Sensitivity of Class SI to Prepayments
Assumed Price 8.25%*
PSA Prepayment Assumption Rates
LIBOR
100%
170%
260%
400%
4.12%................................................
18.2%
18.2%
18.2%
10.3%
5.12%................................................
3.8%
3.8%
3.8%
(5.8)%
6.12%................................................ (13.6)% (13.6)% (13.6)% (25.8)%
6.74% and above............................
**
**
**
**
Sensitivity of Class US to Prepayments
Assumed Price 94.9140625%*
PSA Prepayment Assumption Rates
LIBOR
100%
170%
260%
400%
4.12%................................................
7.8%
7.8%
7.8%
8.2%
5.12%................................................
5.2%
5.2%
5.2%
5.5%
6.12%................................................
2.5%
2.5%
2.5%
2.9%
6.74% and above............................
0.9%
0.9%
0.9%
1.3%
Sensitivity of Class VS to Prepayments
Assumed Price 98.9921875%*
PSA Prepayment Assumption Rates
LIBOR
100%
170%
260%
400%
4.12%................................................
8.2%
8.2%
8.2%
8.3%
5.12%................................................
5.1%
5.1%
5.1%
5.2%
6.12%................................................
2.1%
2.1%
2.1%
2.2%
6.74% and above............................
0.2%
0.2%
0.2%
0.3%
SECURITY GROUP 2
Sensitivity of Class FI to Prepayments
Assumed Price 0.15625%*
PSA Prepayment Assumption Rates
LIBOR
100%
352%
550%
750%
6.500% and below............................ 27.6%
14.4%
3.7%
(7.5)%
6.525% ................................................
9.2%
(5.0)%
(16.8)%
(29.4)%
6.550% 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-25