Sensitivity of Class SY to Prepayments
Assumed Price 6.56653%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
31.0%
22.3%
20.8%
7.6%
5.2375% ....................................
13.7%
4.4%
2.7%
(11.7)%
6.2375% .................................... (6.0)%
(15.7)%
(17.5)%
(33.1)%
6.5500% and above ................
**
**
**
**
Sensitivity of Class YS to Prepayments
Assumed Price 6.59598%*
PSA Prepayment Assumption Rates
LIBOR
100%
270%
300%
550%
4.2375% ....................................
31.0%
22.3%
20.8%
7.6%
5.2375% ....................................
13.7%
4.5%
2.8%
(11.6)%
6.2375% .................................... (5.7)%
(15.5)%
(17.3)%
(32.9)%
6.5600% and above ................
**
**
**
**
SECURITY GROUP 2
Sensitivity of Class AI to Prepayments
Assumed Price 51.73049%*
PSA Prepayment Assumption Rates
125%
250%
375%
477%
500%
6.7%
6.7%
4.1%
0.0%
(1.0)%
Sensitivity of Class AJ to Prepayments
Assumed Price 56.46261%*
PSA Prepayment Assumption Rates
125%
250%
375%
495%
500%
6.5%
6.5%
4.3%
0.0%
(0.2)%
Sensitivity of Class BI to Prepayments
Assumed Price 61.21791%*
PSA Prepayment Assumption Rates
125%
250%
375%
500%
509%
6.3%
6.3%
4.4%
0.4%
0.0%
Sensitivity of Class BJ to Prepayments
Assumed Price 55.83032%*
PSA Prepayment Assumption Rates
125%
250%
375%
493%
500%
6.5%
6.5%
4.3%
0.0%
(0.3)%
*
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-43