Sensitivity of Class SG to Prepayments
Assumed Price 4.65625%*
PSA Prepayment Assumption Rates
LIBOR
150%
297%
450%
600%
4.32% ..........................................
44.4%
37.2%
29.6%
22.0%
5.32% ..........................................
19.2%
11.4%
3.0%
(5.5)%
6.32% ..........................................
(7.4)%
(15.9)%
(25.3)%
(35.0)%
6.58% and above ......................
**
**
**
**
Sensitivity of Class SP to Prepayments
Assumed Price 99.93750%*
PSA Prepayment Assumption Rates
LIBOR
150%
297%
450%
600%
4.32% ..........................................
13.9%
13.9%
13.8%
13.8%
5.32% ..........................................
7.7%
7.7%
7.7%
7.7%
6.32% ..........................................
1.6%
1.6%
1.7%
1.7%
6.58% and above ......................
0.1%
0.1%
0.1%
0.2%
SECURITY GROUP 2
Sensitivity of Class JI to Prepayments
Assumed Price 0.37500%*
PSA Prepayment Assumption Rates
LIBOR
100%
247%
300%
500%
6.700% and below ....................
5.3%
5.3%
5.3%
(4.1)%
6.735% ........................................
(7.3)%
(7.3)%
(7.3)%
(18.4)%
6.770% and above ....................
**
**
**
**
SECURITY GROUP 3
Sensitivity of Class JS to Prepayments
Assumed Price 94.25000%*
PSA Prepayment Assumption Rates
LIBOR
100%
225%
300%
500%
4.61125% ....................................
9.2%
9.2%
9.2%
9.6%
5.61125% ....................................
5.3%
5.3%
5.3%
5.7%
6.61125% ....................................
1.4%
1.4%
1.4%
1.9%
6.75000% and above ................
0.9%
0.9%
0.9%
1.3%
*
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-25