SECURITY GROUP 1
Sensitivity of Class DO to Prepayments
Assumed Price 73.25%
PSA Prepayment Assumption Rates
100%
295%
350%
600%
5.6%
5.6%
5.6%
8.1%
Sensitivity of Class IG to Prepayments
Assumed Price 10.0%*
PSA Prepayment Assumption Rates
100%
295%
350%
430%
600%
65.7%
33.4%
18.6%
0.2%
(30.6)%
Sensitivity of Class IO to Prepayments
Assumed Price 12.0%*
PSA Prepayment Assumption Rates
100%
295%
350%
600%
698%
53.5%
29.4%
29.4%
8.2%
0.1%
Sensitivity of Class PS to Prepayments
Assumed Price 6.265625%*
PSA Prepayment Assumption Rates
LIBOR
100%
295%
350%
600%
4.13%................................................
30.9%
30.9%
30.9%
23.3%
5.13%................................................
10.8%
10.8%
10.8%
(0.1)%
6.13%................................................ (12.9)% (12.9)% (12.9)% (29.8)%
6.67% 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-33