424B5 1 b408510_424b5.txt PROSPECTUS SUPPLEMENT AND BASE PROSPECTUS SUPPLEMENT TO PROSPECTUS DATED DECEMBER 1, 2004 $1,413,322,200 (Approximate)(1) MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 2005-HE4 GSAMP TRUST 2005-HE4 Issuer GS MORTGAGE SECURITIES CORP. Depositor JPMORGAN CHASE BANK, NATIONAL ASSOCIATION Servicer CONSIDER CAREFULLY THE RISK FACTORS BEGINNING ON PAGE S-12 IN THIS PROSPECTUS SUPPLEMENT AND PAGE 2 IN THE ACCOMPANYING PROSPECTUS. The certificates will represent interests in GSAMP Trust 2005-HE4 and will not represent interests in or obligations of GS Mortgage Securities Corp., the underwriter, the servicer, Goldman Sachs Mortgage Company, the trustee or any of their respective affiliates. This prospectus supplement may be used to offer and sell the offered certificates only if accompanied by the prospectus. The following securities are being offered:
APPROXIMATE INITIAL PASS- RATINGS CLASS PRINCIPAL THROUGH (S&P/FITCH/ CLASS BALANCE(1) RATE TYPE MOODY'S) ---------------------------------------------------------------------------------------------------- A-1 $371,030,000 Variable(2) Senior AAA/AAA/Aaa A-2A $385,189,000 Variable(3) Senior AAA/AAA/Aaa A-2B $255,843,000 Variable(4) Senior AAA/AAA/Aaa A-2C $ 93,538,000 Variable(5) Senior AAA/AAA/Aaa M-1 $ 57,881,000 Variable(6) Subordinate AA+/AA+/Aa1 M-2 $ 54,951,000 Variable(7) Subordinate AA+/AA+/Aa2 M-3 $ 37,366,000 Variable(8) Subordinate AA/AA/Aa3 M-4 $ 26,376,000 Variable(9) Subordinate AA-/AA-/A1 M-5 $ 26,376,000 Variable(10) Subordinate A+/A+/A2 M-6 $ 23,446,000 Variable(11) Subordinate A/A/A3 B-1 $ 24,911,000 Variable(12) Subordinate A-/A-/Baa1 B-2 $ 18,316,000 Variable(13) Subordinate BBB+/BBB+/Baa2 B-3 $ 19,782,000 Variable(14) Subordinate BBB/BBB/Baa3 B-4 $ 18,317,000 Variable(15) Subordinate BBB-/BBB-/Ba1 R-1 $ 50 N/A(16) Senior/Residual AAA/AAA/Aaa R-2 $ 100 N/A(16) Senior/Residual AAA/AAA/Aaa R-3 $ 50 N/A(16) Senior/Residual AAA/AAA/Aaa
------------------------ Footnotes appear on the following page. GSAMP Trust 2005-HE4 will issue seventeen classes of offered certificates. Each class of certificates will receive monthly distributions of interest, principal or both, as described in this prospectus supplement. The table above contains a list of the classes of offered certificates, including the initial class principal balance, pass-through rate, and special characteristics of each class. Goldman, Sachs & Co., the underwriter, will offer the offered certificates from time to time in negotiated transactions or otherwise at varying prices to be determined at the time of sale plus accrued interest, if any, from the closing date. The proceeds to GS Mortgage Securities Corp. from the sale of the offered certificates (excluding accrued interest) will be approximately 99.6233% of the class principal balance of the offered certificates before deducting expenses. The underwriter's commission will be the difference between the price it pays to GS Mortgage Securities Corp. for the offered certificates and the amount it receives from the sale of the offered certificates to the public. NEITHER THE SECURITIES AND EXCHANGE COMMISSION NOR ANY STATE SECURITIES COMMISSION HAS APPROVED OR DISAPPROVED OF THE OFFERED CERTIFICATES OR DETERMINED THAT THIS PROSPECTUS SUPPLEMENT OR THE PROSPECTUS IS ACCURATE OR COMPLETE. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE. GOLDMAN, SACHS & CO. The date of this prospectus supplement is August 23, 2005. (1) Subject to a variance of +/-5%. (2) The Class A-1 certificates will have a pass-through rate equal to the least of (i) one-month LIBOR plus 0.240% (0.480% after the first distribution date on which the optional clean-up call is exercisable), (ii) the Loan Group I Cap, as described in this prospectus supplement, and (iii) the WAC Cap, as described in this prospectus supplement. (3) The Class A-2A certificates will have a pass-through rate equal to the least of (i) one-month LIBOR plus 0.120% (0.240% after the first distribution date on which the optional clean-up call is exercisable), (ii) the Loan Group II Cap, as described in this prospectus supplement and (iii) the WAC Cap. (4) The Class A-2B certificates will have a pass-through rate equal to the least of (i) one-month LIBOR plus 0.250% (0.500% after the first distribution date on which the optional clean-up call is exercisable), (ii) the Loan Group II Cap and (iii) the WAC Cap. (5) The Class A-2C certificates will have a pass-through rate equal to the least of (i) one-month LIBOR plus 0.370% (0.740% after the first distribution date on which the optional clean-up call is exercisable), (ii) the Loan Group II Cap and (iii) the WAC Cap. (6) The Class M-1 certificates will have a pass-through rate equal to the lesser of (i) one-month LIBOR plus 0.450% (0.675% after the first distribution date on which the optional clean-up call is exercisable) and (ii) the WAC Cap. (7) The Class M-2 certificates will have a pass-through rate equal to the lesser of (i) one-month LIBOR plus 0.490% (0.735% after the first distribution date on which the optional clean-up call is exercisable) and (ii) the WAC Cap. (8) The Class M-3 certificates will have a pass-through rate equal to the lesser of (i) one-month LIBOR plus 0.520% (0.780% after the first distribution date on which the optional clean-up call is exercisable) and (ii) the WAC Cap. (9) The Class M-4 certificates will have a pass-through rate equal to the lesser of (i) one-month LIBOR plus 0.590% (0.885% after the first distribution date on which the optional clean-up call is exercisable) and (ii) the WAC Cap. (10) The Class M-5 certificates will have a pass-through rate equal to the lesser of (i) one-month LIBOR plus 0.630% (0.945% after the first distribution date on which the optional clean-up call is exercisable) and (ii) the WAC Cap. (11) The Class M-6 certificates will have a pass-through rate equal to the lesser of (i) one-month LIBOR plus 0.690% (1.035% after the first distribution date on which the optional clean-up call is exercisable) and (ii) the WAC Cap. (12) The Class B-1 certificates will have a pass-through rate equal to the lesser of (i) one-month LIBOR plus 1.150% (1.725% after the first distribution date on which the optional clean-up call is exercisable) and (ii) the WAC Cap. (13) The Class B-2 certificates will have a pass-through rate equal to the lesser of (i) one-month LIBOR plus 1.300% (1.950% after the first distribution date on which the optional clean-up call is exercisable) and (ii) the WAC Cap. (14) The Class B-3 certificates will have a pass-through rate equal to the lesser of (i) one-month LIBOR plus 1.750% (2.625% after the first distribution date on which the optional clean-up call is exercisable) and (ii) the WAC Cap. (15) The Class B-4 certificates will have a pass-through rate equal to the lesser of (i) one-month LIBOR plus 2.500% (3.750% after the first distribution date on which the optional clean-up call is exercisable) and (ii) the WAC Cap. (16) The Class R-1, Class R-2 and Class R-3 certificates are not entitled to receive any distributions of interest. S-2 IMPORTANT NOTICE ABOUT THE INFORMATION PRESENTED IN THIS PROSPECTUS SUPPLEMENT AND THE PROSPECTUS We provide information to you about the certificates in two separate documents that progressively provide more detail: (a) the prospectus, which provides general information, some of which may not apply to your series of certificates, and (b) this prospectus supplement, which describes the specific terms of your series of certificates. IF THE DESCRIPTION OF THE TERMS OF YOUR CERTIFICATES CONTAINED IN THIS PROSPECTUS SUPPLEMENT VARIES FROM THE DESCRIPTION CONTAINED IN THE PROSPECTUS, YOU SHOULD RELY ON THE INFORMATION IN THIS PROSPECTUS SUPPLEMENT. We include cross references in this prospectus supplement and the prospectus to captions in these materials where you can find further related discussions. The following table of contents and the table of contents included in the prospectus provide the pages on which these captions are located. Words that appear in boldface type in this prospectus supplement and in the prospectus are either defined in the "Glossary of Terms" beginning on page S-115 of this prospectus supplement, or have the meanings given to them on the page indicated in the "Index" beginning on page 114 of the prospectus. S-3 TABLE OF CONTENTS SUMMARY...........................................S-6 RISK FACTORS.....................................S-12 TRANSACTION OVERVIEW.............................S-29 Parties.....................................S-29 The Transaction.............................S-29 THE MORTGAGE LOAN POOL...........................S-30 General.....................................S-30 The Mortgage Loans..........................S-32 The Group I Mortgage Loans..................S-33 The Group II Mortgage Loans.................S-34 Prepayment Premiums.........................S-35 Adjustable-Rate Mortgage Loans..............S-35 The Index...................................S-36 Fremont Underwriting Guidelines.............S-36 Goldman Sachs Mortgage Conduit Program Underwriting Guidelines................................S-40 Credit Scores...............................S-43 THE SERVICER.....................................S-44 General.....................................S-44 JPMorgan Chase Bank, National Association...S-44 THE TRUSTEE......................................S-47 DESCRIPTION OF THE CERTIFICATES..................S-47 General.....................................S-47 Book-Entry Registration.....................S-48 Definitive Certificates.....................S-51 Assignment of the Mortgage Loans............S-51 Delivery of Mortgage Loan Documents.........S-52 Representations and Warranties Relating to the Mortgage Loans............S-54 Payments on the Mortgage Loans..............S-57 Distributions...............................S-59 Priority of Distributions Among Certificates..............................S-59 Distributions of Interest and Principal.....S-60 Allocation of Principal Payments to Class A Certificates......................S-65 Supplemental Interest Trust.................S-65 Calculation of One-Month LIBOR..............S-66 Excess Reserve Fund Account.................S-66 Maturity Reserve Accounts...................S-67 Interest Rate Swap Agreement................S-68 Overcollateralization Provisions............S-70 Restrictions on Transfer of the Residual Certificates.....................S-71 Reports to Certificateholders...............S-72 Yield on the Residual Certificates..........S-73 THE POOLING AND SERVICING AGREEMENT..............S-73 General.....................................S-73 Servicing and Trustee Fees and Other Compensation and Payment of Expenses.......................S-73 P&I Advances and Servicing Advances.........S-74 Prepayment Interest Shortfalls..............S-75 Servicer Reports............................S-75 Collection and Other Servicing Procedures...S-75 Hazard Insurance............................S-76 Realization Upon Defaulted Mortgage Loans...S-77 Optional Repurchase of Delinquent Mortgage Loans............................S-77 Removal and Resignation of the Servicer.....S-77 Termination; Optional Clean-up Call.........S-79 Amendment...................................S-80 Certain Matters Regarding the Depositor, the Servicer, the Custodians and the Trustee................S-80 PREPAYMENT AND YIELD CONSIDERATIONS..............S-81 Structuring Assumptions.....................S-81 Defaults....................................S-91 Prepayment Considerations and Risks.........S-91 Overcollateralization Provisions............S-93 Subordinated Certificates...................S-93 Maturity Reserve Accounts...................S-94 Effect on Yields Due to Rapid Prepayments...S-94 Weighted Average Lives of the Offered Certificates......................S-94 Decrement Tables............................S-95 Available Funds Caps.......................S-103 WAC Cap....................................S-105 Rated Final Distribution Date and Last Scheduled Distribution Date.........S-106 FEDERAL INCOME TAX CONSEQUENCES.................S-106 General....................................S-106 Taxation of Regular Interests..............S-107 Residual Certificates......................S-107 Status of the Offered Certificates.........S-108 The Basis Risk Contract Component..........S-109 The Maturity Contract Component............S-110 Other Matters..............................S-110 STATE AND LOCAL TAXES...........................S-110 ERISA CONSIDERATIONS............................S-110 LEGAL INVESTMENT................................S-112 METHOD OF DISTRIBUTION..........................S-113 LEGAL MATTERS...................................S-113 RATINGS.........................................S-114 GLOSSARY OF TERMS...............................S-115 S-4 ANNEX I - CERTAIN U.S. FEDERAL INCOME TAX DOCUMENTATION REQUIREMENTS....................................I-1 ANNEX II -INTEREST RATE SWAP NOTIONAL AMOUNT AMORTIZATION SCHEDULE.......................................II-1 ANNEX III -COUPON STRIP RESERVE ACCOUNT SCHEDULE..............................III-1 SCHEDULE A - STRUCTURAL AND COLLATERAL TERM SHEET...........................A-1 S-5 SUMMARY The following summary highlights selected information from this prospectus supplement. It does not contain all of the information you need to consider in making your investment decision. To understand the terms of the offered certificates, read carefully this entire prospectus supplement and the prospectus. This summary provides an overview of certain calculations, cash flows and other information to aid your understanding. This summary is qualified by the full description of these calculations, cash flows and other information in this prospectus supplement and the prospectus. THE OFFERED CERTIFICATES The GSAMP Trust 2005-HE4 will issue the Mortgage Pass-Through Certificates, Series 2005-HE4. Seventeen classes of the certificates - Class A-1, Class A-2A, Class A-2B, Class A-2C, Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2, Class B-3, Class B-4, Class R-1, Class R-2, Class R-3- are being offered to you by this prospectus supplement. The Class R-1, Class R-2 and the Class R-3 certificates are sometimes referred to as "residual certificates" in this prospectus supplement. The offered certificates, other than the residual certificates, are referred to as the "LIBOR certificates" in this prospectus supplement. The Class A-1 certificates generally represent interests in the group I mortgage loans. The Class A-2A, Class A-2B and Class A-2C certificates generally represent interests in the group II mortgage loans. The Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2, Class B-3, Class B-4, Class R-1, Class R-2 and Class R-3 certificates represent interests in all of the mortgage loans in the trust. THE OTHER CERTIFICATES The trust will also issue three other classes of certificates - the Class X, Class C and Class P certificates - that are not being offered under this prospectus supplement. The Class X certificates will initially evidence an interest of approximately 3.55% of the aggregate scheduled principal balance of the mortgage loans in the trust, which is the initial overcollateralization required by the pooling and servicing agreement. The Class P certificates will not have a principal balance and will not be entitled to distributions in respect of principal or interest. The Class P certificates will be entitled to all prepayment premiums or charges received in respect of the mortgage loans. The Class C certificates will not have a principal balance and will not be entitled to distributions in respect of principal or interest. The Class C certificates will be entitled to direct JPMorgan Chase Bank, National Association to exercise the optional clean-up call, as further described in this prospectus supplement. The certificates will represent fractional undivided interests in the assets of the trust, which consist primarily of the mortgage loans. CLOSING DATE On or about August 25, 2005. CUT-OFF DATE August 1, 2005. STATISTICAL CALCULATION DATE All statistical information regarding the mortgage loans in this prospectus supplement is based on the scheduled principal balances of the mortgage loans as of the statistical calculation date of July 1, 2005, unless otherwise specified in this prospectus supplement. DISTRIBUTIONS Distributions on the certificates will be made on the 25th day of each month, or, if the 25th day is not a business day, on the next business day, beginning in September 2005, to the holders of record on the preceding record date. The record date for the LIBOR certificates for any distribution date will be the last business day of the applicable interest accrual period, unless the certificates are issued in definitive S-6 form, in which case the record date will be the last business day of the month preceding the month in which the related distribution date occurs. The record date for the residual certificates will be the last business day of the month preceding the month in which the related distribution date occurs. PAYMENTS OF INTEREST The pass-through rates for each class of LIBOR certificates will be equal to the sum of one-month LIBOR plus a fixed margin, subject to caps on those pass-through rates described in this prospectus supplement. The fixed margins will increase on the first day of the interest accrual period for the distribution date after the date on which the optional clean-up call is first exercisable as described under "Description of the Certificates--Distributions of Interest and Principal" and "The Pooling and Servicing Agreement--Termination; Optional Clean-up Call" in this prospectus supplement. Interest will accrue on the LIBOR certificates on the basis of a 360-day year and the actual number of days elapsed in the applicable interest accrual period. The interest accrual period for the LIBOR certificates for any distribution date will be the period from and including the preceding distribution date (or, in the case of the first distribution date, the closing date) through the day before the current distribution date. The residual certificates will not be entitled to any distributions of interest. PAYMENTS OF PRINCIPAL Principal will be paid on the offered certificates on each distribution date as described under "Description of the Certificates--Distributions of Interest and Principal" in this prospectus supplement. CREDIT ENHANCEMENT The credit enhancement provided for the benefit of the holders of the certificates consists solely of: o an initial overcollateralization amount of approximately 3.55% of the aggregate scheduled principal balance of the mortgage loans as of the cut-off date, o the use of excess interest, after taking into account certain payments received or paid by the trust under the interest rate swap agreement described below, and, in certain circumstances, on and after the distribution date occurring in August 2015, any amounts paid into the coupon strip reserve account, and on and after the distribution date occurring in July 2030, any amounts paid into the excess cashflow account, to cover losses on the mortgage loans and as a distribution of principal to maintain overcollateralization at a specified level, o the subordination of distributions on the more subordinate classes of certificates to the required distributions on the more senior classes of certificates, and o the allocation of losses on the mortgage loans to the most subordinate classes of certificates then outstanding. INTEREST RATE SWAP AGREEMENT On the closing date, the trust will enter into an interest rate swap agreement with a swap provider that has a counterparty rating of "Aaa" from Moody's Investors Service, Inc. and a credit rating of "AA+" from Standard & Poor's Ratings Services, a division of The McGraw-Hill Companies, Inc. (or has a guarantor that has such ratings). Under the interest rate swap agreement, with respect to the first 60 distribution dates the trust will pay to the swap provider a fixed payment at a rate of 4.456% per annum and the swap provider will pay to the trust a floating payment at a rate of one-month LIBOR (as determined pursuant to the interest rate swap agreement), in each case calculated on a notional amount equal to the lesser of a scheduled notional amount or the outstanding principal balance of the LIBOR certificates. To the extent that the fixed payment exceeds the floating payment payable with respect to any of the first 60 distribution dates, amounts otherwise available for payments on the certificates will be applied on that distribution date to make a net payment to the swap provider, and to the extent that the floating payment exceeds the fixed payment payable with respect to any of the first 60 distribution dates, the swap provider will owe a net payment to the trust on the business day preceding that distribution date. Any net amounts received by S-7 or paid out from the trust under the interest rate swap agreement will either increase or reduce the amount available to make payments on the certificates, as described under "Description of the Certificates--Supplemental Interest Trust" in this prospectus supplement. The interest rate swap agreement is scheduled to terminate following the distribution date in August 2010. For further information regarding the interest rate swap agreement, see "Description of the Certificates--Interest Rate Swap Agreement" in this prospectus supplement. COUPON STRIP RESERVE ACCOUNT If, on the distribution date occurring in August 2015 or on any distribution date thereafter, any LIBOR Certificates are outstanding and the aggregate stated principal balance of the mortgage loans with original terms to maturity in excess of 30 years is greater than a scheduled amount, the trustee will be required to deposit, from interest remittance amounts, into a coupon strip reserve account on each such distribution date, an amount equal to the product of one-twelfth of 0.15% and the aggregate stated principal balance of the mortgage loans. Amounts on deposit in the coupon strip reserve account will be used to pay the outstanding class certificate balances of the LIBOR certificates then outstanding to zero on the 360th distribution date. See "Description of the Certificates--Maturity Reserve Fund Accounts" in this prospectus supplement. EXCESS CASHFLOW ACCOUNT If any LIBOR certificates are outstanding on the distribution date in July 2030 or on any distribution date thereafter, then all amounts otherwise payable to the Class X certificates will be required to be deposited by the trustee into an excess cashflow account. Amounts on deposit in the excess cashflow account will be used to pay the outstanding class certificate balances of the LIBOR certificates then outstanding to zero on the 360th anniversary of the first distribution date. THE MORTGAGE LOANS The mortgage loans to be included in the trust will be fixed- and adjustable-rate, subprime mortgage loans secured by first or second lien mortgages or deeds of trust on residential real properties. All of the mortgage loans were purchased by Goldman Sachs Mortgage Company, an affiliate of the depositor, from (a) Fremont Investment & Loan, (b) various mortgage loan sellers through Goldman Sachs Mortgage Company's mortgage conduit program, (c) various loan sellers that each individually sold mortgage loans comprising less than 10% of the total mortgage loans in the trust and (d) EquiFirst Corporation. Goldman Sachs Mortgage Company will make certain representations and warranties relating to the mortgage loans it acquired through Goldman Sachs Mortgage Company's mortgage conduit program and those mortgage loans acquired from various loan sellers that each individually sold mortgage loans comprising less than 10% of the total mortgage loans in the trust. Fremont Investment & Loan and EquiFirst Corporation will each make certain representations and warranties relating to the mortgage loans they sold to Goldman Sachs Mortgage Company. On the closing date, the trust will acquire the mortgage loans. As of the statistical calculation date, the aggregate scheduled principal balance of the mortgage loans was approximately $1,495,284,015, of which approximately 84.04% are adjustable-rate and approximately 15.96% are fixed-rate. Approximately 3.46% of the mortgage loans have original terms to maturity of 480 months. The mortgage loans have original terms to maturity of not greater than 480 months, have a weighted average remaining term to scheduled maturity of 358 months and have the following approximate characteristics as of the statistical calculation date: S-8 SELECTED MORTGAGE LOAN POOL DATA(1)
GROUP I GROUP II ------------------------------- ------------------------------ ADJUSTABLE-RATE FIXED-RATE ADJUSTABLE-RATE FIXED-RATE AGGREGATE --------------- ---------- --------------- ---------- --------- Scheduled Principal Balance: $441,952,996 $58,576,900 $814,636,104 $180,118,015 $1,495,284,015 Number of Mortgage Loans: 2,806 813 3,487 1,704 8,810 Average Scheduled Principal Balance: $157,503 $72,050 $233,621 $105,703 $169,726 Weighted Average Gross Interest Rate: 7.225% 8.736% 7.364% 7.990% 7.452% Weighted Average Net Interest Rate:(2) 6.715% 8.226% 6.854% 7.480% 6.942% Weighted Average Original FICO Score: 621 633 627 638 627 Weighted Average Original LTV Ratio:(3) 81.20% 56.56% 82.66% 64.09% 78.97% Weighted Average Original Combined LTV Ratio:(3) 81.27% 87.29% 82.68% 84.56% 82.67% Weighted Average Stated Remaining Term (months): 361 311 363 339 358 Weighted Average Seasoning (months): 2 2 2 1 2 Weighted Average Months to Roll:(4) 25 N/A 23 N/A 24 Weighted Average Gross Margin:(4) 6.35% N/A 6.37% N/A 6.36% Weighted Average Initial Rate Cap:(4) 2.70% N/A 2.56% N/A 2.61% Weighted Average Periodic Rate Cap:(4) 1.31% N/A 1.30% N/A 1.30% Weighted Average Gross Maximum Lifetime Rate:(4) 13.61% N/A 13.71% N/A 13.67%
------------------ (1) All percentages calculated in this table are based on scheduled principal balances as of the statistical calculation date, unless otherwise noted. (2) The weighted average net interest rate is equal to the weighted average gross interest rate less the servicing and trustee fee rates. (3) With respect to first lien mortgage loans, the original LTV ratio reflects the loan-to-value ratio and with respect to the second lien mortgage loans, the original combined LTV ratio reflects the ratio of the sum of the principal balance of the second lien mortgage loans, plus the original principal balance of the related first lien mortgage loan, to the value of the related mortgaged property. (4) Represents the weighted average of the adjustable rate mortgage loans in the applicable loan group. S-9 Generally, after an initial fixed-rate period, the interest rate on each adjustable-rate mortgage loan will adjust semi-annually on each adjustment date to equal the sum of six-month LIBOR and the gross margin for that mortgage loan subject to periodic and lifetime limitations. See "The Mortgage Loan Pool--The Index" in this prospectus supplement. The first adjustment date generally will occur only after an initial period of approximately two to five years. For additional information regarding the mortgage loans, see "The Mortgage Loan Pool" in this prospectus supplement. SERVICING OF THE MORTGAGE LOANS Commencing no later than on or about November 1, 2005, JPMorgan Chase Bank, National Association will act as servicer of all of the mortgage loans. Prior to November 1, 2005, JPMorgan Chase Bank, National Association and other servicers will service the mortgage loans. The servicer will be obligated to service and administer the mortgage loans on behalf of the trust, for the benefit of the holders of the certificates. See "The Servicer" and "The Pooling and Servicing Agreement" in this prospectus supplement. OPTIONAL TERMINATION OF THE TRUST The majority holders in the aggregate of the Class C certificates may, at their option, direct JPMorgan Chase Bank, National Association to purchase the mortgage loans and terminate the trust on any distribution date when the aggregate stated principal balance, as further described in this prospectus supplement, of the mortgage loans as of the last day of the related due period is equal to or less than 10% of the aggregate stated principal balance of the mortgage loans as of the cut-off date. In addition, JPMorgan Chase Bank, National Association, may, at its option, purchase the mortgage loans and terminate the trust on any distribution date when the aggregate stated principal balance of the mortgage loans as of the last day of the related due period is equal to or less than 5% of the aggregate stated principal balance of the mortgage loans as of the cut-off date. Either purchase of the mortgage loans would result in the final distribution on the certificates on that distribution date. ADVANCES The servicer will be required to make cash advances with respect to delinquent payments of principal and interest on the mortgage loans and cash advances to preserve and protect the mortgaged property (such as for taxes and insurance) serviced by it, unless the servicer reasonably believes that the cash advances cannot be repaid from future payments or other collections on the mortgage loans. These cash advances are only intended to maintain a regular flow of scheduled interest and principal payments on the certificates or to preserve and protect the mortgaged property and are not intended to guarantee or insure against losses. ERISA CONSIDERATIONS Subject to the conditions described under "ERISA Considerations" in this prospectus supplement, the LIBOR certificates may be purchased by an employee benefit plan or other retirement arrangement subject to Title I of ERISA or Section 4975 of the Internal Revenue Code. Sales of the residual certificates to such plans or retirement arrangements are prohibited. In making a decision regarding investing in any class of LIBOR certificates, fiduciaries of such plans or arrangements should consider the additional requirements resulting from the interest rate swap agreement as discussed under "ERISA Considerations" in this prospectus supplement. FEDERAL TAX ASPECTS Cadwalader, Wickersham & Taft LLP acted as tax counsel to GS Mortgage Securities Corp. and is of the opinion that: o portions of the trust will be treated as multiple real estate mortgage investment conduits, or REMICs, for federal income tax purposes, o the LIBOR certificates will represent regular interests in a REMIC, which will be treated as debt instruments of a REMIC, and interests in certain basis risk carry forward amounts pursuant to S-10 the payment priorities in the transaction. Each interest in basis risk carry forward amounts will be treated as an interest rate cap contract for federal income tax purposes, o the Class R-2 certificates will represent the beneficial ownership of the residual interest in the REMIC that will hold the mortgage loans, o the Class R-1 certificates will represent the beneficial ownership of the residual interest in certain other REMICs formed pursuant to the pooling and servicing agreement, and o the Class R-3 certificates will represent the beneficial ownership of the residual interest in another REMIC formed pursuant to the pooling and servicing agreement. We expect the interest in certain basis risk carry forward amounts to have at closing a de minimis value. See "Federal Income Tax Consequences" in this prospectus supplement. LEGAL INVESTMENT The offered certificates will not constitute "mortgage related securities" for purposes of the Secondary Mortgage Market Enhancement Act of 1984, as amended. If your investment activities are subject to legal investment laws and regulations, regulatory capital requirements, or review by regulatory authorities, then you may be subject to restrictions on investment in the offered certificates. You should consult your own legal advisors for assistance in determining the suitability of and consequences to you of the purchase, ownership, and sale of the offered certificates. See "Risk Factors--Your Investment May Not Be Liquid" in this prospectus supplement and "Legal Investment" in this prospectus supplement and in the prospectus. RATINGS In order to be issued, the offered certificates must be assigned ratings not lower than the following by Standard & Poor's Ratings Services, a division of The McGraw-Hill Companies, Inc., Fitch, Inc. and Moody's Investors Service, Inc.: CLASS S&P FITCH MOODY'S ----- --- ----- ------- A-1............ AAA AAA Aaa A-2A........... AAA AAA Aaa A-2B........... AAA AAA Aaa A-2C........... AAA AAA Aaa M-1............ AA+ AA+ Aa1 M-2............ AA+ AA+ Aa2 M-3............ AA AA Aa3 M-4............ AA- AA- A1 M-5............ A+ A+ A2 M-6............ A A A3 B-1............ A- A- Baa1 B-2............ BBB+ BBB+ Baa2 B-3............ BBB BBB Baa3 B-4............ BBB- BBB- Ba1 R-1............ AAA AAA Aaa R-2............ AAA AAA Aaa R-3............ AAA AAA Aaa A security rating is not a recommendation to buy, sell or hold securities. These ratings may be lowered or withdrawn at any time by any of the rating agencies. S-11 RISK FACTORS THE OFFERED CERTIFICATES ARE NOT SUITABLE INVESTMENTS FOR ALL INVESTORS. IN PARTICULAR, YOU SHOULD NOT PURCHASE ANY CLASS OF OFFERED CERTIFICATES UNLESS YOU UNDERSTAND AND ARE ABLE TO BEAR THE PREPAYMENT, CREDIT, LIQUIDITY AND MARKET RISKS ASSOCIATED WITH THAT CLASS. THE OFFERED CERTIFICATES ARE COMPLEX SECURITIES AND IT IS IMPORTANT THAT YOU POSSESS, EITHER ALONE OR TOGETHER WITH AN INVESTMENT ADVISOR, THE EXPERTISE NECESSARY TO EVALUATE THE INFORMATION CONTAINED IN THIS PROSPECTUS SUPPLEMENT AND THE PROSPECTUS IN THE CONTEXT OF YOUR FINANCIAL SITUATION. ALL PERCENTAGES OF MORTGAGE LOANS IN THIS "RISK FACTORS" SECTION ARE BASED ON PERCENTAGES OF THE SCHEDULED PRINCIPAL BALANCES OF THE MORTGAGE LOANS AS OF THE STATISTICAL CALCULATION DATE OF JULY 1, 2005. LESS STRINGENT UNDERWRITING STANDARDS AND THE The mortgage loans were made, in part, to borrowers who, for one RESULTANT POTENTIAL FOR DELINQUENCIES ON THE reason or another, are not able, or do not wish, to obtain financing MORTGAGE LOANS COULD LEAD TO LOSSES ON YOUR from traditional sources. These mortgage loans may be considered to CERTIFICATES be of a riskier nature than mortgage loans made by traditional sources of financing, so that the holders of the certificates may be deemed to be at greater risk of loss than if the mortgage loans were made to other types of borrowers. The underwriting standards used in the origination of the mortgage loans held by the trust are generally less stringent than those of Fannie Mae or Freddie Mac with respect to a borrower's credit history and in certain other respects. Mortgage loan borrowers may have an impaired or unsubstantiated credit history. As a result of this less stringent approach to underwriting, the mortgage loans purchased by the trust may experience higher rates of delinquencies, defaults and foreclosures than mortgage loans underwritten in a manner which is more similar to the Fannie Mae and Freddie Mac guidelines. GEOGRAPHIC CONCENTRATION OF THE MORTGAGE LOANS Different geographic regions of the United States from time to time IN PARTICULAR JURISDICTIONS MAY RESULT IN will experience weaker regional economic conditions and housing GREATER LOSSES IF THOSE JURISDICTIONS markets, and, consequently, may experience higher rates of loss and EXPERIENCE ECONOMIC DOWNTURNS delinquency on mortgage loans generally. Any concentration of the mortgage loans in a region may present risk considerations in addition to those generally present for similar mortgage-backed securities without that concentration. This may subject the mortgage loans held by the trust to the risk that a downturn in the economy in this region of the country would more greatly affect the pool than if the pool were more diversified. In particular, the following approximate percentages of mortgage loans were secured by mortgaged properties located in the following states: All mortgage loans California Florida Illinois New Jersey ---------- ------- -------- ---------- 25.90% 10.42% 6.52% 5.48% Group I mortgage loans California Florida Georgia Illinois New Jersey ---------- ------- ------- -------- ---------- 19.55% 9.9% 6.45% 6.32% 5.62%
S-12 Group II mortgage loans California Florida Illinois New Jersey New York ---------- ------- -------- ---------- -------- 29.09% 10.68% 6.62% 5.41% 5.25% Because of the relative geographic concentration of the mortgaged properties within the certain states, losses on the mortgage loans may be higher than would be the case if the mortgaged properties were more geographically diversified. For example, some of the mortgaged properties may be more susceptible to certain types of special hazards, such as earthquakes, hurricanes, floods, fires and other natural disasters and major civil disturbances, than residential properties located in other parts of the country. Approximately 25.90% of the mortgage loans are secured by mortgaged properties that are located in California. Property in California may be more susceptible than homes located in other parts of the country to certain types of uninsurable hazards, such as earthquakes, floods, mudslides and other natural disasters. In addition, the economies of the states with high concentrations of mortgaged properties may be adversely affected to a greater degree than the economies of other areas of the country by certain regional developments. If the residential real estate markets in an area of concentration experience an overall decline in property values after the dates of origination of the respective mortgage loans, then the rates of delinquencies, foreclosures and losses on the mortgage loans may increase and the increase may be substantial. The concentration of mortgage loans with specific characteristics relating to the types of properties, property characteristics, and geographic location are likely to change over time. Principal payments may affect the concentration levels. Principal payments could include voluntary prepayments and prepayments resulting from casualty or condemnation, defaults and liquidations and from repurchases due to breaches of representations and warranties. Because principal payments on the mortgage loans are payable to the subordinated certificates at a slower rate than principal payments are made to the Class A certificates, the subordinated certificates are more likely to be exposed to any risks associated with changes in concentrations of mortgage loan or property characteristics. EFFECT ON YIELDS CAUSED BY PREPAYMENTS, Mortgagors may prepay their mortgage loans in whole or in part at any DEFAULTS AND LOSSES time. A prepayment of a mortgage loan generally will result in a prepayment on the certificates. We cannot predict the rate at which mortgagors will repay their mortgage loans. We cannot assure you that the actual prepayment rates of the mortgage loans included in the trust will conform to any historical prepayment rates or any forecasts of prepayment rates described or reflected in any reports or studies relating to pools of mortgage loans similar to the types of mortgage loans included in the trust. If you purchase your certificates at a discount and principal is repaid slower than you anticipate, then your yield may be lower than you anticipate. If you purchase your certificates at a premium and principal is repaid faster than you anticipate, then your yield may be lower than you anticipate.
S-13 The rate of prepayments on the mortgage loans will be sensitive to prevailing interest rates. Generally, for fixed-rate mortgage loans, if prevailing interest rates decline significantly below the interest rates on the fixed-rate mortgage loans, the fixed-rate mortgage loans are more likely to prepay than if prevailing rates remain above the interest rates on the fixed-rate mortgage loans. Conversely, if prevailing interest rates rise significantly, prepayments on the fixed-rate mortgage loans may decrease. The prepayment behavior of the adjustable-rate mortgage loans and of the fixed-rate mortgage loans may respond to different factors, or may respond differently to the same factors. If, at the time of their first adjustment, the interest rates on any of the adjustable-rate mortgage loans would be subject to adjustment to a rate higher than the then prevailing interest rates available to borrowers, the borrowers may prepay their adjustable-rate mortgage loans. The adjustable-rate mortgage loans may also suffer an increase in defaults and liquidations following upward adjustments of their interest rates, especially following their initial adjustments. Approximately 77.91% of the group I mortgage loans and approximately 76.40% of the group II mortgage loans require the mortgagor to pay a prepayment premium in certain instances if the mortgagor prepays the mortgage loan during a stated period, which may be from six months to four years after the mortgage loan was originated. A prepayment premium may or may not discourage a mortgagor from prepaying the related mortgage loan during the applicable period. Goldman Sachs Mortgage Company, Fremont Investment & Loan or EquiFirst Corporation may be required to purchase mortgage loans from the trust in the event certain breaches of their representations and warranties occur and have not been cured. These purchases will have the same effect on the holders of the LIBOR certificates as a prepayment of those mortgage loans. The majority Class C certificateholders may, at their option, direct JPMorgan Chase Bank, National Association to purchase all of the mortgage loans and terminate the trust on any distribution date when the aggregate stated principal balance of the mortgage loans as of the last day of the related due period is equal to or less than 10% of the aggregate stated principal balance of all of the mortgage loans as of the cut-off date. If the rate of default and the amount of losses on the mortgage loans is higher than you expect, then your yield may be lower than you expect. As a result of the absorption of realized losses on the mortgage loans by excess interest and overcollateralization as described in this prospectus supplement, liquidations of defaulted mortgage loans, whether or not realized losses are incurred upon the liquidations, will result in an earlier return of principal to the LIBOR certificates and will influence the yield on the LIBOR certificates in a manner similar to the manner in which principal prepayments on the mortgage loans will influence the yield on the LIBOR certificates.
S-14 The overcollateralization provisions are intended to result in an accelerated rate of principal distributions to holders of the LIBOR certificates then entitled to principal distributions at any time that the overcollateralization provided by the mortgage loan pool falls below the required level. An earlier return of principal to the holders of the LIBOR certificates as a result of the overcollateralization provisions will influence the yield on the LIBOR certificates in a manner similar to the manner in which principal prepayments on the mortgage loans will influence the yield on the LIBOR certificates. The multiple class structure of the LIBOR certificates causes the yield of certain classes of the LIBOR certificates to be particularly sensitive to changes in the rates of prepayments of mortgage loans. Because distributions of principal will be made to the classes of LIBOR certificates according to the priorities described in this prospectus supplement, the yield to maturity on those classes of LIBOR certificates will be sensitive to the rates of prepayment on the mortgage loans experienced both before and after the commencement of principal distributions on those classes. In particular, the subordinated certificates (i.e., the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2, Class B-3 and Class B-4 certificates) do not receive any portion of the amount of principal payable to the LIBOR certificates prior to the distribution date in September 2008 unless the aggregate certificate principal balance of the Class A certificates has been reduced to zero. Thereafter, subject to the loss and delinquency performance of the mortgage loan pool, the subordinated certificates may continue to receive no portion of the amount of principal then payable to the LIBOR certificates unless the aggregate certificate principal balance of the Class A certificates has been reduced to zero. The weighted average lives of the subordinated certificates will therefore be longer than would otherwise be the case. The value of your certificates may be reduced if the rate of default or the amount of losses is higher than expected. If the performance of the mortgage loans is substantially worse than assumed by the rating agencies, the ratings of any class of the certificates may be lowered in the future. This would probably reduce the value of those certificates. No one will be required to supplement any credit enhancement or to take any other action to maintain any rating of the certificates. Newly originated mortgage loans may be more likely to default, which may cause losses on the offered certificates. Defaults on mortgage loans tend to occur at higher rates during the early years of the mortgage loans. Substantially all of the mortgage loans have been originated within the 12 months prior to their sale to the trust. As a result, the trust may experience higher rates of default than if the mortgage loans had been outstanding for a longer period of time. The credit enhancement features may be inadequate to provide protection for the LIBOR certificates.
