Sensitivity of Class JA to Prepayments
Assumed Price 96.55964%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% .................................... 9.8%
10.5%
10.8%
11.7%
5.2375% .................................... 5.6%
6.3%
6.6%
7.7%
6.2375% .................................... 1.5%
2.2%
2.5%
3.6%
6.5500% and above ................ 0.2%
0.9%
1.3%
2.4%
Sensitivity of Class JB to Prepayments
Assumed Price 98.89687%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% .................................... 11.3%
11.5%
11.6%
11.8%
5.2375% ....................................
6.4%
6.6%
6.7%
7.1%
6.2375% ....................................
1.6%
1.8%
2.0%
2.4%
6.5500% and above ................
0.1%
0.3%
0.5%
0.9%
Sensitivity of Class JC to Prepayments
Assumed Price 99.67594%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% .................................... 11.8%
11.8%
11.8%
11.8%
5.2375% ....................................
6.7%
6.7%
6.8%
6.9%
6.2375% ....................................
1.6%
1.7%
1.8%
2.0%
6.5500% and above ................
0.0%
0.2%
0.3%
0.5%
Sensitivity of Class JD to Prepayments
Assumed Price 101.23410%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% .................................... 12.8%
12.5%
12.4%
11.9%
5.2375% ....................................
7.2%
7.0%
6.9%
6.5%
6.2375% ....................................
1.7%
1.5%
1.4%
1.2%
6.5500% and above ................
0.0%
(0.2)%
(0.2)%
(0.5)%
Sensitivity of Class JE to Prepayments
Assumed Price 102.79225%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
13.8%
13.1%
12.9%
12.0%
5.2375% ....................................
7.7%
7.2%
6.9%
6.1%
6.2375% ....................................
1.7%
1.3%
1.1%
0.4%
6.5500% and above ................ (0.1)%
(0.5)%
(0.7)%
(1.4)%
* 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-35