Sensitivity of Class SC to Prepayments
Assumed Price 9.0625%*
PSA Prepayment Assumption Rates
LIBOR
125%
220%
250%
500%
2.2% ....................................
47.6%
47.6%
47.6%
43.3%
3.2% ....................................
34.4%
34.4%
34.4%
27.9%
5.2% ....................................
4.4%
4.4%
4.4%
(11.0)%
6.2% and above ................
**
**
**
**
Sensitivity of Class SJ to Prepayments
Assumed Price 10.5625%*
PSA Prepayment Assumption Rates
LIBOR
125%
220%
250%
500%
2.2% ....................................
40.6%
40.6%
40.6%
39.0%
3.2% ....................................
29.8%
29.8%
29.8%
27.0%
5.2% ....................................
6.5%
6.5%
6.5%
(1.3)%
6.2% and above ................
**
**
**
**
Sensitivity of Class UI to Prepayments
Assumed Price 29.0%*
PSA Prepayment Assumption Rates
125%
220%
250%
500%
582%
16.0%
16.0%
16.0%
4.7%
0.0%
Sensitivity of Class WI to Prepayments
Assumed Price 28.0%*
PSA Prepayment Assumption Rates
125%
220%
250%
500%
519%
15.0%
15.0%
15.0%
1.3%
0.0%
SECURITY GROUP 3
Sensitivity of Class NS to Prepayments
Assumed Price 4.6875%*
PSA Prepayment Assumption Rates
LIBOR
250%
502%
800%
1050%
2.09%..................................
85.3%
67.3%
44.1%
22.7%
3.09%..................................
58.2%
40.7%
18.1%
(2.9)%
5.09%..................................
8.1%
(8.8)%
(31.0)%
(52.2)%
6.20% 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-32