Sensitivity of Class OJ to Prepayments
Assumed Price 50.224415%
PSA Prepayment Assumption Rates
125%
220%
250%
500%
4.0%
4.0%
4.0%
7.3%
Sensitivity of Class PI to Prepayments
Assumed Price 20.0%*
PSA Prepayment Assumption Rates
125%
220%
250%
488%
500%
20.1%
15.0%
13.4%
0.0%
(0.7)%
Sensitivity of Class QI to Prepayments
Assumed Price 35.0%*
PSA Prepayment Assumption Rates
125%
220%
250%
500%
752%
14.6%
14.6%
14.6%
9.0%
0.0%
Sensitivity of Class SA to Prepayments
Assumed Price 6.5625%*
PSA Prepayment Assumption Rates
LIBOR
125%
220%
250%
500%
2.2% ....................................
52.9%
52.9%
52.9%
40.9%
3.2% ....................................
31.5%
31.5%
31.5%
16.2%
5.2% ....................................
(17.2)%
(17.2)%
(17.2)%
(43.6)%
6.2% and above ................
**
**
**
**
Sensitivity of Class SB to Prepayments
Assumed Price 7.5625%*
PSA Prepayment Assumption Rates
LIBOR
125%
220%
250%
500%
2.2% ....................................
57.6%
57.6%
57.6%
50.6%
3.2% ....................................
41.0%
41.0%
41.0%
31.1%
5.2% ....................................
2.9%
2.9%
2.9%
(17.6)%
6.2% and above ................
**
**
**
**
* 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-31