Sensitivity of Class SH to Prepayments
Assumed Price 104.34016%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
8.7%
8.3%
8.3%
7.8%
5.2375% ....................................
4.8%
4.4%
4.4%
3.9%
6.2375% ....................................
0.9%
0.6%
0.5%
0.1%
6.5500% and above ................ (0.3)%
(0.6)%
(0.7)%
(1.1)%
Sensitivity of Class SJ to Prepayments
Assumed Price 105.98179%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
9.0%
8.5%
8.4%
7.8%
5.2375% ....................................
4.9%
4.4%
4.3%
3.7%
6.2375% ....................................
0.8%
0.4%
0.3%
(0.3)%
6.5500% and above ................ (0.5)%
(0.9)%
(1.0)%
(1.6)%
Sensitivity of Class SK to Prepayments
Assumed Price 104.38462%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
7.3%
7.3%
7.3%
6.9%
5.2375% ....................................
3.9%
3.9%
3.9%
3.5%
6.2375% ....................................
0.5%
0.5%
0.5%
0.2%
6.5500% and above ................ (0.6)%
(0.6)%
(0.6)%
(0.9)%
Sensitivity of Class SM to Prepayments
Assumed Price 95.00149%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% .................................... 8.8%
9.8%
10.2%
11.6%
5.2375% .................................... 5.1%
6.1%
6.5%
8.1%
6.2375% .................................... 1.4%
2.4%
2.9%
4.5%
6.5500% and above ................ 0.3%
1.3%
1.8%
3.4%
Sensitivity of Class SN to Prepayments
Assumed Price 112.54833%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
10.2%
9.2%
9.1%
7.7%
5.2375% ....................................
5.3%
4.4%
4.3%
3.0%
6.2375% ....................................
0.5%
(0.3)%
(0.5)%
(1.7)%
6.5500% and above ................ (1.0)%
(1.8)%
(1.9)%
(3.2)%
*
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-41