Sensitivity of Class KA to Prepayments
Assumed Price 108.61592%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
7.6%
7.6%
7.6%
6.9%
5.2375% ....................................
3.8%
3.8%
3.8%
3.1%
6.2375% ....................................
0.1%
0.1%
0.1%
(0.6)%
6.5500% and above ................ (1.1)%
(1.1)%
(1.1)%
(1.8)%
Sensitivity of Class KB to Prepayments
Assumed Price 114.96286%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
8.0%
8.0%
8.0%
6.9%
5.2375% ....................................
3.7%
3.7%
3.7%
2.6%
6.2375% .................................... (0.5)%
(0.5)%
(0.5)%
(1.6)%
6.5500% and above ................ (1.9)%
(1.9)%
(1.9)%
(3.0)%
Sensitivity of Class KC to Prepayments
Assumed Price 117.07851%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
8.1%
8.1%
8.1%
6.9%
5.2375% ....................................
3.7%
3.7%
3.7%
2.5%
6.2375% .................................... (0.7)%
(0.7)%
(0.7)%
(2.0)%
6.5500% and above ................ (2.1)%
(2.1)%
(2.1)%
(3.3)%
Sensitivity of Class KD to Prepayments
Assumed Price 121.43012%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
8.4%
8.4%
8.4%
6.9%
5.2375% ....................................
3.6%
3.6%
3.6%
2.1%
6.2375% .................................... (1.1)%
(1.1)%
(1.1)%
(2.6)%
6.5500% and above ................ (2.6)%
(2.6)%
(2.6)%
(4.1)%
Sensitivity of Class KE to Prepayments
Assumed Price 125.54111%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
8.6%
8.6%
8.6%
6.9%
5.2375% ....................................
3.6%
3.6%
3.6%
1.8%
6.2375% .................................... (1.4)%
(1.4)%
(1.4)%
(3.2)%
6.5500% and above ................ (3.0)%
(3.0)%
(3.0)%
(4.8)%
* The price does not include accrued interest. Accrued interest has been added to the price in
calculating the yields set forth in the table.
S-37