SECURITY GROUP 4
Sensitivity of Class EI to Prepayments
Assumed Price 0.078125%*
PSA Prepayment Assumption Rates
LIBOR
150%
334%
500%
700%
6.150% and below ..........
64.2%
55.4%
47.1%
37.0%
6.175%................................
25.2%
15.4%
6.2%
(5.2)%
6.200% and above............
**
**
**
**
Sensitivity of Class GI to Prepayments
Assumed Price 11.78125%*
PSA Prepayment Assumption Rates
150%
334%
500%
549%
700%
36.5%
20.0%
4.5%
0.0%
(13.1)%
Sensitivity of Class SG to Prepayments
Assumed Price 5.859375%*
PSA Prepayment Assumption Rates
LIBOR
150%
334%
500%
700%
2.18%..................................
68.4%
59.6%
51.4%
41.3%
3.18%..................................
47.2%
38.0%
29.4%
18.9%
5.18%..................................
6.9%
(3.6)%
(13.5)%
(26.1)%
6.15% 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.
CERTAIN FEDERAL INCOME TAX CONSEQUENCES
The following tax discussion, when read in conjunction with the discussion of "Certain
Federal Income Tax Consequences" in the Base Offering Circular, describes the material
federal income tax considerations for investors in the Securities. However, these two tax
discussions do not purport to deal with all federal tax consequences applicable to all categories
of investors, some of which may be subject to special rules.
U.S. Treasury Circular 230 Notice
The discussion contained in this Supplement and the Base Offering Circular as to
certain federal tax consequences is not intended or written to be used, and cannot be
used, for the purpose of avoiding United States federal tax penalties. Such discussion is
written to support the promotion or marketing of the transactions or matters ad-
dressed in this Supplement and the Base Offering Circular. Each taxpayer to whom
such transactions or matters are being promoted, marketed or recommended should
seek advice based on its particular circumstances from an independent tax advisor.
S-33