Sensitivity of Class GC to Prepayments
Assumed Price 122.39813%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
11.7%
10.2%
9.9%
7.7%
5.2375% ....................................
5.9%
4.4%
4.2%
2.0%
6.2375% ....................................
0.2%
(1.3)%
(1.5)%
(3.6)%
6.5500% and above ................ (1.6)%
(3.0)%
(3.3)%
(5.4)%
Sensitivity of Class GD to Prepayments
Assumed Price 124.03976%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
11.9%
10.3%
10.0%
7.7%
5.2375% ....................................
6.0%
4.4%
4.1%
1.9%
6.2375% ....................................
0.1%
(1.4)%
(1.7)%
(3.9)%
6.5500% and above ................ (1.7)%
(3.2)%
(3.5)%
(5.7)%
Sensitivity of Class GE to Prepayments
Assumed Price 125.68139%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
12.2%
10.4%
10.1%
7.7%
5.2375% ....................................
6.1%
4.4%
4.1%
1.7%
6.2375% ....................................
0.1%
(1.5)%
(1.8)%
(4.2)%
6.5500% and above ................ (1.8)%
(3.4)%
(3.7)%
(6.0)%
Sensitivity of Class GH to Prepayments
Assumed Price 127.32303%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
12.4%
10.6%
10.3%
7.7%
5.2375% ....................................
6.2%
4.4%
4.1%
1.6%
6.2375% ....................................
0.0%
(1.7)%
(2.0)%
(4.5)%
6.5500% and above ................ (2.0)%
(3.6)%
(3.9)%
(6.3)%
Sensitivity of Class GJ to Prepayments
Assumed Price 128.96466%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
12.6%
10.7%
10.4%
7.7%
5.2375% ....................................
6.3%
4.4%
4.1%
1.4%
6.2375% .................................... (0.1)%
(1.8)%
(2.1)%
(4.7)%
6.5500% and above ................ (2.0)%
(3.7)%
(4.1)%
(6.7)%
* The price does not include accrued interest. Accrued interest has been added to the price in
calculating the yields set forth in the table.
S-32