Sensitivity of Class SH to Prepayments
Assumed Price 6.18750%*
PSA Prepayment Assumption Rates
LIBOR
100%
275%
350%
550%
4.13125% ........................................
32.1%
32.1%
32.1%
27.6%
5.13125% ........................................
11.8%
11.8%
11.8%
5.4%
6.13125% ........................................ (11.7)% (11.7)% (11.7)% (19.8)%
6.70000% and above ....................
**
**
**
**
Sensitivity of Class SI to Prepayments
Assumed Price 6.00000%*
PSA Prepayment Assumption Rates
LIBOR
100%
275%
350%
550%
4.13125% ........................................
32.7%
32.7%
32.7%
28.2%
5.13125% ........................................
11.8%
11.8%
11.8%
5.3%
6.13125% ........................................
(12.7)%
(12.7)%
(12.7)%
(20.8)%
6.65000% and above ....................
**
**
**
**
Sensitivity of Class SJ to Prepayments
Assumed Price 112.12500%*
PSA Prepayment Assumption Rates
LIBOR
100%
275%
350%
550%
4.13125% ........................................
12.5%
12.5%
12.5%
12.0%
5.13125% ........................................
6.9%
6.9%
6.9%
6.3%
6.13125% ........................................
1.3%
1.3%
1.3%
0.8%
6.70000% and above ....................
(1.8)%
(1.8)%
(1.8)%
(2.3)%
Sensitivity of Class TI to Prepayments
Assumed Price 0.18750%*
PSA Prepayment Assumption Rates
LIBOR
100%
275%
350%
550%
6.65000% and below ....................
13.5%
13.5%
13.5%
7.3%
6.67500% ........................................
(4.9)%
(4.9)%
(4.9)%
(12.8)%
6.70000% 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-26