Sensitivity of Class SD to Prepayments
Assumed Price 4.25%*
PSA Prepayment Assumption Rates
LIBOR
100%
295%
350%
600%
4.13%................................................
54.7%
45.5%
42.8%
30.6%
5.13%................................................
27.0%
16.9%
14.0%
0.3%
6.13%................................................ (0.9)%
(12.1)%
(15.4)%
(31.1)%
6.47% and above............................
**
**
**
**
Sensitivity of Class SF to Prepayments
Assumed Price 108.984375%
PSA Prepayment Assumption Rates
LIBOR
100%
295%
350%
600%
7.00% and below ..........................
(0.5)%
(1.9)%
(3.0)%
(5.1)%
Above 7.00% ..................................
53.4%
51.1%
50.3%
47.4%
Sensitivity of Class SI to Prepayments
Assumed Price 31.18750%
PSA Prepayment Assumption Rates
LIBOR
100%
295%
350%
600%
7.00% and below ..........................
**
**
**
**
Above 7.00% ..................................
222.5%
202.8%
196.8%
167.4%
Sensitivity of Class SP to Prepayments
Assumed Price 6.375%*
PSA Prepayment Assumption Rates
LIBOR
100%
295%
350%
600%
4.13%................................................
30.1%
30.1%
30.1%
22.3%
5.13%................................................
10.3%
10.3%
10.3%
(0.8)%
6.13%................................................
(13.2)%
(13.2)%
(13.2)%
(30.2)%
6.67% and above............................
**
**
**
**
Sensitivity of Class SX to Prepayments
Assumed Price 100.0%
PSA Prepayment Assumption Rates
LIBOR
100%
295%
350%
600%
7.00% and below ..........................
0.0%
0.0%
0.0%
0.0%
Above 7.00% ..................................
43.0%
42.6%
42.4%
41.8%
* 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-38