Sensitivity of Class KN to Prepayments
Assumed Price 119.19416%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
8.3%
8.3%
8.3%
6.9%
5.2375% ....................................
3.7%
3.7%
3.7%
2.3%
6.2375% .................................... (0.9)%
(0.9)%
(0.9)%
(2.3)%
6.5500% and above ................ (2.3)%
(2.3)%
(2.3)%
(3.7)%
Sensitivity of Class KO to Prepayments
Assumed Price 74.76554%
PSA Prepayment Assumption Rates
100%
270%
300%
550%
4.5%
4.5%
4.5%
7.0%
Sensitivity of Class KT to Prepayments
Assumed Price 123.42546%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
8.5%
8.5%
8.5%
6.9%
5.2375% ....................................
3.6%
3.6%
3.6%
2.0%
6.2375% .................................... (1.3)%
(1.3)%
(1.3)%
(2.9)%
6.5500% and above ................ (2.8)%
(2.8)%
(2.8)%
(4.4)%
Sensitivity of Class MI to Prepayments
Assumed Price 3.11631%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% .................................... 84.7%
63.0%
57.9%
17.9%
5.2375% .................................... 45.9%
22.2%
13.9%
(32.8)%
6.2375% ....................................
7.9%
(11.9)%
(30.5)%
(100.1)%
6.5500% and above ................
**
**
**
**
Sensitivity of Class MO to Prepayments
Assumed Price 84.09442%
PSA Prepayment Assumption Rates
100%
270%
300%
550%
0.9%
4.3%
5.9%
11.1%
* 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-39