Sensitivity of Class EO 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 IA to Prepayments
Assumed Price 0.03125%*
PSA Prepayment Assumption Rates
LIBOR
100%
295%
350%
600%
6.520% and below ........................
27.6%
17.4%
14.5%
0.9%
6.525% ............................................
9.1%
(1.8)%
(4.9)%
(19.9)%
6.530% and above ........................
**
**
**
**
Sensitivity of Class IB to Prepayments
Assumed Price 0.03125%*
PSA Prepayment Assumption Rates
LIBOR
100%
295%
350%
600%
6.510% and below ........................
27.6%
17.4%
14.5%
0.9%
6.515% ............................................
9.1%
(1.8)%
(4.9)%
(19.9)%
6.520% and above ........................
**
**
**
**
Sensitivity of Class IC to Prepayments
Assumed Price 0.03125%*
PSA Prepayment Assumption Rates
LIBOR
100%
295%
350%
600%
6.500% and below ........................
27.6%
17.4%
14.5%
0.9%
6.505% ............................................
9.1%
(1.8)%
(4.9)%
(19.9)%
6.510% and above ........................
**
**
**
**
Sensitivity of Class ID to Prepayments
Assumed Price 0.0625%*
PSA Prepayment Assumption Rates
LIBOR
100%
295%
350%
600%
6.47% and below ..........................
27.6%
17.4%
14.5%
0.9%
6.48%................................................
9.1%
(1.8)%
(4.9)%
(19.9)%
6.49% 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-35