S-15 The credit enhancement features described in this prospectus supplement are intended to enhance the likelihood that holders of the Class A certificates, and to a limited extent, the holders of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6 certificates and, to a lesser degree, the Class B-1, Class B-2, Class B-3 and Class B-4 certificates, will receive regular payments of interest and principal. However, we cannot assure you that the applicable credit enhancement will adequately cover any shortfalls in cash available to pay your certificates as a result of delinquencies or defaults on the mortgage loans. If delinquencies or defaults occur on the mortgage loans, neither the servicer nor any other entity will advance scheduled monthly payments of interest and principal on delinquent or defaulted mortgage loans if the advances are not likely to be recovered. If substantial losses occur as a result of defaults and delinquent payments on the mortgage loans, you may suffer losses, even if you own Class A certificates. INTEREST GENERATED BY THE MORTGAGE LOANS MAY BE The weighted average of the interest rates on the mortgage loans is INSUFFICIENT TO MAINTAIN THE REQUIRED LEVEL OF expected to be higher than the pass-through rates on the LIBOR OVERCOLLATERALIZATION certificates. Interest on the mortgage loans, after taking into account certain payments received or paid by the trust pursuant to the interest rate swap agreement, is expected to generate more interest than is needed to pay interest owed on the LIBOR certificates and to pay certain fees and expenses payable by the trust. Any remaining interest will then be used to absorb losses that occur on the mortgage loans. After these financial obligations of the trust are covered, the available excess interest will be used to maintain the overcollateralization at the required level determined as described in this prospectus supplement. We cannot assure you, however, that enough excess interest will be generated to absorb losses or to maintain the required level of overcollateralization. The factors described below, as well as the factors described in the next Risk Factor, will affect the amount of excess interest available to the trust. Every time a mortgage loan is prepaid in full, excess interest may be reduced because the mortgage loan will no longer be outstanding and generating interest. In the event of a partial prepayment, the mortgage loan will be generating less interest. Every time a mortgage loan is liquidated or written off, excess interest may be reduced because those mortgage loans will no longer be outstanding and generating interest. If the rates of delinquencies, defaults or losses on the mortgage loans turn out to be higher than expected, excess interest will be reduced by the amount necessary to compensate for any shortfalls in cash available to make required distributions on the LIBOR certificates. All of the adjustable-rate mortgage loans have interest rates that adjust based on an index that is different from the index used to determine the pass-through rates on the LIBOR certificates, and the fixed-rate mortgage loans have interest rates that do not adjust. In addition, the first adjustment of the interest rates for
S-16 approximately 89.97% of the adjustable-rate mortgage loans will not occur until two years after the date of origination. The first adjustment of the interest rates for approximately 9.05% of the adjustable-rate mortgage loans will not occur until three years after the date of origination. The first adjustment of the interest rates for approximately 0.98% of the adjustable-rate mortgage loans will not occur until five years after the date of origination. See "The Mortgage Loan Pool--Adjustable-Rate Mortgage Loans" in this prospectus supplement. As a result, the pass-through rates on the LIBOR certificates may increase relative to the weighted average of the interest rates on the mortgage loans, or the pass-through rates on the LIBOR certificates may remain constant as the weighted average of the interest rates on the mortgage loans declines. In either case, this would require that more of the interest generated by the mortgage loans be applied to cover interest on the LIBOR certificates. The pass-through rates on the LIBOR certificates cannot exceed the weighted average net interest rate of the mortgage loan pool, adjusted for net payments to or from the swap provider. If prepayments, defaults and liquidations occur more rapidly on the mortgage loans with relatively higher interest rates than on the mortgage loans with relatively lower interest rates, the amount of excess interest generated by the mortgage loans will be less than would otherwise be the case. Investors in the offered certificates, and particularly the Class B-1, Class B-2, Class B-3 and Class B-4 certificates, should consider the risk that the overcollateralization may not be sufficient to protect your certificates from losses. EFFECT OF MORTGAGE INTEREST RATES AND OTHER The LIBOR certificates accrue interest at pass-through rates based on FACTORS ON THE PASS-THROUGH RATES ON THE LIBOR the one-month LIBOR index plus specified margins, but are subject to CERTIFICATES certain limitations. Those limitations on the pass-through rates for the LIBOR certificates are based, in part, on the weighted average of the net interest rates on the mortgage loans adjusted for net payments to or from the swap provider. A variety of factors, in addition to those described in the previous Risk Factor, could limit the pass-through rates and adversely affect the yield to maturity on the LIBOR certificates. Some of these factors are described below: The interest rates on the fixed-rate mortgage loans will not adjust, and the interest rates on the adjustable-rate mortgage loans are based on a six-month LIBOR index. The mortgage loans have periodic and maximum limitations on adjustments to their interest rates, and 83.65% of the mortgage loans in group I and 93.40% of the mortgage loans in group II will have the first adjustment to their interest rates after two years, with the remainder having their first adjustment three to five years after the origination of those mortgage loans. As a result of the limit on the pass-through rates on the LIBOR certificates, those LIBOR certificates may accrue less interest than they would accrue if their pass-through rates were based solely on the one-month LIBOR index plus the specified margins.
S-17 The six-month LIBOR index may change at different times and in different amounts than one-month LIBOR. As a result, it is possible that interest rates on certain of the adjustable-rate mortgage loans may decline while the pass-through rates on the LIBOR certificates are stable or rising. It is also possible that the interest rates on the adjustable-rate mortgage loans and the pass-through rates for the LIBOR certificates may decline or increase during the same period, but that the pass-through rates on these certificates may decline more slowly or increase more rapidly. The pass-through rates for the LIBOR certificates adjust monthly and are subject to maximum interest rate caps while the interest rates on the adjustable-rate mortgage loans adjust less frequently and the interest rates on the fixed-rate mortgage loans do not adjust. Consequently, the limit on the pass-through rates on the LIBOR certificates may limit increases in the pass-through rates for those classes for extended periods in a rising interest rate environment. If prepayments, defaults and liquidations occur more rapidly on the mortgage loans with relatively higher interest rates than on the mortgage loans with relatively lower interest rates, the pass-through rates on the LIBOR certificates are more likely to be limited. If the pass-through rates on the LIBOR certificates are limited for any distribution date due to a cap based on the weighted average net interest rates of the mortgage loans (adjusted for net payments to or from the swap provider), the resulting interest shortfalls may be recovered by the holders of these certificates on the same distribution date or on future distribution dates on a subordinated basis to the extent that on that distribution date or future distribution dates there are available funds remaining after certain other distributions on the LIBOR certificates and the payment of certain fees and expenses of the trust. However, we cannot assure you that these funds will be sufficient to fully cover these shortfalls. EFFECT ON YIELDS DUE TO RAPID PREPAYMENTS; NO Any net payment payable to the swap provider under the terms of the ASSURANCE OF AMOUNTS RECEIVED UNDER THE interest rate swap agreement will reduce amounts available for INTEREST RATE SWAP AGREEMENT distribution to certificateholders, and may reduce the pass-through rates on the LIBOR certificates. In addition, certain swap termination payments arising under the interest rate swap agreement are payable to the swap provider on a senior basis and such payments may reduce amounts available for distribution to certificateholders. Any amounts received under the interest rate swap agreement will be applied as described in this prospectus supplement to pay interest shortfalls, maintain overcollateralization and cover losses. However, no amounts will be payable to the trust by the swap provider unless the floating payment owed by the swap provider for a distribution date exceeds the fixed payment owed to the swap provider for that distribution date. This will not occur except in a period where one-month LIBOR (as determined pursuant to the interest rate swap agreement) exceeds 4.456%. We cannot
S-18 assure you that any amounts will be received under the interest rate swap agreement, or that any such amounts that are received will be sufficient to cover interest shortfalls or losses on the mortgage loans, or to maintain required overcollateralization. See "Description of the Certificates--Distributions of Interest and Principal," "--Supplemental Interest Trust" and "--Interest Rate Swap Agreement" in this prospectus supplement. PREPAYMENTS ON THE MORTGAGE LOANS COULD LEAD TO When a principal prepayment is made by the mortgagor on a mortgage SHORTFALLS IN THE DISTRIBUTION OF INTEREST ON loan, the mortgagor is charged interest on the amount of prepaid YOUR CERTIFICATES principal only up to the date of the prepayment, instead of for a full month. However, principal prepayments will only be passed through to the holders of the certificates once a month on the distribution date which follows the calendar month in which the prepayment was received by the servicer. The servicer is obligated to pay an amount without any right of reimbursement for those shortfalls in interest collections payable on the certificates that are attributable to the difference between the interest paid by a mortgagor in connection with principal prepayments and thirty days' interest on the amount prepaid, but only to the extent of the applicable monthly servicing fee for that calendar month. However, prior to the transfer of servicing of all of the mortgage loans acquired from Fremont Investment & Loan, all of the mortgage loans acquired from EquiFirst Corporation and certain of the mortgage loans acquired from loan sellers that each individually sold loans comprising less than 10% of the total mortgage loans in the trust, which are expected to take place by November 2005, prepayment interest shortfalls on those mortgage loans will not be covered by any compensating interest payments by any entity. If the servicer fails to make such compensating interest payments or the shortfall exceeds the applicable monthly servicing fee for the related distribution date, or for the distribution date during or prior to November 2005 for which no entity is required to pay compensating interest on prepayments of certain of the mortgage loans as described above, there will be fewer funds available for the distribution of interest on the certificates. Such shortfalls of interest will result in a reduction of the yield on your certificates. ADDITIONAL RISKS ASSOCIATED WITH THE The weighted average lives of, and the yields to maturity on, the SUBORDINATED CERTIFICATES Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2, Class B-3 and Class B-4 certificates will be progressively more sensitive, in that order, to the rate and timing of mortgagor defaults and the severity of ensuing losses on the mortgage loans. If the actual rate and severity of losses on the mortgage loans is higher than those assumed by an investor in such certificates, the actual yield to maturity of such certificates may be lower than the yield anticipated by such holder based on such assumption. The timing of losses on the mortgage loans will also affect an investor's actual yield to maturity, even if the rate of defaults and severity of losses over the life of the mortgage loans are consistent with an investor's expectations. In general, the earlier a loss occurs, the greater the effect on an investor's yield to maturity. Realized losses on the mortgage loans, to the extent
S-19 they exceed the amount of excess interest and overcollateralization following distributions of principal on the related distribution date, will reduce the certificate principal balance of the Class B-4, Class B-3, Class B-2, Class B-1, Class M-6, Class M-5, Class M-4, Class M-3, Class M-2 and Class M-1 certificates, in that order. As a result of such reductions, less interest will accrue on such class of certificates than would otherwise be the case. Once a realized loss on a mortgage loan is allocated to a certificate, no principal or interest will be distributable with respect to such written down amount, and the holder of the certificate will not be entitled to reimbursements for such lost interest or principal even if funds are available for reimbursement, except to the extent of any subsequent recoveries received on liquidated mortgage loans after they have been liquidated. Unless the aggregate certificate principal balances of the Class A certificates have been reduced to zero, the subordinated certificates will not be entitled to any principal distributions until September 2008 or a later date as described in this prospectus supplement, or during any period in which delinquencies or cumulative losses on the mortgage loans exceed certain levels. As a result, the weighted average lives of the subordinated certificates will be longer than would otherwise be the case if distributions of principal were allocated among all of the certificates at the same time. As a result of the longer weighted average lives of the subordinated certificates, the holders of those certificates have a greater risk of suffering a loss on their investments. Further, because those certificates might not receive any principal if certain delinquency levels occur, it is possible for those certificates to receive no principal distributions even if no losses have occurred on the mortgage loan pool. In addition, the multiple class structure of the subordinated certificates causes the yield of those classes to be particularly sensitive to changes in the rates of prepayment of the mortgage loans. Because distributions of principal will be made to the holders of those certificates according to the priorities described in this prospectus supplement, the yield to maturity on the subordinated certificates will be sensitive to the rates of prepayment on the mortgage loans experienced both before and after the commencement of principal distributions on those classes. The yield to maturity on the subordinated certificates will also be extremely sensitive to losses due to defaults on the mortgage loans (and the timing of those losses), to the extent such losses are not covered by excess interest after taking into account certain payments received or paid by the trust pursuant to the interest rate swap agreement, the Class X certificates or a class of subordinated certificates with a lower payment priority. Furthermore, as described in this prospectus supplement, the timing of receipt of principal and interest by the subordinated certificates may be adversely affected by losses even if such classes of certificates do not ultimately bear such loss. Finally, the effect on the market value of the subordinated certificates of changes in market interest rates or market yields for similar securities may be greater than for the Class A certificates.
S-20 DELAY IN RECEIPT OF LIQUIDATION PROCEEDS; Substantial delays could be encountered in connection with the LIQUIDATION PROCEEDS MAY BE LESS THAN THE liquidation of delinquent mortgage loans. Further, reimbursement of MORTGAGE LOAN BALANCE advances made on a mortgage loan, liquidation expenses such as legal fees, real estate taxes, hazard insurance and maintenance and preservation expenses may reduce the portion of liquidation proceeds payable on the certificates. If a mortgaged property fails to provide adequate security for the mortgage loan, you will incur a loss on your investment if the credit enhancements described in this prospectus supplement are insufficient to cover the loss. HIGH LOAN-TO-VALUE RATIOS OR COMBINED Mortgage loans with higher original loan-to-value ratios or combined LOAN-TO-VALUE RATIOS INCREASE RISK OF LOSS loan-to-value ratios may present a greater risk of loss than mortgage loans with original loan-to-value ratios or combined loan-to-value ratios of 80% or below. Approximately 35.40% of the mortgage loans had original loan-to-value ratios greater than 80% and approximately 40.02% of the mortgage loans had combined original loan-to-value ratios greater than 80%, each as calculated as described under "The Mortgage Loan Pool--General" in this prospectus supplement. Additionally, the determination of the value of a mortgaged property used in the calculation of the loan-to-value ratios or combined loan-to-value ratios of the mortgage loans may differ from the appraised value of such mortgaged properties if current appraisals were obtained. SOME OF THE MORTGAGE LOANS HAVE AN INITIAL Approximately 29.05% of the mortgage loans have an initial INTEREST-ONLY PERIOD, WHICH MAY RESULT IN interest-only period of up to five years. During this period, the INCREASED DELINQUENCIES AND LOSSES payment made by the related mortgagor will be less than it would be if the principal of the mortgage loan was required to amortize. In addition, the mortgage loan principal balance will not be reduced because there will be no scheduled monthly payments of principal during this period. As a result, no principal payments will be made on the LIBOR certificates with respect to these mortgage loans during their interest-only period unless there is a principal prepayment. After the initial interest-only period, the scheduled monthly payment on these mortgage loans will increase, which may result in increased delinquencies by the related mortgagors, particularly if interest rates have increased and the mortgagor is unable to refinance. In addition, losses may be greater on these mortgage loans as a result of there being no principal amortization during the early years of these mortgage loans. Although the amount of principal included in each scheduled monthly payment for a traditional mortgage loan is relatively small during the first few years after the origination of a mortgage loan, in the aggregate the amount can be significant. Any resulting delinquencies and losses, to the extent not covered by the applicable credit enhancement described in this prospectus supplement, will be allocated to the LIBOR certificates in reverse order of seniority. The use of mortgage loans with an initial interest-only period has recently increased in popularity in the mortgage marketplace, but historical performance data for interest-only mortgage loans is limited as compared to performance data for mortgage loans that amortize from origination. The performance of interest-only
S-21 mortgage loans may be significantly different from mortgage loans that amortize from origination. In particular, there may be a higher expectation by these mortgagors of refinancing their mortgage loans with a new mortgage loan, in particular, one with an initial interest-only period, which may result in higher or lower prepayment speeds than would otherwise be the case. In addition, the failure by the related mortgagor to build equity in the mortgaged property may affect the delinquency, loss and prepayment experience with respect to these mortgage loans. A PORTION OF THE MORTGAGE LOANS ARE SECURED BY Approximately 4.61% of the mortgage loans are secured by second lien SUBORDINATE MORTGAGES; IN THE EVENT OF A mortgages which are subordinate to the rights of the holder of the DEFAULT, THESE MORTGAGE LOANS ARE MORE LIKELY related senior mortgages. As a result, the proceeds from any TO EXPERIENCE LOSSES liquidation, insurance or condemnation proceedings will be available to satisfy the principal balance of the mortgage loan only to the extent that the claims, if any, of each related senior mortgagee are satisfied in full, including any related foreclosure costs. In addition, a holder of a subordinate or junior mortgage may not foreclose on the mortgaged property securing such mortgage unless it either pays the entire amount of the senior mortgages to the mortgagees at or prior to the foreclosure sale or undertakes the obligation to make payments on each senior mortgage in the event of a default under the mortgage. The trust will have no source of funds to satisfy any senior mortgage or make payments due to any senior mortgagee. An overall decline in the residential real estate markets could adversely affect the values of the mortgaged properties and cause the outstanding principal balances of the second lien mortgage loans, together with the senior mortgage loans secured by the same mortgaged properties, to equal or exceed the value of the mortgaged properties. This type of a decline would adversely affect the position of a second mortgagee before having the same effect on the related first mortgagee. A rise in interest rates over a period of time and the general condition of a mortgaged property as well as other factors may have the effect of reducing the value of the mortgaged property from the appraised value at the time the mortgage loan was originated. If there is a reduction in value of the mortgaged property, the ratio of the amount of the mortgage loan to the value of the mortgaged property may increase over what it was at the time the mortgage loan was originated. This type of increase may reduce the likelihood of liquidation or other proceeds being sufficient to satisfy the second lien mortgage loan after satisfaction of any senior liens. PAYMENTS IN FULL OF A BALLOON LOAN DEPEND ON Approximately 2.84% of the mortgage loans as of the statistical THE BORROWER'S ABILITY TO REFINANCE THE BALLOON calculation date will not be fully amortizing over their terms to LOAN OR SELL THE MORTGAGED PROPERTY maturity and, thus, will require substantial principal payments, i.e., balloon payments, at their stated maturity. Mortgage loans with balloon payments involve a greater degree of risk because the ability of a borrower to make a balloon payment typically will depend upon its ability either to timely refinance the loan or to timely sell the related mortgaged property. The ability of a borrower to accomplish either of these goals will be affected by a number of factors, including: o the level of available interest rates at the time of sale or refinancing;
S-22 o the borrower's equity in the related mortgaged property; o the financial condition of the mortgagor; o tax laws; o prevailing general economic conditions; and o the availability of credit for single family real properties generally. VIOLATION OF VARIOUS FEDERAL, STATE AND LOCAL There has been an increased focus by state and federal banking LAWS MAY RESULT IN LOSSES ON THE MORTGAGE LOANS regulatory agencies, state attorneys general offices, the Federal Trade Commission, the U.S. Department of Justice, the U.S. Department of Housing and Urban Development and state and local governmental authorities on certain lending practices by some companies in the subprime industry, sometimes referred to as "predatory lending" practices. Sanctions have been imposed by state, local and federal governmental agencies for practices including, but not limited to, charging borrowers excessive fees, imposing higher interest rates than the borrower's credit risk warrants and failing to adequately disclose the material terms of loans to the borrowers. Applicable state and local laws generally regulate interest rates and other charges, require certain disclosure, impact closing practices, and require licensing of originators. In addition, other state and local laws, public policy and general principles of equity relating to the protection of consumers, unfair and deceptive practices and debt collection practices may apply to the origination, servicing and collection of the mortgage loans. The mortgage loans are also subject to federal laws, including: o the Federal Truth in Lending Act and Regulation Z promulgated under that Act, which require certain disclosures to the mortgagors regarding the terms of the mortgage loans; o the Equal Credit Opportunity Act and Regulation B promulgated under that Act, which prohibit discrimination on the basis of age, race, color, sex, religion, marital status, national origin, receipt of public assistance or the exercise of any right under the Consumer Credit Protection Act, in the extension of credit; and o the Fair Credit Reporting Act, which regulates the use and reporting of information related to the mortgagor's credit experience. Violations of certain provisions of these federal, state and local laws may limit the ability of the servicer to collect all or part of the principal of, or interest on, the mortgage loans and in addition could subject the trust to damages and administrative enforcement (including disgorgement of prior interest and fees paid). In particular, an originator's failure to comply with certain requirements of federal and state laws could subject the trust (and other assignees of the mortgage loans) to monetary penalties, and result in the obligors' rescinding the mortgage loans against either the trust or subsequent holders of the mortgage loans.
S-23 Goldman Sachs Mortgage Company will represent with respect to each mortgage loan it acquired from various mortgage loan sellers through its mortgage conduit program, and Fremont Investment & Loan or EquiFirst Corporation, as applicable, will represent with respect to each mortgage loan it sold to Goldman Sachs Mortgage Company, that such mortgage loan is in compliance with applicable federal, state and local laws and regulations. In addition, each of Goldman Sachs Mortgage Company, Fremont Investment & Loan or EquiFirst Corporation, as applicable, will also represent that none of those mortgage loans are classified as (a) a "high cost" loan under the Home Ownership and Equity Protection Act of 1994, or (b) a "high cost home," "threshold," "covered," (excluding home loans defined as "covered home loans" in the New Jersey Home Ownership Security Act of 2002 that were originated between November 26, 2004 and July 7, 2004), "high risk home," "predatory" or similar loan under any other applicable state, federal or local law. In the event of a breach of any of such representations, Goldman Sachs Mortgage Company, Fremont Investment & Loan or EquiFirst Corporation, as applicable, will be obligated to cure such breach or repurchase or, for a limited period of time, replace the affected mortgage loan, in the manner and to the extent described in this prospectus supplement. FREMONT INVESTMENT & LOAN AND EQUIFIRST Fremont Investment & Loan and EquiFirst Corporation will make certain CORPORATION MAY NOT BE ABLE TO REPURCHASE representations and warranties relating to the mortgage loans they DEFECTIVE MORTGAGE LOANS sold to Goldman Sachs Mortgage Company. Those representations are summarized in "Description of the Certificates--Representations and Warranties Relating to the Mortgage Loans" in this prospectus supplement. If Fremont Investment & Loan or EquiFirst Corporation, as applicable, fails to cure in a timely manner a material breach of their representations and warranties with respect to any mortgage loan for which it is making representations and warranties, then Fremont Investment & Loan or EquiFirst Corporation, as applicable, would be required to repurchase or substitute for the defective mortgage loan. It is possible that Fremont Investment & Loan or EquiFirst Corporation, as applicable, may not be capable of repurchasing or substituting for any of those defective mortgage loans, for financial or other reasons. The inability of Fremont Investment & Loan or EquiFirst Corporation, as applicable, to repurchase or substitute for defective mortgage loans would likely cause the mortgage loans to experience higher rates of delinquencies, defaults and losses. As a result, shortfalls in the distributions due on the certificates could occur. THE INTEREST RATE SWAP AGREEMENT IS SUBJECT TO The assets of the trust include an interest rate swap agreement that COUNTERPARTY RISK will require the swap provider to make certain payments for the benefit of the holders of the LIBOR certificates. To the extent that payments on the LIBOR certificates depend in part on payments to be received by the trustee under the interest rate swap agreement, the ability of the trustee to make those payments on such certificates will be subject to the credit risk of the swap provider. See "Description of the Certificates--Interest Rate Swap Agreement" in this prospectus supplement.
S-24 THE CREDIT RATING OF THE SWAP PROVIDER COULD The swap provider under the interest rate swap agreement will have, as AFFECT THE RATING OF THE OFFERED CERTIFICATES of the closing date, a counterparty rating of "Aaa" from Moody's Investors Service, Inc. and a credit rating of "AA+" from Standard & Poor's Ratings Services, a division of The McGraw Hill Companies, Inc. (or has a guarantor that has such ratings). The ratings on the offered certificates are dependent in part upon the credit ratings of the swap provider. If a credit rating of the swap provider is qualified, reduced or withdrawn and a substitute counterparty is not obtained in accordance with the terms of the interest rate swap agreement, the ratings of the offered certificates may be qualified, reduced or withdrawn. As a result, the value and marketability of the offered certificates may be adversely affected. See "Description of the Certificates--Interest Rate Swap Agreement" in this prospectus supplement. THE TRANSFERS OF SERVICING MAY RESULT IN HIGHER After the closing date, the servicing for all of the mortgage loans DELINQUENCIES AND DEFAULTS WHICH MAY ADVERSELY acquired from Fremont Investment & Loan, all of the mortgage loans AFFECT THE YIELD ON YOUR CERTIFICATES acquired from EquiFirst Corporation, and certain of the mortgage loans acquired from loan sellers that each individually sold loans comprising less than 10% of the total mortgage loans in the trust, will be transferred to JPMorgan Chase Bank, National Association. The transfers of servicing are expected to take place by no later than on or about November 1, 2005. Prior to November 1, 2005, JPMorgan Chase Bank, National Association and other servicers will service the mortgage loans. All transfers of servicing involve the risk of disruption in collections due to data input errors, misapplied or misdirected payments, system incompatibilities, the requirement to notify the mortgagors about the servicing transfer, delays caused by the transfer of the related servicing mortgage files and records to the new servicer and other reasons. As a result of these servicing transfers or any delays associated with these transfers, the rate of delinquencies and defaults could increase at least for a period of time. We cannot assure you that there will be no disruptions associated with the transfers of servicing or that, if there are disruptions, that they will not adversely affect the yield on your certificates. EXTERNAL EVENTS MAY INCREASE THE RISK OF LOSS In response to previously executed and threatened terrorist attacks in ON THE MORTGAGE LOANS the United States and foreign countries, the United States has initiated military operations and has placed a substantial number of armed forces reservists and members of the National Guard on active duty status. It is possible that the number of reservists and members of the National Guard placed on active duty status in the near future may increase. To the extent that a member of the military, or a member of the armed forces reserves or National Guard who are called to active duty, is a mortgagor of a mortgage loan in the trust, the interest rate limitation of the Servicemembers Civil Relief Act and any comparable state law, will apply. Substantially all of the mortgage loans have interest rates which exceed such limitation, if applicable. This may result in interest shortfalls on the mortgage loans, which, in turn will be allocated ratably in reduction of accrued interest on all classes of LIBOR certificates, irrespective of the availability of excess cash flow or other credit enhancement. None of the depositor, the underwriter, Goldman Sachs Mortgage Company, the original loan sellers, the servicer, the trustee or any other person has taken any action to determine whether any of the mortgage loans would be affected by such interest rate limitation. See "Legal Aspects of the Mortgage
S-25 Loans--Servicemembers Civil Relief Act and the California Military and Veterans Code" in the prospectus. THE CERTIFICATES ARE OBLIGATIONS OF THE TRUST The certificates will not represent an interest in or obligation of ONLY the depositor, the underwriter, Goldman Sachs Mortgage Company, the original loan sellers, the servicer, the trustee or any of their respective affiliates. Neither the certificates nor the underlying mortgage loans will be guaranteed or insured by any governmental agency or instrumentality or by the depositor, the underwriter, Goldman Sachs Mortgage Company, the original loan sellers, the servicer, the trustee or any of their respective affiliates. Proceeds of the assets included in the trust, will be the sole source of payments on the offered certificates, and there will be no recourse to the depositor, the underwriter, Goldman Sachs Mortgage Company, the original loan sellers, the servicer, the trustee or any other person in the event that such proceeds are insufficient or otherwise unavailable to make all payments provided for under the LIBOR certificates. YOUR INVESTMENT MAY NOT BE LIQUID The underwriter intends to make a secondary market in the offered certificates, but they will have no obligation to do so. We cannot assure you that such a secondary market will develop or, if it develops, that it will continue. Consequently, you may not be able to sell your certificates readily or at prices that will enable you to realize your desired yield. The market values of the certificates are likely to fluctuate; these fluctuations may be significant and could result in significant losses to you. The secondary markets for asset-backed securities have experienced periods of illiquidity and can be expected to do so in the future. Illiquidity can have a severely adverse effect on the prices of securities that are especially sensitive to prepayment, credit, or interest rate risk, or that have been structured to meet the investment requirements of limited categories of investors. The offered certificates will not constitute "mortgage related securities" for purposes of the Secondary Mortgage Market Enhancement Act of 1984, as amended. Accordingly, many institutions that lack the legal authority to invest in securities that do not constitute "mortgage related securities" will not be able to invest in the offered certificates, thereby limiting the market for the offered certificates. If your investment activities are subject to legal investment laws and regulations, regulatory capital requirements, or review by regulatory authorities, then you may be subject to restrictions on investment in the offered certificates. You should consult your own legal advisors for assistance in determining the suitability of and consequences to you of the purchase, ownership, and sale of the offered certificates. See "Legal Investment" in this prospectus supplement and in the prospectus. THE RATINGS ON YOUR CERTIFICATES COULD BE Each rating agency rating the offered certificates may change or REDUCED OR WITHDRAWN withdraw its initial ratings at any time in the future if, in its judgment, circumstances warrant a change. No person is obligated to maintain the ratings at their initial levels. If a rating agency reduces or withdraws its rating on one or more classes of the offered certificates, the liquidity and market value of the affected certificates is likely to be reduced. THE OFFERED CERTIFICATES MAY NOT BE SUITABLE The offered certificates are not suitable investments for any investor INVESTMENTS that requires a regular or predictable schedule of
S-26 monthly payments or payment on any specific date. The offered certificates are complex investments that should be considered only by investors who, either alone or with their financial, tax and legal advisors, have the expertise to analyze the prepayment, reinvestment, default and market risk, the tax consequences of an investment and the interaction of these factors. RISKS RELATED TO THE CLASS R-1, CLASS R-2 AND The holders of the residual certificates must include the taxable R-3 CERTIFICATES income or loss of the related REMIC or REMICs in determining their federal taxable income. Prospective investors are cautioned that the residual certificateholders' REMIC taxable income and the tax liability associated with the residual certificates may be substantial during certain periods, in which event the holders of the residual certificates must have sufficient sources of funds to pay such tax liability. Other than an initial distribution on the first distribution date, it is not anticipated that the residual certificateholders will receive distributions from the trust. Furthermore, it is anticipated that all or a substantial portion of the taxable income of the related REMIC includible by the holders of the residual certificates will be treated as "excess inclusion" income, resulting in (i) the inability of those holders to use net operating losses to offset such income, (ii) the treatment of such income as "unrelated business taxable income" to certain holders who are otherwise tax exempt and (iii) the treatment of such income as subject to 30% withholding tax to certain non-U.S. investors, with no exemption or treaty reduction. Under the provisions of the Internal Revenue Code of 1986 relating to REMICs, it is likely that the residual certificates will be considered to be "non-economic residual interests," with the result that transfers of them would be disregarded for federal income tax purposes if any significant purpose of the transferor was to impede the assessment or collection of tax. Accordingly, the transferee affidavit used for transfers of the residual certificates will require the transferee to affirm that it (i) historically has paid its debts as they have come due and intends to do so in the future, (ii) understands that it may incur tax liabilities with respect to the residual certificates in excess of cash flows generated by them, (iii) intends to pay taxes associated with holding the residual certificates as such taxes become due, (iv) will not cause the income from the residual certificates to be attributable to a foreign permanent establishment or fixed base, within the meaning of an applicable income tax treaty, of the transferee or any other U.S. person and (v) will not transfer the residual certificates to any person or entity that does not provide a similar affidavit. The transferor must certify in writing to the trustee that, as of the date of transfer, it had no knowledge or reason to know that the affirmations made by the transferee pursuant to the preceding sentence were false. In addition, Treasury regulations provide alternatives for either paying the transferee of the residual certificates a formula specified minimum price or transferring the residual certificates to an eligible corporation under certain conditions in order to meet the safe harbor against the possible disregard of such transfer. Finally, residual certificates generally may not be transferred to a person who is not a U.S. person unless the income on those residual certificates is effectively connected with the conduct of a
S-27 U.S. trade or business and the transferee furnishes the transferor and the trustee with an effective Internal Revenue Service Form W-8ECI. See "Description of the Certificates--Restrictions on Transfer of the Residual Certificates" in this prospectus supplement and "Federal Income Tax Consequences--Tax Treatment of REMIC Residual Interests--Non-Recognition of Certain Transfers for Federal Income Tax Purposes" in the prospectus. An individual, trust or estate that holds residual certificates (whether the residual certificates are held directly or indirectly through certain pass through entities) also may have additional gross income with respect to such residual certificates but may be subject to limitations or disallowance of deductions for servicing fees on the loans and other administrative expenses properly allocable to such residual certificates in computing such holder's regular tax liability, and may not be able to deduct such fees or expenses to any extent in computing such holder's alternative minimum tax liability. The pooling and servicing agreement will require that any such gross income and such fees and expenses will be allocable to holders of the residual certificates in proportion to their respective ownership interests. See "Federal Income Tax Consequences--Tax Treatment of REMIC Residual Interests" and "--Special Considerations for Certain Types of Investors--Individuals and Pass-Through Entities" in the prospectus. In addition, some portion of a purchaser's basis, if any, in residual certificates may not be recovered until termination of the trust fund. Furthermore, Treasury regulations have been issued concerning the federal income tax consequences of any consideration paid to a transferee on a transfer of residual certificates. Any transferee of residual certificates receiving such consideration should consult its tax advisors regarding these regulations. See "Federal Income Tax Consequences--Special Considerations for Certain Types of Investors--Disposition of Residual Certificates" in the prospectus. Due to the special tax treatment of residual interests, the effective after-tax return of the residual certificates may be significantly lower than would be the case if the residual certificates were taxed as debt instruments and could be negative.
