ..........................
45
0
0
0
0
234
190
24
3
0
June 2023 ..........................
40
0
0
0
0
246
163
18
2
0
June 2024 ..........................
35
0
0
0
0
258
139
14
1
0
June 2025 ..........................
29
0
0
0
0
271
118
10
1
0
June 2026 ..........................
24
0
0
0
0
285
99
7
1
0
June 2027 ..........................
18
0
0
0
0
300
82
5
0
0
June 2028 ..........................
11
0
0
0
0
315
66
4
0
0
June 2029 ..........................
5
0
0
0
0
331
53
3
0
0
June 2030 ..........................
0
0
0
0
0
343
41
2
0
0
June 2031 ..........................
0
0
0
0
0
343
30
1
0
0
June 2032 ..........................
0
0
0
0
0
289
20
1
0
0
June 2033 ..........................
0
0
0
0
0
200
12
0
0
0
June 2034 ..........................
0
0
0
0
0
103
4
0
0
0
June 2035 ..........................
0
0
0
0
0
0
0
0
0
0
Weighted Average
Life (years) .................. 14.8
11.6
7.3
5.4
4.1
28.3
21.1
13.5
9.7
7.0
Yield Considerations
An investor seeking to maximize yield should make a decision whether to invest in any
Class based on the anticipated yield of that Class resulting from its purchase price, the
investor's own projection of Mortgage Loan prepayment rates under a variety of scenarios, in the
case of the Group 1 Securities, the investor's own projection of payment rates on the Underlying
SMBS Securities under a variety of scenarios and, in the case of a Floating Rate or an Inverse
Floating Rate Class, the investor's own projection of levels of LIBOR under a variety of
scenarios. No representation is made regarding Mortgage Loan prepayment rates,
underlying SMBS Security payment rates, LIBOR levels or the yield of any Class.
Prepayments: Effect on Yields
The yields to investors will be sensitive in varying degrees to the rate of prepayments on
the related Mortgage Loans.
• In the case of Regular Securities or MX Securities purchased at a premium (especially
Interest Only Classes), faster than anticipated rates of principal payments could result in
actual yields to investors that are lower than the anticipated yields.
• Investors in the Interest Only Classes should also consider the risk that rapid rates of
principal payments could result in the failure of investors to recover fully their
investments.
• In the case of Regular Securities or MX Securities purchased at a discount (especially
Principal Only Classes), slower than anticipated rates of principal payments could result
in actual yields to investors that are lower than the anticipated yields.
See "Risk Factors – Rates of principal payments can reduce your yield" in this
Supplement.
S-26