Sensitivity of Class IH to Prepayments
Assumed Price 0.125%*
PSA Prepayment Assumption Rates
LIBOR
100%
295%
350%
600%
6.47% and below ..........................
27.6%
17.4%
14.5%
0.9%
6.49%................................................
9.1%
(1.8)%
(4.9)%
(19.9)%
6.51% and above............................
**
**
**
**
Sensitivity of Class IL to Prepayments
Assumed Price 0.15625%*
PSA Prepayment Assumption Rates
LIBOR
100%
295%
350%
600%
6.470% and below ........................
27.6%
17.4%
14.5%
0.9%
6.495% ............................................
9.1%
(1.8)%
(4.9)%
(19.9)%
6.520% and above ........................
**
**
**
**
Sensitivity of Class IS to Prepayments
Assumed Price 0.03125%*
PSA Prepayment Assumption Rates
LIBOR
100%
295%
350%
600%
6.490% and below ........................
27.6%
17.4%
14.5%
0.9%
6.495% ............................................
9.1%
(1.8)%
(4.9)%
(19.9)%
6.500% and above ........................
**
**
**
**
Sensitivity of Class IT to Prepayments
Assumed Price 0.03125%*
PSA Prepayment Assumption Rates
LIBOR
100%
295%
350%
600%
6.480% and below ........................
27.6%
17.4%
14.5%
0.9%
6.485% ............................................
9.1%
(1.8)%
(4.9)%
(19.9)%
6.490% 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-36