Sensitivity of Class ST to Prepayments
Assumed Price 114.18996%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
10.4%
9.4%
9.2%
7.7%
5.2375% ....................................
5.4%
4.4%
4.2%
2.8%
6.2375% ....................................
0.5%
(0.5)%
(0.7)%
(2.1)%
6.5500% and above ................ (1.1)%
(2.0)%
(2.2)%
(3.6)%
Sensitivity of Class SU to Prepayments
Assumed Price 115.83159%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
10.7%
9.5%
9.3%
7.7%
5.2375% ....................................
5.5%
4.4%
4.2%
2.6%
6.2375% ....................................
0.4%
(0.6)%
(0.8)%
(2.4)%
6.5500% and above ................ (1.2)%
(2.2)%
(2.4)%
(3.9)%
Sensitivity of Class SV to Prepayments
Assumed Price 117.47323%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
11.0%
9.7%
9.5%
7.7%
5.2375% ....................................
5.6%
4.4%
4.2%
2.5%
6.2375% ....................................
0.3%
(0.8)%
(1.0)%
(2.7)%
6.5500% and above ................ (1.3)%
(2.4)%
(2.6)%
(4.3)%
Sensitivity of Class SW to Prepayments
Assumed Price 163.43896%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
16.3%
13.0%
12.4%
7.7%
5.2375% ....................................
7.7%
4.4%
3.8%
(0.9)%
6.2375% .................................... (1.0)%
(4.1)%
(4.6)%
(9.4)%
6.5500% and above ................ (3.8)%
(6.7)%
(7.3)%
(12.0)%
Sensitivity of Class SX to Prepayments
Assumed Price 107.62343%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
9.3%
8.7%
8.6%
7.8%
5.2375% ....................................
5.0%
4.4%
4.3%
3.5%
6.2375% ....................................
0.7%
0.2%
0.1%
(0.7)%
6.5500% and above ................ (0.6)%
(1.1)%
(1.2)%
(2.0)%
* 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-42