Sensitivity of Class KH to Prepayments
Assumed Price 106.50027%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
7.4%
7.4%
7.4%
6.9%
5.2375% ....................................
3.8%
3.8%
3.8%
3.3%
6.2375% ....................................
0.3%
0.3%
0.3%
(0.2)%
6.5500% and above ................ (0.8)%
(0.8)%
(0.8)%
(1.3)%
Sensitivity of Class KI to Prepayments
Assumed Price 8.46259%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
16.5%
16.5%
16.5%
6.8%
5.2375% ....................................
1.7%
1.7%
1.7%
(10.6)%
6.2375% .................................... (16.7)%
(16.7)%
(16.7)%
(31.9)%
6.5500% and above ................
**
**
**
**
Sensitivity of Class KL to Prepayments
Assumed Price 110.73157%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
7.7%
7.7%
7.7%
6.9%
5.2375% ....................................
3.8%
3.8%
3.8%
3.0%
6.2375% .................................... (0.1)%
(0.1)%
(0.1)%
(1.0)%
6.5500% and above ................ (1.4)%
(1.4)%
(1.4)%
(2.2)%
Sensitivity of Class KM to Prepayments
Assumed Price 112.84722%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
7.9%
7.9%
7.9%
6.9%
5.2375% ....................................
3.7%
3.7%
3.7%
2.8%
6.2375% .................................... (0.3)%
(0.3)%
(0.3)%
(1.3)%
6.5500% and above ................ (1.6)%
(1.6)%
(1.6)%
(2.6)%
* 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-38