Sensitivity of Class SM to Prepayments
Assumed Price 4.234375%*
PSA Prepayment Assumption Rates
LIBOR
100%
275%
400%
600%
4.32% ............................................................
54.5%
43.4%
35.1%
21.2%
5.32% ............................................................
27.1%
16.2%
8.0%
(5.8)%
6.32% ............................................................ (0.2)% (10.9)% (19.0)% (32.8)%
6.70% and above ........................................
**
**
**
**
Sensitivity of Class SN to Prepayments
Assumed Price 4.234375%*
PSA Prepayment Assumption Rates
LIBOR
100%
275%
400%
600%
4.32% ............................................................
54.5%
43.4%
35.1%
21.2%
5.32% ............................................................
27.1%
16.2%
8.0%
(5.8)%
6.32% ............................................................
(0.2)%
(10.9)%
(19.0)%
(32.8)%
6.70% and above ........................................
**
**
**
**
SECURITY GROUP 2
Sensitivity of Class AO to Prepayments
Assumed Price 49.18750%
PSA Prepayment Assumption Rates
100%
180%
250%
400%
2.9%
4.3%
39.9%
139.4%
Sensitivity of Class CO to Prepayments
Assumed Price 54.96875%
PSA Prepayment Assumption Rates
100%
180%
250%
400%
2.8%
7.6%
29.4%
69.1%
Sensitivity of Class EO to Prepayments
Assumed Price 58.636719%
PSA Prepayment Assumption Rates
100%
180%
250%
400%
2.8%
7.4%
27.0%
60.2%
* 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-23