S-28 TRANSACTION OVERVIEW PARTIES THE DEPOSITOR. GS Mortgage Securities Corp., a Delaware corporation. The principal executive office of the depositor is located at 85 Broad Street, New York, New York 10004, and its telephone number is (212) 902-1000. GOLDMAN SACHS MORTGAGE COMPANY. Goldman Sachs Mortgage Company, a New York limited partnership. The principal executive office of Goldman Sachs Mortgage Company is located at 85 Broad Street, New York, New York 10004, and its telephone number is (212) 902-1000. THE ORIGINAL LOAN SELLERS. Fremont Investment & Loan, a California state chartered industrial bank ("FREMONT") and EquiFirst Corporation, a North Carolina Corporation ("EQUIFIRST"). The principal executive office of Fremont is located at 2727 East Imperial Highway, Brea, California 92821, and its telephone number is (714) 961-5000. The principal executive office of EquiFirst is located at 500 Forest Point Circle, Charlotte, North Carolina 28273, and its telephone number is (704) 679-4400. The original loan sellers also include certain entities that sold mortgage loans to Goldman Sachs Mortgage Company under its mortgage conduit program and various other entities that each individually sold mortgage loans comprising less than 10% of the total mortgage loans in the trust, both of which are included in the mortgage loan pool. Pursuant to the mortgage conduit program, Goldman Sachs Mortgage Company purchases mortgage loans originated by the original loan sellers if the mortgage loans satisfy certain underwriting guidelines. See "The Mortgage Loan Pool--Fremont Underwriting Guidelines" and "--Goldman Sachs Mortgage Conduit Program Underwriting Guidelines" in this prospectus supplement. THE SERVICER. JPMorgan Chase Bank, National Association, a national banking association ("JPMORGAN"). The principal servicing office of JPMorgan is located at 1111 Polaris Parkway, Columbus, Ohio 43240, and its telephone number is (614) 213-1000. For a description of the servicer, see "The Servicer" in this prospectus supplement. THE TRUSTEE. Deutsche Bank National Trust Company, a national banking association. The corporate trust office of the trustee is located at 1761 East St. Andrew Place, Santa Ana, California 92705-4934, and its telephone number is (714) 247-6000. For a description of the trustee, see "The Trustee" in this prospectus supplement. THE CUSTODIANS. J.P. Morgan Trust Company, National Association, a national banking association, with respect to the mortgage loans acquired from Goldman Sachs Mortgage Company's mortgage conduit program, and Wells Fargo Bank, N.A., a national banking association, with respect to the Fremont mortgage loans. The principal executive office of J.P. Morgan Trust Company, National Association is located at 2200 Chemsearch Boulevard, Suite 150, Irving, Texas 75062, and its telephone number is (972) 785-5412. J.P. Morgan Trust Company, National Association is an affiliate of JPMorgan. The principal executive office of Wells Fargo Bank, N.A. is located at 1015 10th Avenue SE, Minneapolis, Minnesota 55414, and its telephone number is (612) 667-1117. The trustee will act as custodian with respect to the other mortgage loans. THE RATING AGENCIES. Standard & Poor's Ratings Services, a division of The McGraw-Hill Companies, Inc., Fitch, Inc. and Moody's Investors Service, Inc. will issue ratings with respect to the offered certificates. THE TRANSACTION GSAMP Trust 2005-HE4, a New York common law trust, will be formed, the mortgage loans will be deposited in the trust and the certificates will be issued pursuant to the terms of a pooling and servicing agreement, dated as of August 1, 2005, by and among the depositor, the servicer, the custodians and the trustee. S-29 THE MORTGAGE LOAN POOL The statistical information presented in this prospectus supplement concerning the mortgage loans is based on the scheduled principal balances of the mortgage loans as of the statistical calculation date, which is July 1, 2005. The mortgage loan principal balances that are transferred to the trust will be the scheduled principal balances as of the cut-off date, August 1, 2005. With respect to the mortgage loan pool, some scheduled principal amortization will occur, and some unscheduled principal amortization may occur from the statistical calculation date to the cut-off date and from the cut-off date to the closing date. Moreover, certain mortgage loans included in the mortgage loan pool as of the statistical calculation date may not be included in the final mortgage loan pool because they may prepay in full prior to the cut-off date, or they may be determined not to meet the eligibility requirements for the final mortgage loan pool. In addition, certain other mortgage loans may be included in the final mortgage loan pool. As a result of the foregoing, the statistical distribution of characteristics as of the cut-off date and as of the closing date for the final mortgage loan pool may vary somewhat from the statistical distribution of such characteristics as of the statistical calculation date as presented in this prospectus supplement, although such variance should not be material. In addition, the final mortgage loan pool may vary plus or minus 5% from the statistical calculation pool of mortgage loans described in this prospectus supplement. GENERAL The trust will primarily consist of approximately 8,810 conventional, subprime, adjustable- and fixed-rate, first and second lien residential mortgage loans with original terms to maturity from their first scheduled payment due date of not more than 40 years, having an aggregate scheduled principal balance of approximately $1,495,284,015. Approximately 48.42% of mortgage loans in the trust were acquired by Goldman Sachs Mortgage Company ("GSMC"), an affiliate of the depositor, from Fremont Investment & Loan (the "FREMONT MORTGAGE LOANS"), approximately 21.80% of the mortgage loans in the trust were acquired from various original loan sellers under GSMC's mortgage conduit program (the "CONDUIT MORTGAGE LOANS"), approximately 26.25% of the mortgage loans in the trust were acquired from various loan sellers that each individually sold mortgage loans comprising less than 10% of the total mortgage loans in the trust (the "BULK MORTGAGE LOANS") and approximately 3.53% of the mortgage loans in the trust were acquired from EquiFirst Corporation (the "EQUIFIRST MORTGAGE LOANS"). The Fremont mortgage loans and Conduit mortgage loans were originated or acquired generally in accordance with the underwriting guidelines described in this prospectus supplement under the headings "The Mortgage Loan Pool--Fremont Mortgage Underwriting Guidelines," and "--Goldman Sachs Mortgage Conduit Program Underwriting Guidelines," respectively. In general, because such underwriting guidelines do not conform to Fannie Mae or Freddie Mac guidelines, the mortgage loans are likely to experience higher rates of delinquency, foreclosure and bankruptcy than if they had been underwritten in accordance with Fannie Mae or Freddie Mac guidelines. Approximately 15.96% of the mortgage loans in the trust are fixed-rate mortgage loans and approximately 84.04% are adjustable-rate mortgage loans, as described in more detail under "--Adjustable-Rate Mortgage Loans" below. As of the cut-off date, approximately 98.13% of the mortgage loans have scheduled monthly payment due dates on the first day of the month, and approximately 1.87% of the mortgage loans have scheduled month payment due dates on a different day of the month, from the 2nd to the 29th day of the month. Interest on the mortgage loans accrues on the basis of a 360 day year consisting of twelve 30-day months. All of the mortgage loans are secured by first or second mortgages, deeds of trust or similar security instruments creating first liens or second liens, on residential properties consisting of one- to four-family dwelling units, individual condominium units, townhouses, individual units in planned unit developments or individual units in modular homes. Pursuant to its terms, each mortgage loan, other than a loan secured by a condominium unit, is required to be covered by a standard hazard insurance policy in an amount equal to the lower of the unpaid principal amount of that mortgage loan or the replacement value of the improvements on the related mortgaged property. S-30 Generally, a condominium association is responsible for maintaining hazard insurance covering the entire building. Approximately 37.11% of the first lien mortgage loans have original loan-to-value ratios in excess of 80.00%, and approximately 40.02% of the mortgage loans have combined original loan-to-value ratios in excess of 80.00%. The "LOAN-TO-VALUE RATIO" or "LTV" of a mortgage loan at any time is generally, unless otherwise provided in the applicable underwriting guidelines, the ratio of the principal balance of such mortgage loan at the date of determination to (a) in the case of a purchase, the least of the sale price of the mortgaged property, its appraised value or its review appraisal value (as determined pursuant to the underwriting guidelines of Fremont, EquiFirst, GSMC under its mortgage conduit program, or the various loan sellers that each individually sold mortgage loans comprising less than 10% of the total mortgage loans in the trust, as applicable) at the time of sale or (b) in the case of a refinancing or modification of a mortgage loan, the appraised value of the mortgaged property at the time of the refinancing or modification. The "COMBINED ORIGINAL LOAN-TO-VALUE RATIO" or "CLTV" of a second lien mortgage loan at any time is generally, unless otherwise provided in the applicable underwriting guidelines, the ratio of the (a) sum of (i) the principal balance of the related first lien mortgage loan, and (ii) the principal balance of the second lien mortgage loan to (b) the lesser of (i) the appraised value of the mortgaged property at the time the second lien mortgage loan is originated, or (ii) the sales price of the mortgaged property at the time of origination. However, in the case of a refinanced mortgage loan, the value is based solely upon the appraisal made at the time of origination of that refinanced mortgage loan. None of the mortgage loans are covered by existing primary mortgage insurance policies. All of the mortgage loans are fully amortizing, except for approximately 2.84% of the mortgage loans that are balloon mortgage loans. S-31 THE MORTGAGE LOANS The pool of mortgage loans had the following approximate aggregate characteristics as of the statistical calculation date:(1)
GROUP I GROUP II AGGREGATE ------- -------- --------- Scheduled Principal Balance: $500,529,896 $994,754,119 $1,495,284,015 Number of Mortgage Loans: 3,619 5,191 8,810 Average Scheduled Principal Balance: $138,306 $191,631 $169,726 Weighted Average Gross Interest Rate: 7.402% 7.478% 7.452% Weighted Average Net Interest Rate:(2) 6.892% 6.968% 6.942% Weighted Average Original FICO Score: 622 629 627 Weighted Average Original LTV Ratio:(3) 78.32% 79.30% 78.97% Weighted Average Combined Original LTV Ratio:(3) 81.97% 83.02% 82.67% Weighted Average Stated Remaining Term (months): 356 359 358 Weighted Average Seasoning (months): 2 2 2 Weighted Average Months to Roll:(4) 25 23 24 Weighted Average Gross Margin:(4) 6.35% 6.37% 6.36% Weighted Average Initial Rate Cap:(4) 2.70% 2.56% 2.61% Weighted Average Periodic Rate Cap:(4) 1.31% 1.30% 1.30% Weighted Average Gross Maximum Lifetime Rate:(4) 13.61% 13.71% 13.67%
------------------ (1) All percentages calculated in this table are based on scheduled principal balances as of the statistical calculation date, unless otherwise noted. (2) The weighted average net interest rate is equal to the weighted average gross interest rate less the servicing and trustee fee rates. (3) With respect to first lien mortgage loans, the original LTV ratio reflects the loan-to-value ratio and with respect to the second lien mortgage loans, the original combined LTV ratio reflects the ratio of the sum of the principal balance of the second lien mortgage loans, plus the original principal balance of the related first lien mortgage loan, to the value of the related mortgaged property. (4) Represents the weighted average of the adjustable-rate mortgage loans only. The scheduled principal balances of the mortgage loans range from approximately $4,149 to approximately $1,000,000. The mortgage loans had an average scheduled principal balance of approximately $169,726. The weighted average original loan-to-value ratio of the mortgage loans is approximately 78.97% and approximately 35.40% of the mortgage loans have original loan-to-value ratios exceeding 80.00%. The weighted average original combined loan-to-value ratio of the mortgage loans is approximately 82.67% and approximately 40.02% of the mortgage loans have original combined loan-to-value ratios exceeding 80.00%. Approximately 95.39% of the mortgage loans are secured by first liens, and approximately 4.61% of the mortgage loans are secured by second liens. Approximately 29.41% of the mortgage loans are interest-only for a period of time. No more than approximately 0.24% of the mortgage loans are secured by mortgaged properties located in any one zip-code area. Except for approximately 0.01% of the mortgage loans, none of the mortgage loans imposes a Prepayment Premium for a term in excess of three years. As of the cut-off date, approximately 0.43% of the mortgage loans were one payment past due, approximately 0.05% of the mortgage loans were two payments past due and none of the mortgage loans are three payments past due. The tables on Schedule A set forth certain statistical information with respect to the aggregate mortgage loan pool. Due to rounding, the percentages shown may not precisely total 100.00%. S-32 THE GROUP I MORTGAGE LOANS The group I mortgage loans have the following approximate aggregate characteristics as of the statistical calculation date:(1)
GROUP I MORTGAGE LOANS IN THE GROUP I ARM GROUP I FIXED-RATE AGGREGATE MORTGAGE LOANS MORTGAGE LOANS --------- -------------- -------------- Scheduled Principal Balance: $500,529,896 $441,952,996 $58,576,900 Number of Mortgage Loans: 3,619 2,806 813 Average Scheduled Principal Balance: $138,306 $157,503 $72,050 Weighted Average Gross Interest Rate: 7.402% 7.225% 8.736% Weighted Average Net Interest Rate:(2) 6.892% 6.715% 8.226% Weighted Average Original FICO Score: 622 621 633 Weighted Average Original LTV Ratio:(3) 78.32% 81.20% 56.56% Weighted Average Combined Original LTV Ratio:(3) 81.97% 81.27% 87.29% Weighted Average Stated Remaining Term (months): 356 361 311 Weighted Average Seasoning (months): 2 2 2 Weighted Average Months to Roll:(4) 25 25 N/A Weighted Average Gross Margin:(4) 6.35% 6.35% N/A Weighted Average Initial Rate Cap:(4) 2.70% 2.70% N/A Weighted Average Periodic Rate Cap:(4) 1.31% 1.31% N/A Weighted Average Gross Maximum Lifetime Rate:(4) 13.61% 13.61% N/A
------------------ (1) All percentages calculated in this table are based on scheduled principal balances as of the statistical calculation date, unless otherwise noted. (2) The weighted average net interest rate is equal to the weighted average gross interest rate less the servicing and trustee fee rates. (3) With respect to first lien mortgage loans, the original LTV ratio reflects the loan-to-value ratio and with respect to the second lien mortgage loans, the original combined LTV ratio reflects the ratio of the sum of the principal balance of the second lien mortgage loans, plus the original principal balance of the related first lien mortgage loan, to the value of the related mortgaged property. (4) Represents the weighted average of the adjustable-rate mortgage loans only. The scheduled principal balances of the group I mortgage loans range from approximately $4,149 to approximately $619,497. The group I mortgage loans had an average scheduled principal balance of approximately $138,306. The weighted average original loan-to-value ratio of the group I mortgage loans is approximately 78.32% and approximately 36.16% of the group I mortgage loans have original loan-to-value ratios exceeding 80.00%. The weighted average original combined loan-to-value ratio of the group I mortgage loans is approximately 81.97% and approximately 40.70% of the group I mortgage loans have original combined loan-to-value ratios exceeding 80.00%. Approximately 95.45% of the group I mortgage loans are secured by first liens, and approximately 4.55% of the group I mortgage loans are secured by second liens. Approximately 25.44% of the group I mortgage loans are interest-only for a period of time. No more than approximately 0.29% of the group I mortgage loans are secured by mortgaged properties located in any one zip-code area. None of the group I mortgage loans imposes a Prepayment Premium for a term in excess of three years. As of the cut-off date, approximately 0.47% of the group I mortgage loans were one payment past due, approximately 0.08% of the group I mortgage loans were two payments past due and none of the group I mortgage loans are three payments past due. The tables on Schedule A set forth certain statistical information with respect to the group I mortgage loans. Due to rounding, the percentages shown may not precisely total 100.00%. S-33 THE GROUP II MORTGAGE LOANS The group II mortgage loans have the following approximate aggregate characteristics as of the statistical calculation date:(1)
GROUP II MORTGAGE GROUP II LOANS IN THE GROUP II ARM FIXED-RATE AGGREGATE MORTGAGE LOANS MORTGAGE LOANS --------- -------------- -------------- Scheduled Principal Balance: $994,754,119 $814,636,104 $180,118,015 Number of Mortgage Loans: 5,191 3,487 1,704 Average Scheduled Principal Balance: $191,631 $233,621 $105,703 Weighted Average Gross Interest Rate: 7.478% 7.364% 7.990% Weighted Average Net Interest Rate:(2) 6.968% 6.854% 7.480% Weighted Average Original FICO Score: 629 627 638 Weighted Average Original LTV Ratio:(3) 79.30% 82.66% 64.09% Weighted Average Combined Original LTV Ratio:(3) 83.02% 82.68% 84.56% Weighted Average Stated Remaining Term (months): 359 363 339 Weighted Average Seasoning (months): 2 2 1 Weighted Average Months to Roll:(4) 23 23 N/A Weighted Average Gross Margin:(4) 6.37% 6.37% N/A Weighted Average Initial Rate Cap:(4) 2.56% 2.56% N/A Weighted Average Periodic Rate Cap:(4) 1.30% 1.30% N/A Weighted Average Gross Maximum Lifetime Rate:(4) 13.71% 13.71% N/A
------------------ (1) All percentages calculated in this table are based on scheduled principal balances as of the statistical calculation date, unless otherwise noted. (2) The weighted average net interest rate is equal to the weighted average gross interest rate less the servicing and trustee fee rates. (3) With respect to first lien mortgage loans, the original LTV ratio reflects the loan-to-value ratio and with respect to the second lien mortgage loans, the original combined LTV ratio reflects the ratio of the sum of the principal balance of the second lien mortgage loans, plus the original principal balance of the related first lien mortgage loan, to the value of the related mortgaged property. (4) Represents the weighted average of the adjustable-rate mortgage loans only. The scheduled principal balances of the group II mortgage loans range from approximately $4,978 to approximately $1,000,000. The group II mortgage loans had an average scheduled principal balance of approximately $191,631. The weighted average original loan-to-value ratio of the group II mortgage loans is approximately 79.30% and approximately 35.02% of the group II mortgage loans have original loan-to-value ratios exceeding 80.00%. The weighted average original combined loan-to-value ratio of the group II mortgage loans is approximately 83.02% and approximately 39.67% of the group II mortgage loans have original combined loan-to-value ratios exceeding 80.00%. Approximately 95.35% of the group II mortgage loans are secured by first liens, and approximately 4.65% of the group II mortgage loans are secured by second liens. Approximately 31.40% of the group II mortgage loans are interest-only for a period of time. No more than approximately 0.27% of the group II mortgage loans are secured by mortgaged properties located in any one zip code area. Except for approximately 0.02% of the group II mortgage loans, none of the group II mortgage loans imposes a Prepayment Premium for a term in excess of three years. As of the cut-off date, approximately 0.41% of the group II mortgage loans are one payment past due, approximately 0.03% of the group II mortgage loans are two payments past due and none of the group II mortgage loans are three payments past due. The tables on Schedule A set forth certain statistical information with respect to the group II mortgage loans. Due to rounding, the percentages shown may not precisely total 100.00%. S-34 PREPAYMENT PREMIUMS Approximately 76.90% of the mortgage loans provide for payment by the borrower of a prepayment premium (each, a "PREPAYMENT PREMIUM") in connection with certain full or partial prepayments of principal. Generally, each such mortgage loan provides for payment of a Prepayment Premium in connection with certain full or partial prepayments made within the period of time specified in the related mortgage note, ranging from six months to four years from the date of origination of such mortgage loan, or the penalty period, as described in this prospectus supplement. The amount of the applicable Prepayment Premium, to the extent permitted under applicable federal or state law, is as provided in the related mortgage note. No mortgage loan imposes a Prepayment Premium for a term in excess of four years. Prepayment Premiums collected from borrowers will be paid to the holders of the Class P certificates and will not be available for payment to the LIBOR Certificates. The servicer may waive (or permit a subservicer to waive) a Prepayment Premium in accordance with the pooling and servicing agreement if the waiver would, in the servicer's judgment, maximize recoveries on the related mortgage loan, or the Prepayment Premium is (i) not permitted to be collected by applicable law, or the collection of the Prepayment Premium would be considered "predatory" pursuant to written guidance published by any applicable federal, state or local regulatory authority having jurisdiction over such matters, or (ii) the enforceability of such Prepayment Premium is limited (x) by bankruptcy, insolvency, moratorium, receivership or other similar laws relating to creditors' rights or (y) due to acceleration in connection with a foreclosure or other involuntary payment. ADJUSTABLE-RATE MORTGAGE LOANS All of the adjustable-rate mortgage loans provide for semi-annual adjustment of the related interest rate based on the Six-Month LIBOR Loan Index (as described below under "--The Index") as specified in the related mortgage note, and for corresponding adjustments to the monthly payment amount, in each case on each applicable adjustment date (each such date, an "ADJUSTMENT DATE"). The first such adjustment for approximately 89.97% of the adjustable-rate mortgage loans will occur after an initial period of approximately two years following origination; in the case of approximately 9.05% of the adjustable-rate mortgage loans, approximately three years following origination; and in the case of 0.98% of the adjustable-rate mortgage loans, approximately five years following origination. On each Adjustment Date for an adjustable-rate mortgage loan, the interest rate will be adjusted to equal the sum, rounded generally to the nearest multiple of 1/8% of the index and a fixed percentage amount (the "GROSS MARGIN"). However, the interest rate on each such mortgage loan will not increase or decrease by more than a fixed percentage as specified in the related mortgage note (the "PERIODIC CAP") on any related Adjustment Date, except in the case of the first Adjustment Date, and will not exceed a specified maximum interest rate over the life of the adjustable-rate mortgage loan (the "MAXIMUM RATE") or be less than a specified minimum interest rate over the life of the adjustable-rate mortgage loan (the "MINIMUM RATE"). The Periodic Caps for the adjustable-rate mortgage loans are: o 3.01% and above for approximately 0.55% of the adjustable-rate mortgage loans; o 1.51%-2.00% for approximately 1.41% of the adjustable-rate mortgage loans; o 1.01%-1.50% for approximately 52.27% of the adjustable-rate mortgage loans; and o 0.51%-1.00% for approximately 45.76% of the adjustable-rate mortgage loans. The interest rate generally will not increase or decrease on the first Adjustment Date by more than a fixed percentage specified in the related mortgage note (the "INITIAL CAP"). The Initial Caps for substantially all of the adjustable-rate mortgage loans are: o 6.01% and above for approximately 0.02% of the adjustable-rate mortgage loans; o 5.51%-6.00% for approximately 1.11% of the adjustable-rate mortgage loans; S-35 o 4.51%-5.00% for approximately 0.18% of the adjustable-rate mortgage loans; o 3.51%-4.00% for approximately 0.01% of the adjustable-rate mortgage loans; o 3.01%-3.50% for approximately 0.07% of the adjustable-rate mortgage loans; o 2.51%-3.00% for approximately 60.71% of the adjustable-rate mortgage loans; o 1.51%-2.00% for approximately 32.12% of the adjustable-rate mortgage loans; o 1.01%-1.50% for approximately 2.40% of the adjustable-rate mortgage loans; and o 0.51%-1.00% for approximately 3.39% of the adjustable-rate mortgage loans. Effective with the first monthly payment due on each adjustable-rate mortgage loan (other than any adjustable-rate mortgage loans that are balloon mortgage loans) after each related Adjustment Date, or, with respect to the adjustable-rate interest-only mortgage loans, following the interest-only period, the monthly payment amount will be adjusted to an amount that will amortize fully the outstanding principal balance of the related adjustable-rate mortgage loan over its remaining term, and pay interest at the interest rate as so adjusted. Due to the application of the Initial Caps, Periodic Caps and Maximum Rates, the interest rate on each such adjustable-rate mortgage loan, as adjusted on any related Adjustment Date, may be less than the sum of the applicable Index and the related Gross Margin, rounded as described in this prospectus supplement. See "--The Index" below. The adjustable-rate mortgage loans generally do not permit the related borrowers to convert their adjustable interest rate to a fixed interest rate. THE INDEX The Index used in determining the interest rates of the adjustable-rate mortgage loans is the average of the interbank offered rates for six month United States dollar deposits in the London market, calculated as provided in the related mortgage note (the "SIX-MONTH LIBOR LOAN INDEX") and as most recently available either as of (1) the first business day occurring in a specified period of time prior to such Adjustment Date, (2) the first business day of the month preceding the month of such Adjustment Date or (3) the last business day of the second month preceding the month in which such Adjustment Date occurs, as specified in the related mortgage note. In the event that the applicable Index becomes unavailable or otherwise unpublished, the servicer will select a comparable alternative index over which it has no direct control and which is readily verifiable. FREMONT UNDERWRITING GUIDELINES GENERAL The information set forth below has been provided by Fremont. Fremont is a California state chartered industrial bank headquartered in Brea, California. Fremont currently operates nine wholesale residential real estate loan production offices located in Anaheim, California (2 offices); Concord, California (2 offices); Downers Grove, Illinois (2 offices); Westchester County, New York; and Tampa, Florida (2 offices). Fremont conducts business in 45 states and its primary source of originations is through licensed mortgage brokers. Established in 1937, Fremont is currently engaged in the business of residential sub-prime real estate lending and commercial real estate lending. Acquired in 1990, Fremont is an indirect subsidiary of Fremont General Corporation, a financial services holding company listed on the New York Stock Exchange. As of June 30, 2005, Fremont had approximately $10.83 billion in assets, approximately $9.41 billion in liabilities and approximately $1.42 billion in equity. Fremont's sub-prime residential originations totaled approximately $6.94 billion, $13.74 billion and $23.91 billion for the years ended 2002, S-36 2003, and 2004, respectively. For the first half of 2005, Fremont's subprime residential originations totaled approximately $17.01 billion. UNDERWRITING STANDARDS. All of the mortgage loans were originated or acquired by Fremont, generally in accordance with the underwriting criteria described in this section. The following is a summary of the underwriting guidelines believed by the depositor to have been applied, with some variation, by Fremont. This summary does not purport to be a complete description of the underwriting standards of Fremont. Substantially all of the mortgage loans originated by Fremont are based on loan application packages submitted through licensed mortgage brokers. These brokers must meet minimum standards set by Fremont based on an analysis of the following information submitted with an application for approval: applicable state lending license (in good standing), signed broker agreement, and signed broker authorization. Licensed mortgage brokers may submit loan application packages and once approved, are eligible to have mortgage loans funded in compliance with the terms of a signed broker agreement. Mortgage loans are underwritten in accordance with Fremont's current underwriting programs, referred to as the Scored Programs ("SCORED PROGRAMS"), subject to various exceptions as described in this section. Fremont's underwriting standards are primarily intended to assess the ability and willingness of the borrower to repay the debt and to evaluate the adequacy of the mortgaged property as collateral for the mortgage loan. The Scored Programs assess the risk of default, by using Credit Scores (as described below under "--Credit Scores") along with, but not limited to, past mortgage payment history, seasoning on bankruptcy and/or foreclosure and loan-to-value ratios as an aid to, not a substitute for, the underwriter's judgment. All of the mortgage loans in the mortgage pool were underwritten with a view toward the resale of the mortgage loans in the secondary mortgage market. The Scored Programs were developed to simplify the origination process. In contrast to assignment of credit grades according to traditional non-agency credit assessment methods, i.e., mortgage and other credit delinquencies, the Scored Programs rely upon a borrower's Credit Score, mortgage payment history and seasoning on any bankruptcy/foreclosure initially to determine a borrower's likely future credit performance. Licensed mortgage brokers are able to access Credit Scores at the initial phases of the loan application process and use the Credit Score to determine the interest rates a borrower may qualify for based upon Fremont's Scored Programs risk-based pricing matrices. Final loan terms are subject to approval by Fremont. Under the Scored Programs, Fremont requires that the Credit Score of the primary borrower (the borrower with the highest percentage of total income) be used to determine program eligibility. Credit Scores must be obtained from at least two national credit repositories, with the lower of the two scores being utilized in program eligibility determination. If Credit Scores are obtained from three credit repositories, the middle of the three scores is utilized. In all cases, a borrower's complete credit history must be detailed in the credit report that produces a given Credit Score or the borrower is not eligible for a Scored Program. Generally, the minimum applicable Credit Scores allowed is 500. All of the mortgage loans were underwritten by Fremont's underwriters having the appropriate approval authority. Each underwriter is granted a level of authority commensurate with their proven judgment, experience and credit skills. On a case by case basis, Fremont may determine that, based upon compensating factors, a prospective mortgagor not strictly qualifying under the underwriting risk category guidelines described below is nonetheless qualified to receive a loan, i.e., an underwriting exception. Compensating factors may include, but are not limited to, low loan-to-value ratio, low debt to income ratio, substantial liquid assets, good credit history, stable employment and time in residence at the applicant's current address. It is expected that a substantial portion of the mortgage loans may represent such underwriting exceptions. There are three documentation types, under which Fremont underwrites its mortgage loans. Full Documentation ("FULL DOCUMENTATION"), Easy Documentation ("EASY DOCUMENTATION") and Stated Income ("STATED INCOME"). Fremont's underwriters verify the income of each applicant under various documentation types as follows: under Full Documentation, applicants are generally required to submit S-37 verification of stable income for the periods of one to two years preceding the application dependent on credit profile; under Easy Documentation, the borrower is qualified based on verification of adequate cash flow by means of personal or business bank statements; under Stated Income, applicants are qualified based on monthly income as stated on the mortgage application. While the income is not verified under the Stated Income program, the income stated must be reasonable and customary for the applicant's line of work. Fremont originates loans secured by 1-4 unit residential properties made to eligible borrowers with a vested fee simple (or in some cases a leasehold) interest in the property. Fremont's underwriting guidelines are applied in accordance with a procedure which complies with applicable federal and state laws and regulations and require an appraisal of the mortgaged property, and if appropriate, a review appraisal. Generally, initial appraisals are provided by qualified independent appraisers licensed in their respective states. Review appraisals may only be provided by appraisers approved by Fremont. In some cases, Fremont relies on a statistical appraisal methodology provided by a third-party. Qualified independent appraisers must meet minimum standards of licensing and provide errors and omissions insurance in states where it is required to become approved to do business with Fremont. Each uniform residential appraisal report includes a market data analysis based on recent sales of comparable homes in the area and, where deemed appropriate, replacement cost analysis based on the current cost of constructing a similar home. The review appraisal may be a desk review, field review or an automated valuation report that confirms or supports the original appraiser's value of the mortgaged premises. Fremont requires title insurance on all first mortgage loans, which are secured by liens on real property. Fremont also requires that fire and extended coverage casualty insurance be maintained on the secured property in an amount at least equal to the principal balance of the related loan or the replacement cost of the property, whichever is less. Fremont conducts a number of quality control procedures, including a post-funding review as well as a full re-underwriting of a random selection of loans to assure asset quality. Under the funding review, all loans are reviewed to verify credit grading, documentation compliance and data accuracy. Under the asset quality procedure, a random selection of each month's originations is reviewed. The loan review confirms the existence and accuracy of legal documents, credit documentation, appraisal analysis and underwriting decision. A report detailing review findings and level of error is sent monthly to each loan production office for response. The review findings and branch responses are then reviewed by Fremont's senior management. Adverse findings are tracked monthly. This review procedure allows Fremont to assess programs for potential guideline changes, program enhancements, appraisal policies, areas of risk to be reduced or eliminated and the need for additional staff training. SECOND LIEN MORTGAGE LOANS. Fremont currently has three programs for the origination of second lien mortgage loans. Two are limited to loans that are originated contemporaneously with the origination of a loan secured by a first lien, while the third allows for "stand alone" originations. The first program allows for loans with up to 5% loan to value and maximum combined loan to values of 95%. This program is limited to borrowers with Credit Scores in excess of 550, credit grades of at least "C" and debt to income ratios not greater than 50%; however eligible borrowers may not be participants in a consumer credit counseling or other debt repayment program. Permissible loan balances for this program are from $5,000 to $37,500. The maximum term on these loans is 10 or 15 years; provided, that a 15 year amortization term is available only for Full Documentation loans with an original loan balance in excess of $15,000. Loans under this program are available for "owner occupied" or "non-owner occupied" properties. The second program is for borrowers with Credit Scores in excess of 580. This program allows for loans of up to 20% loan to value and 100% maximum combined loan to values and is limited to borrowers in credit grades of "A+" and "A" and debt ratios not greater than 50%. Permissible loan balances for this program are from $10,000 to $187,500. Combined loan balances (first and second lien mortgage loans) of up to $937,500 are allowed to borrowers under Full Documentation loans that have Credit Scores of 620 and greater. The limit on the combined loan balance is $500,000 for Stated Income loans; provided that no Stated Income loan may have a borrower with a Credit Score of less than 620. The loans are available with amortization terms of 10, 15, 20 and 30 years, however loan balances must be at least S-38 $25,000 to qualify for a 20 or 30 year amortization term. Rural properties and properties in Alaska are not allowed under this program. The third is a stand alone program for borrowers with Credit Scores in excess of 580. This program allows for loans of 20% loan to value and 100% maximum combined loan to values and is limited to borrowers in credit grades of "A+" and "A" and debt ratios not greater than 50%. Permissible loan balances for this program are from $10,000 to $125,000. Combined loan balances (first and second lien mortgage loans) of up to $625,000 are allowed to borrowers under Full Documentation loans that have Credit Scores of 620 and greater. The limit on the combined loan balance is $500,000 for Stated Income loans; provided that no Stated Income loan may have a borrower with a Credit Score of less than 620. The loans are available with amortization terms of 10, 15, 20 and 30 years, however loan balances must be at least $25,000 to qualify for a 20 year amortization term and at least $50,000 for a 30 year amortization term. Rural properties and properties in Alaska are not allowed under this program. RISK CATEGORIES Fremont's underwriting guidelines under the Scored Programs with respect to each rating category generally require, o debt to income ratios of 55% or less on mortgage loans with loan-to-value ratios of 90% or less, however, debt to income ratios of 50% or less are required on loan-to-value ratios greater than 90%, o applicants have a Credit Score of at least 500, o that no liens or judgments affecting title may remain open after the funding of the loan, other than liens in favor of the internal revenue service that are subordinated to the loan, and o that any collection, charge-off, or judgment not affecting title that is less than 1 year old must be paid in connection with closing if either its balance is greater than $1,000 or the aggregate balances of all such collections, charge-offs or judgments are greater than $2,500. In addition, the various risk categories generally have the following criteria for borrower eligibility: "A+." Under the "A+" category, an applicant must have no 30-day delinquent mortgage payments within the last 12 months and it must be at least 24 months since discharge of any Chapter 7 or Chapter 13 bankruptcy and/or foreclosure. The maximum loan-to-value ratio is 100% with a minimum Credit Score of 600. The maximum permitted loan-to-value ratio is reduced for: non-owner occupied properties, properties with 3-4 units, or properties with rural characteristics. "A." Under the "A" category, an applicant must have not more than one 30-day delinquent mortgage payment within the last 12 months and it must be at least 24 months since discharge of any Chapter 7 or Chapter 13 bankruptcy and/or foreclosure. The maximum loan-to-value ratio is 100% with a minimum Credit Score of 600. The maximum permitted loan-to-value ratio is reduced for: reduced income documentation, non-owner occupied properties, properties with 3-4 units, or properties with rural characteristics. "A-." Under the "A-" category, an applicant must have not more than three 30-day delinquent mortgage payments within the last 12 months and it must be at least 24 months since discharge of any Chapter 7 or Chapter 13 bankruptcy and/or foreclosure. The maximum loan-to-value ratio is 90% with a minimum Credit Score of 550. The maximum permitted loan-to-value ratio is reduced for: reduced income documentation, non-owner occupied properties, properties with 3-4 units, or properties with rural characteristics. "B." Under the "B" category, an applicant must have not more than one 60-day delinquent mortgage payment within the last 12 months and it must be at least 18 months since discharge of any Chapter 7 or Chapter 13 bankruptcy and/or foreclosure. The maximum loan-to-value ratio is 85% with a Credit Score S-39 of 550. The maximum permitted loan-to-value ratio is reduced for: reduced income documentation, non-owner occupied properties, properties with 3-4 units, or properties with rural characteristics. "C." Under the "C" category, an applicant may not be more than 90-days delinquent with respect to its current mortgage payment and it must be at least 12 months since discharge of any Chapter 7 or Chapter 13 bankruptcy and/or foreclosure. The maximum permitted loan-to-value ratio is 80% with a minimum Credit Score of 550. The maximum permitted loan-to-value ratio is reduced for: reduced income documentation, non-owner occupied properties, properties with 3-4 units, or properties with rural characteristics. "C-." Under the "C-" category, an applicant must not be more than 150 days delinquent with respect to its current mortgage payment and it must not be subject of a Chapter 7 or Chapter 13 bankruptcy and/or foreclosure. The maximum permitted loan-to-value ratio is 70% with a minimum Credit Score of 500. The maximum permitted loan-to-value ratio is reduced for: reduced income documentation, non-owner occupied properties, properties with 3-4 units, or properties with rural characteristics. "D." Under the "D" category, an applicant must not be more than 180 days delinquent with respect to its current mortgage payment. Any Chapter 7 or Chapter 13 bankruptcy proceedings and/or foreclosure actions must be paid in connection with closing. The maximum permitted loan-to-value ratio is 65% with a minimum Credit Score of 500. The maximum permitted loan-to-value ratio is reduced to 60% if the property is currently subject to foreclosure proceedings. GOLDMAN SACHS MORTGAGE CONDUIT PROGRAM UNDERWRITING GUIDELINES GENERAL The information set forth below has been provided by GSMC. GSMC acquires its mortgage loans through two primary channels: (i) its conduit program, pursuant to which it acquires mortgage loans from various banks, savings and loan associations, mortgage bankers and other mortgage loan originators and purchasers of mortgage loans in the secondary market and (ii) bulk acquisitions in the secondary market. GSMC will acquire mortgage loans secured by first or second liens on the related mortgaged properties. All of the mortgage loans acquired by GSMC through its conduit program were acquired generally in accordance with the underwriting criteria described in this section. In certain instances, compensating factors demonstrated to the mortgage loan originator by a prospective borrower may warrant GSMC to make certain exceptions to these guidelines. In such instances GSMC would purchase a mortgage loan that did not completely conform to the guidelines set out below. The underwriting guidelines used to originate certain of the mortgage loans acquired by GSMC are different from and, in some cases, less stringent than, the underwriting standards established by Fannie Mae or Freddie Mac. The differences primarily relate to loan characteristics such as original principal balances, loan-to-value ratios, borrower income, required documentation, interest rates, borrower occupancy of the mortgaged property and/or property types. Mortgage loans originated pursuant to underwriting standards different from those of Fannie Mae and Freddie Mac may experience higher rates of delinquency and/or credit losses than mortgage loans originated by Fannie Mae or Freddie Mac. In addition, compensating factors demonstrated by a prospective borrower may warrant certain exceptions to the underwriting standards described in this section. Generally, each borrower applying for a mortgage loan must complete a credit application. The credit application is designed to provide the originating lender with relevant credit information about the prospective borrower such as information with respect to the borrower's assets, liabilities, income (except as described below), credit history, employment history and personal information. In addition, prospective borrowers generally must provide an authorization to apply for a credit report. A credit report summarizes the borrower's past credit experience with lenders and other debtors, including any record of bankruptcy. Sometimes, the borrower is required to authorize the originating lender to verify deposits at financial S-40 institutions identified by the borrower as institutions at which the borrower maintains demand or savings accounts. The originating lender may also consider certain non-wage income of the borrower in the underwriting process, including income derived from mortgaged properties that are investment properties or two- to four-unit dwellings. Generally, the originating lender will not consider income derived from vacation or second homes in the underwriting process. Certain borrowers with acceptable payment histories are not required to state their income on their loan application and, as a result, the originating lender does not verify their income. Based on the data referred to above (and verification of that data, to the extent required), the originating lender makes a determination about whether the borrower's monthly income (if required to be stated) will be sufficient to enable the borrower to meet its monthly obligations on the mortgage loan and other expenses related to the property, including property taxes, utility costs, standard hazard insurance and other fixed and revolving obligations other than housing expenses. Generally, scheduled payments on a mortgage loan during the first twelve months of its term plus taxes and insurance and all scheduled payments on obligations that extend beyond ten months may equal no more than a specified percentage of the prospective borrower's gross income. The permitted percentage is determined on the basis of various underwriting criteria, including the LTV ratio of the mortgage loan and, in certain instances, the amount of liquid assets available to the borrower after origination. In addition to its "full" documentation program, loans acquired by GSMC through its conduit program may also be originated under the following limited documentation programs: "reduced income," "stated income," "stated income/stated assets" or "no doc." These limited documentation programs are designed to streamline the underwriting process. The "reduced income," "stated income," "stated income/stated asset" and "no doc" programs generally require less documentation and verification than do "full" documentation programs. Generally, the "full" documentation program requires information with respect to the borrower's income and assets (i.e., standard Fannie Mae/Freddie Mac approved forms for verification of income/employment, assets and certain payment histories). However, alternative forms of standard verifications may also be used for income (i.e., W-2 forms, tax returns and/or pay stubs) and assets (i.e., bank statements). Generally, under "full" documentation programs at least one year of income documentation is provided. Employment history must also be verified by the originating lender. Generally, the "reduced" documentation program requires similar information with respect to the borrower's income as a "full" documentation program. However, under "reduced" documentation programs only six months of income documentation is generally provided. Employment history must also be verified by the originating lender. Generally, under the "stated income" program, the borrower's income is stated on the credit application but not verified by the originator. However, employment history must be verified by the originating lender. Generally, under the "stated income/stated assets" program, both income and assets are stated on the loan application, but the originator verifies neither; although the stated income must be reasonable relative to the borrower's stated employment. However, employment history must be verified by the originating lender. Generally, under the "no doc" program, the borrower's income and assets are neither stated on the credit application nor verified by the originator. The underwriting for mortgage loans originated under a "no doc" program may be based primarily or entirely on the appraised value of the mortgaged property and the LTV ratio at origination as well as on the payment history and credit score of the related borrower. Employment history is neither stated nor verified by the originating lender. The following charts summarize GSMC's maximum loan-to-value ratio requirements under its various documentation programs: S-41 FULL DOCUMENTATION
