Sensitivity of Class JH to Prepayments
Assumed Price 105.90856%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
15.6%
14.3%
13.9%
12.1%
5.2375% ....................................
8.7%
7.5%
7.1%
5.4%
6.2375% ....................................
1.9%
0.9%
0.4%
(1.1)%
6.5500% and above ................ (0.3)%
(1.1)%
(1.7)%
(3.1)%
Sensitivity of Class JL to Prepayments
Assumed Price 109.02486%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
17.4%
15.5%
14.9%
12.2%
5.2375% ....................................
9.6%
7.9%
7.2%
4.7%
6.2375% ....................................
2.0%
0.5%
(0.3)%
(2.6)%
6.5500% and above ................ (0.4)%
(1.7)%
(2.6)%
(4.8)%
Sensitivity of Class JM to Prepayments
Assumed Price 98.11779%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% .................................... 10.8%
11.2%
11.3%
11.8%
5.2375% ....................................
6.2%
6.5%
6.7%
7.3%
6.2375% ....................................
1.5%
1.9%
2.2%
2.8%
6.5500% and above ................
0.1%
0.5%
0.8%
1.4%
Sensitivity of Class JN to Prepayments
Assumed Price 115.25747%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
20.7%
17.6%
16.7%
12.4%
5.2375% ....................................
11.4%
8.6%
7.5%
3.4%
6.2375% ....................................
2.2%
(0.2)%
(1.5)%
(5.3)%
6.5500% and above ................ (0.7)%
(2.8)%
(4.3)%
(8.0)%
Sensitivity of Class JP to Prepayments
Assumed Price 112.14117%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
19.1%
16.6%
15.8%
12.3%
5.2375% ....................................
10.5%
8.3%
7.4%
4.1%
6.2375% ....................................
2.1%
0.2%
(0.9)%
(4.0)%
6.5500% and above ................ (0.5)%
(2.3)%
(3.4)%
(6.5)%
* 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-36