Sensitivity of Class IW to Prepayments
Assumed Price 0.18750%*
PSA Prepayment Assumption Rates
LIBOR
100%
295%
350%
600%
6.47% and below ..........................
27.6%
17.4%
14.5%
0.9%
6.50%................................................
9.1%
(1.8)%
(4.9)%
(19.9)%
6.53% and above............................
**
**
**
**
Sensitivity of Class IX to Prepayments
Assumed Price 0.03125%*
PSA Prepayment Assumption Rates
LIBOR
100%
295%
350%
600%
6.470% and below ........................
27.6%
17.4%
14.5%
0.9%
6.475% ............................................
9.1%
(1.8)%
(4.9)%
(19.9)%
6.480% and above ........................
**
**
**
**
Sensitivity of Class IY to Prepayments
Assumed Price 0.03125%*
PSA Prepayment Assumption Rates
LIBOR
100%
295%
350%
600%
6.470% and below ........................
27.6%
17.4%
14.5%
0.9%
6.475% ............................................
9.1%
(1.8)%
(4.9)%
(19.9)%
6.480% and above ........................
**
**
**
**
Sensitivity of Class KI to Prepayments
Assumed Price 12.0%*
PSA Prepayment Assumption Rates
100%
295%
350%
600%
611%
53.5%
23.4%
23.0%
1.1%
0.0%
Sensitivity of Class MI to Prepayments
Assumed Price 0.03125%*
PSA Prepayment Assumption Rates
LIBOR
100%
295%
350%
600%
6.470% and below ........................
27.6%
17.4%
14.5%
0.9%
6.475% ............................................
9.1%
(1.8)%
(4.9)%
(19.9)%
6.480% 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-37