------------------ --------------------------------- -------------------------------- -------------------------------- OWNER OCCUPIED 2ND HOME NON-OWNER OCCUPIED ------------------ --------------------------------- -------------------------------- -------------------------------- MINIMUM MAXIMUM MAXIMUM FICO SCORE MAXIMUM LTV(1) MAXIMUM CLTV(1) MAXIMUM LTV(1) MAXIMUM CLTV(1) LTV(1) CLTV(1) ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 700 100% 100% 95% 95% 90% 90% ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 680 100 100 95 95 90 90 ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 640 100 100 90 90 90 90 ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 620 100 100 90 90 85 90 ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 600 100 100 90 90 85 90 ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 580 90 95 90 90 80 90 ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 560 90 95 85 90 75 90 ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 540 85 95 n/a n/a n/a n/a ------------------ ---------------- ---------------- --------------- ---------------- ---------------- ---------------
(1) The maximum permitted loan-to-value ratio and combined loan-to-value ratio may be reduced for: cash out refinances and debt consolidations, certain property types, and loan amount. REDUCED DOCUMENTATION
------------------ --------------------------------- -------------------------------- -------------------------------- OWNER OCCUPIED 2ND HOME NON-OWNER OCCUPIED ------------------ --------------------------------- -------------------------------- -------------------------------- MINIMUM FICO MAXIMUM SCORE MAXIMUM LTV(1) MAXIMUM CLTV(1) MAXIMUM LTV(1) MAXIMUM CLTV(1) MAXIMUM LTV(1) CLTV(1) ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 700 100% 100% 95% 95% 85% 90% ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 680 100 100 90 90 85 90 ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 640 100 100 90 90 80 90 ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 620 95 95 85 90 75 90 ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 600 90 90 85 90 75 90 ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 580 90 90 80 90 75 90 ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 560 85 90 80 80 75 90 ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 540 80 90 n/a n/a n/a n/a ------------------ ---------------- ---------------- --------------- ---------------- ---------------- ---------------
(1) The maximum permitted loan-to-value ratio and combined loan-to-value ratio may be reduced for: cash out refinances and debt consolidations, certain property types, and loan amount. STATED INCOME / STATED INCOME STATED ASSET DOCUMENTATION
------------------ --------------------------------- -------------------------------- -------------------------------- OWNER OCCUPIED 2ND HOME NON-OWNER OCCUPIED ------------------ --------------------------------- -------------------------------- -------------------------------- MINIMUM FICO MAXIMUM SCORE MAXIMUM LTV(1) MAXIMUM CLTV(1) MAXIMUM LTV(1) MAXIMUM CLTV(1) MAXIMUM LTV(1) CLTV(1) ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 700 100% 100% 90% 90% 85% 90% ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 680 100 100 90 90 80 90 ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 640 90 100 85 90 80 90 ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 620 85 90 80 90 75 90 ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 600 85 90 80 90 70 90 ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 580 80 90 75 90 70 90 ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 560 75 90 65 90 60 90 ------------------ ---------------- ---------------- --------------- ---------------- ---------------- ---------------
(1) The maximum permitted loan-to-value ratio and combined loan-to-value ratio may be reduced for: cash out refinances and debt consolidations, certain property types, and loan amount. S-42 NO DOCUMENTATION
------------------ --------------------------------- -------------------------------- -------------------------------- OWNER OCCUPIED 2ND HOME NON-OWNER OCCUPIED ------------------ --------------------------------- -------------------------------- -------------------------------- MINIMUM FICO MAXIMUM SCORE MAXIMUM LTV(1) MAXIMUM CLTV(1) MAXIMUM LTV(1) MAXIMUM CLTV(1) MAXIMUM LTV(1) CLTV(1) ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 700 95% 95% 85% 85% 80% 80% ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 680 90 90 85 85 75 75 ------------------ ---------------- ---------------- --------------- ---------------- ---------------- --------------- 660 85 85 80 80 70 70 ------------------ ---------------- ---------------- --------------- ---------------- ---------------- ---------------
(1) The maximum permitted loan-to-value ratio and combined loan-to-value ratio may be reduced for: cash out refinances and debt consolidations, certain property types, and loan amount. An appraisal is generally conducted on each mortgaged property by the originating lender. The appraisal must be conducted in accordance with established appraisal procedure guidelines acceptable to the originator in order to determine the adequacy of the mortgaged property as security for repayment of the related mortgage loan. All appraisals must be on forms acceptable to Fannie Mae and/or Freddie Mac and conform to the Uniform Standards of Professional Appraisal Practice adopted by the Appraisal Standards Board of the Appraisal Foundation. Appraisers may be staff licensed appraisers employed by the originator or independent licensed appraisers selected in accordance with established appraisal procedure guidelines acceptable to the originator. Generally, the appraisal procedure guidelines require the appraiser or an agent on its behalf to inspect the property personally and verify whether the property is in good condition and that, if new, construction has been substantially completed. The appraisal generally will be based upon a market data analysis of recent sales of comparable properties and, when deemed applicable, an analysis based on income generated from the property or a replacement cost analysis based on the current cost of constructing or purchasing a similar property. CREDIT SCORES Credit scores are obtained by many lenders in connection with mortgage loan applications to help them assess a borrower's creditworthiness (the "CREDIT SCORES"). Credit Scores are generated by models developed by a third-party which analyzed data on consumers in order to establish patterns which are believed to be indicative of the borrower's probability of default. The Credit Score is based on a borrower's historical credit data, including, among other things, payment history, delinquencies on accounts, levels of outstanding indebtedness, length of credit history, types of credit, and bankruptcy experience. Credit Scores range from approximately 250 to approximately 900, with higher scores indicating an individual with a more favorable credit history compared to an individual with a lower score. However, a Credit Score purports only to be a measurement of the relative degree of risk a borrower represents to a lender, i.e., a borrower with a higher score is statistically expected to be less likely to default in payment than a borrower with a lower score. Lenders have varying ways of analyzing Credit Scores and, as a result, the analysis of Credit Scores across the industry is not consistent. In addition, it should be noted that Credit Scores were developed to indicate a level of default probability over a two-year period, which does not correspond to the life of a mortgage loan. Furthermore, Credit Scores were not developed specifically for use in connection with mortgage loans, but for consumer loans in general, and assess only the borrower's past credit history. Therefore, a Credit Score does not take into consideration the effect of mortgage loan characteristics (which may differ from consumer loan characteristics) on the probability of repayment by the borrower. There can be no assurance that the Credit Scores of the mortgagors will be an accurate predictor of the likelihood of repayment of the related mortgage loans. The tables on Schedule A set forth certain information as to the Credit Scores of the related mortgagors, for the mortgage loans in the aggregate and for each mortgage loan group, obtained by the applicable original loan seller in connection with the origination of each mortgage loan. S-43 THE SERVICER GENERAL It is expected that no later than on or about November 1, 2005, Fremont will complete the transfer of servicing of all of the Fremont mortgage loans to JPMorgan in accordance with the servicing transfer provisions of an interim servicing agreement between Fremont and GSMC, EquiFirst will complete the transfer of servicing of all of the EquiFirst mortgage loans to JPMorgan in accordance with the servicing transfer provisions of a mortgage loan purchase and warranties agreement between EquiFirst and GSMC, and various other loan sellers, each of whom individually sold loans comprising less than 10% of the total mortgage loans in the trust, will complete the transfer of servicing to JPMorgan, in accordance with the servicing transfer provisions of various interim servicing agreements each between the applicable loan seller and GSMC, of the mortgage loans not already being serviced by JPMorgan. Thereafter, JPMorgan will act as servicer for all of the mortgage loans. JPMORGAN CHASE BANK, NATIONAL ASSOCIATION The information set forth below has been provided by JPMorgan. GENERAL JPMorgan Chase Bank, National Association ("JPMORGAN") is a wholly-owned bank subsidiary of JPMorgan Chase & Co., a Delaware corporation whose principal office is located in New York, New York. JPMorgan is a commercial bank offering a wide range of banking services to its customers both domestically and internationally. It is chartered, and its business is subject to examination and regulation, by the Office of the Comptroller of the Currency. JPMorgan's main office is located in Columbus, Ohio. It is a member of the Federal Reserve System and its deposits are insured by the Federal Deposit Insurance Corporation. Prior to January 1, 2005, JPMorgan formed Chase Home Finance LLC ("CHF"), a wholly-owned, limited liability corporation. Prior to January 1, 2005, Chase Manhattan Mortgage Corporation ("CMMC") was engaged in the mortgage origination and servicing businesses. On January 1, 2005, CMMC merged with and into CHF with CHF as the surviving entity. JPMorgan will be the servicer of all originations and servicing rights purchases occurring on or after January 1, 2005 and will engage CHF as its subservicer. CHF is engaged in the business of servicing mortgage loans and will continue to directly service its servicing portfolio existing prior to January 1, 2005. In its capacity as servicer, JPMorgan will be responsible for servicing the mortgage loans in accordance with the terms set forth in the pooling and servicing agreement. JPMorgan may perform any or all of its obligations under the pooling and servicing agreement through one or more subservicers. JPMorgan has engaged CHF as its subservicer to perform loan servicing activities for the mortgage loans on its behalf. JPMorgan will remain liable for its servicing duties and obligations under the pooling and servicing agreement as if JPMorgan alone were servicing those mortgage loans. CHASE HOME FINANCE LLC Due to the recent restructuring of its mortgage operations JPMorgan does not have meaningful historical servicing data. As a result and due to JPMorgan's engagement of CHF as its subservicer, CHF is providing below historical delinquency, foreclosure and loan loss data for its portfolio of fixed rate and adjustable rate subprime mortgage loans which were originated or purchased by CHF and subsequently securitized in asset-backed transactions (the "CHF SUBPRIME SECURITIZED SERVICING PORTFOLIO"). The CHF Subprime Securitized Servicing Portfolio represents only a portion of the total servicing portfolio of CHF and many of the mortgage loans in the CHF Subprime Securitized Servicing Portfolio have not been outstanding long enough to experience the level of delinquencies, foreclosures and loan losses which might be expected to occur on a larger, more seasoned portfolio of mortgage loans which were underwritten, originated and serviced in a manner similar to the mortgage loans in the CHF Subprime Securitized Servicing Portfolio. Because of the relatively small size and relative lack of seasoning of the CHF Subprime S-44 Securitized Servicing Portfolio, there can be no assurance that the delinquency, foreclosure and loan loss experience on the mortgage loans subserviced by CHF for JPMorgan in this transaction will correspond to the delinquency, foreclosure and loan loss experience shown in the tables below, and the actual delinquency, foreclosure and loan loss experience on the mortgage loans subserviced by CHF for JPMorgan in this transaction could be significantly worse. Moreover, the mortgage loans subserviced by CHF for JPMorgan in this transaction were acquired by GSMC from various originators and were not originated by CHF and as a result, the actual delinquency, loss and foreclosure experience on such mortgage loans could be significantly worse than the delinquency, foreclosure and loan loss experience shown in the tables below. CHF SUBPRIME SECURITIZED SERVICING PORTFOLIO The following tables contain information relating to the delinquency, loan loss and foreclosure experience with respect to the CHF Subprime Securitized Servicing Portfolio. DELINQUENCY AND FORECLOSURE EXPERIENCE OF THE CHF SUBPRIME SECURITIZED SERVICING PORTFOLIO (DOLLARS IN THOUSANDS)
AS OF JUNE 30, AS OF DECEMBER 31, ----------------------- ------------------------------------------------------------------- 2005 2004 2003 2002 ----------------------- ------------------- ------------------- ------------------- NUMBER NUMBER DOLLAR NUMBER DOLLAR NUMBER DOLLAR OF LOANS DOLLAR AMOUNT OF LOANS AMOUNT OF LOANS AMOUNT OF LOANS AMOUNT -------- ------------- -------- ------ -------- ------ -------- ------ Portfolio 60,264 $7,268,961 75,898 $9,388,238 90,370 $11,146,244 73,597 $8,326,818 Delinquency 30-59 days 2.43% 1.98% 2.41% 1.83% 2.40% 1.83% 2.69% 2.28% 60-89 days 0.67% 0.48% 0.70% 0.54% 0.84% 0.66% 0.86% 0.72% 90 days or more 1.80% 1.26% 1.75% 1.31% 1.43% 1.15% 1.41% 1.21% ------ ---------- ------ ---------- ------ --------- ------ -------- Total 4.90% 3.72% 4.86% 3.68% 4.67% 3.64% 4.96% 4.21% ====== ========== ====== ========== ====== ========= ====== ======== Foreclosure rate 2.64% 2.21% 2.72% 2.20% 2.47% 2.06% 2.65% 2.48% REO properties 441 N/A 504 N/A 532 N/A 480 N/A
The period of delinquency is based on the number of days payments are contractually past due. The delinquency statistics for the period exclude loans in foreclosure. The portfolio statistics set forth above exclude REO properties. The foreclosure rate reflects the number of mortgage loans in foreclosure as a percentage of the total number of mortgage loans or the dollar amount of mortgage loans in foreclosure as a percentage of the total dollar amount of mortgage loans, as the case may be, as of the date indicated. REO properties are real estate owned properties which relate to foreclosed mortgages or properties for which deeds in lieu of foreclosure have been accepted, and held by CHF pending disposition. LOAN LOSS EXPERIENCE OF THE CHF SUBPRIME SECURITIZED SERVICING PORTFOLIO (DOLLARS IN THOUSANDS)
SIX-MONTH PERIOD ENDING JUNE 30, YEAR ENDING DECEMBER 31, --------------- ------------------------------------------- 2005 2004 2003 2002 --------------- ------------------------------------------- Average amount outstanding $8,178,647 $10,443,888 $9,642,035 $7,902,732 Net losses $ 31,834 $ 73,858 $ 73,504 $ 43,458 Net losses as a percentage of average amount outstanding 0.39% 0.71% 0.76% 0.55%
The average amount outstanding during the period is the arithmetic average of the principal balances of the mortgage loans outstanding on the last business day of each month during the period. Net losses S-45 are amounts relating to mortgage loans which have been determined by CHF to be uncollectible, less amounts received by CHF as recoveries from liquidation proceeds and deficiency judgments. THERE CAN BE NO ASSURANCE THAT THE DELINQUENCY, FORECLOSURE AND LOAN LOSS EXPERIENCE ON THE MORTGAGE LOANS SUBSERVICED BY CHF FOR JPMORGAN IN THIS TRANSACTION WILL CORRESPOND TO THE DELINQUENCY, FORECLOSURE AND LOAN LOSS EXPERIENCE SET FORTH IN THE TABLES ABOVE. THEREFORE, NEITHER JPMORGAN NOR CHF CAN PREDICT TO WHAT DEGREE THE ACTUAL DELINQUENCY, FORECLOSURE AND LOAN LOSS EXPERIENCE ON THE MORTGAGE LOANS SUBSERVICED BY CHF FOR JPMORGAN IN THIS TRANSACTION WILL CORRESPOND TO THE STATISTICAL INFORMATION SET FORTH ABOVE. MOREOVER, THE MORTGAGE LOANS SUBSERVICED BY CHF FOR JPMORGAN IN THIS TRANSACTION WERE ACQUIRED BY GSMC FROM VARIOUS ORIGINATORS AND NOT FROM CHF. CONSEQUENTLY, THE DELINQUENCY, FORECLOSURE AND LOAN LOSS EXPERIENCE SET FORTH IN THE TABLES ABOVE MAY NOT NECESSARILY BE MATERIAL TO A PROSPECTIVE INVESTOR'S DECISION TO INVEST IN THE OFFERED CERTIFICATES. In general, during periods in which the residential real estate market is experiencing an overall decline in property values such that the principal balances of mortgage loans and any secondary financing on the related mortgaged properties become equal to or greater than the value of the related mortgaged properties, rates of delinquencies, foreclosure and losses could be significantly higher than might otherwise be the case. In addition, adverse economic conditions (which may affect real property values) may affect the timely payment by mortgagors of scheduled payments, and accordingly, the actual rates of delinquencies, foreclosures and losses with respect to the mortgage pool. Collection Procedures. CHF employs a variety of collection techniques during the various stages of delinquency. The primary purpose of all collection efforts performed by CHF is to bring a delinquent mortgage loan current in as short a time as possible. Phone calls are used as the principal form of contacting a mortgagor. CHF utilizes a combination of predictive and preview dialer strategies to maximize the results of collection calling activity. Prior to initiating foreclosure proceedings, CHF makes every reasonable effort to determine the reason for the default; whether the delinquency is a temporary or permanent condition; and the mortgagor's attitude toward the obligation. CHF will take action to foreclose a mortgage only once every reasonable effort to cure the default has been made and a projection of the ultimate gain or loss on REO sale is determined. In accordance with accepted servicing practices, foreclosures are processed within individual state guidelines and in accordance with the provisions of the mortgage and applicable state law. S-46 THE TRUSTEE Deutsche Bank National Trust Company, a national banking association, has an office at 1761 East St. Andrew Place, Santa Ana, California 92705-4934, Attention: Trust Administration GS05H4. The trustee will perform administrative functions on behalf of the trust fund and for the benefit of the certificateholders pursuant to the terms of the pooling and servicing agreement. The trustee's duties are limited solely to its express obligations under the pooling and servicing agreement. See "The Pooling and Servicing Agreement" in this prospectus supplement. DESCRIPTION OF THE CERTIFICATES GENERAL On the closing date, the trust will be created and the depositor will cause the trust to issue the certificates. The certificates will be issued in twenty classes--the Class A-1, Class A-2A, Class A-2B, Class A-2C, Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2, Class B-3, Class B-4, Class R-1, Class R-2, Class R-3, Class P, Class C and Class X certificates. Only the Class A-1, Class A-2A, Class A-2B, Class A-2C, Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2, Class B-3, Class B-4, Class R-1, Class R-2 and Class R-3 certificates (collectively, the "OFFERED CERTIFICATES") will be offered under this prospectus supplement. The Class R-1, Class R-2 and Class R-3 certificates are referred to as the "RESIDUAL CERTIFICATES" in this prospectus supplement. The Offered Certificates, other than the Residual Certificates, are referred to as the "LIBOR CERTIFICATES" in this prospectus supplement. The certificates will collectively represent the entire undivided ownership interest in the trust fund created and held under the pooling and servicing agreement, subject to the limits and priority of distribution provided for in that agreement. The trust fund will consist of: o the mortgage loans, together with the related mortgage files and all related collections and proceeds due and collected after the cut-off date; o such assets as from time to time are identified as REO property and related collections and proceeds; o assets that are deposited in the accounts described in this prospectus supplement; and o an interest rate swap agreement. The LIBOR Certificates will be issued and available only in book-entry form, in minimum denominations of $25,000 initial principal amount and integral multiples of $1 in excess of $25,000, except that one certificate of each class may be issued in a different amount. The Residual Certificates will be issued and available only in definitive form, in minimum denominations of $100. Voting rights will be allocated among holders of the LIBOR Certificates in proportion to the Class Certificate Balances of their respective certificates on such date, except that the Class X and Class P certificates will each be allocated 1% of the voting rights. The Class C Certificates and the Residual Certificates will not be entitled to any voting rights. The Class A-1 certificates will generally represent interests in the group I mortgage loans and the Class A-2A, Class A-2B and Class A-2C certificates will generally represent an interest in the group II mortgage loans. The Class R-1, Class R-2, Class R-3, Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2, Class B-3 and Class B-4 certificates will represent interests in all of the mortgage loans in the trust fund. S-47 BOOK-ENTRY REGISTRATION The LIBOR Certificates are sometimes referred to in this prospectus supplement as "BOOK-ENTRY CERTIFICATES." No person acquiring an interest in the book-entry certificates will be entitled to receive a definitive certificate representing an obligation of the trust, except under the limited circumstances described in this prospectus supplement. Beneficial owners may elect to hold their interests through DTC, in the United States, or Clearstream Banking, societe anonyme or Euroclear Bank, as operator of the Euroclear System, in Europe. Transfers within DTC, Clearstream or Euroclear, as the case may be, will be in accordance with the usual rules and operating procedures of the relevant system. So long as the LIBOR Certificates are book-entry certificates, such certificates will be evidenced by one or more certificates registered in the name of Cede & Co., which will be the "HOLDER" of such certificates, as the nominee of DTC or one of the relevant depositories. Cross-market transfers between persons holding directly or indirectly through DTC, on the one hand, and counterparties holding directly or indirectly through Clearstream or Euroclear, on the other, will be effected in DTC through the relevant depositories of Clearstream or Euroclear, respectively, and each a participating member of DTC. The interests of the beneficial owners of interests in the LIBOR Certificates will be represented by book entries on the records of DTC and its participating members. All references in this prospectus supplement to the LIBOR Certificates reflect the rights of beneficial owners only as such rights may be exercised through DTC and its participating organizations for so long as such certificates are held by DTC. The beneficial owners of the LIBOR Certificates may elect to hold their certificates through DTC in the United States, or Clearstream or Euroclear if they are participants in such systems, or indirectly through organizations which are participants in such systems. The LIBOR Certificates will be issued in one or more certificates which in the aggregate equal the outstanding principal balance or notional amount of the related class of certificates and will initially be registered in the name of Cede & Co., the nominee of DTC. Clearstream and Euroclear will hold omnibus positions on behalf of their participants through customers securities accounts in Clearstream's and Euroclear's names on the books of their respective depositories which in turn will hold such positions in customers' securities accounts in the depositories names on the books of DTC. Except as described below, no beneficial owner will be entitled to receive a physical or definitive certificates. Unless and until definitive certificates are issued, it is anticipated that the only holder of the LIBOR Certificates will be Cede & Co., as nominee of DTC. Beneficial owners will not be holders or certificateholders as those terms are used in the pooling and servicing agreement. Beneficial owners are only permitted to exercise their rights indirectly through participants and DTC. The beneficial owner's ownership of a book-entry certificate will be recorded on the records of the brokerage firm, bank, thrift institution or other financial intermediary that maintains the beneficial owner's account for such purpose. In turn, the financial intermediary's ownership of such book-entry certificate will be recorded on the records of DTC or on the records of a participating firm that acts as agent for the financial intermediary, whose interest will in turn be recorded on the records of DTC, if the beneficial owner's financial intermediary is not a DTC participant and on the records of Clearstream or Euroclear, as appropriate. DTC is a limited purpose trust company organized under the laws of the State of New York, a member of the Federal Reserve System, a clearing corporation within the meaning of the New York UCC and a "clearing agency" registered pursuant to Section 17A of the Exchange Act. DTC was created to hold securities for its participants and to facilitate the clearance and settlement of securities transactions between participants through electronic book-entries, thus eliminating the need for physical movement of certificates. Participants include securities brokers and dealers, including underwriters, banks, trust companies and clearing corporations. Indirect access to the DTC system also is available to others such as banks, brokers, dealers and trust companies that clear through or maintain a custodial relationship with a participant, either directly or indirectly through indirect participants. Under the rules, regulations and procedures creating and affecting DTC and its operations, DTC is required to make book-entry transfers of book-entry certificates, such as the LIBOR Certificates, among participants on whose behalf it acts with respect to the book-entry certificates and to receive and transmit distributions of principal of and interest on the book-entry certificates. Participants and indirect participants with which beneficial owners have accounts with respect to the book-entry certificates S-48 similarly are required to make book-entry transfers and receive and transmit such distributions on behalf of their respective beneficial owners. Beneficial owners that are not participants or indirect participants but desire to purchase, sell or otherwise transfer ownership of, or other interests in, book-entry certificates may do so only through participants and indirect participants. In addition, beneficial owners will receive all distributions of principal and interest from the trustee, or a paying agent on behalf of the trustee, through DTC participants. DTC will forward such distributions to its participants, which thereafter will forward them to indirect participants or beneficial owners. Beneficial owners will not be recognized by the trustee or any paying agent as holders of the LIBOR Certificates, and beneficial owners will be permitted to exercise the rights of the holders of the LIBOR Certificates only indirectly through DTC and its participants. Because of time zone differences, it is possible that credits of securities received in Clearstream or Euroclear as a result of a transaction with a participant will be made during subsequent securities settlement processing and dated the business day following the DTC settlement date. Such credits or any transactions in such securities settled during such processing will be reported to the relevant Euroclear or Clearstream participants on such business day. Cash received in Clearstream or Euroclear as a result of sales of securities by or through a Clearstream participant or Euroclear participant to a DTC participant will be received with value on the DTC settlement date but, due to time zone differences, may be available in the relevant Clearstream or Euroclear cash account only as of the business day following settlement in DTC. Transfers between participants will occur in accordance with DTC rules. Transfers between Clearstream participants and Euroclear participants will occur in accordance with their respective rules and operating procedures. Cross-market transfers between persons holding directly or indirectly through DTC, on the one hand, and directly or indirectly through Clearstream participants or Euroclear participants, on the other, will be effected in DTC in accordance with DTC rules on behalf of the relevant European international clearing system by the relevant depositary, each of which is a participating member of DTC; provided, however, that such cross-market transactions will require delivery of instructions to the relevant European international clearing system by the counterparty in such system in accordance with its rules and procedures and within its established deadlines. The relevant European international clearing system will, if the transaction meets its settlement requirements, deliver instructions to the relevant depositary to take action to effect final settlement on its behalf by delivering or receiving securities in DTC, and making or receiving distribution in accordance with normal procedures for same day funds settlement applicable to DTC. Clearstream participants and Euroclear participants may not deliver instructions directly to the relevant depositories for Clearstream or Euroclear. Clearstream holds securities for its participant organizations and facilitates the clearance and settlement of securities transactions between Clearstream participants through electronic book-entry changes in accounts of Clearstream participants, thus eliminating the need for physical movement of securities. Transactions may be settled through Clearstream in many currencies, including United States dollars. Clearstream provides to its Clearstream participants, among other things, services for safekeeping, administration, clearance and settlement of internationally traded securities and securities lending and borrowing. Clearstream interfaces with domestic markets in several countries. Clearstream participants are recognized financial institutions around the world, including underwriters, securities brokers and dealers, banks, trust companies, clearing corporations and certain other organizations. Indirect access to Clearstream is also available to others, such as banks, brokers, dealers and trust companies that clear through or maintain a custodial relationship with a Clearstream participant, either directly or indirectly. Euroclear was created to hold securities for its participants and to clear and settle transactions between its participants through simultaneous electronic book-entry delivery against payment, thereby eliminating the need for physical movement of certificates and any risk from lack of simultaneous transfers of securities and cash. The Euroclear System is owned by Euroclear plc and operated through a license agreement by Euroclear Bank S.A./N.V., a bank incorporated under the laws of the Kingdom of S-49 Belgium (the "EUROCLEAR OPERATOR"). The Euroclear Operator holds securities and book-entry interests in securities for participating organizations and facilitates the clearance and settlement of securities transactions between Euroclear participants, and between Euroclear participants and participants of certain other securities intermediaries through electronic book-entry changes in accounts of such participants or other securities intermediaries. Non-participants of Euroclear may hold and transfer book-entry interests in the LIBOR Certificates through accounts with a direct participant of Euroclear or any other securities intermediary that holds book-entry interests in the LIBOR Certificates through one or more securities intermediaries standing between such other securities intermediary and the Euroclear Operator. Securities clearance accounts and cash accounts with the Euroclear Operator are governed by the Terms and Conditions Governing Use of Euroclear and the related Operating Procedures of the Euroclear System, and applicable Belgian law. All securities in Euroclear are held on a fungible basis without attribution of specific certificates to specific securities clearance accounts. The Euroclear Operator acts only on behalf of Euroclear participants and has no record of or relationship with the persons holding through Euroclear participants. Distributions on the book-entry certificates will be made on each Distribution Date by the trustee to Cede & Co., as nominee of DTC. DTC will be responsible for crediting the amount of such distributions to the accounts of the applicable DTC participants in accordance with DTC's normal procedures. Each DTC participant will be responsible for disbursing such distribution to the beneficial owners of the book-entry certificates that it represents and to each financial intermediary for which it acts as agent. Each such financial intermediary will be responsible for disbursing funds to the beneficial owners of the book-entry certificates that it represents. Under a book-entry format, beneficial owners of the book-entry certificates may experience some delay in their receipt of distributions, since such distributions will be forwarded by the trustee to Cede & Co., as nominee of DTC. Distributions with respect to certificates held through Clearstream or Euroclear will be credited to the cash accounts of Clearstream participants or Euroclear participants in accordance with the relevant system's rules and procedures, to the extent received by the relevant depositary. Such distributions will be subject to tax reporting in accordance with relevant United States tax laws and regulations. Because DTC can only act on behalf of financial intermediaries, the ability of a beneficial owner to pledge book-entry certificates to persons or entities that do not participate in the DTC system, or otherwise take actions in respect of such book-entry certificates, may be limited due to the lack of physical certificates for such book-entry certificates. In addition, issuance of the book-entry certificates in book-entry form may reduce the liquidity of such certificates in the secondary market since certain potential investors may be unwilling to purchase certificates for which they cannot obtain physical certificates. Monthly and annual reports on the trust provided by the trustee to Cede & Co., as nominee of DTC, may be made available to beneficial owners upon request, in accordance with the rules, regulations and procedures creating and affecting DTC, and to the financial intermediaries to whose DTC accounts the book-entry certificates of such beneficial owners are credited. DTC has advised the depositor that it will take any action permitted to be taken by a holder of the LIBOR Certificates under the pooling and servicing agreement only at the direction of one or more participants to whose accounts with DTC the book-entry certificates are credited. Additionally, DTC has advised the depositor that it will take such actions with respect to specified percentages of voting rights only at the direction of and on behalf of participants whose holdings of book-entry certificates evidence such specified percentages of voting rights. DTC may take conflicting actions with respect to percentages of voting rights to the extent that participants whose holdings of book-entry certificates evidence such percentages of voting rights authorize divergent action. None of the trust, the depositor, the servicer, or the trustee will have any responsibility for any aspect of the records relating to or distributions made on account of beneficial ownership interests of the book-entry certificates held by Cede & Co., as nominee for DTC, or for maintaining, supervising or reviewing any records relating to such beneficial ownership interests. S-50 Although DTC, Clearstream and Euroclear have agreed to the foregoing procedures in order to facilitate transfers of certificates among participants of DTC, Clearstream and Euroclear, they are under no obligation to perform or continue to perform such procedures and such procedures may be discontinued at any time. See "Description of the Securities--Book-Entry Registration" in the prospectus. See also the attached Annex I for certain information regarding U.S. federal income tax documentation requirements for investors holding certificates through Clearstream or Euroclear (or through DTC if the holder has an address outside the United States). DEFINITIVE CERTIFICATES The LIBOR Certificates, which will be issued initially as book-entry certificates, will be converted to definitive certificates and reissued to beneficial owners or their nominees, rather than to DTC or its nominee, only if (a) DTC or the depositor advises the trustee in writing that DTC is no longer willing or able to properly discharge its responsibilities as depository with respect to the book-entry certificates and the trustee or the depositor is unable to locate a qualified successor or (b) the depositor notifies DTC of its intent to terminate the book-entry system through DTC and, upon receipt of notice of such intent from DTC, the participants holding beneficial interests in the certificates agree to initiate such termination. Upon the occurrence of any event described in the immediately preceding paragraph, DTC or the trustee, as applicable, will be required to notify all participants of the availability through DTC of definitive certificates. Upon delivery of definitive certificates, the trustee will reissue the book-entry certificates as definitive certificates to beneficial owners. Distributions of principal of, and interest on, the book-entry certificates will thereafter be made by the trustee, or a paying agent on behalf of the trustee, directly to holders of definitive certificates in accordance with the procedures set forth in the pooling and servicing agreement. Definitive certificates will be transferable and exchangeable at the offices of the trustee, its agent or the certificate registrar designated from time to time for those purposes. As of the closing, the trustee designates its offices located at DB Services Tennessee, 648 Grassmere Park Road, Nashville, Tennessee 37211-3658, Attention: Transfer Unit, for those purposes. No service charge will be imposed for any registration of transfer or exchange, but the trustee may require payment of a sum sufficient to cover any tax or other governmental charge imposed in connection with the transfer or exchange. ASSIGNMENT OF THE MORTGAGE LOANS Pursuant to certain mortgage loan purchase and warranties agreements, the original loan sellers sold mortgage loans, without recourse, to GSMC. GSMC will sell, transfer, assign, set over and otherwise convey the mortgage loans, including all principal outstanding as of, and interest due and accruing on or after, the close of business on the cut-off date, without recourse, to the depositor on the closing date. Pursuant to the pooling and servicing agreement, the depositor will sell, without recourse, to the trust, all right, title and interest in and to each mortgage loan, including all principal outstanding as of, and interest due on or after, the close of business on the cut-off date. Each such transfer will convey all right, title and interest in and to (a) principal outstanding as of the close of business on the cut-off date (after giving effect to payments of principal due on that date, whether or not received) and (b) interest due and accrued on each such mortgage loan after the cut-off date. However, GSMC will not convey to the depositor, and will retain all of its right, title and interest in and to (x) principal due on each mortgage loan on or prior to the cut-off date and principal prepayments in full and curtailments (i.e., partial prepayments) received on each such mortgage loan on or prior to the cut-off date and (y) interest due and accrued on each mortgage loan on or prior to the cut-off date. GSMC will also convey to the depositor: o pursuant to an assignment, assumption and recognition agreement (the "FREMONT ASSIGNMENT AGREEMENT") certain rights of GSMC with respect to the Fremont mortgage S-51 loans under the mortgage loan purchase and warranties agreement between Fremont and GSMC; and o pursuant to an assignment, assumption and recognition agreement (the "EQUIFIRST ASSIGNMENT AGREEMENT") certain rights of GSMC with respect to the EquiFirst mortgage loans under the mortgage loan purchase and warranties agreement between EquiFirst and GSMC. The depositor will convey these rights under the Fremont Assignment Agreement and the EquiFirst Assignment Agreement to the trust, pursuant to the pooling and servicing agreement. DELIVERY OF MORTGAGE LOAN DOCUMENTS In connection with the sale, transfer and assignment of each mortgage loan to the trust, the depositor will cause to be delivered to the custodians with respect to the Conduit mortgage loans and the Fremont mortgage loans transferred to the trust, and to the trustee with respect to the other mortgage loans transferred to the