Sensitivity of Class PO to Prepayments
Assumed Price 78.07403%
PSA Prepayment Assumption Rates
100%
270%
300%
550%
2.3%
4.4%
4.8%
7.8%
Sensitivity of Class SA to Prepayments
Assumed Price 101.05689%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
8.0%
7.9%
7.9%
7.8%
5.2375% ....................................
4.5%
4.4%
4.4%
4.3%
6.2375% ....................................
1.0%
1.0%
0.9%
0.9%
6.5500% and above ................ (0.1)%
(0.1)%
(0.1)%
(0.2)%
Sensitivity of Class SB to Prepayments
Assumed Price 110.90669%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
9.9%
9.0%
8.9%
7.7%
5.2375% ....................................
5.2%
4.4%
4.3%
3.2%
6.2375% ....................................
0.6%
(0.2)%
(0.3)%
(1.4)%
6.5500% and above ................ (0.8)%
(1.6)%
(1.7)%
(2.8)%
Sensitivity of Class SC to Prepayments
Assumed Price 109.26506%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
9.6%
8.9%
8.7%
7.8%
5.2375% ....................................
5.1%
4.4%
4.3%
3.3%
6.2375% ....................................
0.7%
0.0%
(0.1)%
(1.0)%
6.5500% and above ................ (0.7)%
(1.3)%
(1.5)%
(2.4)%
Sensitivity of Class SG to Prepayments
Assumed Price 102.69853%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
8.4%
8.1%
8.1%
7.8%
5.2375% ....................................
4.6%
4.4%
4.4%
4.1%
6.2375% ....................................
0.9%
0.8%
0.7%
0.5%
6.5500% and above ................ (0.2)%
(0.4)%
(0.4)%
(0.7)%
*
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-40