Sensitivity of Class SI to Prepayments
Assumed Price 0.0625%*
PSA Prepayment Assumption Rates
LIBOR
125%
210%
240%
500%
5.950% and below ..........
88.2%
53.8%
53.0%
(62.7)%
5.975%................................
40.4%
4.5%
2.8%
**
6.000% and above............
**
**
**
**
SECURITY GROUP 2
Sensitivity of Class AS to Prepayments
Assumed Price 7.612458%*
PSA Prepayment Assumption Rates
LIBOR
125%
220%
250%
500%
2.2% ....................................
49.9%
49.9%
49.9%
42.5%
3.2% ....................................
33.4%
33.4%
33.4%
24.4%
5.2% ....................................
0.2%
0.2%
0.2%
(13.4)%
6.2% and above ................
**
**
**
**
Sensitivity of Class BS to Prepayments
Assumed Price 7.144058%*
PSA Prepayment Assumption Rates
LIBOR
125%
220%
250%
500%
2.2% ....................................
52.7%
52.7%
52.7%
43.9%
3.2% ....................................
34.7%
34.7%
34.7%
23.2%
5.2% ....................................
(3.9)%
(3.9)%
(3.9)%
(24.9)%
6.2% and above ................
**
**
**
**
Sensitivity of Class DI to Prepayments
Assumed Price 9.78125%*
PSA Prepayment Assumption Rates
125%
220%
250%
314%
500%
54.0%
34.2%
22.8%
0.3%
(45.1)%
Sensitivity of Class KI to Prepayments
Assumed Price 20.0%*
PSA Prepayment Assumption Rates
125%
220%
250%
490%
500%
14.8%
14.8%
14.8%
0.1%
(0.6)%
* 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