trust, on or before the closing date, the following documents with respect to each mortgage loan which documents constitute the mortgage file: (a) the original mortgage note, endorsed without recourse in blank by the last endorsee, including all intervening endorsements showing a complete chain of endorsement from the originator to the last endorsee (except for no more than 0.35% of the mortgage loans for which there is a lost note affidavit and a copy of the mortgage note); (b) except with respect to any Conduit mortgage loan, the original of any guaranty executed in connection with the mortgage note (if any); (c) the related original mortgage and evidence of its recording or, in certain circumstances, (i) a copy of the mortgage together with an officer's certificate of the applicable original loan seller (or certified by the title company, escrow agent or closing attorney) stating that such mortgage has been dispatched for recordation and the original recorded mortgage or a copy of such mortgage certified by the appropriate public recording office will be promptly delivered upon receipt by the applicable original loan seller, or (ii) a copy of the mortgage certified by the appropriate public recording office to be a true and complete copy of the recorded original; (d) except with respect to each MERS Designated Mortgage Loan, the originals of all intervening mortgage assignment(s), showing a complete chain of assignment from the originator of the related mortgage loan to the last endorsee or, in certain limited circumstances, (i) a copy of the intervening mortgage assignment together with an officer's certificate (or certified by) of the applicable original loan seller (or certified by the title company, escrow agent or closing attorney) stating that such intervening mortgage assignment has been dispatched for recordation and the original intervening mortgage assignment or a copy of such intervening mortgage assignment certified by the appropriate public recording office will be promptly delivered upon receipt by the applicable original loan seller, or (ii) a copy of the intervening mortgage assignment certified by the appropriate public recording office to be a true and complete copy of the recorded original; (e) except with respect to each MERS Designated Mortgage Loan, the original mortgage assignment in recordable form, which, if acceptable for recording in the relevant jurisdiction, may be included in a blanket assignment or assignments, of each mortgage from the last endorsee in blank; (f) originals of all assumption, modification, consolidation and extension agreements, if provided, in those instances where the terms or provisions of a mortgage or mortgage note have been modified or such mortgage or mortgage note has been assumed, with recording; (g) an original lender's title insurance policy or a certified true copy of the related policy binder or commitment for title certified to be true and complete by the title insurance company; and S-52 (h) the original (or a copy of) any security agreement, chattel mortgage or equivalent document executed in connection with the mortgage. Pursuant to the pooling and servicing agreement, each custodian and the trustee will agree to execute and deliver on or prior to the closing date an acknowledgment of receipt of the original mortgage note, item (a) above, with respect to the applicable mortgage loans, with any exceptions noted. Each custodian and the trustee will agree, for the benefit of the holders of the certificates, to review, or cause to be reviewed, each mortgage file for which it is acting as custodian within ninety days after the closing date - or, with respect to any Substitute Mortgage Loan delivered to the custodians or the trustee, within thirty days after the receipt of the mortgage file by the trustee - and to deliver a certification generally to the effect that, as to each mortgage loan listed in the schedule of mortgage loans, o all documents required to be reviewed by it pursuant to the pooling and servicing agreement are in its possession; o each such document has been reviewed by it and appears regular on its face and relates to such mortgage loan; o based on its examination and only as to the foregoing documents, certain information set forth on the schedule of mortgage loans accurately reflects the information set forth in the mortgage file delivered on such date; and o each mortgage note has been endorsed as provided in the pooling and servicing agreement. If the applicable custodian or the trustee, during the process of reviewing the mortgage files, finds any document constituting a part of a mortgage file which is not executed, has not been received or is unrelated to the mortgage loans, or that any mortgage loan does not conform to the requirements above or to the description of the requirements as set forth in the schedule of mortgage loans, the applicable custodian or the trustee, as applicable, is required to promptly so notify Fremont, EquiFirst or GSMC, as applicable, the servicer and the depositor in writing. Fremont with respect to the Fremont mortgage loans, EquiFirst with respect to the EquiFirst mortgage loans and GSMC with respect to any other mortgage loan will be required to use reasonable efforts to cause to be remedied a material defect in a document constituting part of a mortgage file of which it is so notified by the applicable custodian or the trustee. If, however, within 30 days (with respect to each Fremont mortgage loan and each EquiFirst mortgage loan) or 180 days (with respect to each mortgage loan other than a Fremont mortgage loan or an EquiFirst mortgage loan) after the earlier of either discovery by or notice to Fremont, EquiFirst or GSMC, as applicable, of such defect, Fremont, EquiFirst or GSMC, as applicable, has not caused the defect to be remedied, Fremont, EquiFirst or GSMC, as applicable, will be required to purchase such mortgage loan at a price equal to the outstanding principal balance of such mortgage loan as of the date of repurchase, plus all related accrued and unpaid interest at the applicable interest rate, plus the amount of any outstanding advances owed to and reasonably incurred by the servicer, plus all costs and expenses reasonably incurred by the servicer or the trustee in connection with the mortgage loan or such repurchase and any costs and damages incurred by the trust in connection with any violation by the related mortgage loan of any predatory or abusive lending law. In any case, the purchase price shall be deposited in the distribution account on the next succeeding Servicer Remittance Date after deducting any amounts received in respect of such repurchased mortgage loan or loans and being held in the distribution account for future distribution to the extent such amounts have not yet been applied to principal or interest on such mortgage loan or, with respect to any mortgage loan, GSMC (only within two years of the closing date), Fremont or EquiFirst (for each only within one hundred twenty days of the applicable Original Sale Date), as applicable, may substitute in lieu of such mortgage loan a Substitute Mortgage Loan and, if applicable, remit to the servicer any Substitution Adjustment Amount. The obligations of GSMC, Fremont or EquiFirst to cure that defect or to substitute or repurchase the applicable mortgage loan for that defect will constitute the sole remedies respecting that defect available to the holders of the certificates, the depositor, the servicer, the custodians and the trustee. S-53 REPRESENTATIONS AND WARRANTIES RELATING TO THE MORTGAGE LOANS Pursuant to a representations and warranties agreement (the "REPRESENTATIONS AGREEMENT"), GSMC will make certain representations and warranties with respect to each Conduit mortgage loan and each Bulk mortgage loan as of the closing date. Pursuant to a mortgage loan purchase and warranties agreement and the Fremont Assignment Agreement (collectively, the "FREMONT AGREEMENTS"), Fremont will make certain representations and warranties with respect to each Fremont mortgage loan as of the closing date. Pursuant to a mortgage loan purchase and warranties agreement and the EquiFirst Assignment Agreement (collectively, the "EQUIFIRST AGREEMENTS"), EquiFirst will make certain representations and warranties with respect to each EquiFirst mortgage loan as of the applicable Original Sale Date. The representations and warranties made by GSMC, Fremont and EquiFirst include, but are not limited to: (1) Except with respect to approximately 0.43% of the mortgage loans which were one payment past due as of the cut-off date, and approximately 0.05% of the mortgage loans which were two payments past due as of the cut-off date, no payment required under the mortgage loan is one-month or more delinquent; (2) The mortgage loan is not subject to any right of rescission, set-off, counterclaim or defense, including, without limitation, the defense of usury, nor will the operation of any of the terms of the mortgage note or the mortgage, or the exercise of any right under the mortgage note or the mortgage, render either the mortgage note or the mortgage unenforceable, in whole or in part, or subject to any right of rescission, set-off, counterclaim or defense, including without limitation the defense of usury, and no such right of rescission, set-off, counterclaim or defense has been asserted with respect to such mortgage note or mortgage, and, except for less than 0.02% of the mortgage loans, no mortgagor was a debtor in any state or federal bankruptcy or insolvency proceeding at the time the mortgage loan was originated; (3) Pursuant to the terms of the mortgage, all buildings or other improvements upon the mortgaged property are insured by a generally acceptable insurer against loss by fire or hazards of extended coverage meeting accepted origination practices; (4) The mortgage loan at origination complied in all material respects with all applicable federal, state and local laws; (5) The mortgage is a valid, subsisting and enforceable first or second (as applicable) lien on the mortgaged property, including all buildings and improvements on the mortgaged property and all additions, alterations and replacements made at any time with respect to the related mortgaged property, with such exceptions as are generally acceptable to prudent mortgage lending companies, and such other exceptions to which similar properties are commonly subject and which do not individually, or in the aggregate, materially and adversely affect the benefits of the security intended to be provided by such mortgage. The lien of the mortgage is subject only to: (A) the first lien, in case of second lien mortgage loan; (B) the lien of current real property taxes and assessments not yet due and payable; (C) covenants, conditions and restrictions, rights of way, easements and other matters of the public record as of the date of recording acceptable to prudent mortgage lending institutions generally and specifically referred to in the lender's title insurance policy delivered to the originator of the mortgage loan and (a) specifically referred to or otherwise considered in the appraisal made for the originator of the mortgage loan or (b) which do not adversely affect the appraised value of the mortgaged property set forth in such appraisal; and S-54 (D) other matters to which like properties are commonly subject which do not materially interfere with the benefits of the security intended to be provided by the mortgage or the use, enjoyment, value or marketability of the related mortgaged property; (6) The mortgage note and the mortgage and any other agreement executed and delivered by a mortgagor in connection with a mortgage loan are genuine, and each is the legal, valid and binding obligation of the signatory enforceable in accordance with its terms. To the best of GSMC's knowledge, all parties to the mortgage note, the mortgage and any such other agreement had legal capacity to enter into the mortgage loan and to execute and deliver the mortgage note, the mortgage and any such other agreement, and the mortgage note, the mortgage and any such other agreement have been duly and properly executed by such person; (7) The mortgage loan is covered by an American Land Title Association lender's title insurance policy or other generally acceptable form of policy; (8) Except as otherwise set forth in paragraph (1) above, other than a mortgage loan which is one or more payments past due, there is no default, breach, violation or event which would permit acceleration under the mortgage or the mortgage note and no event which, with the passage of time or with notice and the expiration of any grace or cure period, would constitute a default, breach, violation or event which would permit acceleration, and neither GSMC, Fremont or EquiFirst, as applicable, nor their affiliates or any of their respective predecessors have waived any default, breach, violation or event which would permit acceleration; (9) The mortgage contains customary and enforceable provisions that render the rights and remedies of the holder of the mortgage adequate for the realization against the mortgaged property of the benefits of the security provided by the mortgaged property, including, (i) in the case of a mortgage designated as a deed of trust, by trustee's sale, and (ii) otherwise by judicial foreclosure; (10) There is no proceeding pending or, to GSMC's, Fremont's or EquiFirst's knowledge, as applicable, threatened for the total or partial condemnation of the mortgaged property, and the mortgaged property is undamaged by waste, fire, earthquake or earth movement, windstorm, flood, tornado or other casualty so as to affect adversely the value of the mortgaged property as security for the mortgage loan or the use for which the premises were intended; (11) No mortgage loan is classified as (a) a "high cost" loan under the Home Ownership and Equity Protection Act of 1994 or (b) a "high cost," "covered," (excluding home loans defined as "covered home loans" in the New Jersey Home Ownership Security Act of 2002 that were originated between November 26, 2003 and July 7, 2004), "threshold" or "predatory" loan under any other applicable federal, state or local law (or a similarly classified loan using different terminology under a law imposing heightened regulatory scrutiny or additional legal liability for residential mortgage loans having high interest rates, points and/or fees); (12) Except for approximately 0.01% of the mortgage loans, no mortgage loan originated on or after October 1, 2002 imposes a prepayment premium for a term in excess of three years after its origination, unless such mortgage loan was modified to reduce the prepayment period to no more than three years from the date of the mortgage note and the mortgagor was notified in writing of such reduction in prepayment premium period. No mortgage loan originated prior to October 1, 2002, imposes a prepayment premium for a term in excess of five years after its origination; (13) No mortgage loan subject to the Georgia Fair Lending Act and secured by property located in the state of Georgia was originated on or after October 1, 2002 and prior to March 7, 2003; S-55 (14) In connection with the origination of each mortgage loan, no proceeds from any mortgage loan were used to finance a single-premium credit-life insurance policy; (15) The applicable original loan seller has reported or caused to be reported in accordance with the Fair Credit Reporting Act and its implementing regulations, accurate and complete information (e.g., favorable and unfavorable) in its mortgagor credit files to Equifax, Experian and TransUnion Credit Information Company (three of the credit repositories) on a monthly basis; and (16) With respect to any mortgage loan originated on or after August 1, 2004, neither the related mortgage nor the related mortgage note requires the mortgagor to submit to arbitration to resolve any dispute arising out of or relating in any way to the mortgage loan transaction. In addition, GSMC will represent and warrant that none of the group I mortgage loans has a prepayment penalty period in excess of three years. Pursuant to the Representations Agreement, the pooling and servicing agreement, the Fremont Agreements or the EquiFirst Agreements, as applicable, upon the discovery by any of a certificateholder, GSMC, Fremont, EquiFirst, the servicer, the depositor, a custodian or the trustee that any of the representations and warranties contained in the Representations Agreement, the pooling and servicing agreement, the Fremont Agreements or the EquiFirst Agreements, as applicable, have been breached in any material respect as of the date made, with the result that value of, or the interests of the trustee, or the holders of the certificates in the related mortgage loan were materially and adversely affected, the party discovering such breach will be required to give prompt written notice to the other parties. Subject to certain provisions of the Representations Agreement, the pooling and servicing agreement, the Fremont Agreements or the EquiFirst Agreements, as applicable, within 30, 60 or 25 days of the earlier to occur of EquiFirst's, GSMC's or Fremont's, as applicable, discovery of or its receipt of notice of any such breach with respect to a mortgage loan for which it is making representations and warranties GSMC, Fremont or EquiFirst, as applicable, will be required to: o promptly cure such breach in all material respects, o only with respect to the Conduit mortgage loans, the Fremont mortgage loans, the EquiFirst mortgage loans and certain of the Bulk mortgage loans and only within 120 days of the applicable Original Sale Date for each of the Fremont mortgage loans, the EquiFirst mortgage loans and certain of the Bulk mortgage loans and within two years of the closing date for each of the Conduit mortgage loans, remove each mortgage loan which has given rise to the requirement for action by GSMC, Fremont, EquiFirst and certain of the other bulk original loan sellers as applicable, substitute one or more Substitute Mortgage Loans and, if the outstanding principal balance of such Substitute Mortgage Loans as of the date of such substitution is less than the outstanding principal balance, plus accrued and unpaid interest, of the replaced mortgage loans as of the date of substitution, deliver to the depositor the amount of such shortfall (the "SUBSTITUTION ADJUSTMENT AMOUNT"), or o repurchase such mortgage loan at a repurchase price equal to the outstanding principal balance of such mortgage loan as of the date of repurchase, plus all related accrued and unpaid interest at the applicable interest rate, plus the amount of any outstanding advances owed to and reasonably incurred by any servicer, plus all costs and expenses reasonably incurred by the servicer or the trustee in connection with the mortgage loan or such repurchase and any costs and damages incurred by the trust in connection with any violation by the related mortgage loan of any predatory or abusive lending law. Each of the applicable mortgage loan purchase and warranties agreements and its related trade confirmation letter requires the applicable original loan seller to repurchase any mortgage loan where the mortgagor fails to make its first payment, or first and second payment in the case of the Conduit mortgage loans and certain of the Bulk mortgage loans, after the applicable Original Sale Date. It is possible that a S-56 mortgagor with respect to a mortgage loan transferred to the trust might have failed to make his or her first payment (or their first or second payment, in the case of a Conduit mortgage loan or certain of the Bulk mortgage loans) after the applicable Original Sale Date. In that circumstance, the trust, at its option, may direct Fremont with respect to the Fremont mortgage loans, EquiFirst with respect to the EquiFirst mortgage loans and GSMC with respect to all other mortgage loans, to repurchase such mortgage loans from the trust. The repurchase price payable to the trust will generally be the same as the repurchase price described above for breaches of representations and warranties. Notwithstanding the foregoing, pursuant to the terms of the Representations Agreement, the pooling and servicing agreement, the Fremont Agreements or the EquiFirst Agreements, as applicable, in the event of discovery by any party to the pooling and servicing agreement (a) that a mortgage loan does not constitute a "qualified mortgage" within the meaning of Section 860G(a)(3) of the Code resulting from a breach of any representation or warranty contained in the Representations Agreement, the pooling and servicing agreement, the Fremont Agreements or the EquiFirst Agreements, as applicable, or (b) discovery of a breach of the representations and warranties listed as number (11), (12), (13), (14), (15) or (16) in the third preceding full paragraph, Fremont, GSMC, or EquiFirst, as applicable, will be required to repurchase the related mortgage loan at the applicable repurchase price within 30, 60 or 25 days, as applicable, of such discovery or receipt of notice. The repurchase price with respect to such mortgage loan will be required to be deposited into the distribution account on the next succeeding Servicer Remittance Date after deducting any amounts received in respect of such repurchased mortgage loan or mortgage loans and being held in the distribution account for future distribution to the extent such amounts have not yet been applied to principal or interest on such mortgage loan. In addition, Fremont and EquiFirst are obligated to indemnify the depositor, the servicer and the trustee for any third-party claims arising out of a breach of representations or warranties they have made regarding their respective mortgage loans. The obligations of Fremont and EquiFirst to cure such breach, purchase or substitute any applicable mortgage loan and to indemnify for such breach constitute the sole remedies respecting a material breach of any such representation or warranty to the holders of the certificates, the depositor, the servicer and the trustee. The obligations of GSMC to cure such breach or to substitute or repurchase the applicable mortgage loan will constitute the sole remedies respecting a material breach of any such representation or warranty to the holders of the certificates, the depositor, the servicer, the custodians and the trustee. PAYMENTS ON THE MORTGAGE LOANS The pooling and servicing agreement provides that the servicer is required to establish and maintain a collection account. The pooling and servicing agreement permits the servicer to direct any depository institution maintaining the collection account to invest the funds in the collection account in one or more eligible investments that mature, unless payable on demand, no later than the business day preceding the Servicer Remittance Date, as described below. The servicer is obligated to deposit or cause to be deposited in the collection account within two business days after receipt, amounts representing the following payments and other collections received by it on or with respect to the mortgage loans after the cut-off date, other than in respect of monthly payments on the mortgage loans due and accrued on each mortgage loan up to and including any due date occurring prior to the cut-off date: o all payments on account of principal, including prepayments of principal on the mortgage loans; o all payments on account of interest on the mortgage loans; o all Liquidation Proceeds; o all Insurance Proceeds and Condemnation Proceeds to the extent such Insurance Proceeds or Condemnation Proceeds are not to be applied to the restoration of the related mortgaged S-57 property or released to the related borrower in accordance with the express requirements of law or in accordance with prudent and customary servicing practices; o all Substitution Adjustment Amounts for Substitute Mortgage Loans; o all other amounts required to be deposited in the collection account pursuant to the pooling and servicing agreement; and o any amounts required to be deposited in connection with net losses realized on investments of funds in the collection account. The trustee will be obligated to set up a distribution account with respect to the certificates into which the servicer will be required to deposit or cause to be deposited the funds required to be remitted by the servicer on the Servicer Remittance Date. The funds required to be remitted by the servicer on each Servicer Remittance Date will be equal to the sum, without duplication, of: o all collections of scheduled principal and interest on the mortgage loans received by the servicer on or prior to the related Determination Date; o all principal prepayments, Insurance Proceeds, Condemnation Proceeds and Liquidation Proceeds, if any, collected by the servicer during the related Prepayment Period; o all P&I Advances made by the servicer with respect to payments due to be received on the mortgage loans on the related due date; o amounts of Compensating Interest required to be deposited in connection with principal prepayments that are received during the prior calendar month, as described under "The Pooling and Servicing Agreement--Prepayment Interest Shortfalls" in this prospectus supplement; and o any other amounts required to be placed in the collection account by the servicer pursuant to the pooling and servicing agreement, but excluding the following: (a) for any mortgage loan with respect to which the servicer has previously made an unreimbursed P&I Advance, amounts received on such mortgage loan which represent late payments of principal and interest, Insurance Proceeds, Condemnation Proceeds or Liquidation Proceeds, to the extent of such unreimbursed P&I Advance; (b) amounts received on a particular mortgage loan with respect to which the servicer has previously made an unreimbursed servicing advance, to the extent of such unreimbursed servicing advance; (c) for such Servicer Remittance Date, the aggregate servicing fee; (d) all net income from eligible investments that are held in the collection account for the account of the servicer; (e) all amounts actually recovered by the servicer in respect of late fees, assumption fees and similar fees; (f) for all mortgage loans for which P&I Advances or servicing advances are determined to be non-recoverable, all amounts equal to unreimbursed P&I Advances and servicing advances for such mortgage loans; S-58 (g) certain other amounts which are reimbursable to the depositor or the servicer, as provided in the pooling and servicing agreement; (h) all funds inadvertently placed in the collection account by the servicer; and (i) all collections of principal and interest not required to be remitted on each Servicer Remittance Date. The amounts described in clauses (a) through (i) above may be withdrawn by the servicer from the collection account on or prior to each Servicer Remittance Date. DISTRIBUTIONS Distributions on the certificates will be required to be made by the trustee on the 25th day of each month, or, if that day is not a business day, on the first business day thereafter, commencing in September 2005 (each, a "DISTRIBUTION DATE"), to the persons in whose names the certificates are registered on the related Record Date. Distributions on each Distribution Date will be made by wire transfer in immediately available funds to the account of the certificateholder at a bank or other depository institution having appropriate wire transfer facilities as directed by that certificateholder in its written wire instructions provided to the trustee or if no wire instructions are provided then by check mailed to the address of the person entitled to the distribution as it appears on the applicable certificate register. However, the final distribution in retirement of the certificates will be made only upon presentment and surrender of those certificates at the office of the trustee designated from time to time for those purposes. Initially, the trustee designates its offices located at DB Services Tennessee, 648 Grassmere Park Road, Nashville, Tennessee 37211-3658, Attention: Transfer Unit, for purposes of certificate transfers, and DB Services Tennessee, 648 Grassmere Park Road, Nashville, Tennessee 37211-3658, Attention: Securities Payment Unit, for purposes of the surrender of certificates for the final distribution. PRIORITY OF DISTRIBUTIONS AMONG CERTIFICATES As more fully described in this prospectus supplement, distributions on the certificates will be made on each Distribution Date from Available Funds and will be made to the classes of certificates in the following order of priority: (i) to interest on each class of LIBOR Certificates, to the Coupon Strip Account and to the Supplemental Interest Trust, in the order and subject to the priorities set forth below under "--Distributions of Interest and Principal"; (ii) to principal on the classes of LIBOR Certificates and Residual Certificates then entitled to receive distributions of principal, in the order and subject to the priorities set forth below under "--Distributions of Interest and Principal"; (iii) to unpaid interest on the classes of LIBOR Certificates in the order and subject to the priorities described below under "--Distributions of Interest and Principal"; (iv) to deposit into the Excess Reserve Fund Account to cover any Basis Risk Carry Forward Amount; (v) if applicable, to the Excess Cashflow Account, certain amounts of amounts of interest and principal otherwise payable to the Class X certificates; (vi) certain swap termination payments to the Supplemental Interest Trust; (vii) certain amounts of interest and principal to the Class X certificates; and (viii) any remaining amount to the Residual Certificates; S-59 in each case, subject to certain limitations set forth below under "--Distributions of Interest and Principal." DISTRIBUTIONS OF INTEREST AND PRINCIPAL For any Distribution Date, the "PASS-THROUGH RATE" for each class of LIBOR Certificates will be a per annum rate as set forth below: (a) for the Class A-1 certificates, equal to the least of (1) One-Month LIBOR plus the related fixed margin for that class and that Distribution Date, (2) a per annum rate equal to the product of (i) 30 divided by the actual number of days in the Interest Accrual Period and (ii) the sum of (A) the weighted average of the interest rates for each group I mortgage loan (less the applicable Expense Fee Rate and, if applicable, the Coupon Strip Rate), then in effect on the beginning of the related Due Period and (B) Net Swap Receipts, if any, less Net Swap Payments if any, divided by the Stated Principal Balance of the mortgage loans at the beginning of the related Due Period multiplied by 12 (referred to as the "LOAN GROUP I CAP") and (3) the WAC Cap; (b) for each of the Class A-2A, Class A-2B and Class A-2C certificates, equal to the least of (1) One-Month LIBOR plus the related fixed margin for that class and that Distribution Date, (2) a per annum rate equal to the product of (i) 30 divided by the actual number of days in the Interest Accrual Period and (ii) the sum of (A) the weighted average of the interest rates for each group II mortgage loan (in each case, less the applicable Expense Fee Rate and, if applicable, the Coupon Strip Rate) then in effect on the beginning of the related Due Period and (B) Net Swap Receipts, if any, less Net Swap Payments if any, divided by the Stated Principal Balance of the mortgage loans at the beginning of the related Due Period multiplied by 12 (referred to as the "LOAN GROUP II CAP") and (3) the WAC Cap; and (c) for each of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2, Class B-3 and Class B-4 certificates equal to the lesser of (1) One-Month LIBOR plus the related fixed margin for that class and that Distribution Date, and (2) the WAC Cap. The "WAC CAP" for any Distribution Date will be a per annum rate equal to the product of (i) 30 divided by the actual number of days in the Interest Accrual Period and (ii) the sum of (A) the weighted average of the interest rates on the mortgage loans (in each case, less the Expense Fee Rate and, if applicable, the Coupon Strip Rate) in effect at the beginning of the related Due Period on the mortgage loans, and (B) Net Swap Receipts, if any, less Net Swap Payments if any, divided by the Stated Principal Balance of the mortgage loans at the beginning of the related Due Period multiplied by 12. The "COUPON STRIP" means if, on the Distribution Date occurring in August 2015 or on any Distribution Date thereafter, any LIBOR Certificates are outstanding and the aggregate Stated Principal Balance of the mortgage loans with original terms to maturity in excess of 30 years is greater than the amount set forth on Annex III to this prospectus supplement, an amount equal to the product of one-twelfth of 0.15% (the "COUPON STRIP RATE") and the Stated Principal Balance of the mortgage loans at the beginning of the related Due Period. The fixed margin for each class of LIBOR Certificates is as follows: Class A-1, 0.240%; Class A-2A, 0.120%; Class A-2B, 0.250%; Class A-2C, 0.370%; Class M-1, 0.450%; Class M-2, 0.490%; Class M-3, 0.520%; Class M-4, 0.590%; Class M-5, 0.630%; Class M-6, 0.690%; Class B-1, 1.150%; Class B-2, 1.300%; Class B-3, 1.750%; and Class B-4, 2.500%. On the Distribution Date immediately following the initial Distribution Date on which the majority Class C certificateholders have the option to direct JPMorgan to purchase all of the mortgage loans as described under "The Pooling and Servicing Agreement--Termination; Optional Clean-up Call" in this prospectus supplement and each Distribution Date thereafter, the fixed margin for each class of LIBOR Certificates will increase to the following: Class A-1, 0.480%; Class A-2A, 0.240%; Class A-2B, 0.500%; Class A-2C, 0.740%; Class M-1, 0.675%; Class M-2, 0.735%; Class M-3, 0.780%; Class M-4, 0.885%; Class M-5, 0.945%; Class M-6, 1.035%; Class B-1, 1.725%; Class B-2, 1.950%; Class B-3, 2.625%; and Class B-4, 3.750%. S-60 On each Distribution Date, distributions in reduction of the Class Certificate Balance of the certificates entitled to receive distributions of principal will be made in an amount equal to the Principal Distribution Amount. The "PRINCIPAL DISTRIBUTION AMOUNT" for each Distribution Date will equal the sum of (i) the Basic Principal Distribution Amount for that Distribution Date and (ii) the Extra Principal Distribution Amount for that Distribution Date. Distributions will be determined in part based on the performance of individual loan groups and for such purpose any Net Swap Payments or Net Swap Receipts will be allocated between loan groups based on the respective aggregate principal balances of the mortgage loans in each loan group. On each Distribution Date, the trustee will be required to make the disbursements and transfers from the Available Funds then on deposit in the distribution account specified below in the following order of priority: (i) to the holders of each class of LIBOR Certificates, to the Coupon Strip Account and to the Supplemental Interest Trust in the following order of priority: (a) sequentially (1) first, to the Supplemental Interest Trust, the sum of (x) all Net Swap Payments and (y) any Swap Termination Payment owed to the Swap Provider other than a Defaulted Swap Termination Payment owed to the Swap Provider, if any, and (2) second, if applicable, to the Coupon Strip Account, the Coupon Strip; (b) concurrently, (1) from Interest Remittance Amount related to the group I mortgage loans to the Class A-1 certificates, the related Accrued Certificate Interest and Unpaid Interest Amount for the Class A-1 certificates; and (2) from Interest Remittance Amount related to the group II mortgage loans, pro rata (based on the accrued and unpaid interest distributable to the Class A-2A, Class A-2B and Class A-2C certificates) to the Class A-2A, Class A-2B and Class A-2C certificates, the related Accrued Certificate Interest and Unpaid Interest Amounts for the Class A-2A, Class A-2B and Class A-2C certificates; provided, that if the Interest Remittance Amount for either group of mortgage loans is insufficient to make the related payments set forth clause (1) or (2) above, any Interest Remittance Amount relating to the other group of mortgage loans remaining after payment of the related Accrued Certificate Interest and Unpaid Interest Amounts will be available to cover that shortfall; (c) from any remaining Interest Remittance Amounts, to the Class M-1 certificates, the Accrued Certificate Interest for that class; (d) from any remaining Interest Remittance Amounts, to the Class M-2 certificates, the Accrued Certificate Interest for that class; (e) from any remaining Interest Remittance Amounts, to the Class M-3 certificates, the Accrued Certificate Interest for that class; (f) from any remaining Interest Remittance Amounts, to the Class M-4 certificates, the Accrued Certificate Interest for that class; (g) from any remaining Interest Remittance Amounts, to the Class M-5 certificates, the Accrued Certificate Interest for that class; (h) from any remaining Interest Remittance Amounts, to the Class M-6 certificates, the Accrued Certificate Interest for that class; (i) from any remaining Interest Remittance Amounts, to the Class B-1 certificates, the Accrued Certificate Interest for that class; (j) from any remaining Interest Remittance Amounts, to the Class B-2 certificates, the Accrued Certificate Interest for that class; S-61 (k) from any remaining Interest Remittance Amounts, to the Class B-3 certificates, the Accrued Certificate Interest for that class; and (l) from any remaining Interest Remittance Amounts, to the Class B-4 certificates, the Accrued Certificate Interest for that class; (ii)(A) on each Distribution Date (a) prior to the Stepdown Date or (b) with respect to which a Trigger Event is in effect, to the holders of the class or classes of LIBOR Certificates then entitled to distributions of principal as set forth below, an amount equal to the Principal Distribution Amount in the following order of priority: (a) sequentially: (x) concurrently, to the Class R-1, Class R-2 and Class R-3 certificates, pro rata, until their respective Class Certificate Balances have been reduced to zero, and (y) to the Class A certificates, allocated among those classes as described under "--Allocation of Principal Payments to Class A Certificates" below until their respective Class Certificate Balances are reduced to zero; and (b) sequentially to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2, Class B-3 and Class B-4 certificates, in that order, until their respective Class Certificate Balances are reduced to zero; (B) on each Distribution Date (a) on or after the Stepdown Date and (b) so long as a Trigger Event is not in effect, to the holders of the class or classes of LIBOR Certificates then entitled to distributions of principal as set forth below, an amount equal to the Principal Distribution Amount in the following order of priority: (a) to the Class A certificates, the lesser of (x) the Principal Distribution Amount and (y) the Class A Principal Distribution Amount, allocated among those classes as described under "--Allocation of Principal Payments to Class A Certificates" below, until their respective Class Certificate Balances are reduced to zero; (b) to the Class M-1 certificates, the lesser of (x) the excess of (i) the Principal Distribution Amount over (ii) the amount distributed to the Class A certificates in clause (ii)(B)(a) above, and (y) the Class M-1 Principal Distribution Amount, until their Class Certificate Balance has been reduced to zero; (c) to the Class M-2 certificates, the lesser of (x) the excess of (i) the Principal Distribution Amount over (ii) the amount distributed to the Class A certificates in clause (ii)(B)(a) above and to the Class M-1 certificates in clause (ii)(B)(b) above, and (y) the Class M-2 Principal Distribution Amount, until their Class Certificate Balance has been reduced to zero; (d) to the Class M-3 certificates, the lesser of (x) the excess of (i) the Principal Distribution Amount over (ii) the amount distributed to the Class A certificates in clause (ii)(B)(a) above, to the Class M-1 certificates in clause (ii)(B)(b) above and to the Class M-2 certificates in clause (ii)(B)(c) above, and (y) the Class M-3 Principal Distribution Amount, until their Class Certificate Balance has been reduced to zero; (e) to the Class M-4 certificates, the lesser of (x) the excess of (i) the Principal Distribution Amount over (ii) the amount distributed to the Class A certificates in clause (ii)(B)(a) above, to the Class M-1 certificates in clause (ii)(B)(b) above, to the Class M-2 certificates in clause (ii)(B)(c) above and to the Class M-3 certificates in clause (ii)(B)(d) above, and (y) the Class M-4 Principal Distribution Amount, until their Class Certificate Balance has been reduced to zero; S-62 (f) to the Class M-5 certificates, the lesser of (x) the excess of (i) the Principal Distribution Amount over (ii) the amount distributed to the Class A certificates in clause (ii)(B)(a) above, to the Class M-1 certificates in clause (ii)(B)(b) above, to the Class M-2 certificates in clause (ii)(B)(c) above and to the Class M-3 certificates in clause (ii)(B)(d) above and to the Class M-4 certificates in clause (ii)(B)(e) above, and (y) the Class M-5 Principal Distribution Amount, until their Class Certificate Balance has been reduced to zero; (g) to the Class M-6 certificates, the lesser of (x) the excess of (i) the Principal Distribution Amount over (ii) the amount distributed to the Class A certificates in clause (ii)(B)(a) above, to the Class M-1 certificates in clause (ii)(B)(b) above, to the Class M-2 certificates in clause (ii)(B)(c) above and to the Class M-3 certificates in clause (ii)(B)(d) above, to the Class M-4 certificates in clause (ii)(B)(e) above and to the Class M-5 certificates in clause (ii)(B)(f) above, and (y) the Class M-6 Principal Distribution Amount, until their Class Certificate Balance has been reduced to zero; (h) to the Class B-1 certificates, the lesser of (x) the excess of (i) the Principal Distribution Amount over (ii) the amount distributed to the Class A certificates in clause (ii)(B)(a) above, to the Class M-1 certificates in clause (ii)(B)(b) above, to the Class M-2 certificates in clause (ii)(B)(c) above, to the Class M-3 certificates in clause (ii)(B)(d) above, to the Class M-4 certificates in clause (ii)(B)(e) above, to the Class M-5 certificates in clause (ii)(B)(f) above and to the Class M-6 certificates in clause (ii)(B)(g) above, and (y) the Class B-1 Principal Distribution Amount, until their Class Certificate Balance has been reduced to zero; (i) to the Class B-2 certificates, the lesser of (x) the excess of (i) the Principal Distribution Amount over (ii) the amount distributed to the Class A certificates in clause (ii)(B)(a) above, to the Class M-1 certificates in clause (ii)(B)(b) above, to the Class M-2 certificates in clause (ii)(B)(c) above, to the Class M-3 certificates in clause (ii)(B)(d) above, to the Class M-4 certificates in clause (ii)(B)(e) above, to the Class M-5 certificates in clause (ii)(B)(f) above and to the Class M-6 certificates in clause (ii)(B)(g) above, and to the Class B-1 certificates in clause (ii)(B)(h) above, and (y) the Class B-2 Principal Distribution Amount, until their Class Certificate Balance has been reduced to zero; (j) to the Class B-3 certificates, the lesser of (x) the excess of (i) the Principal Distribution Amount over (ii) the amount distributed to the Class A certificates in clause (ii)(B)(a) above, to the Class M-1 certificates in clause (ii)(B)(b) above, to the Class M-2 certificates in clause (ii)(B)(c) above, to the Class M-3 certificates in clause (ii)(B)(d) above, to the Class M-4 certificates in clause (ii)(B)(e) above, to the Class M-5 certificates in clause (ii)(B)(f) above and to the Class M-6 certificates in clause (ii)(B)(g) above, to the Class B-1 certificates in clause (ii)(B)(h) above and to the Class B-2 certificates in clause (ii)(B)(i) above, and (y) the Class B-3 Principal Distribution Amount, until their Class Certificate Balance has been reduced to zero; and (k) to the Class B-4 certificates, the lesser of (x) the excess of (i) the Principal Distribution Amount over (ii) the amount distributed to the Class A certificates in clause (ii)(B)(a) above, to the Class M-1 certificates in clause (ii)(B)(b) above, to the Class M-2 certificates in clause (ii)(B)(c) above, to the Class M-3 certificates in clause (ii)(B)(d) above, to the Class M-4 certificates in clause (ii)(B)(e) above, to the Class M-5 certificates in clause (ii)(B)(f) above, to the Class M-6 certificates in clause (ii)(B)(g) above, to the Class B-1 certificates in clause (ii)(B)(h) above, to the Class B-2 certificates in clause (ii)(B)(i) above and to the Class B-3 certificates in clause (ii)(B)(j) above, and (y) the Class B-4 Principal Distribution Amount, until their Class Certificate Balance has been reduced to zero; (iii) any amount remaining after the distributions in clauses (i) and (ii) above is required to be distributed in the following order of priority: (a) to the holders of the Class M-1 certificates, any Unpaid Interest Amount for that class; (b) to the holders of the Class M-2 certificates, any Unpaid Interest Amount for that class; S-63 (c) to the holders of the Class M-3 certificates, any Unpaid Interest Amount for that class; (d) to the holders of the Class M-4 certificates, any Unpaid Interest Amount for that class; (e) to the holders of the Class M-5 certificates, any Unpaid Interest Amount for that class; (f) to the holders of the Class M-6 certificates, any Unpaid Interest Amount for that class; (g) to the holders of the Class B-1 certificates, any Unpaid Interest Amount for that class; (h) to the holders of the Class B-2 certificates, any Unpaid Interest Amount for that class; (i) to the holders of the Class B-3 certificates, any Unpaid Interest Amount for that class; (j) to the holders of the Class B-4 certificates, any Unpaid Interest Amount for that class; (k) to the Excess Reserve Fund Account, the amount of any Basis Risk Payment (without regard to Net Swap Receipts) for that Distribution Date; (l) from funds on deposit in the Excess Reserve Fund Account with respect to that Distribution Date, an amount equal to any Basis Risk Carry Forward Amount with respect to the LIBOR Certificates for that Distribution Date in the same order and priority in which Accrued Certificate Interest is allocated among those classes of certificates, with the allocation to the Class A certificates being pro rata based on their respective Basis Risk Carry Forward Amounts; (m) to the Supplemental Interest Trust, the amount of any Defaulted Swap Termination Payment owed to the Swap Provider; (n) if applicable, to the Excess Cashflow Account, any remaining amounts of interest and principal otherwise payable to the Class X certificates; (o) to the Class X certificates, those amounts of interest and principal as set forth in the pooling and servicing agreement; and (p) to the holders of the Residual Certificates, any remaining amount as set forth in the pooling and servicing agreement. Notwithstanding the foregoing, if the Stepdown Date is the date on which the Class Certificate Balance of the Class A certificates is reduced to zero, any Principal Distribution Amount remaining after principal distributions to the Class A certificates pursuant to clause (ii)(A) above will be included as part of the distributions pursuant to clause (ii)(B) above. On each Distribution Date, the trustee is required to distribute to the holders of the Class P certificates all amounts representing Prepayment Premiums in respect of the mortgage loans received during the related Prepayment Period, as set forth in the pooling and servicing agreement. The Class C certificates will not have a principal balance and will not be entitled to distributions in respect of principal or interest. The Class C certificates will be entitled to direct JPMorgan Chase Bank, National Association to exercise the optional clean-up call, as described under "The Pooling and Servicing Agreement - Termination; Optional Clean-up Call" in this prospectus supplement. If on any Distribution Date, after giving effect to all distributions of principal as described above and allocations of payments from the Supplemental Interest Trust to pay principal as described under "--Supplemental Interest Trust" below, the aggregate Class Certificate Balance of the LIBOR Certificates exceeds the aggregate Stated Principal Balance of the mortgage loans for that Distribution Date, the Class Certificate Balance of the applicable Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2, Class B-3 and Class B-4 certificates will be reduced, in inverse order of seniority (beginning with the Class B-4 certificates) by an amount equal to that excess, until that Class S-64 Certificate Balance is reduced to zero. That reduction of a Class Certificate Balance is referred to as an "APPLIED REALIZED LOSS AMOUNT." In the event Applied Realized Loss Amounts are allocated to any class of certificates, their Class Certificate Balances will be reduced by the amount so allocated, and no funds will be distributable with respect to the written down amounts or with respect to interest or Basis Risk Carry Forward Amounts on the written down amounts on that Distribution Date or any future Distribution Dates, even if funds are otherwise available for distribution. Notwithstanding the foregoing, if after an Applied Realized Loss Amount is allocated to reduce the Class Certificate Balance of any class of certificates, amounts are received with respect to any mortgage loan or related mortgaged property that had previously been liquidated or otherwise disposed of (any such amount being referred to as a "SUBSEQUENT RECOVERY"), the Class Certificate Balance of each class of certificates that was previously reduced by Applied Realized Loss Amounts will be increased, in order of seniority, by the amount of the Subsequent Recoveries (but not in excess of the Applied Realized Loss Amount allocated to the applicable class of certificates). Any Subsequent Recovery that is received during a Prepayment Period will be treated as Liquidation Proceeds and included as part of the Principal Remittance Amount for the related Distribution Date. On any Distribution Date, any shortfalls resulting from the application of the Servicemembers Civil Relief Act or other similar state statute and any prepayment interest shortfalls not covered by Compensating Interest (as further described in "The Pooling and Servicing Agreement--Prepayment Interest Shortfalls" in this prospectus supplement) will be allocated as a reduction to the Accrued Certificate Interest for the LIBOR Certificates on a pro rata basis based on the respective amounts of interest accrued on those certificates for that Distribution Date. THE HOLDERS OF THOSE CERTIFICATES WILL NOT BE ENTITLED TO REIMBURSEMENT FOR THE ALLOCATION OF ANY OF THOSE SHORTFALLS DESCRIBED IN THE PRECEDING SENTENCE. ALLOCATION OF PRINCIPAL PAYMENTS TO CLASS A CERTIFICATES All principal distributions to the holders of the Class A-1 Certificate Group (i.e., the Class A-1 certificates) on any Distribution Date will be allocated among the Class A-1 Certificate Group and the Class A-2 Certificate Group (i.e., the Class A-2A, Class A-2B and Class A-2C certificates) based on the Class A Principal Allocation Percentage for the Class A-1 Certificate Group and Class A-2 Certificate Group, as applicable. However, if the Class Certificate Balances of the Class A certificates in any Class A Certificate Group is reduced to zero, then the remaining amount of principal distributions distributable to the Class A certificates in that Class A Certificate Group on that Distribution Date, and the amount of principal distributions distributable on all subsequent Distribution Dates, will be distributed to the other Class A Certificate Group remaining outstanding, until the Class Certificate Balances of the Class A certificates in that Class A Certificate Group have been reduced to zero. Payments of principal to the Class A-1 Certificate Group will be made first from payments relating to the group I mortgage loans, and payments of principal to the Class A-2 Certificate Group will be made first from payments relating to the group II mortgage loans. Principal distributions allocated to the Class A-2 Certificate Group are required to be distributed sequentially to the Class A-2A certificates, until their Class Certificate Balance has been reduced to zero, then to the Class A-2B certificates, until their Class Certificate Balance has been reduced to zero and then to the Class A-2C certificates, until their Class Certificate Balance has been reduced to zero. Notwithstanding the foregoing, from and after the Distribution Date on which the Class Certificate Balances of the Subordinated Certificates and the principal balance of the Class X certificates have been reduced to zero, any principal distributions allocated to the Class A certificates are required to be allocated pro rata to the Class A certificates based on their respective Class Certificate Balances. SUPPLEMENTAL INTEREST TRUST On any Distribution Date, Swap Termination Payments, Net Swap Payments owed to the Swap Provider and Net Swap Receipts for that Distribution Date will be deposited into a trust account (the S-65 "SUPPLEMENTAL INTEREST TRUST") established by the trustee as part of the trust fund. Funds in the Supplemental Interest Trust will be distributed in the following order of priority: (A) to the Swap Provider, the sum of (x) all Net Swap Payments and (y) any Swap Termination Payment, other than a Defaulted Swap Termination Payment, to the Swap Provider, if any, owed for that Distribution Date; (B) to the certificateholders, to pay Accrued Certificate Interest and, if applicable, any Unpaid Interest Amounts as described in clause (i) in the sixth full paragraph of "--Distributions of Interest and Principal" above, to the extent unpaid from other Available Funds; (C) to the certificateholders, to pay principal as described in clause (ii)(A) and clause (ii)(B) in the sixth full paragraph of "--Distributions of Interest and Principal" above, but only to the extent necessary to maintain the Overcollateralized Amount at the Specified Overcollateralized Amount, after giving effect to payments and distributions from other Available Funds; (D) to the certificateholders, to pay Unpaid Interest Amounts and Basis Risk Carry Forward Amounts as described in clause (iii) in the sixth full paragraph of "--Distributions of Interest and Principal" above, to the extent unpaid from other Available Funds (including funds on deposit in the Excess Reserve Fund Account); (E) to the Swap Provider, any Defaulted Swap Termination Payment owed to the Swap Provider for that Distribution Date; and (F) to the holders of the Class X certificates, any remaining amounts. The Supplemental Interest Trust will not be an asset of any REMIC. CALCULATION OF ONE-MONTH LIBOR On each LIBOR Determination Date, the trustee will be required to determine One-Month LIBOR for the next Interest Accrual Period for the LIBOR Certificates. EXCESS RESERVE FUND ACCOUNT The "BASIS RISK PAYMENT" for any Distribution Date will be the aggregate of the Basis Risk Carry Forward Amounts for that date. However, with respect to any Distribution Date, the payment cannot exceed the amount of Available Funds otherwise distributable on the Class X certificates or payable from the Supplemental Interest Trust. If, on any Distribution Date, the Pass-Through Rate for any class of LIBOR Certificates is based upon the Loan Group I Cap, the Loan Group II Cap or the WAC Cap, as applicable, the sum of (x) the excess of (i) the amount of interest that class of certificates would have been entitled to receive on that Distribution Date had the Pass-Through Rate not been subject to the Loan Group I Cap, the Loan Group II Cap or the WAC Cap, over (ii) the amount of interest that class of certificates received on that Distribution Date based on its capped Pass-Through Rate and (y) the unpaid portion of any such excess described in clause (x) from prior Distribution Dates (and related accrued interest at the then applicable Pass-Through Rate on that class of certificates, without giving effect to those caps) is the "BASIS RISK CARRY FORWARD AMOUNT" for those classes of certificates. Any Basis Risk Carry Forward Amount on any class of certificates will be paid on that Distribution Date or future Distribution Dates from and to the extent of funds available for distribution to that class of certificates in the Excess Reserve Fund Account and the Supplemental Interest Trust with respect to such Distribution Date (each as and to the extent described in this prospectus supplement). In the event any S-66 class of certificates is no longer outstanding, the applicable certificateholders will not be entitled to receive Basis Risk Carry Forward Amounts for that class of certificates. In the event the Class Certificate Balance of any class of LIBOR Certificates is reduced because of Applied Realized Loss Amounts (and is not subsequently increased as a result of any Subsequent Recoveries), the applicable certificateholders will not be entitled to receive Basis Risk Carry Forward Amounts on the written down amounts on that Distribution Date or any future Distribution Dates, even if funds are otherwise available for distribution except to the extent that the Class Certificate Balance is increased as a result of any Subsequent Recovery. The ratings on the LIBOR Certificates do not address the likelihood of the payment of any Basis Risk Carry Forward Amount. Pursuant to the pooling and servicing agreement, an account (the "EXCESS RESERVE FUND ACCOUNT") will be established by the trustee as part of the trust fund. The Excess Reserve Fund Account will not be an asset of any REMIC. Holders of each of the LIBOR Certificates will be entitled to receive payments from the Excess Reserve Fund Account pursuant to the pooling and servicing agreement in an amount equal to any Basis Risk Carry Forward Amount for that class of certificates. The Excess Reserve Fund Account is required to be funded from amounts that would otherwise be paid to the Class X certificates. Any distribution by the trustee from amounts in the Excess Reserve Fund Account is required to be made on the applicable Distribution Date. Any Basis Risk Carry Forward Amounts remaining after amounts in the Excess Reserve Fund Account are used are payable from the Supplemental Interest Trust in the priority specified in "--Supplemental Interest Trust" above. MATURITY RESERVE ACCOUNTS If, on the Distribution Date occurring in August 2015 or on any Distribution Date thereafter, any LIBOR Certificates are outstanding and the aggregate Stated Principal Balance of the mortgage loans with original terms to maturity in excess of 30 years is greater than the amount set forth on Annex III to this prospectus supplement, the trustee will be required to deposit, from Interest Remittance Amounts, into an account established by the trustee pursuant to the pooling and servicing agreement (the "COUPON STRIP RESERVE ACCOUNT") the Coupon Strip. If LIBOR Certificates are outstanding on the Distribution Date in July 2030 or on any Distribution Date thereafter, then all amounts, if any, otherwise payable to the Class X certificates in accordance with payment priorities in the seventh full paragraph of "--Distributions of Interest and Principal" above will be required to be deposited by the trustee into an account established by the trustee pursuant to the pooling and servicing agreement (the "EXCESS CASHFLOW ACCOUNT" and together with the Coupon Strip Reserve Account, the "MATURITY RESERVE ACCOUNTS"). Amounts on deposit in the Maturity Reserve Accounts will not be an asset of any REMIC. On each Distribution Date, any amounts on deposit in the Maturity Reserve Accounts in excess of the lesser of (i) the aggregate Class Certificate Balances of the LIBOR certificates or (ii) the aggregate Stated Principal Balance of the mortgage loans with original terms to maturity in excess of 30 years, will be distributed to the Class X Certificates. In addition, on the earlier of the Distribution Date in August 2035 and the Distribution Date on which the final distribution of payments from the mortgage loans and the other assets in the trust is expected to be made, funds on deposit in the Maturity Reserve Accounts will be distributed in the following order of priority: (1) concurrently, to the Class A Certificates, pro rata based on their respective Class Certificate Balances, after giving effect to principal distributions on such Distribution Date in accordance with payment priorities in the seventh full paragraph of "--Distributions of Interest and Principal" above, in reduction on their respective Class Certificate Balances, until their Class Certificate Balances have been reduced to zero; (2) sequentially to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2, Class B-3 and Class B-4 certificates, in that order, after giving effect to principal distributions on such Distribution Date in accordance with payment priorities in the seventh full paragraph of "--Distributions of Interest and Principal" above, in reduction of their S-67 respective Class Certificate Balances, until their Class Certificate Balances have been reduced to zero; (3) to the LIBOR Certificates, any Accrued Certificate Interest and any Unpaid Interest Amount for each such class remaining unpaid after giving effect to the distributions on such Distribution Date in accordance with payment priorities in the seventh full paragraph of "--Distributions of Interest and Principal" above, in accordance with such payment priorities for such amounts; (4) to the LIBOR Certificates, any Basis Risk Carry Forward Amount for each such class after giving effect to the distributions on such Distribution Date in accordance with payment priorities in the seventh full paragraph of "--Distributions of Interest and Principal" above, in accordance with such payment priorities for such amounts; and (5) to the Class X Certificates, any remaining amount. INTEREST RATE SWAP AGREEMENT On the closing date, the trust will enter into an interest rate swap agreement with Goldman Sachs Mitsui Marine Derivative Products, L.P., as swap provider (the "SWAP PROVIDER"), that has a counterparty rating of "Aaa" from Moody's and a credit rating of "AA+" from S&P (or has a guarantor that has such ratings). Under the interest rate swap agreement, with respect to the first 60 Distribution Dates, the trust will pay to the Swap Provider fixed payments at a rate of 4.456% per annum, and the Swap Provider will pay to the trust, floating payments at a rate of one-month LIBOR (as determined pursuant to the interest rate swap agreement), in each case calculated on a notional amount equal to the lesser of a scheduled notional amount set forth on Annex II to this prospectus supplement and the outstanding principal balance of the LIBOR Certificates. To the extent that a fixed payment exceeds the floating payment payable with respect to any of the first 60 Distribution Dates, amounts otherwise available to certificateholders will be applied on such Distribution Date to make a net payment to the Swap Provider (each, a "NET SWAP PAYMENT"), and to the extent that the floating payment exceeds the fixed payment payable with respect to any of the first 60 Distribution Dates, the Swap Provider will owe a net payment to the trust on the business day preceding such Distribution Date (each, a "NET SWAP RECEIPT"). All payments due to the Swap Provider under the interest rate swap agreement shall be paid from Available Funds on each applicable Distribution Date in accordance with the priority of payments described under "--Distributions of Interest and Principal" above. Any Swap Termination Payment (as defined below) other than a Defaulted Swap Termination Payment (as defined below) due to the Swap Provider shall be paid on a senior basis on each applicable Distribution Date in accordance with the priority of payments and any Defaulted Swap Termination Payment owed by the trust to the Swap Provider shall be paid by the trust on a subordinated basis. However, to the extent any payments are received by the trust as a result of entering into replacement transaction(s) following a Downgrade Terminating Event (as defined below), the Swap Provider that is being replaced shall have first priority to those payments over certificateholders, the servicer and the trustee, and the trust shall pay to the Swap Provider the lesser of (x) the amount so received and (y) any Swap Termination Payment owed to the Swap Provider (to the extent not already paid by the trust) that is being replaced immediately upon receipt. See "--Distributions of Interest and Principal" above. A "SWAP TERMINATION PAYMENT" is a termination payment required to be made by either the trust or the Swap Provider pursuant to the interest rate swap agreement as a result of termination of the interest rate swap agreement. The interest rate swap agreement can be terminated upon an event of default under that agreement or an early termination event under that agreement. Events of Default under the interest rate swap agreement include, among other things, the following: o failure to pay, S-68 o bankruptcy and insolvency events, and o a merger by the Swap Provider without an assumption of its obligations under the interest rate swap agreement. Early termination events under the interest rate swap agreement include, among other things: o illegality (which generally relates to changes in law causing it to become unlawful for either party (or its guarantor, if applicable) to perform its obligations under the interest rate swap agreement or guaranty, as applicable), o a tax event (which generally relates to either party to the interest rate swap agreement receiving a payment under the interest rate swap agreement from which an amount has been deducted or withheld for or on account of taxes or paying an additional amount on account of an indemnifiable tax), o a tax event upon merger (which generally relates to either party receiving a payment under the interest rate swap agreement from which an amount has been deducted or withheld for or on account of taxes or paying an additional amount on account of an indemnifiable tax, in each case, resulting from a merger), o upon the irrevocable direction to dissolve or otherwise terminate the trust following which all assets of the trust will be liquidated and the proceeds of such liquidation will be distributed to certificateholders, o upon the exercise of the Optional Clean-up Call; and o the pooling and servicing agreement is amended without the written consent of the Swap Provider and such amendment materially and adversely affects the rights or interests of the Swap Provider. "DEFAULTED SWAP TERMINATION PAYMENT" means any termination payment required to be made by the trust to the Swap Provider pursuant to the interest rate swap agreement as a result of an event of default under the interest rate swap agreement with respect to which the Swap Provider is the defaulting party or a termination event under that agreement (other than illegality, a tax event or a tax event upon merger of the Swap Provider) with respect to which the Swap Provider is the sole affected party or with respect to a termination resulting from a Substitution Event (as described below). In addition to the termination events specified above, it shall be an additional termination event under the interest rate swap agreement (such event, a "DOWNGRADE TERMINATING EVENT") if (x) either of the rating agencies downgrades the Swap Provider (or its guarantor) below the Required Swap Counterparty Rating (but the Swap Provider (or its guarantor) has a rating of at least "BBB-" or "A-3", if applicable, by S&P or a rating of less than "BBB-" or "F3", if applicable, by Fitch (if rated by Fitch, or, if not rated by Fitch but rated by another rating agency, the corresponding rating from such rating agency)) or, S&P or Fitch (if rated by Fitch) withdraws its ratings of the Swap Provider and (y) at least one of the following events has not occurred (except to the extent otherwise approved by the rating agencies): (i) within the time period specified in the interest rate swap agreement with respect to such downgrade, the Swap Provider shall transfer the interest rate swap agreement, in whole, but not in part, to a counterparty that satisfies the Required Swap Counterparty Rating, subject to the satisfaction of the Rating Agency Condition; (ii) within the time period specified in the interest rate swap agreement with respect to such downgrade, the Swap Provider shall collateralize its exposure to the trust pursuant to an ISDA Credit Support Annex, subject to the satisfaction of the Rating Agency Condition; provided that such ISDA Credit Support Annex shall be made a credit support document for the Swap Provider pursuant to an amendment to the interest rate swap agreement; S-69 (iii) within the time period specified in the interest rate swap agreement with respect to such downgrade, the obligations of such Swap Provider under the interest rate swap agreement shall be guaranteed by a person or entity that satisfies the Required Swap Counterparty Rating, subject to the satisfaction of the Rating Agency Condition; or (iv) within the time period specified in the interest rate swap agreement with respect to such downgrade, such Swap Provider shall take such other steps, if any, to enable the trust to satisfy the Rating Agency Condition. It shall also be an additional termination event under the interest rate swap agreement if the Swap Provider (or its guarantor) has a rating of less than "BBB-" or "A-3", if applicable, by S&P or a rating of less than "BBB-" or "F3", if applicable, by Fitch (if rated by Fitch or, if not rated by Fitch but rated by another rating agency, the corresponding rating from such rating agency) and within the time period specified in the interest rate swap agreement, such Swap Provider, while collateralizing its exposure to the trust, fails to transfer the interest rate swap agreement at its sole cost and expense, in whole, but not in part, to a counterparty that satisfies the Required Swap Counterparty Rating, subject to satisfaction of the Rating Agency Condition (a "SUBSTITUTION EVENT"). The Swap Provider is an affiliate of the depositor and Goldman, Sachs & Co., the underwriter, which arrangement may create certain conflicts of interest. If the trust is unable to or, if applicable, chooses not to obtain a substitute interest rate swap agreement in the event that the interest rate swap agreement is terminated, interest distributable on the certificates will be paid from amounts received on the mortgage loans without the benefit of an interest rate swap agreement or a substitute interest rate swap agreement. On or after the closing date and so long as the Rating Agency Condition has been satisfied, (i) the trust may, with the consent of the Swap Provider, assign or transfer all or a portion of the interest rate swap agreement, (ii) the Swap Provider may assign its obligations under the interest rate swap agreement to any institution, (iii) the interest rate swap agreement may be amended and/or (iv) the interest rate swap agreement may be terminated or replaced. The interest rate swap agreement is scheduled to terminate by its terms following the distribution date in August 2010 and upon termination of the interest rate swap agreement no further amounts will be paid to the Swap Provider by the trust and no further amounts will be paid to the trust by the Swap Provider. OVERCOLLATERALIZATION PROVISIONS The Total Monthly Excess Spread, if any, on any Distribution Date may be applied as an accelerated payment of principal of the LIBOR Certificates, to the limited extent described below. Any such application of Total Monthly Excess Spread to the payment of Extra Principal Distribution Amount to the class or classes of certificates then entitled to distributions of principal would have the effect of accelerating the amortization of those certificates relative to the amortization of the related mortgage loans. The portion, if any, of the Available Funds not required to be distributed to holders of the LIBOR Certificates or paid to the Supplemental Interest Trust as described above on any Distribution Date will be paid to the holders of the Class X certificates or to the Excess Cashflow Account, as applicable, and will not be available on any future Distribution Date to cover Extra Principal Distribution Amounts, Unpaid Interest Amounts or Basis Risk Carry Forward Amounts. With respect to any Distribution Date, the excess, if any, of (a) the aggregate Stated Principal Balances of the mortgage loans for that Distribution Date over (b) the aggregate Class Certificate Balance of the LIBOR Certificates as of that date (after taking into account the distribution of the Principal Remittance Amount on those certificates on that Distribution Date) is the "OVERCOLLATERALIZED AMOUNT" as of that Distribution Date. The pooling and servicing agreement will require that the Total Monthly Excess Spread be applied as an accelerated payment of principal on the certificates then entitled to receive distributions of principal to the extent that the Specified Overcollateralized Amount exceeds the Overcollateralized Amount as of that Distribution Date (the excess is referred to as an S-70 "OVERCOLLATERALIZATION DEFICIENCY"). Any amount of Total Monthly Excess Spread actually applied as an accelerated payment of principal is an "EXTRA PRINCIPAL DISTRIBUTION AMOUNT." The required level of the Overcollateralized Amount with respect to a Distribution Date is the "SPECIFIED OVERCOLLATERALIZED AMOUNT" and is set forth in the definition of Specified Overcollateralized Amount in the "Glossary of Terms" in this prospectus supplement. As described above, the Specified Overcollateralized Amount may, over time, decrease, subject to certain floors and triggers. If a Trigger Event occurs, the Specified Overcollateralized Amount may not "step down." Total Monthly Excess Spread will then be applied to the payment in reduction of principal of the class or classes of certificates then entitled to distributions of principal during the period that a Trigger Event is in effect, to the extent necessary to maintain the Overcollateralized Amount at the Specified Overcollateralized Amount. In the event that a Specified Overcollateralized Amount is permitted to decrease or "step down" on a Distribution Date in the future, or in the event that an Excess Overcollateralized Amount otherwise exists, the pooling and servicing agreement provides that some or all of the principal which would otherwise be distributed to the holders of the LIBOR Certificates on that Distribution Date will be distributed to the holders of the Class X certificates on that Distribution Date (to the extent not required to pay Unpaid Interest Amounts or Basis Risk Carry Forward Amounts to the LIBOR Certificates) until the Excess Overcollateralized Amount is reduced to zero. This has the effect of decelerating the amortization of the LIBOR Certificates relative to the amortization of the mortgage loans, and of reducing the related Overcollateralized Amount. With respect to any Distribution Date, the excess, if any, of (a) the Overcollateralized Amount on that Distribution Date over (b) the Specified Overcollateralized Amount is the "EXCESS OVERCOLLATERALIZED AMOUNT" with respect to that Distribution Date. If, on any Distribution Date, the Excess Overcollateralized Amount is, or, after taking into account all other distributions to be made on that Distribution Date, would be, greater than zero (i.e., the related Overcollateralized Amount is or would be greater than the related Specified Overcollateralized Amount), then any amounts relating to principal which would otherwise be distributed to the holders of the LIBOR Certificates on that Distribution Date will instead be distributed to the holders of the Class X certificates (to the extent not required to pay Unpaid Interest Amounts or Basis Risk Carry Forward Amounts to the LIBOR Certificates) in an amount equal to the lesser of (x) the Excess Overcollateralized Amount and (y) the Net Monthly Excess Cash Flow (referred to as the "OVERCOLLATERALIZATION REDUCTION AMOUNT" for that Distribution Date). The "NET MONTHLY EXCESS CASH FLOW" is the amount of Available Funds remaining on a Distribution Date after the amount necessary to make all payments of interest and principal to the LIBOR Certificates and all amounts required to be paid to the Swap Provider on that Distribution Date. RESTRICTIONS ON TRANSFER OF THE RESIDUAL CERTIFICATES The REMIC provisions of the Code impose certain taxes on (i) transferors of residual interests to, or agents that acquire residual interests on behalf of, disqualified organizations and (ii) certain pass-through entities that have disqualified organizations as beneficial owners. No tax will be imposed on a pass-through entity (other than an "ELECTING LARGE PARTNERSHIP") with regard to the Residual Certificates to the extent it has received an affidavit from each owner of a Residual Certificate indicating that the owner is not a disqualified organization or a nominee for a disqualified organization. The pooling and servicing agreement will provide that no legal or beneficial interest in a Residual Certificate may be transferred to or registered in the name of any person unless (i) the proposed purchaser provides to the transferor and the trustee an affidavit, substantially in the form set forth in the pooling and servicing agreement, to the effect that, among other items, such transferee is not a disqualified organization and is not purchasing such Residual Certificate as an agent (i.e., as a broker, nominee, or other middleman for such purpose) for a disqualified organization and is otherwise making such purchase pursuant to a permitted transfer and (ii) the transferor states in a writing to the trustee that it has no actual knowledge that such affidavit is false. Further, the affidavit requires the transferee to affirm that it (i) historically has paid its debts as they have come due and intends to do so in the future, (ii) understands that it may incur tax liabilities with respect to such Residual Certificate in excess of cash flows generated thereby, (iii) intends to pay taxes associated with holding such Residual Certificate as such taxes become due, (iv) will not cause the income attributable to such Residual Certificate to be attributable to a foreign permanent establishment or fixed base, within the meaning of an applicable income tax treaty, of the transferee or any other U.S. person and (v) will not transfer such Residual Certificate to any person or entity that does not provide a similar S-71 affidavit. The transferor must also certify in a writing to the trustee in the form set forth in the pooling and servicing agreement that it had no knowledge or reason to know that the affirmations made by the transferee pursuant to the preceding clauses (i), (iii) and (iv) were false. In addition, Treasury regulations require either that (i) the transferor of a Residual Certificate pay the transferee a specified minimum formula amount designed to compensate the transferee for assuming the related tax liability or (ii) the transfer be to an eligible corporation that agrees to make any further qualifying transfers in order to meet the safe harbor against the possible disregard of such transfer. Because these rules are not mandatory but would provide safe harbor protection, the pooling and servicing agreement will not require that they be met as a condition to transfer of the Residual Certificates. Holders of the Residual Certificates are advised to consult their tax advisors as to whether and how to qualify for protection of the safe harbor for transfers and whether or in what amount any payment should be made upon transfer of the Residual Certificate. See "Federal Income Tax Consequences--Tax Treatment of REMIC Regular Interests and Other Debt Instruments," and "-Tax Treatment of REMIC Residual Interests--Non-Recognition of Certain Transfers for Federal Income Tax Purposes" in the prospectus. Finally, the Residual Certificates may not be purchased by or transferred to any person that is not a "U.S. Person" unless (i) such person holds such Residual Certificates in connection with the conduct of trade or business within the United States and furnishes the transferor and the trustee with an effective Internal Revenue Service Form W-8ECI or (ii) the transferee delivers to both the transferor and the trustee an opinion of a nationally recognized tax counsel to the effect that such transfer is in accordance with the requirements of the Code and the regulations promulgated under the Code and that such transfer of the Residual Certificates will not be disregarded for federal income tax purposes. The term "U.S. Person" means a citizen or resident of the United States, a corporation or partnership created or organized in or under the laws of the United States, any State or the District of Columbia (unless, in the case of a partnership, Treasury regulations are adopted that provide otherwise), including an entity treated as a corporation or partnership for federal income tax purposes, an estate whose income is subject to U.S. federal income tax regardless of its source, or a trust if a court within the United States is able to exercise primary supervision over the administration of such trust, and one or more such U.S. Persons have the authority to control all substantial decisions of such trust (or, to the extent provided in applicable Treasury regulations, a trust in existence on August 20, 1996 which is eligible to elect to be treated as a U.S. Person and so elects). The pooling and servicing agreement provides that any attempted or purported transfer of Residual Certificates in violation of those transfer restrictions will be null and void ab initio and will vest no rights in any purported transferee and will not relieve the transferor of any obligations with respect to the Residual Certificates. Any transferor or agent to whom information is provided as to any applicable tax imposed on such transferor or agent may be required to bear the cost of computing or providing such information. The Residual Certificates may not be purchased by or transferred to any person which is a Plan or any plan or arrangement subject to Similar Law. See "ERISA Considerations" in this prospectus supplement and in the prospectus. The Residual Certificates will contain a legend describing the foregoing restrictions. REPORTS TO CERTIFICATEHOLDERS On each Distribution Date the trustee will be required to make available to the depositor and each holder of a LIBOR Certificate a distribution report, based solely on information provided to the trustee by the servicer, containing information, including, without limitation, the amount of the distribution on such Distribution Date, the amount of such distribution allocable to principal and allocable to interest, the amounts allocable to the Coupon Strip Reserve Account and the Excess Cashflow Account, and the aggregate outstanding principal balance of each class as of such Distribution Date and such other information as required by the pooling and servicing agreement. S-72 The trustee will provide the monthly distribution report via the trustee's internet website. The trustee's website will initially be located at https://www.tss.db.com/invr and assistance in using the website can be obtained by calling the trustee's investor relations desk at 1-800-735-7777. Parties that are unable to use the website are entitled to have a paper copy mailed to them via first class mail by calling the investor relations desk and indicating such. The trustee will have the right to change the way the monthly statements to certificateholders are distributed in order to make such distribution more convenient and/or more accessible to the above parties and the trustee shall provide timely and adequate notification to all above parties regarding any such changes. As a condition to access the trustee's internet website, the trustee may require registration and the acceptance of a disclaimer. The trustee will not be liable for the dissemination of information in accordance with the pooling and servicing agreement. The trustee will also be entitled to rely on but will not be responsible for the content or accuracy of any information provided by third parties for purposes of preparing the monthly distribution report and may affix to that report any disclaimer it deems appropriate in its reasonable discretion (without suggesting liability on the part of any other party). YIELD ON THE RESIDUAL CERTIFICATES The after tax rate of return to the holders of the Residual Certificates will reflect their pre-tax rates of return (which may be zero), reduced by the taxes required to be paid with respect to such certificates. If you hold a Residual Certificate, you may have tax liabilities during the early years of the related REMIC's term that substantially exceed any distributions payable on your Residual Certificate during any such period. In addition, the present value of the tax liabilities with respect to your Residual Certificate may substantially exceed the present value of any distributions on your Residual Certificate and of any tax benefits that may arise with respect to it. Accordingly, the after tax rate of return on the Residual Certificates may be negative or may be otherwise significantly adversely affected. The timing and amount of taxable income attributable to the Residual Certificates will depend on, among other things, the timing and amounts of prepayments and losses experienced with respect to the mortgage loans. If you own a Residual Certificate, you should consult your tax advisors regarding the effect of taxes and the receipt of any payments made in connection with the purchase of the Residual Certificate on your after tax rate of return. See "Federal Income Tax Consequences" in this prospectus supplement and in the prospectus. THE POOLING AND SERVICING AGREEMENT GENERAL JPMorgan (after servicing has been fully transferred to it, no later than on or about November 1, 2005) will act as the servicer of the mortgage loans under the pooling and servicing agreement. See "The Servicer" in this prospectus supplement. Prior to the transfer of servicing of certain of the mortgage loans to JPMorgan, the servicing of the mortgage loans to be transferred will be done pursuant to interim servicing agreements currently in place for those mortgage loans. In servicing the mortgage loans, the servicer will be required to use the same care as they customarily employ in servicing and administering similar mortgage loans for their own account, in accordance with customary and standard mortgage servicing practices of mortgage lenders and loan servicers administering similar mortgage loans. SERVICING AND TRUSTEE FEES AND OTHER COMPENSATION AND PAYMENT OF EXPENSES As compensation for its activities as servicer under the pooling and servicing agreement, the servicer is entitled with respect to each mortgage loan serviced by it to the servicing fee, which will be retained by the servicer or payable monthly from amounts on deposit in the collection account. The servicing fee is required to be an amount equal to interest at one-twelfth of the servicing fee rate for the applicable mortgage loan on the Stated Principal Balance of such mortgage loan. The servicing fee rate with respect to each mortgage loan will be 0.50% per annum. In addition, the servicer is entitled to receive, as additional servicing compensation, to the extent permitted by applicable law and the related mortgage S-73 notes, any late payment charges, modification fees, assumption fees or similar items (other than Prepayment Premiums). The servicer is also entitled to withdraw from the collection account or any related escrow account any net interest or other income earned on deposits in the collection account or escrow account as the case may be. The servicer is required to pay all expenses incurred by it in connection with its servicing activities under the pooling and servicing agreement and is not entitled to reimbursement for such expenses, except as specifically provided in the pooling and servicing agreement. As compensation for its activities as trustee under the pooling and servicing agreement, the trustee will be entitled with respect to each mortgage loan to the trustee fee, which will be remitted to the trustee monthly by the servicer from amounts on deposit in the collection account. The trustee fee will be an amount equal to one-twelfth of the trustee fee rate for each mortgage loan on the Stated Principal Balance of such mortgage loan. The trustee fee rate with respect to each mortgage loan will be a rate per annum of 0.01% or less. In addition to the trustee fee, the trustee will be entitled to the benefit of earnings on deposits in the applicable distribution account. P&I ADVANCES AND SERVICING ADVANCES The servicer is required to make P&I Advances on each Servicer Remittance Date with respect to each mortgage loan it services, subject to the servicer's determination in its good faith business judgment that such advance would be recoverable. Such P&I Advances by the servicer are reimbursable to the servicer subject to certain conditions and restrictions, and are intended to provide sufficient funds for the payment of interest to the holders of the certificates. Notwithstanding the servicer's determination in its good faith business judgment that a P&I Advance was recoverable when made, if a P&I Advance becomes a nonrecoverable advance, the servicer will be entitled to reimbursement for that advance from any amounts in the collection account. See "Description of the Certificates--Payments on the Mortgage Loans" in this prospectus supplement. The servicer is required to advance amounts with respect to the mortgage loans serviced by it, subject to the servicer's determination that such advance would be recoverable, constituting reasonable "out-of-pocket" costs and expenses relating to: o the preservation, restoration, inspection and protection of the mortgaged property, o enforcement or judicial proceedings, including foreclosures, and o certain other customary amounts described in the pooling and servicing agreement. These servicing advances by the servicer are reimbursable to the servicer subject to certain conditions and restrictions. In the event that, notwithstanding the servicer's good faith determination at the time the servicing advance was made that it would be recoverable, the servicing advance becomes a nonrecoverable advance, the servicer will be entitled to reimbursement for that advance from any amounts in the collection account. The servicer may recover P&I Advances and servicing advances to the extent permitted by the pooling and servicing agreement. This reimbursement may come from late collections on the related mortgage loan, including Liquidation Proceeds, Condemnation Proceeds, Insurance Proceeds and such other amounts as may be collected by the servicer from the mortgagor or otherwise relating to the mortgage loan. In the event a P&I Advance or a servicing advance becomes a nonrecoverable advance, the servicer may be reimbursed for such advance from any amounts in the collection account. The servicer will not be required to make any P&I Advance or servicing advance which it determines would be a nonrecoverable P&I Advance or nonrecoverable servicing advance. A P&I Advance or servicing advance is "nonrecoverable" if in the good faith business judgment of the servicer (as stated in an officer's certificate of the servicer delivered to the trustee), such P&I Advance or servicing advance would not ultimately be recoverable from collections on or proceeds of the related mortgage loan. S-74 PREPAYMENT INTEREST SHORTFALLS In the event of any principal prepayments on any mortgage loans during any Prepayment Period, the servicer will be obligated to pay, by no later than the Servicer Remittance Date in the following month, compensating interest, without any right of reimbursement, for those shortfalls in interest collections resulting from such principal prepayments. The amount of compensating interest payable by the servicer will be equal to the difference between the interest paid by the applicable mortgagors for that Prepayment Period in connection with all the prepayments and thirty days' interest on the related mortgage loans, but only to the extent of the aggregate servicing fee for the related Distribution Date ("COMPENSATING INTEREST"). However, prior to the transfer of servicing of all of the Fremont mortgage loans, all of the EquiFirst mortgage loans and certain of the Bulk mortgage loans, which is expected to take place by no later than on or about November 1, 2005, prepayment interest shortfalls on those mortgage loans will not be covered by any Compensating Interest payments by any entity. SERVICER REPORTS As set forth in the pooling and servicing agreement, on a date preceding the applicable Distribution Date, the servicer is required to deliver to the trustee a servicer remittance report setting forth the information necessary for the trustee to make the distributions set forth under "Description of the Certificates--Distributions of Interest and Principal" in this prospectus supplement and containing the information to be included in the distribution report for that Distribution Date delivered by the trustee. In addition, the servicer will be required to deliver to the trustee and the depositor certain monthly reports relating to the mortgage loans and the mortgaged properties. The trustee will provide these monthly reports to certificateholders, at the expense of the requesting certificateholder, who make written requests to receive such information. The servicer is required to deliver to the depositor, the trustee, and the rating agencies, on or prior to March 15th of each year, starting in 2006, an officer's certificate stating that: o a review of the activities of the servicer during the preceding calendar year and of performance under the pooling and servicing agreement has been made under such officer's supervision, and o to the best of such officer's knowledge, based on such review, the servicer has fulfilled all its obligations under the pooling and servicing agreement for such year, or, if there has been a default in the fulfillment of any such obligation, specifying each such default known to such officer and the nature and status of such default including the steps being taken by the servicer to remedy such default. On or prior to March 15th of each year, starting in 2006, the servicer, at its expense, is required to cause to be delivered to the depositor, the trustee, and the rating agencies from a firm of independent certified public accountants, who may also render other services to the servicer, a statement to the effect that such firm has examined certain documents and records relating to the servicing of residential mortgage loans during the preceding calendar year, or such longer period from the closing date to the end of the following calendar year, and that, on the basis of such examination conducted substantially in compliance with the Uniform Single Attestation Program for Mortgage Bankers, such servicing has been conducted in compliance with certain minimum residential mortgage loan servicing standards. COLLECTION AND OTHER SERVICING PROCEDURES The servicer will be responsible for making reasonable efforts to collect all payments called for under the mortgage loans and will, consistent with the pooling and servicing agreement, follow such collection procedures as it follows with respect to loans held for its own account which are comparable to the mortgage loans. Consistent with the above, the servicer may (i) waive any late payment charge or, if applicable, any penalty interest or (ii) extend the due dates for the monthly payments for a period of not more than 180 days, subject to the provisions of the pooling and servicing agreement. S-75 The servicer will be required to act with respect to mortgage loans in default, or as to which default is reasonably foreseeable, in accordance with procedures set forth in the pooling and servicing agreement. These procedures among other things, result in (i) foreclosing on the mortgage loan, (ii) accepting the deed to the related mortgaged property in lieu of foreclosure, (iii) granting the borrower under the mortgage loan a modification or forbearance, or (iv) accepting payment from the borrower of an amount less than the principal balance of the mortgage loan in final satisfaction of the mortgage loan. These procedures are intended to maximize recoveries on a net present value basis on these mortgage loans. The servicer will be required to accurately and fully report its borrower payment histories to all three national credit repositories in a timely manner with respect to each mortgage loan. If a mortgaged property has been or is about to be conveyed by the mortgagor, the servicer will be obligated to accelerate the maturity of the mortgage loan, unless the servicer, in its sole business judgment, believes it is unable to enforce that mortgage loan's "due-on-sale" clause under applicable law or that such enforcement is not in the best interest of the trust fund. If it reasonably believes it may be restricted for any reason from enforcing such a "due-on-sale" clause or that such enforcement is not in the best interest of the trust fund, the servicer may enter into an assumption and modification agreement with the person to whom such property has been or is about to be conveyed, pursuant to which such person becomes liable under the mortgage note. Any fee collected by the servicer for entering into an assumption or modification agreement will be retained by the servicer as additional servicing compensation. In connection with any such assumption or modification, none of the outstanding principal amount, the interest rate borne by the mortgage note relating to each mortgage loan nor the final maturity date for such mortgage loan may be changed, unless the mortgagor is in default with respect to the mortgage loan or such default is, in the judgment of the servicer, reasonably foreseeable. For a description of circumstances in which a servicer may be unable to enforce "due-on-sale" clauses, see "Legal Aspects of the Mortgage Loans--Due-On-Sale Clauses" in the prospectus. HAZARD INSURANCE The servicer is required to cause to be maintained for each mortgaged property a hazard insurance policy which contains a standard mortgagee's clause with coverage in a minimum amount as set forth in the pooling and servicing agreement. As set forth above, all amounts collected by the servicer under any hazard policy, except for amounts to be applied to the restoration or repair of the mortgaged property or released to the borrower in accordance with the servicer's normal servicing procedures, to the extent they constitute net Liquidation Proceeds, Condemnation Proceeds or Insurance Proceeds, will ultimately be deposited in the collection account. The ability of the servicer to assure that hazard insurance proceeds are appropriately applied may be dependent on its being named as an additional insured under any hazard insurance policy, or upon the extent to which information in this regard is furnished to the servicer by a borrower. The pooling and servicing agreement provides that the servicer may satisfy its obligation to cause hazard policies to be maintained by maintaining a blanket policy issued by an insurer meeting the requirements of the rating agencies, insuring against losses on the mortgage loans. If such blanket policy contains a deductible clause, the servicer is obligated to deposit in the collection account the sums which would have been deposited in that collection account but for such clause. In general, the standard form of fire and extended coverage policy covers physical damage to or destruction of the improvements on the property by fire, lightning, explosion, smoke, windstorm and hail, and riot, strike and civil commotion, subject to the conditions and exclusions specified in each policy. Although the policies relating to the mortgage loans will be underwritten by different insurers under different state laws in accordance with different applicable state forms and therefore will not contain identical terms and conditions, the terms of the policies are dictated by respective state laws, and most such policies typically do not cover any physical damage resulting from the following: war, revolution, governmental actions, floods and other weather-related causes, earth movement, including earthquakes, landslides and mudflows, nuclear reactions, wet or dry rot, vermin, rodents, insects or domestic animals, S-76 theft and, in certain cases, vandalism. The foregoing list is merely indicative of certain kinds of uninsured risks and is not intended to be all-inclusive. The hazard insurance policies covering the mortgaged properties typically contain a co-insurance clause which in effect requires the insured at all times to carry insurance of a specified percentage, generally 80% to 90%, of the full replacement value of the improvements on the property in order to recover the full amount of any partial loss. If the insured's coverage falls below this specified percentage, such clause generally provides that the insurer's liability in the event of partial loss does not exceed the greater of (x) the replacement cost of the improvements less physical depreciation or (y) such proportion of the loss as the amount of insurance carried bears to the specified percentage of the full replacement cost of such improvements. Since residential properties, generally, have historically appreciated in value over time, if the amount of hazard insurance maintained on the improvements securing the mortgage loans were to decline as the principal balances owing on the improvements decreased, hazard insurance proceeds could be insufficient to restore fully the damaged property in the event of a partial loss. REALIZATION UPON DEFAULTED MORTGAGE LOANS The servicer will be required to foreclose upon, or otherwise comparably convert to ownership, mortgaged properties securing such of the mortgage loans as come into default when, in the opinion of the servicer, no satisfactory arrangements can be made for the collection of delinquent payments. In connection with such foreclosure or other conversion, the servicer will follow such practices as it deems necessary or advisable and as are in keeping with the servicer's general loan servicing activities and the pooling and servicing agreement. However, the servicer will not expend its own funds in connection with foreclosure or other conversion, correction of a default on a senior mortgage or restoration of any property unless the servicer believes such foreclosure, correction or restoration will increase net Liquidation Proceeds and that such expenses will be recoverable by the servicer. The expenditure of such funds will be a servicing advance. OPTIONAL REPURCHASE OF DELINQUENT MORTGAGE LOANS The depositor has the option, but is not obligated, to purchase from the trust any mortgage loan that is 90 days or more delinquent subject to certain terms and conditions set forth in the pooling and servicing agreement. The purchase price will be 100% of the unpaid principal balance of the mortgage loan, plus all related accrued and unpaid interest, and the amount of any unreimbursed servicing advances made by the servicer related to the mortgage loan. REMOVAL AND RESIGNATION OF THE SERVICER The trustee may, and the trustee is required to at the direction of the majority of voting rights in the certificates, remove the servicer upon the occurrence and continuation beyond the applicable cure period of any event described in clauses (a) through (i) below. Each of the following constitutes a "SERVICER EVENT OF DEFAULT": (a) any failure by the servicer to remit to the trustee any payment required to be made by the servicer under the terms of the pooling and servicing agreement, which continues unremedied for one business day after the date upon which written notice of such failure, requiring the same to be remedied, is given to the servicer by the depositor or trustee or to the servicer, the depositor and the trustee by any holders of certificates entitled to at least 25% of the voting rights in the certificates; or (b) any failure on the part of the servicer duly to observe or perform in any material respect any other of the covenants or agreements on the part of the servicer contained in the pooling and servicing agreement, which continues unremedied for a period of thirty days (except that such number of days shall be 10 days in the case of a failure to observe or perform certain reporting requirements or periodic filings) after the earlier of (i) the date on which written notice of such failure or breach, as applicable, requiring the same to be remedied, is given to the servicer by the depositor S-77 or trustee, or to the servicer, the depositor and the trustee by any holders of certificates entitled to at least 25% of the voting rights in the certificates, and (ii) actual knowledge of such failure by a servicing officer of the servicer; provided, however, that in the case of a failure or breach that cannot be cured within 30 days after notice or actual knowledge by the servicer, the cure period may be extended for an additional 30 days upon delivery by the servicer to the trustee of a certificate to the effect that the servicer believes in good faith that the failure or breach can be cured within such additional time period and the servicer is diligently pursuing remedial action; or (c) a decree or order of a court or agency or supervisory authority having jurisdiction for the appointment of a conservator or receiver or liquidator in any insolvency, bankruptcy, readjustment of debt, marshalling of assets and liabilities or similar proceedings, or for the winding-up or liquidation of its affairs, is entered against the servicer and such decree or order remains in force, undischarged or unstayed for a period of sixty days; or (d) the servicer consents to the appointment of a conservator or receiver or liquidator in any insolvency, bankruptcy, readjustment of debt, marshalling of assets and liabilities or similar proceedings of or relating to the servicer or of or relating to all or substantially all of the servicer's property; or (e) the servicer admits in writing its inability generally to pay its debts as they become due, file a petition to take advantage of any applicable insolvency or reorganization statute, makes an assignment for the benefit of its creditors, or voluntarily suspends payment of its obligations; or (f) the failure by the servicer to make any P&I Advance on any Servicer Remittance Date which continues unremedied for one business day after that Servicer Remittance Date; or (g) certain reports are not timely delivered by the servicer to the trustee; or (h) any breach of a representation and warranty of the servicer, which materially and adversely affects the interests of the certificateholders and which continues unremedied for a period of thirty days after the date upon which written notice of such breach is given to the servicer by the trustee or the depositor, or to the servicer, the trustee or the depositor by the holders of certificates entitled to at least 25% of the voting rights in the certificates; or (i) any reduction, withdrawal or qualification of the servicing rating of the servicer by any rating agency that results in the inability of the servicer to act as a primary or special servicer for any mortgage-backed or asset-backed transaction rated or to be rated by S&P, Moody's or Fitch, Inc. Except to permit subservicers as provided under the pooling and servicing agreement to act as subservicers, the servicer may not assign its obligations under the pooling and servicing agreement nor resign from the obligations and duties imposed on it by the pooling and servicing agreement except by mutual consent of the servicer, the depositor and the trustee or upon the determination that the servicer's duties under the pooling and servicing agreement are no longer permissible under applicable law and such incapacity cannot be cured by the servicer without the incurrence of unreasonable expense. No such resignation will become effective until a successor has assumed the servicer's responsibilities and obligations in accordance with the pooling and servicing agreement. Pursuant to the terms of the pooling and servicing agreement, upon removal or resignation of the servicer, subject to the trustee's right to appoint a successor servicer, the trustee will be the successor servicer. The trustee, as successor servicer, will be obligated to make P&I Advances and servicing advances and certain other advances unless it determines reasonably and in good faith that such advances would not be recoverable. The trustee, as successor servicer, will be obligated to assume the other responsibilities, duties and liabilities of the predecessor servicer as soon as practicable, but in no event later than 90 days after the trustee has notified the predecessor servicer that it is being terminated. If, however, the trustee is unwilling or unable to act as successor servicer, or the holders of the certificates entitled to a majority of the voting rights in the certificates so request, the trustee is required to appoint, or petition a court of competent jurisdiction to appoint, in accordance with the provisions of the S-78 pooling and servicing agreement, any established mortgage loan servicing institution acceptable to the rating agencies and having a net worth of not less than $30,000,000 as the successor servicer in the assumption of all or any part of the responsibilities, duties or liabilities of the predecessor servicer. The trustee and any other successor servicer in such capacity is entitled to the same reimbursement for advances and no more than the same servicing compensation (including income earned on the collection account) as the servicer or such greater compensation if consented to by the rating agencies rating the Offered Certificates and a majority of the certificateholders. See "--Servicing and Trustee Fees and Other Compensation and Payment of Expenses" above. The terminated servicer, subject to certain provisions in the pooling and servicing agreement, will be obligated to pay all of its own out-of-pocket costs and expenses, without reimbursement from the trust fund, to transfer the servicing files to a successor servicer and it will be obligated to pay certain reasonable out-of-pocket costs and expenses of a servicing transfer incurred by parties other than the terminated servicer without reimbursement from the trust fund. In the event the terminated servicer defaults in its obligations to pay such costs, the successor servicer will be obligated to pay such costs but will be entitled to reimbursement for such costs from the trust fund or if the successor servicer fails to pay, the trustee will pay such costs from the trust fund. TERMINATION; OPTIONAL CLEAN-UP CALL The Class C certificateholders in the aggregate may, at their option, direct JPMorgan to purchase the mortgage loans and REO properties and terminate the trust on any Distribution Date when the aggregate Stated Principal Balance of the mortgage loans, as of the last day of the related Due Period, is equal to or less than 10% of the aggregate Stated Principal Balance of the mortgage loans as of the cut-off date (the right to direct such purchase being referred to as the "OPTIONAL CLEAN-UP CALL"). If the depositor or one of its affiliates is a Class C certificateholder exercising this option, it may only do so with at least one other unaffiliated person that holds at least a 10% percentage interest in the Class C certificates. In addition, JPMorgan may, at its option, purchase the mortgage loans and REO properties and terminate the trust on any Distribution Date when the aggregate Stated Principal Balance of the mortgage loans, as of the last day of the related Due Period, is equal to or less than 5% of the aggregate Stated Principal Balance of the mortgage loans as of the cut-off date. At any time the majority Class C certificateholders have the option to direct JPMorgan to purchase the mortgage loans or if JPMorgan has the right to purchase the mortgage loans, the first person to provide notice to exercise the right will have the right to purchase the mortgage loans. The purchase price for the mortgage loans will be an amount equal to the sum of (i) 100% of the unpaid principal balance of each mortgage loan (other than mortgage loans related to any REO property) plus accrued and unpaid interest on those mortgage loans at the applicable interest rate, (ii) the lesser of (x) the appraised value of any REO property, as determined by the higher of two appraisals completed by two independent appraisers selected by the party exercising the right to purchase the mortgage loans and at its expense, plus accrued and unpaid interest on those mortgage loans at the applicable interest rate and (y) the unpaid principal balance of each mortgage loan related to any REO property plus accrued and unpaid interest on those mortgage loans at the applicable interest rate, and (iii) any Swap Termination Payment other than a Defaulted Swap Termination Payment owed to the Swap Provider. Any such purchase of the mortgage loans would result in the final distribution on the certificates on such Distribution Date. The trust also is required to terminate upon the later of: (i) the distribution to certificateholders of the final payment or collection with respect to the last mortgage loan (or P&I Advances of same by the servicer), or (ii) the disposition of all funds with respect to the last mortgage loan and the remittance of all funds due under the pooling and servicing agreement. However, in no event will the trust established by the pooling and servicing agreement terminate later than twenty-one years after the death of the last surviving lineal descendant of the person named in the pooling and servicing agreement. S-79 AMENDMENT The pooling and servicing agreement may be amended from time to time by the depositor, the servicer and the trustee by written agreement, without notice to, or consent of, the holders of the certificates, to cure any ambiguity or mistake, to correct any defective provision or supplement any provision in the pooling and servicing agreement that may be inconsistent with any other provision, or to add to the duties of the depositor, the servicer or the trustee, to comply with any requirements in the Code. The pooling and servicing agreement may also be amended to add or modify any other provisions with respect to matters or questions arising under the pooling and servicing agreement or to modify, alter, amend, add to or rescind any of the terms or provisions contained in the pooling and servicing agreement; provided, that such amendment will not adversely affect in any material respect the interest of any certificateholder, as evidenced by (i) an opinion of counsel delivered to, but not obtained at the expense of, the trustee, confirming that the amendment will not adversely affect in any material respect the interests of any holder of the certificates or (ii) a letter from each rating agency confirming that such amendment will not cause the reduction, qualification or withdrawal of the then-current ratings of the certificates. The pooling and servicing agreement may be amended from time to time by the depositor, the servicer and the trustee and holders of certificates evidencing percentage interests aggregating not less than 66-2/3% of each class of certificates affected by the amendment for the purpose of adding any provisions to or changing in any manner or eliminating any of the provisions of the pooling and servicing agreement or of modifying in any manner the rights of the holders of the certificates; provided, however, that no such amendment will (i) reduce in any manner the amount of, or delay the timing of, payments required to be distributed on any certificate without the consent of the holder of that certificate, (ii) adversely affect in any material respect the interests of the holders of any class of certificates in a manner other than as described in clause (i) above without the consent of the holders of certificates of that class evidencing percentage interests aggregating not less than 66-2/3% of that class, or (iii) reduce the percentage of the certificates whose holders are required to consent to any such amendment without the consent of the holders of 100% of the certificates then outstanding. CERTAIN MATTERS REGARDING THE DEPOSITOR, THE SERVICER, THE CUSTODIANS AND THE TRUSTEE The pooling and servicing agreement provides that none of the depositor, the servicer, the custodians, the trustee nor any of their directors, officers, employees or agents will be under any liability to the certificateholders for any action taken, or for refraining from the taking of any action, in good faith pursuant to the pooling and servicing agreement, or for errors in judgment, provided that none of the depositor, the servicer, the custodians, or the trustee will be protected against liability arising from any breach of representations or warranties made by it or from any liability which may be imposed by reason of the depositor's, the servicer's, a custodian's, or the trustee's, as the case may be, willful misfeasance, bad faith or negligence (or gross negligence in the case of the depositor) in the performance of its duties or by reason of its reckless disregard of obligations and duties under the pooling and servicing agreement. The depositor, the servicer, the custodians, the trustee and any director, officer, employee, affiliate or agent of the depositor, the servicer or the trustee will be indemnified by the trust fund and held harmless against any loss, liability or expense incurred in connection with any audit, controversy or judicial proceeding relating to a governmental taxing authority or any legal action relating to the pooling and servicing agreement or the certificates or any unanticipated or extraordinary expense, other than any loss, liability or expense incurred by reason of the depositor's, any servicer's, any custodian's, or the trustee's, as the case may be, willful misfeasance, bad faith or negligence (or gross negligence in the case of the depositor) in the performance of its duties or by reason of its reckless disregard of obligations and duties under the pooling and servicing agreement. None of the depositor, the servicer, any custodian or the trustee is obligated under the pooling and servicing agreement to appear in, prosecute or defend any legal action that is not incidental to its respective duties which in its opinion may involve it in any expense or liability, provided that, in S-80 accordance with the provisions of the pooling and servicing agreement, the depositor, the servicer, each custodian and the trustee, as applicable, may undertake any action that any of them deem necessary or desirable in respect of (i) the rights and duties of the parties to the pooling and servicing agreement and (ii) with respect to actions taken by the depositor, the interests of the trustee and the certificateholders. In the event the depositor, the servicer, any custodian or the trustee undertakes any such action, the legal expenses and costs of such action and any resulting liability will be expenses, costs and liabilities of the trust fund, and the depositor, the servicer, the custodians and the trustee will be entitled to be reimbursed for such expenses, costs and liabilities out of the trust fund. PREPAYMENT AND YIELD CONSIDERATIONS STRUCTURING ASSUMPTIONS The prepayment model used in this prospectus supplement represents an assumed rate of prepayment ("PREPAYMENT ASSUMPTION") each month relative to the then outstanding principal balance of a pool of mortgage loans for the life of those mortgage loans. The Prepayment Assumption does not purport to be a historical description of prepayment experience or a prediction of the anticipated rate of prepayment of any pool of mortgage loans, including the related mortgage loans. With respect to the fixed-rate mortgage loans, the 100% Prepayment Assumption assumes a constant prepayment rate ("CPR") of approximately 5.00% per annum of the then outstanding principal balance of each fixed-rate mortgage loan in the first month each fixed-rate mortgage loan is outstanding and an additional approximately 1.727% per annum in each month thereafter until the 12th month such fixed-rate mortgage loan is outstanding. In each month thereafter, 100% Prepayment Assumption with respect to each fixed-rate mortgage loan assumes a CPR of 24.00% per annum each month. The 100% Prepayment Assumption with respect to the adjustable-rate mortgage loans assumes a CPR of 5.00% per annum of the then outstanding principal balance of each adjustable-rate mortgage loan in the first month each adjustable-rate mortgage loan is outstanding and an additional approximately 2.091% per annum in each month thereafter until the 12th month such adjustable-rate mortgage loan is outstanding. In each month thereafter, 100% Prepayment Assumption with respect to each adjustable-rate mortgage loan assumes a CPR of 28.00% per annum each month. Since the tables were prepared on the basis of the assumptions in the following paragraph, there are discrepancies between the characteristics of the actual mortgage loans and the characteristics of the mortgage loans assumed in preparing the tables. Any discrepancy may have an effect upon the percentages of the Class Certificate Balances outstanding and weighted average lives of the Offered Certificates set forth in the tables. In addition, since the actual mortgage loans in the trust fund have characteristics which differ from those assumed in preparing the tables set forth below, the distributions of principal on the Offered Certificates may be made earlier or later than as indicated in the tables. Unless otherwise specified, the information in the tables in this prospectus supplement has been prepared on the basis of the following assumed characteristics of the mortgage loans and the following additional assumptions which collectively are the structuring assumptions ("STRUCTURING ASSUMPTIONS"): o the closing date for the certificates occurs on August 25, 2005; o distributions on the certificates are made on the 25th day of each month, commencing in September 2005, regardless if such day is a business day, in accordance with the priorities described in this prospectus supplement; o the mortgage loans prepayment rates with respect to the assumed mortgage loans are a multiple of the applicable Prepayment Assumption as stated in the table under the heading "Prepayment Scenarios" under "--Decrement Tables" below; o prepayments include 30 days' interest on the related mortgage loan; S-81 o the optional termination is not exercised (except with respect to the weighted average life to call where a 10% Optional Clean-up Call is assumed); o the Specified Overcollateralized Amount is initially as specified in this prospectus supplement and thereafter decreases in accordance with the provisions in this prospectus supplement; o all adjustable-rate mortgage loans are indexed to the Six-Month LIBOR Loan Index; o with respect to each adjustable-rate mortgage loan, (a) the interest rate for each mortgage loan is adjusted on its next rate Adjustment Date (and on subsequent Adjustment Dates, if necessary) to a rate equal to the Gross Margin plus the Index (subject to the applicable periodic rate cap and maximum interest rate), (b) the Six-Month LIBOR Loan Index remains constant at 4.02625%, and (c) the scheduled monthly payment on the mortgage loans is adjusted to equal a fully amortizing payment, except in the case of the interest-only mortgage loans during the interest-only period; o the Expense Fee Rate is 0.5100%; o One-Month LIBOR remains constant at 3.5825%; o no Swap Termination Payments are paid or received by the trust; o no delinquencies or defaults in the payment by mortgagors of principal of and interest on the mortgage loans are experienced; o scheduled payments on the mortgage loans are received on the first day of each month commencing in the calendar month following the closing date and are computed prior to giving effect to prepayments received on the last day of the prior month; o prepayments represent prepayments in full of individual mortgage loans and are received on the last day of each month, commencing in the calendar month in which the closing date occurs; o the initial Class Certificate Balance of each class of certificates is as set forth on the cover page of this prospectus supplement, except that the Residual Certificates are assumed to be zero; o interest accrues on each class of certificates at the applicable Pass-Through Rate set forth or described in this prospectus supplement; and o the assumed mortgage loans have the approximate characteristics described below: S-82
CUT-OFF REMAINING REMAINING FIRST DATE AMORTIZATION TERM TO LOAN RATE GROSS PRINCIPAL TERM MATURITY AGE RESET INTEREST GROUP DESCRIPTION BALANCE ($) (MONTHS)(1) (MONTHS) (MONTHS) INDEX (MONTHS) RATE (%) ----- ----------- ----------- ------------ --------- -------- ----- -------- -------- 1 2 YR ARM 58,887,407.46 357 357 3 LIBOR_6MO 21 7.18265 1 2 YR ARM 350,726.57 358 358 2 LIBOR_6MO 22 8.75340 1 2 YR ARM 994,141.67 358 358 2 LIBOR_6MO 22 6.64688 1 2 YR ARM 176,658.87 358 358 2 LIBOR_6MO 22 10.50000 1 2 YR ARM 284,840.12 357 357 3 LIBOR_6MO 21 9.70630 1 2 YR ARM 18,196,860.47 358 358 2 LIBOR_6MO 21 7.07510 1 2 YR ARM 9,792,500.52 357 357 3 LIBOR_6MO 21 7.43968 1 2 YR ARM 1,775,853.82 357 357 3 LIBOR_6MO 21 6.92967 1 2 YR ARM 103,837.23 358 358 2 LIBOR_6MO 22 7.25000 1 2 YR ARM 3,608,390.72 357 357 3 LIBOR_6MO 21 7.22643 1 2 YR ARM 59,062.66 357 357 3 LIBOR_6MO 21 7.32500 1 2 YR ARM 4,360,844.42 357 357 3 LIBOR_6MO 21 7.26622 1 2 YR ARM 398,677.13 357 357 3 LIBOR_6MO 21 8.12617 1 2 YR ARM 2,251,349.63 357 357 3 LIBOR_6MO 21 8.01801 1 2 YR ARM 1,332,344.00 357 357 3 LIBOR_6MO 21 7.64806 1 2 YR ARM 3,336,086.15 357 357 3 LIBOR_6MO 21 6.79260 1 2 YR ARM 136,039,613.60 358 358 2 LIBOR_6MO 21 7.28140 1 2 YR ARM 1,273,149.06 356 356 4 LIBOR_6MO 20 7.55990 1 2 YR ARM 358,415.29 357 357 3 LIBOR_6MO 21 7.86172 1 2 YR ARM 1,745,903.11 357 357 3 LIBOR_6MO 21 7.00008 1 2 YR ARM 190,815.40 357 357 3 LIBOR_6MO 21 7.33156 1 2 YR ARM 302,073.32 356 356 4 LIBOR_6MO 20 7.38347 1 2 YR ARM 7,665,817.12 358 358 2 LIBOR_6MO 20 7.45199 1 2 YR ARM BALLOON 15/30 137,926.57 359 179 1 LIBOR_6MO 23 9.12500 1 2 YR ARM BALLOON 15/30 105,956.73 359 179 1 LIBOR_6MO 23 10.37500 1 2 YR ARM BALLOON 15/30 247,486.41 359 179 1 LIBOR_6MO 23 9.89293 1 2 YR ARM BALLOON 30/40 3,109,691.68 479 359 1 LIBOR_6MO 23 7.03638 1 2 YR ARM IO 120,800.00 354 357 3 LIBOR_6MO 3 6.15000 1 2 YR ARM IO 3,311,359.54 336 357 3 LIBOR_6MO 21 6.70707 1 2 YR ARM IO 521,700.00 336 358 2 LIBOR_6MO 22 7.00377 1 2 YR ARM IO 130,299.99 336 357 3 LIBOR_6MO 21 6.85000 1 2 YR ARM IO 904,591.25 336 357 3 LIBOR_6MO 21 7.03389 1 2 YR ARM IO 301,599.93 336 357 3 LIBOR_6MO 21 6.79549 1 2 YR ARM IO 5,490,759.29 336 357 3 LIBOR_6MO 21 6.92015 1 2 YR ARM IO 1,235,755.00 336 358 2 LIBOR_6MO 22 6.82898 1 2 YR ARM IO 15,979,196.12 300 357 3 LIBOR_6MO 21 6.86697 1 2 YR ARM IO 654,400.00 300 357 3 LIBOR_6MO 21 6.47205 1 2 YR ARM IO 5,069,959.83 300 358 2 LIBOR_6MO 22 6.86123 1 2 YR ARM IO 241,499.99 300 356 4 LIBOR_6MO 20 6.85000 1 2 YR ARM IO 3,187,106.64 300 357 3 LIBOR_6MO 21 6.71119 1 2 YR ARM IO 456,065.96 300 358 2 LIBOR_6MO 22 6.86643 1 2 YR ARM IO 1,449,600.00 300 358 2 LIBOR_6MO 22 6.62031 1 2 YR ARM IO 111,200.00 300 356 4 LIBOR_6MO 20 6.87500 1 2 YR ARM IO 343,019.21 300 357 3 LIBOR_6MO 21 6.46168
ORIGINAL INTEREST GROSS ONLY GROSS INITIAL LIFETIME PERIOD MARGIN PERIODIC PERIODIC MAXIMUM FLOOR (MONTHS) GROUP DESCRIPTION (%) CAP (%) CAP (%) RATE (%) RATE (%) (1) ----- ----------- --- ------- ------- -------- -------- --- 1 2 YR ARM 6.01451 2.62034 1.21852 13.50755 7.16725 0 1 2 YR ARM 7.93224 3.00000 1.00000 14.75340 10.37500 0 1 2 YR ARM 6.15288 2.36522 1.50000 13.01210 6.64688 0 1 2 YR ARM 6.99000 3.00000 1.00000 16.50000 10.50000 0 1 2 YR ARM 8.85472 3.00000 1.00000 15.70630 0 1 2 YR ARM 6.45148 2.43676 1.47708 13.50980 7.03579 0 1 2 YR ARM 6.61351 2.88022 1.18617 13.66087 7.47681 0 1 2 YR ARM 6.47335 2.84993 1.50000 13.77959 6.92967 0 1 2 YR ARM 6.99000 2.00000 1.50000 13.25000 7.25000 0 1 2 YR ARM 6.27334 3.00000 1.11700 13.35809 7.24140 0 1 2 YR ARM 6.32500 3.00000 1.00000 13.32500 0 1 2 YR ARM 6.30194 3.00000 1.00000 13.26622 7.21102 0 1 2 YR ARM 6.83061 3.00000 1.00000 14.12617 0 1 2 YR ARM 6.73551 3.00048 1.00000 14.01801 9.65000 0 1 2 YR ARM 7.05483 3.00225 1.00000 13.64806 7.73741 0 1 2 YR ARM 5.79260 3.00000 1.00000 12.79260 0 1 2 YR ARM 6.39370 2.58544 1.33308 13.75094 7.21406 0 1 2 YR ARM 5.99566 3.00000 1.00000 13.55990 7.55990 0 1 2 YR ARM 6.89239 2.60090 1.50000 14.46262 7.86172 0 1 2 YR ARM 6.54425 2.46216 1.50000 13.46225 7.00008 0 1 2 YR ARM 6.99814 3.00000 1.00000 13.33156 7.33156 0 1 2 YR ARM 6.80673 3.00000 1.00000 13.38347 7.39000 0 1 2 YR ARM 6.23575 2.47444 1.23107 14.12795 7.43963 0 1 2 YR ARM BALLOON 15/30 8.12500 3.00000 1.50000 16.12500 9.12500 0 1 2 YR ARM BALLOON 15/30 8.37500 3.00000 1.50000 17.37500 10.37500 0 1 2 YR ARM BALLOON 15/30 8.89293 3.00000 1.50000 16.89293 9.89293 0 1 2 YR ARM BALLOON 30/40 6.20131 3.00000 1.34336 13.72310 7.51289 0 1 2 YR ARM IO 5.75000 1.00000 1.00000 13.15000 6 1 2 YR ARM IO 4.94705 2.81222 1.06393 13.67325 7.94409 24 1 2 YR ARM IO 5.10377 3.00000 1.00000 14.00377 24 1 2 YR ARM IO 5.85000 3.00000 1.00000 12.85000 24 1 2 YR ARM IO 6.13238 1.50000 1.50000 14.03389 7.03389 24 1 2 YR ARM IO 5.43214 3.00000 1.00000 12.79549 24 1 2 YR ARM IO 5.29254 2.72900 1.09953 13.74768 6.99682 24 1 2 YR ARM IO 5.01275 3.00000 1.00000 13.67088 24 1 2 YR ARM IO 6.00709 2.58404 1.31242 13.20138 6.87003 60 1 2 YR ARM IO 6.36867 3.00000 1.50000 13.47205 6.47205 60 1 2 YR ARM IO 6.20087 2.35155 1.34695 13.30194 6.94758 60 1 2 YR ARM IO 5.34000 3.00000 1.00000 12.85000 6.85000 60 1 2 YR ARM IO 5.88632 2.83082 1.21455 12.86878 6.92215 60 1 2 YR ARM IO 6.23250 2.40455 1.50000 13.27098 6.86643 60 1 2 YR ARM IO 5.91817 2.90177 1.04912 12.62031 6.60021 60 1 2 YR ARM IO 6.87500 3.00000 1.00000 12.87500 6.87500 60 1 2 YR ARM IO 5.18403 3.00000 1.00000 12.46168 6.05000 60
S-83
CUT-OFF REMAINING REMAINING FIRST DATE AMORTIZATION TERM TO LOAN RATE GROSS PRINCIPAL TERM MATURITY AGE RESET INTEREST GROUP DESCRIPTION BALANCE ($) (MONTHS)(1) (MONTHS) (MONTHS) INDEX (MONTHS) RATE (%) ----- ----------- ----------- ------------ --------- -------- ----- -------- -------- 1 2 YR ARM IO 368,178.67 300 357 3 LIBOR_6MO 21 7.66943 1 2 YR ARM IO 1,934,377.56 300 358 2 LIBOR_6MO 22 7.01999 1 2 YR ARM IO 50,577,443.20 300 357 3 LIBOR_6MO 21 6.86549 1 2 YR ARM IO 1,092,542.68 300 356 4 LIBOR_6MO 20 7.22046 1 2 YR ARM IO 419,720.00 300 358 2 LIBOR_6MO 22 7.16303 1 2 YR ARM IO 1,022,475.00 300 358 2 LIBOR_6MO 22 6.96938 1 2 YR ARM IO 2,386,573.88 300 358 2 LIBOR_6MO 22 6.58198 1 2 YR ARM IO 1,829,500.00 240 358 2 LIBOR_6MO 22 6.33623 1 3 YR ARM 4,889,526.11 357 357 3 LIBOR_6MO 33 7.74956 1 3 YR ARM 379,673.11 356 356 4 LIBOR_6MO 32 8.32719 1 3 YR ARM 105,238.53 357 357 3 LIBOR_6MO 33 6.99000 1 3 YR ARM 645,691.17 356 356 4 LIBOR_6MO 32 7.93458 1 3 YR ARM 419,494.41 357 357 3 LIBOR_6MO 33 6.47920 1 3 YR ARM 1,870,595.53 355 355 5 LIBOR_6MO 27 6.85048 1 3 YR ARM 211,992.73 356 356 4 LIBOR_6MO 32 8.62500 1 3 YR ARM 6,744,863.55 356 356 4 LIBOR_6MO 32 8.26069 1 3 YR ARM 1,302,911.43 356 356 4 LIBOR_6MO 31 8.14305 1 3 YR ARM 768,483.20 357 357 3 LIBOR_6MO 33 7.20358 1 3 YR ARM 525,169.89 357 357 3 LIBOR_6MO 33 9.12439 1 3 YR ARM 355,167.67 357 357 3 LIBOR_6MO 33 6.88910 1 3 YR ARM 269,145.57 356 356 4 LIBOR_6MO 32 8.67681 1 3 YR ARM 4,908,135.16 356 356 4 LIBOR_6MO 32 8.56122 1 3 YR ARM 107,712.48 357 357 3 LIBOR_6MO 33 6.62500 1 3 YR ARM 14,645,937.22 357 357 3 LIBOR_6MO 33 7.55025 1 3 YR ARM BALLOON 30/40 144,852.01 478 358 2 LIBOR_6MO 34 5.95000 1 3 YR ARM IO 602,200.00 324 356 4 LIBOR_6MO 32 7.73905 1 3 YR ARM IO 197,600.00 324 357 3 LIBOR_6MO 33 7.25000 1 3 YR ARM IO 675,310.00 324 357 3 LIBOR_6MO 33 8.04989 1 3 YR ARM IO 135,000.00 324 357 3 LIBOR_6MO 33 7.15000 1 3 YR ARM IO 96,900.00 324 357 3 LIBOR_6MO 33 8.87500 1 3 YR ARM IO 145,800.00 324 356 4 LIBOR_6MO 32 7.75000 1 3 YR ARM IO 523,849.99 324 357 3 LIBOR_6MO 33 7.91224 1 3 YR ARM IO 1,100,348.50 324 357 3 LIBOR_6MO 33 7.95504 1 3 YR ARM IO 2,777,486.49 300 357 3 LIBOR_6MO 33 8.08053 1 3 YR ARM IO 130,400.00 300 356 4 LIBOR_6MO 32 9.75000 1 3 YR ARM IO 420,300.00 300 357 3 LIBOR_6MO 33 8.95691 1 3 YR ARM IO 255,900.00 300 358 2 LIBOR_6MO 34 7.39147 1 3 YR ARM IO 2,756,063.38 300 357 3 LIBOR_6MO 33 8.12413 1 3 YR ARM IO 123,120.00 300 358 2 LIBOR_6MO 34 6.74000 1 3 YR ARM IO 426,400.00 300 357 3 LIBOR_6MO 33 6.60514 1 3 YR ARM IO 1,257,199.99 300 357 3 LIBOR_6MO 33 8.80108 1 3 YR ARM IO 8,986,268.29 300 357 3 LIBOR_6MO 33 6.70556 1 40 YEARS - 2 YR ARM 933,758.32 477 477 3 LIBOR_6MO 21 7.72502 1 40 YEARS - 2 YR ARM 501,700.06 478 478 2 LIBOR_6MO 22 7.90324 1 40 YEARS - 2 YR ARM 1,804,126.07 477 477 3 LIBOR_6MO 21 7.26786
ORIGINAL INTEREST GROSS ONLY GROSS INITIAL LIFETIME PERIOD MARGIN PERIODIC PERIODIC MAXIMUM FLOOR (MONTHS) GROUP DESCRIPTION (%) CAP (%) CAP (%) RATE (%) RATE (%) (1) ----- ----------- --- ------- ------- -------- -------- --- 1 2 YR ARM IO 6.93053 4.04443 2.74071 13.66943 8.05888 60 1 2 YR ARM IO 6.01999 3.00000 1.00000 13.01999 60 1 2 YR ARM IO 6.27374 2.40536 1.35404 13.47246 6.90548 60 1 2 YR ARM IO 5.90482 3.00000 1.00000 13.22046 7.22046 60 1 2 YR ARM IO 6.65301 3.54417 2.95651 13.41253 7.16303 60 1 2 YR ARM IO 6.32938 2.00000 1.50000 12.96938 6.96938 60 1 2 YR ARM IO 5.71955 2.39227 1.41235 12.97424 6.82723 60 1 2 YR ARM IO 4.96973 6.00000 2.00000 12.33623 6.33623 120 1 3 YR ARM 6.65498 2.85369 1.02887 13.94643 8.01187 0 1 3 YR ARM 8.07719 3.00000 1.00000 14.32719 8.32719 0 1 3 YR ARM 4.37500 3.00000 1.00000 12.99000 6.99000 0 1 3 YR ARM 7.47603 3.00000 1.27806 14.49070 7.93458 0 1 3 YR ARM 5.20838 3.00000 1.00000 12.47920 6.47920 0 1 3 YR ARM 6.62898 2.02082 1.07034 13.41868 6.91619 0 1 3 YR ARM 8.37500 3.00000 1.00000 14.62500 8.62500 0 1 3 YR ARM 8.00028 3.00000 1.00000 14.26069 8.26069 0 1 3 YR ARM 7.62956 3.00000 1.00000 14.14305 8.22862 0 1 3 YR ARM 6.43575 3.00000 1.00000 13.20358 7.20358 0 1 3 YR ARM 8.87439 3.17111 1.00000 15.12439 9.12439 0 1 3 YR ARM 5.52593 3.00000 1.00000 12.88910 0 1 3 YR ARM 8.42795 3.00000 1.00000 14.67681 8.67681 0 1 3 YR ARM 8.27395 3.00210 1.06911 14.56122 8.56122 0 1 3 YR ARM 5.62500 3.00000 1.00000 12.62500 0 1 3 YR ARM 6.94362 2.70240 1.07968 13.91162 7.61228 0 1 3 YR ARM BALLOON 30/40 5.60000 3.00000 1.00000 11.95000 0 1 3 YR ARM IO 7.37423 3.77142 2.28570 14.12098 7.95962 36 1 3 YR ARM IO 6.75000 6.00000 6.00000 13.25000 7.25000 36 1 3 YR ARM IO 7.66401 4.83209 4.05349 14.04989 8.04989 36 1 3 YR ARM IO 6.12500 3.00000 1.00000 13.15000 7.15000 36 1 3 YR ARM IO 8.62500 6.00000 6.00000 14.87500 8.87500 36 1 3 YR ARM IO 7.50000 3.00000 1.00000 13.75000 7.75000 36 1 3 YR ARM IO 7.66224 6.00000 6.00000 13.91224 7.91224 36 1 3 YR ARM IO 7.16035 4.21489 3.02481 14.26694 8.60332 36 1 3 YR ARM IO 7.49295 3.69826 2.73297 14.22939 8.10149 60 1 3 YR ARM IO 9.50000 3.00000 1.00000 15.75000 9.75000 60 1 3 YR ARM IO 8.70691 6.00000 6.00000 14.95691 8.95691 60 1 3 YR ARM IO 5.70721 2.08558 1.00000 14.00108 7.39147 60 1 3 YR ARM IO 7.66285 4.22198 2.82050 14.16535 8.16922 60 1 3 YR ARM IO 6.10000 2.00000 1.50000 12.74000 6.74000 60 1 3 YR ARM IO 6.22957 3.00000 1.00000 12.60514 6.60514 60 1 3 YR ARM IO 8.57444 5.10635 4.51058 14.80108 8.80108 60 1 3 YR ARM IO 6.08685 2.88886 1.23575 13.02555 7.09842 60 1 40 YEARS - 2 YR ARM 5.73374 3.00000 1.00000 13.72502 7.72502 0 1 40 YEARS - 2 YR ARM 6.52789 3.00000 1.00000 13.90324 7.90324 0 1 40 YEARS - 2 YR ARM 6.00039 3.00000 1.00000 13.26786 7.26786 0
S-84
CUT-OFF REMAINING REMAINING FIRST DATE AMORTIZATION TERM TO LOAN RATE GROSS PRINCIPAL TERM MATURITY AGE RESET INTEREST GROUP DESCRIPTION BALANCE ($) (MONTHS)(1) (MONTHS) (MONTHS) INDEX (MONTHS) RATE (%) ----- ----------- ----------- ------------ --------- -------- ----- -------- -------- 1 40 YEARS - 2 YR ARM 3,605,562.03 477 477 3 LIBOR_6MO 21 7.59979 1 40 YEARS - 3 YR ARM 817,725.34 477 477 3 LIBOR_6MO 33 7.74306 1 40 YEARS - 3 YR ARM 317,416.51 476 478 2 LIBOR_6MO 34 7.79534 1 40 YEARS - 3 YR ARM 2,770,976.99 477 477 3 LIBOR_6MO 33 6.58704 1 40 YEARS - FIXED 711,825.78 477 477 3 7.49677 1 40 YEARS - FIXED 132,468.20 475 477 3 9.30000 1 40 YEARS - FIXED 653,854.04 477 477 3 6.61659 1 40 YEARS - FIXED 1,554,398.14 477 477 3 6.13851 1 5 YR ARM 716,486.23 358 358 2 LIBOR_6MO 58 7.12836 1 5 YR ARM 387,386.77 358 358 2 LIBOR_6MO 58 7.20000 1 5 YR ARM 1,165,726.82 357 357 3 LIBOR_6MO 57 6.98557 1 5 YR ARM 2,996,468.58 358 358 2 LIBOR_6MO 58 6.37811 1 5 YR ARM BALLOON 30/40 314,691.46 478 358 2 LIBOR_6MO 58 6.49000 1 5 YR ARM IO 110,400.00 300 358 2 LIBOR_6MO 58 6.80000 1 5 YR ARM IO 338,300.00 300 358 2 LIBOR_6MO 58 5.99000 1 5 YR ARM IO 1,885,299.99 300 358 2 LIBOR_6MO 58 6.31389 1 BALLOON 15/30 152,154.43 357 177 3 9.68182 1 BALLOON 15/30 4,673,048.18 356 177 3 10.72432 1 BALLOON 15/30 543,238.26 354 176 4 9.92455 1 BALLOON 15/30 192,544.46 356 176 4 10.25409 1 BALLOON 15/30 466,171.92 356 177 3 9.85733 1 BALLOON 15/30 73,919.93 357 177 3 10.99000 1 BALLOON 15/30 31,168.14 357 177 3 11.25000 1 BALLOON 15/30 101,640.28 357 177 3 9.91496 1 BALLOON 15/30 5,277,056.79 357 178 2 10.74456 1 BALLOON 15/30 55,853.30 356 177 3 11.62500 1 BALLOON 15/30 40,664.73 358 178 2 11.11774 1 BALLOON 15/30 702,220.44 357 177 3 10.70934 1 BALLOON 20/30 99,917.73 358 238 2 10.36000 1 FIXED 4,967,499.99 347 348 3 7.59989 1 FIXED 69,967.21 354 356 4 10.62500 1 FIXED 782,344.84 357 357 3 6.65547 1 FIXED 152,942.73 357 357 3 9.12500 1 FIXED 1,569,577.54 347 347 4 7.37587 1 FIXED 2,585,027.99 353 354 3 8.30752 1 FIXED 644,195.48 304 304 3 7.40904 1 FIXED 692,321.21 357 357 3 7.12570 1 FIXED 199,374.93 357 357 3 8.37500 1 FIXED 1,256,978.42 335 335 3 8.34518 1 FIXED 232,902.85 358 358 2 9.16336 1 FIXED 802,093.62 357 357 3 8.47653 1 FIXED 65,796.65 357 357 3 9.25000 1 FIXED 11,187,950.00 346 347 3 7.64819 1 FIXED 2,814,093.64 355 357 3 7.42209 1 FIXED 6,184,070.19 263 264 2 11.03605
ORIGINAL INTEREST GROSS ONLY GROSS INITIAL LIFETIME PERIOD MARGIN PERIODIC PERIODIC MAXIMUM FLOOR (MONTHS) GROUP DESCRIPTION (%) CAP (%) CAP (%) RATE (%) RATE (%) (1) ----- ----------- --- ------- ------- -------- -------- --- 1 40 YEARS - 2 YR ARM 6.24898 3.00000 1.00000 13.59979 7.55819 0 1 40 YEARS - 3 YR ARM 5.95146 3.00000 1.00000 13.86337 7.86337 0 1 40 YEARS - 3 YR ARM 6.25000 3.00000 1.00000 13.79534 7.79534 0 1 40 YEARS - 3 YR ARM 6.10822 3.00000 1.00000 12.58704 6.58704 0 1 40 YEARS - FIXED 0 1 40 YEARS - FIXED 0 1 40 YEARS - FIXED 0 1 40 YEARS - FIXED 0 1 5 YR ARM 6.49399 2.23127 1.50000 13.35964 7.12836 0 1 5 YR ARM 6.57500 2.00000 1.50000 13.20000 7.20000 0 1 5 YR ARM 6.68832 2.78169 1.45201 13.47933 6.73985 0 1 5 YR ARM 5.91061 2.70925 1.43416 12.84260 6.38022 0 1 5 YR ARM BALLOON 30/40 5.49000 5.00000 1.00000 12.49000 0 1 5 YR ARM IO 5.87500 3.00000 1.00000 12.80000 6.80000 60 1 5 YR ARM IO 5.00000 5.00000 1.00000 11.99000 60 1 5 YR ARM IO 4.73206 3.93651 1.09335 12.59135 6.91794 60 1 BALLOON 15/30 0 1 BALLOON 15/30 0 1 BALLOON 15/30 0 1 BALLOON 15/30 0 1 BALLOON 15/30 0 1 BALLOON 15/30 0 1 BALLOON 15/30 0 1 BALLOON 15/30 0 1 BALLOON 15/30 0 1 BALLOON 15/30 0 1 BALLOON 15/30 0 1 BALLOON 15/30 0 1 BALLOON 20/30 0 1 FIXED 0 1 FIXED 0 1 FIXED 0 1 FIXED 0 1 FIXED 0 1 FIXED 0 1 FIXED 0 1 FIXED 0 1 FIXED 0 1 FIXED 0 1 FIXED 0 1 FIXED 0 1 FIXED 0 1 FIXED 0 1 FIXED 0 1 FIXED 0
S-85
CUT-OFF REMAINING REMAINING FIRST DATE AMORTIZATION TERM TO LOAN RATE GROSS PRINCIPAL TERM MATURITY AGE RESET INTEREST GROUP DESCRIPTION BALANCE ($) (MONTHS)(1) (MONTHS) (MONTHS) INDEX (MONTHS) RATE (%) ----- ----------- ----------- ------------ --------- -------- ----- -------- -------- 1 FIXED 59,830.15 144 167 13 11.00000 1 FIXED 21,803.79 176 176 4 11.00000 1 FIXED 184,113.52 298 298 2 11.16083 1 FIXED 49,031.27 293 293 2 10.10178 1 FIXED 35,568.29 358 358 2 9.99000 1 FIXED 3,098,181.06 338 338 2 10.02827 1 FIXED 14,932.02 237 237 3 8.99000 1 FIXED 26,767.47 118 118 2 12.25000 1 FIXED 397,813.18 329 330 3 9.53095 1 FIXED IO 699,023.06 300 358 2 6.68149 1 FIXED IO 191,200.00 300 358 2 6.75000 1 FIXED IO 187,000.00 300 357 3 6.99000 1 FIXED IO 444,753.20 300 357 3 7.87142 1 FIXED IO 779,000.00 300 358 2 6.58073 1 FIXED IO 539,799.92 300 357 3 7.23355 1 FIXED IO 1,378,450.00 300 357 3 6.56398 1 FIXED IO 89,250.00 240 352 8 8.25000 1 FIXED IO 93,500.00 240 357 3 8.31500 2 2 YR ARM 120,275,452.10 357 357 3 LIBOR_6MO 21 7.65507 2 2 YR ARM 944,921.53 358 358 2 LIBOR_6MO 22 7.34321 2 2 YR ARM 109,505.33 358 358 2 LIBOR_6MO 22 8.10000 2 2 YR ARM 2,130,293.69 357 357 3 LIBOR_6MO 21 7.09587 2 2 YR ARM 304,414.65 357 357 3 LIBOR_6MO 21 8.27844 2 2 YR ARM 413,056.69 357 357 3 LIBOR_6MO 21 8.69658 2 2 YR ARM 41,204,897.98 358 358 2 LIBOR_6MO 22 7.56174 2 2 YR ARM 11,443,620.80 357 357 3 LIBOR_6MO 21 7.95624 2 2 YR ARM 2,314,344.47 357 357 3 LIBOR_6MO 21 7.50649 2 2 YR ARM 139,228.55 357 357 3 LIBOR_6MO 21 8.20000 2 2 YR ARM 12,278,991.91 357 357 3 LIBOR_6MO 21 7.99922 2 2 YR ARM 158,294.42 357 357 3 LIBOR_6MO 21 8.25000 2 2 YR ARM 130,240.85 357 357 3 LIBOR_6MO 21 8.10000 2 2 YR ARM 707,347.45 357 357 3 LIBOR_6MO 21 9.42232 2 2 YR ARM 5,903,009.21 357 357 3 LIBOR_6MO 21 7.42362 2 2 YR ARM 310,514.06 358 358 2 LIBOR_6MO 22 7.80000 2 2 YR ARM 89,334.35 357 357 3 LIBOR_6MO 21 7.88500 2 2 YR ARM 4,895,072.31 357 357 3 LIBOR_6MO 21 8.15574 2 2 YR ARM 194,798.10 357 357 3 LIBOR_6MO 21 8.30986 2 2 YR ARM 2,166,025.26 357 357 3 LIBOR_6MO 21 8.34943 2 2 YR ARM 5,611,243.70 358 358 2 LIBOR_6MO 22 7.91022 2 2 YR ARM 208,029,173.74 358 358 2 LIBOR_6MO 21 7.58249 2 2 YR ARM 941,060.62 357 357 3 LIBOR_6MO 21 8.38406 2 2 YR ARM 176,111.66 358 358 2 LIBOR_6MO 22 7.99000 2 2 YR ARM 334,267.74 357 357 3 LIBOR_6MO 21 8.42063 2 2 YR ARM 623,132.18 358 358 2 LIBOR_6MO 22 7.48807 2 2 YR ARM 5,662,357.42 358 358 2 LIBOR_6MO 22 7.58133
ORIGINAL INTEREST GROSS ONLY GROSS INITIAL LIFETIME PERIOD MARGIN PERIODIC PERIODIC MAXIMUM FLOOR (MONTHS) GROUP DESCRIPTION (%) CAP (%) CAP (%) RATE (%) RATE (%) (1) ----- ----------- --- ------- ------- -------- -------- -------- 1 FIXED 0 1 FIXED 0 1 FIXED 0 1 FIXED 0 1 FIXED 0 1 FIXED 0 1 FIXED 0 1 FIXED 0 1 FIXED 0 1 FIXED IO 60 1 FIXED IO 60 1 FIXED IO 60 1 FIXED IO 60 1 FIXED IO 60 1 FIXED IO 60 1 FIXED IO 60 1 FIXED IO 120 1 FIXED IO 120 2 2 YR ARM 6.47641 2.45533 1.31682 13.94896 7.64894 0 2 2 YR ARM 6.34321 3.00000 1.00000 13.34321 0 2 2 YR ARM 6.99000 2.00000 1.50000 14.10000 8.10000 0 2 2 YR ARM 5.63367 2.88818 1.27934 13.54274 7.09587 0 2 2 YR ARM 7.00106 3.00000 1.00000 14.27844 7.85000 0 2 2 YR ARM 8.11087 3.00000 1.00000 14.69658 0 2 2 YR ARM 6.71282 2.38596 1.46705 13.92475 7.53948 0 2 2 YR ARM 6.82701 2.71434 1.23801 14.13341 8.02736 0 2 2 YR ARM 6.72182 2.64887 1.50000 14.15537 7.50649 0 2 2 YR ARM 6.99000 3.00000 1.50000 15.20000 8.20000 0 2 2 YR ARM 5.93006 2.96748 1.08538 14.05490 7.97517 0 2 2 YR ARM 7.25000 3.00000 1.00000 14.25000 0 2 2 YR ARM 7.10000 3.00000 1.00000 14.10000 0 2 2 YR ARM 8.38174 3.00000 1.00000 15.42232 0 2 2 YR ARM 6.05408 3.00000 1.00000 13.42362 7.36108 0 2 2 YR ARM 6.99000 2.00000 1.50000 13.80000 7.80000 0 2 2 YR ARM 6.51500 3.00000 1.00000 13.88500 0 2 2 YR ARM 6.83034 3.00000 1.00000 14.15574 9.45000 0 2 2 YR ARM 7.73668 3.00000 1.51221 14.82207 8.30986 0 2 2 YR ARM 7.88372 3.00000 1.00000 14.34943 8.37012 0 2 2 YR ARM 7.05918 3.00000 1.00000 13.91022 0 2 2 YR ARM 6.59321 2.49176 1.32813 13.91477 7.48182 0 2 2 YR ARM 7.05762 3.00000 1.00000 14.38406 8.38406 0 2 2 YR ARM 6.99000 2.00000 1.50000 13.99000 7.99000 0 2 2 YR ARM 7.73142 2.52583 1.23708 14.42063 8.42063 0 2 2 YR ARM 6.75620 2.27025 1.50000 13.75832 7.48807 0 2 2 YR ARM 6.18754 2.50997 1.25757 13.92630 7.52773 0
S-86
CUT-OFF REMAINING REMAINING FIRST DATE AMORTIZATION TERM TO LOAN RATE GROSS PRINCIPAL TERM MATURITY AGE RESET INTEREST GROUP DESCRIPTION BALANCE ($) (MONTHS)(1) (MONTHS) (MONTHS) INDEX (MONTHS) RATE (%) ----- ----------- ----------- ------------ --------- -------- ----- -------- -------- 2 2 YR ARM BALLOON 15/30 222,537.48 359 179 1 LIBOR_6MO 23 8.24416 2 2 YR ARM BALLOON 30/40 2,263,934.91 479 359 1 LIBOR_6MO 23 8.59264 2 2 YR ARM BALLOON 30/40 2,146,400.30 479 359 1 LIBOR_6MO 23 7.45371 2 2 YR ARM BALLOON 30/40 3,797,927.53 478 358 2 LIBOR_6MO 22 7.02971 2 2 YR ARM IO 4,582,529.04 336 357 3 LIBOR_6MO 21 7.15814 2 2 YR ARM IO 440,720.00 336 358 2 LIBOR_6MO 22 6.42217 2 2 YR ARM IO 936,499.97 336 357 3 LIBOR_6MO 21 7.73117 2 2 YR ARM IO 1,258,548.64 336 357 3 LIBOR_6MO 21 7.17915 2 2 YR ARM IO 120,600.00 336 357 3 LIBOR_6MO 21 8.19000 2 2 YR ARM IO 227,899.96 336 357 3 LIBOR_6MO 21 9.36657 2 2 YR ARM IO 16,589,922.57 336 358 2 LIBOR_6MO 22 6.74249 2 2 YR ARM IO 1,413,960.00 336 357 3 LIBOR_6MO 21 6.29485 2 2 YR ARM IO 39,571,992.76 300 357 3 LIBOR_6MO 21 7.29570 2 2 YR ARM IO 205,000.00 300 358 2 LIBOR_6MO 22 8.32500 2 2 YR ARM IO 354,400.00 300 357 3 LIBOR_6MO 21 6.75824 2 2 YR ARM IO 384,800.00 300 356 4 LIBOR_6MO 20 6.30000 2 2 YR ARM IO 873,600.00 300 357 3 LIBOR_6MO 21 6.89677 2 2 YR ARM IO 19,917,393.16 300 358 2 LIBOR_6MO 22 6.98160 2 2 YR ARM IO 4,948,570.12 300 358 2 LIBOR_6MO 22 7.09254 2 2 YR ARM IO 2,796,185.49 300 358 2 LIBOR_6MO 22 7.18859 2 2 YR ARM IO 3,862,433.00 300 358 2 LIBOR_6MO 22 7.59546 2 2 YR ARM IO 213,750.00 300 357 3 LIBOR_6MO 21 7.95000 2 2 YR ARM IO 95,989.87 300 357 3 LIBOR_6MO 21 7.50000 2 2 YR ARM IO 64,000.00 300 358 2 LIBOR_6MO 22 8.22500 2 2 YR ARM IO 202,400.00 300 354 6 LIBOR_6MO 18 7.45000 2 2 YR ARM IO 220,000.00 300 357 3 LIBOR_6MO 21 6.70000 2 2 YR ARM IO 3,411,845.34 300 357 3 LIBOR_6MO 21 7.08758 2 2 YR ARM IO 174,003,706.98 300 358 2 LIBOR_6MO 22 6.86195 2 2 YR ARM IO 420,000.00 300 355 5 LIBOR_6MO 19 6.50000 2 2 YR ARM IO 56,900.00 300 358 2 LIBOR_6MO 22 9.12500 2 2 YR ARM IO 785,677.38 300 358 2 LIBOR_6MO 22 7.43818 2 2 YR ARM IO 124,000.00 300 358 2 LIBOR_6MO 22 8.15000 2 2 YR ARM IO 420,000.00 300 356 4 LIBOR_6MO 20 7.50000 2 2 YR ARM IO 1,765,680.00 300 357 3 LIBOR_6MO 21 6.84018 2 2 YR ARM IO 102,597.55 240 356 4 LIBOR_6MO 20 7.99000 2 2 YR ARM IO 512,000.00 240 358 2 LIBOR_6MO 22 7.09000 2 2 YR ARM IO 386,249.99 240 357 3 LIBOR_6MO 21 7.74000 2 2 YR ARM IO 2,287,989.00 240 357 3 LIBOR_6MO 21 6.21971 2 3 YR ARM 5,134,193.28 357 357 3 LIBOR_6MO 33 7.41863 2 3 YR ARM 602,675.39 357 357 3 LIBOR_6MO 33 7.53398 2 3 YR ARM 224,528.01 356 356 4 LIBOR_6MO 32 9.25000 2 3 YR ARM 2,536,825.49 358 358 2 LIBOR_6MO 34 7.14262 2 3 YR ARM 1,019,245.26 357 357 3 LIBOR_6MO 33 7.75803 2 3 YR ARM 2,533,833.80 357 357 3 LIBOR_6MO 33 7.02609 2 3 YR ARM 736,690.53 357 357 3 LIBOR_6MO 33 8.87749
ORIGINAL INTEREST GROSS ONLY GROSS INITIAL LIFETIME PERIOD MARGIN PERIODIC PERIODIC MAXIMUM FLOOR (MONTHS) GROUP DESCRIPTION (%) CAP (%) CAP (%) RATE (%) RATE (%) (1) ----- ----------- --- ------- ------- -------- -------- --- 2 2 YR ARM BALLOON 15/30 7.24416 3.00000 1.50000 15.24416 8.24416 0 2 2 YR ARM BALLOON 30/40 7.59264 3.00000 1.50000 15.59264 8.59264 0 2 2 YR ARM BALLOON 30/40 6.29396 3.00000 1.30259 14.05888 7.32656 0 2 2 YR ARM BALLOON 30/40 6.01205 3.00000 1.22367 13.47704 7.24459 0 2 2 YR ARM IO 5.39309 2.95417 1.01528 13.78341 7.99000 24 2 2 YR ARM IO 4.52217 3.00000 1.00000 13.42217 24 2 2 YR ARM IO 6.08409 3.00000 1.00000 13.73117 24 2 2 YR ARM IO 6.00196 2.25450 1.24850 13.67615 7.17915 24 2 2 YR ARM IO 6.82000 3.00000 1.00000 14.19000 24 2 2 YR ARM IO 8.00274 3.00000 1.00000 15.36657 24 2 2 YR ARM IO 4.93392 2.84579 1.05140 13.62999 7.20859 24 2 2 YR ARM IO 4.34336 3.00000 1.00000 13.29485 24 2 2 YR ARM IO 6.30575 2.40884 1.33551 13.67579 7.27151 60 2 2 YR ARM IO 7.32500 3.00000 1.00000 14.32500 60 2 2 YR ARM IO 5.96055 3.00000 1.26975 13.29774 7.00000 60 2 2 YR ARM IO 5.95000 3.00000 1.00000 12.30000 6.30000 60 2 2 YR ARM IO 5.89677 3.00000 1.00000 12.89677 60 2 2 YR ARM IO 6.41111 2.41710 1.44448 13.50052 6.96881 60 2 2 YR ARM IO 6.29507 2.87273 1.07307 13.14597 7.25836 60 2 2 YR ARM IO 6.47162 2.37329 1.50000 13.56188 7.18859 60 2 2 YR ARM IO 6.06238 2.88196 1.05902 13.59546 7.51378 60 2 2 YR ARM IO 5.25000 3.00000 1.00000 13.95000 7.95000 60 2 2 YR ARM IO 6.50000 3.00000 1.00000 13.50000 7.50000 60 2 2 YR ARM IO 7.22500 3.00000 1.00000 14.22500 60 2 2 YR ARM IO 7.20000 3.00000 1.00000 13.45000 7.45000 60 2 2 YR ARM IO 5.70000 3.00000 1.00000 12.70000 60 2 2 YR ARM IO 6.29644 3.00000 1.00000 12.73258 60 2 2 YR ARM IO 6.15578 2.39867 1.34884 13.35075 6.89434 60 2 2 YR ARM IO 5.17000 3.00000 1.00000 12.50000 6.50000 60 2 2 YR ARM IO 8.12500 3.00000 1.00000 15.12500 60 2 2 YR ARM IO 6.74811 2.00000 1.50000 13.43818 7.43818 60 2 2 YR ARM IO 5.87500 3.00000 1.00000 14.15000 8.15000 60 2 2 YR ARM IO 7.25000 3.00000 1.00000 13.50000 7.50000 60 2 2 YR ARM IO 6.54564 2.72933 1.50000 13.56951 6.84018 60 2 2 YR ARM IO 5.95000 3.00000 1.00000 13.99000 7.99000 120 2 2 YR ARM IO 4.75000 6.00000 2.00000 13.09000 7.09000 120 2 2 YR ARM IO 5.95000 6.00000 2.00000 13.74000 7.74000 120 2 2 YR ARM IO 5.01031 6.00000 2.00000 12.21971 6.21971 120 2 3 YR ARM 6.25246 2.76598 1.11428 13.49315 7.38980 0 2 3 YR ARM 6.94001 3.00000 1.00000 13.53398 7.53398 0 2 3 YR ARM 9.00000 3.00000 1.00000 15.25000 9.25000 0 2 3 YR ARM 6.40360 2.36592 1.39569 13.29993 7.14262 0 2 3 YR ARM 5.93880 3.00000 1.00000 13.75803 7.75803 0 2 3 YR ARM 5.99555 2.82621 1.20854 13.43030 7.28041 0 2 3 YR ARM 8.63931 3.00000 1.00000 14.87749 8.81250 0
S-87
CUT-OFF REMAINING REMAINING FIRST DATE AMORTIZATION TERM TO LOAN RATE GROSS PRINCIPAL TERM MATURITY AGE RESET INTEREST GROUP DESCRIPTION BALANCE ($) (MONTHS)(1) (MONTHS) (MONTHS) INDEX (MONTHS) RATE (%) ----- ----------- ----------- ------------ --------- -------- ----- -------- -------- 2 3 YR ARM 1,084,865.26 357 357 3 LIBOR_6MO 33 7.92581 2 3 YR ARM 418,564.54 357 357 3 LIBOR_6MO 33 7.14118 2 3 YR ARM 212,541.40 356 356 4 LIBOR_6MO 32 9.12500 2 3 YR ARM 104,857.80 357 357 3 LIBOR_6MO 33 9.94500 2 3 YR ARM 554,272.45 356 356 4 LIBOR_6MO 32 9.12948 2 3 YR ARM 79,894.98 358 358 2 LIBOR_6MO 34 8.12500 2 3 YR ARM 7,987,998.46 357 357 3 LIBOR_6MO 33 7.46784 2 3 YR ARM BALLOON 30/40 259,755.45 478 358 2 LIBOR_6MO 34 6.25000 2 3 YR ARM IO 619,919.01 324 357 3 LIBOR_6MO 33 7.31954 2 3 YR ARM IO 407,200.00 324 357 3 LIBOR_6MO 33 7.86419 2 3 YR ARM IO 481,600.00 324 358 2 LIBOR_6MO 34 6.80000 2 3 YR ARM IO 200,000.00 324 357 3 LIBOR_6MO 33 7.52500 2 3 YR ARM IO 137,749.99 324 357 3 LIBOR_6MO 33 7.99000 2 3 YR ARM IO 456,663.00 324 357 3 LIBOR_6MO 33 7.61047 2 3 YR ARM IO 174,560.00 324 357 3 LIBOR_6MO 33 6.44000 2 3 YR ARM IO 1,377,691.00 324 357 3 LIBOR_6MO 33 7.39249 2 3 YR ARM IO 4,274,911.40 300 357 3 LIBOR_6MO 33 7.43137 2 3 YR ARM IO 1,224,450.00 300 358 2 LIBOR_6MO 34 6.94895 2 3 YR ARM IO 651,999.99 300 358 2 LIBOR_6MO 34 7.00859 2 3 YR ARM IO 1,256,415.39 300 356 4 LIBOR_6MO 32 8.56626 2 3 YR ARM IO 316,800.00 300 358 2 LIBOR_6MO 34 7.10389 2 3 YR ARM IO 180,000.00 300 355 5 LIBOR_6MO 31 7.12500 2 3 YR ARM IO 919,900.00 300 356 4 LIBOR_6MO 32 8.21391 2 3 YR ARM IO 234,400.00 300 358 2 LIBOR_6MO 34 6.45000 2 3 YR ARM IO 8,005,867.29 300 357 3 LIBOR_6MO 33 6.63079 2 40 YEARS - 2 YR ARM 2,164,564.97 478 478 2 LIBOR_6MO 22 7.43185 2 40 YEARS - 2 YR ARM 341,737.92 478 478 2 LIBOR_6MO 22 6.99000 2 40 YEARS - 2 YR ARM 3,156,613.37 477 477 3 LIBOR_6MO 21 6.80164 2 40 YEARS - 2 YR ARM 17,101,990.37 477 477 3 LIBOR_6MO 21 6.95662 2 40 YEARS - 2 YR ARM 191,827.88 478 478 2 LIBOR_6MO 22 6.42500 2 40 YEARS - 2 YR ARM 160,430.72 477 477 3 LIBOR_6MO 21 6.55000 2 40 YEARS - 3 YR ARM 751,991.17 478 478 2 LIBOR_6MO 34 7.41056 2 40 YEARS - 3 YR ARM 315,645.56 477 477 3 LIBOR_6MO 33 7.11780 2 40 YEARS - 3 YR ARM 2,690,405.01 477 477 3 LIBOR_6MO 33 7.30865 2 40 YEARS - FIXED 245,761.15 478 478 2 6.62193 2 40 YEARS - FIXED 151,012.08 476 478 2 6.49113 2 40 YEARS - FIXED 2,676,484.12 477 477 3 6.62841 2 5 YR ARM 1,412,840.84 358 358 2 LIBOR_6MO 58 7.09418 2 5 YR ARM 418,614.54 357 357 3 LIBOR_6MO 57 5.50000 2 5 YR ARM 717,390.18 358 358 2 LIBOR_6MO 58 6.91496 2 5 YR ARM 225,851.67 357 357 3 LIBOR_6MO 57 7.20000 2 5 YR ARM 1,009,915.37 358 358 2 LIBOR_6MO 58 6.16835 2 5 YR ARM IO 595,200.00 300 358 2 LIBOR_6MO 58 6.16156 2 BALLOON 15/30 4,156,101.21 357 177 3 10.36732 2 BALLOON 15/30 715,738.24 357 177 3 10.86911
ORIGINAL INTEREST GROSS ONLY GROSS INITIAL LIFETIME PERIOD MARGIN PERIODIC PERIODIC MAXIMUM FLOOR (MONTHS) GROUP DESCRIPTION (%) CAP (%) CAP (%) RATE (%) RATE (%) (1) ----- ----------- --- ------- ------- -------- -------- --- 2 3 YR ARM 6.84143 3.00000 1.00000 13.92581 7.92581 0 2 3 YR ARM 5.25000 3.00000 1.00000 13.14118 7.14118 0 2 3 YR ARM 8.87500 3.00000 1.00000 15.12500 9.12500 0 2 3 YR ARM 8.57500 3.00000 1.00000 15.94500 0 2 3 YR ARM 8.88250 3.00000 1.00000 15.12948 9.12948 0 2 3 YR ARM 7.12500 3.00000 1.00000 14.12500 0 2 3 YR ARM 6.63052 2.72366 1.23171 13.75064 7.34563 0 2 3 YR ARM BALLOON 30/40 5.75000 3.00000 1.00000 12.25000 0 2 3 YR ARM IO 7.13887 3.00000 1.00000 13.31954 7.31954 36 2 3 YR ARM IO 6.68050 3.00000 1.00000 13.86419 7.86419 36 2 3 YR ARM IO 4.90000 3.00000 1.00000 13.80000 36 2 3 YR ARM IO 4.12500 3.00000 1.00000 13.52500 7.52500 36 2 3 YR ARM IO 6.62000 3.00000 1.00000 13.99000 36 2 3 YR ARM IO 6.91880 3.00000 1.00000 13.61047 7.61047 36 2 3 YR ARM IO 4.37500 6.00000 6.00000 12.44000 6.44000 36 2 3 YR ARM IO 6.33528 3.35059 1.58431 13.53766 7.85049 36 2 3 YR ARM IO 6.75733 2.57734 1.21950 13.60044 7.43137 60 2 3 YR ARM IO 6.31180 2.18943 1.50000 13.13839 6.94895 60 2 3 YR ARM IO 6.36859 2.00000 1.50000 13.00859 7.00859 60 2 3 YR ARM IO 8.18350 4.67504 3.79173 14.56626 9.01068 60 2 3 YR ARM IO 6.09722 3.88889 1.00000 13.10389 7.89000 60 2 3 YR ARM IO 6.87500 3.00000 1.00000 13.12500 7.12500 60 2 3 YR ARM IO 7.96391 3.00000 1.00000 14.21391 8.21391 60 2 3 YR ARM IO 5.45000 3.00000 1.00000 12.45000 60 2 3 YR ARM IO 5.86870 2.60414 1.21792 13.08734 7.14896 60 2 40 YEARS - 2 YR ARM 5.93196 3.00000 1.00000 13.43185 7.43185 0 2 40 YEARS - 2 YR ARM 5.87500 3.00000 1.00000 12.99000 6.99000 0 2 40 YEARS - 2 YR ARM 5.79344 3.00000 1.00000 12.80164 6.80164 0 2 40 YEARS - 2 YR ARM 5.94351 3.00000 1.00000 12.95662 6.89745 0 2 40 YEARS - 2 YR ARM 6.25000 3.00000 1.00000 12.42500 6.42500 0 2 40 YEARS - 2 YR ARM 5.25000 3.00000 1.00000 12.55000 6.55000 0 2 40 YEARS - 3 YR ARM 5.87413 3.00000 1.00000 13.41056 7.41056 0 2 40 YEARS - 3 YR ARM 6.14137 3.00000 1.00000 13.11780 7.11780 0 2 40 YEARS - 3 YR ARM 6.37284 3.00000 1.00000 13.30865 7.94152 0 2 40 YEARS - FIXED 0 2 40 YEARS - FIXED 0 2 40 YEARS - FIXED 0 2 5 YR ARM 6.21404 2.52781 1.50000 13.62200 7.09418 0 2 5 YR ARM 3.60000 3.00000 1.00000 12.50000 0 2 5 YR ARM 6.28058 2.33117 1.50000 13.24613 6.91496 0 2 5 YR ARM 5.87500 3.00000 1.00000 13.20000 7.20000 0 2 5 YR ARM 4.46301 2.84603 1.07698 13.01438 5.60000 0 2 5 YR ARM IO 4.26156 3.00000 1.00000 13.16156 60 2 BALLOON 15/30 0 2 BALLOON 15/30 0
S-88
CUT-OFF REMAINING REMAINING FIRST DATE AMORTIZATION TERM TO LOAN RATE GROSS PRINCIPAL TERM MATURITY AGE RESET INTEREST GROUP DESCRIPTION BALANCE ($) (MONTHS)(1) (MONTHS) (MONTHS) INDEX (MONTHS) RATE (%) ----- ----------- ----------- ------------ --------- -------- ----- -------- -------- 2 BALLOON 15/30 185,713.93 357 177 3 11.16017 2 BALLOON 15/30 27,672.01 358 177 3 11.29000 2 BALLOON 15/30 47,139.30 358 178 2 11.11331 2 BALLOON 15/30 284,851.28 356 177 3 10.77149 2 BALLOON 15/30 8,908,323.82 356 178 2 10.21712 2 BALLOON 15/30 41,555.05 357 177 3 10.99000 2 BALLOON 15/30 208,395.91 358 178 2 10.80514 2 BALLOON 15/30 1,425,446.04 357 178 2 10.20757 2 BALLOON 20/30 81,878.04 357 237 3 9.50000 2 BALLOON 20/30 509,592.61 358 238 2 10.10582 2 BALLOON 30/40 719,503.78 478 358 2 6.85723 2 FIXED 26,603,664.74 350 350 3 7.43875 2 FIXED 610,598.97 357 357 3 6.79816 2 FIXED 54,956.09 358 358 2 10.50000 2 FIXED 17,682,175.84 356 356 2 6.87660 2 FIXED 243,116.43 357 357 3 7.96153 2 FIXED 577,765.05 357 357 3 8.06594 2 FIXED 179,687.08 357 357 3 8.75000 2 FIXED 239,205.30 293 293 3 6.91537 2 FIXED 82,799.34 357 357 3 7.75000 2 FIXED 199,618.75 358 358 2 7.44495 2 FIXED 451,541.45 357 357 3 7.34689 2 FIXED 8,457,544.23 354 355 3 7.27609 2 FIXED 170,297.03 357 357 3 6.10000 2 FIXED 4,397,721.64 357 357 3 7.92518 2 FIXED 901,222.26 357 357 3 6.99221 2 FIXED 1,814,330.70 356 356 2 7.14067 2 FIXED 769,263.00 354 357 3 6.85567 2 FIXED 1,097,368.85 328 328 3 7.79743 2 FIXED 348,229.58 356 357 3 7.38096 2 FIXED 1,267,969.35 357 357 3 7.92999 2 FIXED 2,071,323.29 357 357 3 7.73345 2 FIXED 54,313,994.19 352 351 3 7.28332 2 FIXED 1,154,389.81 357 357 3 7.39186 2 FIXED 151,503.82 351 351 9 5.97000 2 FIXED 9,921,041.31 344 344 2 10.04006 2 FIXED 26,524.72 238 238 2 9.47500 2 FIXED 40,965.13 358 358 2 10.12500 2 FIXED 3,700,882.96 350 350 2 9.85733 2 FIXED 340,543.24 308 308 2 10.18721 2 FIXED 498,650.72 353 353 2 10.01508 2 FIXED 349,554.98 345 345 2 9.49107 2 FIXED 12,686,930.87 349 349 2 9.97270 2 FIXED 136,425.64 358 358 2 9.60234 2 FIXED 177,154.08 323 323 2 10.16565
ORIGINAL INTEREST GROSS ONLY GROSS INITIAL LIFETIME PERIOD MARGIN PERIODIC PERIODIC MAXIMUM FLOOR (MONTHS) GROUP DESCRIPTION (%) CAP (%) CAP (%) RATE (%) RATE (%) (1) ----- ----------- --- ------- ------- -------- -------- --- 2 BALLOON 15/30 0 2 BALLOON 15/30 0 2 BALLOON 15/30 0 2 BALLOON 15/30 0 2 BALLOON 15/30 0 2 BALLOON 15/30 0 2 BALLOON 15/30 0 2 BALLOON 15/30 0 2 BALLOON 20/30 0 2 BALLOON 20/30 0 2 BALLOON 30/40 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED 0
S-89
CUT-OFF REMAINING REMAINING FIRST DATE AMORTIZATION TERM TO LOAN RATE GROSS PRINCIPAL TERM MATURITY AGE RESET INTEREST GROUP DESCRIPTION BALANCE ($) (MONTHS)(1) (MONTHS) (MONTHS) INDEX (MONTHS) RATE (%) ----- ----------- ----------- ------------ --------- -------- ----- -------- -------- 2 FIXED 125,046.05 358 358 2 9.49000 2 FIXED 43,380.20 267 222 3 11.12801 2 FIXED 1,162,872.88 351 353 2 10.08494 2 FIXED IO 739,000.00 300 358 2 7.11346 2 FIXED IO 110,000.00 300 357 3 6.37500 2 FIXED IO 186,940.94 300 356 4 6.55000 2 FIXED IO 647,200.00 300 358 2 6.67051 2 FIXED IO 300,600.00 300 357 3 6.88338 2 FIXED IO 1,832,969.38 300 357 3 6.91115 2 FIXED IO 1,103,824.45 300 357 3 6.47777 2 FIXED IO 85,000.00 240 357 3 9.85500
ORIGINAL INTEREST GROSS ONLY GROSS INITIAL LIFETIME PERIOD MARGIN PERIODIC PERIODIC MAXIMUM FLOOR (MONTHS) GROUP DESCRIPTION (%) CAP (%) CAP (%) RATE (%) RATE (%) (1) ----- ----------- --- ------- ------- -------- -------- --- 2 FIXED 0 2 FIXED 0 2 FIXED 0 2 FIXED IO 60 2 FIXED IO 60 2 FIXED IO 60 2 FIXED IO 60 2 FIXED IO 60 2 FIXED IO 60 2 FIXED IO 60 2 FIXED IO 120
------------------ (1) With respect to the replines with an interest only period, the remaining amortization period will not commence until the interest only period has ended. S-90 While it is assumed that each of the mortgage loans prepays at the specified constant percentages of the Prepayment Assumption, this is not likely to be the case. DEFAULTS The yield to maturity of the LIBOR Certificates, and particularly the Subordinated Certificates, will be sensitive to defaults on the mortgage loans. If a purchaser of a LIBOR Certificate calculates its anticipated yield based on an assumed rate of default and amount of losses that is lower than the default rate and amount of losses actually incurred, its actual yield to maturity will be lower than that so calculated. Except to the extent of any Subsequent Recoveries, holders of the LIBOR Certificates will not receive reimbursement for Applied Realized Loss Amounts applied to their certificates. In general, the earlier a loss occurs, the greater is the effect on an investor's yield to maturity. There can be no assurance as to the delinquency, foreclosure or loss experience with respect to the mortgage loans. Because the mortgage loans were underwritten in accordance with standards less stringent than those generally acceptable to Fannie Mae and Freddie Mac with regard to a borrower's credit standing and repayment ability, the risk of delinquencies with respect to, and losses on, the mortgage loans will be greater than that of mortgage loans underwritten in accordance with Fannie Mae and Freddie Mac standards. PREPAYMENT CONSIDERATIONS AND RISKS The rate of principal payments on the LIBOR Certificates, the aggregate amount of distributions on the LIBOR Certificates and the yields to maturity of the LIBOR Certificates will be related to the rate and timing of payments of principal on the mortgage loans in the related loan group. The rate of principal payments on the mortgage loans will in turn be affected by the amortization schedules of the mortgage loans and by the rate of principal prepayments (including for this purpose prepayments resulting from refinancing, liquidations of the mortgage loans due to defaults, casualties or condemnations and repurchases by a selling party or purchases pursuant to the Optional Clean-up Call, as described in this prospectus supplement). Because certain of the mortgage loans contain Prepayment Premiums, the rate of principal payments may be less than the rate of principal payments for mortgage loans which did not have Prepayment Premiums. The mortgage loans are subject to the "due-on-sale" provisions included in the mortgage loans. See "The Mortgage Loan Pool" in this prospectus supplement. Prepayments, liquidations and purchases of the mortgage loans (including any optional repurchase of the remaining mortgage loans in the trust fund in connection with the termination of the trust fund, in each case as described in this prospectus supplement) will result in distributions on the LIBOR Certificates of principal amounts which would otherwise be distributed over the remaining terms of the mortgage loans. Since the rate of payment of principal on the mortgage loans will depend on future events and a variety of other factors, no assurance can be given as to that rate or the rate of principal prepayments. The extent to which the yield to maturity of a class of LIBOR Certificates may vary from the anticipated yield will depend upon the degree to which that LIBOR Certificate is purchased at a discount or premium, and the degree to which the timing of payments on that LIBOR Certificate is sensitive to prepayments, liquidations and purchases of the mortgage loans. Further, an investor should consider the risk that, in the case of any LIBOR Certificate purchased at a discount, a slower than anticipated rate of principal payments (including prepayments) on the mortgage loans could result in an actual yield to that investor that is lower than the anticipated yield and, in the case of any LIBOR Certificate purchased at a premium, a faster than anticipated rate of principal payments on the mortgage loans could result in an actual yield to that investor that is lower than the anticipated yield. The rate of principal payments (including prepayments) on pools of mortgage loans may vary significantly over time and may be influenced by a variety of economic, geographic, social and other factors, including changes in mortgagors' housing needs, job transfers, unemployment, mortgagors' net equity in the mortgaged properties and servicing decisions. In general, if prevailing interest rates were to fall significantly below the interest rates on the fixed-rate mortgage loans, the mortgage loans could be subject to higher prepayment rates than if prevailing interest rates were to remain at or above the interest S-91 rates on the mortgage loans. Conversely, if prevailing interest rates were to rise significantly, the rate of prepayments on the fixed-rate mortgage loans would generally be expected to decrease. No assurances can be given as to the rate of prepayments on the mortgage loans in stable or changing interest rate environments. As is the case with fixed-rate mortgage loans, the adjustable-rate mortgage loans, or ARMs, may be subject to a greater rate of principal prepayments in a low interest rate environment. For example, if prevailing interest rates were to fall, mortgagors with ARMs may be inclined to refinance their ARMs with a fixed-rate loan to "lock in" a lower interest rate. The existence of the applicable Periodic Cap and Maximum Rate also may affect the likelihood of prepayments resulting from refinancings. In addition, the delinquency and loss experience of the ARMs may differ from that on the fixed-rate mortgage loans because the amount of the monthly payments on the ARMs are subject to adjustment on each Adjustment Date. ARMs may be subject to greater rates of prepayments as they approach their initial Adjustment Dates as borrowers seek to avoid changes in their monthly payments. In addition, a substantial majority of the ARMs will not have their initial Adjustment Date until two to five years after their origination. The prepayment experience of these adjustable-rate mortgage loans may differ from that of the other ARMs. Such adjustable-rate mortgage loans may be subject to greater rates of prepayments as they approach their initial Adjustment Dates even if market interest rates are only slightly higher or lower than the interest rates on the adjustable-rate mortgage loans with their initial Adjustment Date two to five years after their origination (as the case may be) as borrowers seek to avoid changes in their monthly payments. The timing of changes in the rate of prepayments on the mortgage loans may significantly affect an investor's actual yield to maturity, even if the average rate of principal payments is consistent with an investor's expectation. In general, the earlier a prepayment of principal on the mortgage loans, the greater the effect on an investor's yield to maturity. The effect on an investor's yield as a result of principal payments occurring at a rate higher (or lower) than the rate anticipated by the investor during the period immediately following the issuance of the certificates may not be offset by a subsequent like decrease (or increase) in the rate of principal payments. When a mortgagor prepays a mortgage loan in whole or in part prior to the due date in the related Prepayment Period for the mortgage loan, the mortgagor pays interest on the amount prepaid only to the date of prepayment instead of for the entire month. Absent sufficient Compensating Interest (to the extent available as described in this prospectus supplement to cover prepayment interest shortfalls resulting from principal prepayments), a shortfall will occur in the amount due to certificateholders since the certificateholders are generally entitled to receive a full month of interest. Also, when a mortgagor prepays a mortgage loan in part together with the scheduled payment for a month on or after the related due date, the principal balance of the mortgage loan is reduced by the amount in excess of the scheduled payment as of that due date, but the principal is not distributed to certificateholders until the Distribution Date in the next month; therefore, up to one month of interest shortfall accrues on the amount of such excess. To the extent that the amount of Compensating Interest is insufficient to cover the deficiency in interest payable as a result of the timing of a prepayment, the remaining deficiency will be allocated to the LIBOR Certificates, pro rata, according to the amount of interest to which each class of LIBOR Certificates would otherwise be entitled in reduction of that amount. The Pass-Through Rate for each class of LIBOR Certificates may be calculated by reference to the WAC Cap. If the mortgage loans bearing higher interest rates, either through higher fixed-rates, or in the case of the adjustable-rate mortgage loans, higher margins or an increase in the Index (and consequently, higher net mortgage interest rates), were to prepay, the weighted average net mortgage interest rate would be lower than otherwise would be the case. In addition, changes in One-Month LIBOR (on which the Pass-Through Rates of the LIBOR Certificates are based) may not correlate with changes in the Six-Month LIBOR Loan Index. It is possible that a decrease in the Six Month LIBOR Loan Index, which would be expected to result in faster prepayments, could occur simultaneously with an increased level of One-Month LIBOR. If the Pass-Through Rates on any class of LIBOR Certificates, calculated without reference to any applicable Loan Group I Cap, Loan Group II Cap, or the WAC Cap, were to be S-92 higher than those applicable caps, the Pass-Through Rate on those classes of certificates would be lower than otherwise would be the case. Although holders of those classes of certificates are entitled to receive any Basis Risk Carry Forward Amount from and to the extent of funds available in the Excess Reserve Fund Account and to the extent available for payment from the Supplemental Interest Trust, there is no assurance that those funds will be available or sufficient for those purposes. The ratings of the Offered Certificates do not address the likelihood of the payment of any Basis Risk Carry Forward Amount. OVERCOLLATERALIZATION PROVISIONS The operation of the overcollateralization provisions of the pooling and servicing agreement will affect the weighted average lives of the Offered Certificates and consequently the yields to maturity of those certificates. If at any time the Overcollateralized Amount is less than the Specified Overcollateralized Amount, Total Monthly Excess Spread and certain amounts available in the Supplemental Interest Trust will be applied as distributions of principal to the class or classes of certificates then entitled to distributions of principal until the Overcollateralized Amount equals the Specified Overcollateralized Amount. This would have the effect of reducing the weighted average lives of those certificates. The actual Overcollateralized Amount may change from Distribution Date to Distribution Date producing uneven distributions of Total Monthly Excess Spread. There can be no assurance that the Overcollateralized Amount will never be less than the Specified Overcollateralized Amount. Total Monthly Excess Spread generally is a function of the excess of interest collected or advanced on the mortgage loans over the interest required to pay interest on the LIBOR Certificates and expenses at the Expense Fee Rate, as well as Net Swap Payments and Net Swap Receipts. Mortgage loans with higher net interest rates will contribute more interest to the Total Monthly Excess Spread. Mortgage loans with higher net interest rates may prepay faster than mortgage loans with relatively lower net interest rates in response to a given change in market interest rates. Any disproportionate prepayments of mortgage loans with higher net interest rates may adversely affect the amount of Total Monthly Excess Spread available to make accelerated payments of principal of the LIBOR Certificates. As a result of the interaction of the foregoing factors, the effect of the overcollateralization provisions on the weighted average lives of the Offered Certificates may vary significantly over time and from class to class. SUBORDINATED CERTIFICATES The Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2, Class B-3 and Class B-4 certificates provide credit enhancement for the certificates that have a higher payment priority, and Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2, Class B-3 and Class B-4 certificates may absorb losses on the mortgage loans. The weighted average lives of, and the yields to maturity on, the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2, Class B-3 and Class B-4 certificates, in that order, will be progressively more sensitive to the rate and timing of mortgagor defaults and the severity of ensuing losses on the mortgage loans. If the actual rate and severity of losses on the mortgage loans are higher than those assumed by a holder of a related Subordinated Certificate, the actual yield to maturity on such holder's certificate may be lower than the yield expected by such holder based on that assumption. Realized losses on the mortgage loans will reduce the Class Certificate Balance of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2, Class B-3 and Class B-4 certificates then outstanding with the lowest relative payment priority if and to the extent that the aggregate Class Certificate Balances of all classes of certificates, following all distributions on a Distribution Date, exceed the aggregate Stated Principal Balances of the related mortgage loans. As a result of such a reduction of the Class Certificate Balance of a class of Subordinated Certificates, less interest will accrue on those classes of certificates than would otherwise be the case. The Principal Distribution Amount to be made to the holders of the LIBOR Certificates includes the net proceeds in respect of principal received upon the liquidation of a related mortgage loan. If such net proceeds are less than the unpaid principal balance of the liquidated mortgage loan, the aggregate Stated S-93 Principal Balances of the mortgage loans will decline more than the aggregate Class Certificate Balances of the LIBOR Certificates, thus reducing the amount of the overcollateralization. If such difference is not covered by the amount of the overcollateralization or excess interest, the class of Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2, Class B-3 and Class B-4 certificates then outstanding with the lowest relative payment priority will bear such loss. In addition, the Subordinated Certificates will not be entitled to any principal distributions prior to the related Stepdown Date or during the continuation of a Trigger Event (unless all of the certificates with a higher relative payment priority have been paid in full). Because a Trigger Event may be based on the delinquency, as opposed to the loss, experience on the mortgage loans, a holder of a Subordinated Certificate may not receive distributions of principal for an extended period of time, even if the rate, timing and severity of realized losses on the applicable mortgage loans is consistent with such holder's expectations. Because of the disproportionate distribution of principal to the senior certificates, depending on the timing of realized losses, the Subordinated Certificates may bear a disproportionate percentage of the realized losses on the mortgage loans. For all purposes, the Class B-4 certificates will have the lowest payment priority of any class of Subordinated Certificates. MATURITY RESERVE ACCOUNTS As a result of 3.46% of the mortgage loans in the mortgage loan pool having original terms to maturity of 40 years, certain cashflow from the mortgage loans is required to be deposited into the Maturity Reserve Accounts at certain times. See "Description of the Certificates--Maturity Reserve Accounts" in this prospectus supplement. It is intended the amounts in these accounts will be sufficient to pay the outstanding Class Certificate Balances of the LIBOR Certificates that remain outstanding on the Distribution Dates in August 2035. However, we cannot assure you that amounts in these accounts will be sufficient to do so at that time. In the event Applied Realized Loss Amounts are allocated to any class of certificates, funds in the Maturity Reserve Accounts will not be available to reimburse certificateholders for the amount of principal write downs or lost accrued interest resulting from the allocation of Applied Realized Loss Amounts to those classes of certificates. EFFECT ON YIELDS DUE TO RAPID PREPAYMENTS Any net payment payable to the Swap Provider under the terms of the interest rate swap agreement will reduce amounts available for distribution to certificateholders, and may reduce the Pass-Through Rates on the LIBOR Certificates. This could adversely affect the yield to maturity on your certificates. WEIGHTED AVERAGE LIVES OF THE OFFERED CERTIFICATES The weighted average life of an Offered Certificate is determined by (a) multiplying the amount of the reduction, if any, of the Class Certificate Balance of the certificate on each Distribution Date by the number of years from the date of issuance to that Distribution Date, (b) summing the results and (c) dividing the sum by the aggregate amount of the reductions in Class Certificate Balance of the certificate referred to in clause (a). For a discussion of the factors which may influence the rate of payments (including prepayments) of the mortgage loans, see "--Prepayment Considerations and Risks" above and "Yield and Prepayment Considerations" in the prospectus. In general, the weighted average lives of the Offered Certificates will be shortened if the level of prepayments of principal of the mortgage loans increases. However, the weighted average lives of the Offered Certificates will depend upon a variety of other factors, including the timing of changes in the rate of principal payments and the priority sequence of distributions of principal of the classes of certificates. See "Description of the Certificates--Distributions of Interest and Principal" in this prospectus supplement. S-94 The interaction of the foregoing factors may have different effects on various classes of Offered Certificates and the effects on any class may vary at different times during the life of that class. Accordingly, no assurance can be given as to the weighted average life of any class of Offered Certificates. Further, to the extent the prices of the Offered Certificates represent discounts or premiums to their respective original Class Certificate Balances, variability in the weighted average lives of those classes of Offered Certificates will result in variability in the related yields to maturity. For an example of how the weighted average lives of the classes of Offered Certificates may be affected at various constant percentages of the Prepayment Assumption, see "--Decrement Tables" below. DECREMENT TABLES The following tables indicate the percentages of the initial Class Certificate Balances of the classes of Offered Certificates that would be outstanding after each of the Distribution Dates shown at various constant percentages of the applicable Prepayment Assumption and the corresponding weighted average lives of those classes. The tables have been prepared on the basis of the Structuring Assumptions. It is not likely that (i) all of the mortgage loans will have the characteristics assumed, (ii) all of the mortgage loans will prepay at the constant percentages of the applicable Prepayment Assumption specified in the tables or at any other constant rate or (iii) all of the mortgage loans will prepay at the same rate. Moreover, the diverse remaining terms to maturity and interest rates of the mortgage loans could produce slower or faster principal distributions than indicated in the tables at the specified constant percentages of the applicable Prepayment Assumption, even if the weighted average remaining term to maturity and weighted average interest rates of the mortgage loans are consistent with the remaining terms to maturity and interest rates of the mortgage loans specified in the Structuring Assumptions. PREPAYMENT SCENARIOS
SCENARIO I SCENARIO II SCENARIO III SCENARIO IV SCENARIO V ---------- ----------- ------------ ----------- ---------- Fixed-rate mortgage loans (% of 0% 75% 100% 125% 150% Prepayment Assumption) Adjustable-rate mortgage loans 0% 75% 100% 125% 150% (% of Prepayment Assumption)
S-95 PERCENT OF INITIAL CLASS CERTIFICATE BALANCE OUTSTANDING(1)
CLASS A-1 CLASS A-2A PREPAYMENT SCENARIO PREPAYMENT SCENARIO ------------------- ------------------- DISTRIBUTION DATE I II III IV V I II III IV V ----------------- - -- --- -- - - -- --- -- - Initial Percentage..................100 100 100 100 100 100 100 100 100 100 August 2006..........................99 78 71 64 57 98 60 47 34 21 August 2007..........................98 55 42 31 20 97 15 0 0 0 August 2008..........................97 36 21 9 0 96 0 0 0 0 August 2009..........................97 27 19 9 0 94 0 0 0 0 August 2010..........................96 22 14 9 0 93 0 0 0 0 August 2011..........................95 17 10 5 0 90 0 0 0 0 August 2012..........................93 13 7 3 0 88 0 0 0 0 August 2013..........................92 10 5 2 0 85 0 0 0 0 August 2014..........................90 8 3 1 0 81 0 0 0 0 August 2015..........................88 6 2 1 0 78 0 0 0 0 August 2016..........................86 5 2 * 0 74 0 0 0 0 August 2017..........................84 4 1 0 0 70 0 0 0 0 August 2018..........................82 3 1 0 0 65 0 0 0 0 August 2019..........................79 2 * 0 0 60 0 0 0 0 August 2020..........................73 2 0 0 0 51 0 0 0 0 August 2021..........................70 1 0 0 0 44 0 0 0 0 August 2022..........................66 1 0 0 0 38 0 0 0 0 August 2023..........................62 1 0 0 0 30 0 0 0 0 August 2024..........................58 * 0 0 0 22 0 0 0 0 August 2025..........................53 0 0 0 0 12 0 0 0 0 August 2026..........................47 0 0 0 0 2 0 0 0 0 August 2027..........................41 0 0 0 0 0 0 0 0 0 August 2028..........................35 0 0 0 0 0 0 0 0 0 August 2029..........................30 0 0 0 0 0 0 0 0 0 August 2030..........................26 0 0 0 0 0 0 0 0 0 August 2031..........................22 0 0 0 0 0 0 0 0 0 August 2032..........................17 0 0 0 0 0 0 0 0 0 August 2033..........................12 0 0 0 0 0 0 0 0 0 August 2034.......................... 6 0 0 0 0 0 0 0 0 0 August 2035.......................... 0 0 0 0 0 0 0 0 0 0 Weighted Average Life to Maturity (years)(2)...............19.49 3.45 2.55 1.88 1.31 14.22 1.27 1.00 0.84 0.72 Weighted Average Life to Call (years)(2)(3)................19.46 3.24 2.39 1.76 1.31 14.22 1.27 1.00 0.84 0.72
------------------ (1) Rounded to the nearest whole percentage. (2) The weighted average life of any class of certificates is determined by (i) multiplying the net reduction, if any, of the Class Certificate Balance by the number of years from the date of issuance of the certificates to the related Distribution Date, (ii) adding the results, and (iii) dividing them by the aggregate of the net reductions of the Class Certificate Balance described in clause (i). (3) Calculation assumes the exercise of the 10% optional clean-up call on the earliest possible date. * Indicates an outstanding Class Certificate Balance greater than 0% and less than 0.5% of the original Class Certificate Balance. S-96 PERCENT OF INITIAL CLASS CERTIFICATE BALANCE OUTSTANDING(1)
CLASS A-2B CLASS A-2C PREPAYMENT SCENARIO PREPAYMENT SCENARIO ------------------- ------------------- DISTRIBUTION DATE I II III IV V I II III IV V ----------------- - -- --- -- - - -- --- -- - Initial Percentage.................100 100 100 100 100 100 100 100 100 100 August 2006........................100 100 100 100 100 100 100 100 100 100 August 2007........................100 100 87 54 23 100 100 100 100 100 August 2008........................100 70 27 0 0 100 100 100 75 0 August 2009........................100 45 22 0 0 100 100 100 75 0 August 2010........................100 28 6 0 0 100 100 100 74 0 August 2011........................100 14 0 0 0 100 100 84 49 0 August 2012........................100 3 0 0 0 100 100 61 33 0 August 2013........................100 0 0 0 0 100 86 44 22 0 August 2014........................100 0 0 0 0 100 68 32 15 0 August 2015........................100 0 0 0 0 100 54 23 10 0 August 2016........................100 0 0 0 0 100 42 17 7 0 August 2017........................100 0 0 0 0 100 33 13 3 0 August 2018........................100 0 0 0 0 100 26 9 0 0 August 2019........................100 0 0 0 0 100 21 7 0 0 August 2020........................100 0 0 0 0 100 16 4 0 0 August 2021........................100 0 0 0 0 100 12 * 0 0 August 2022........................100 0 0 0 0 100 10 0 0 0 August 2023........................100 0 0 0 0 100 8 0 0 0 August 2024........................100 0 0 0 0 100 6 0 0 0 August 2025........................100 0 0 0 0 100 3 0 0 0 August 2026........................100 0 0 0 0 100 * 0 0 0 August 2027.........................86 0 0 0 0 100 0 0 0 0 August 2028.........................68 0 0 0 0 100 0 0 0 0 August 2029.........................54 0 0 0 0 100 0 0 0 0 August 2030.........................42 0 0 0 0 100 0 0 0 0 August 2031.........................30 0 0 0 0 100 0 0 0 0 August 2032.........................16 0 0 0 0 100 0 0 0 0 August 2033..........................0 0 0 0 0 100 0 0 0 0 August 2034..........................0 0 0 0 0 53 0 0 0 0 August 2035..........................0 0 0 0 0 0 0 0 0 0 Weighted Average Life to Maturity (years)(2)..............24.51 4.16 3.00 2.13 1.76 29.10 11.40 8.50 6.25 2.65 Weighted Average Life to Call (years)(2)(3)...............24.51 4.16 3.00 2.13 1.76 28.79 9.35 6.88 4.97 2.65
------------------ (1) Rounded to the nearest whole percentage. (2) The weighted average life of any class of certificates is determined by (i) multiplying the net reduction, if any, of the Class Certificate Balance by the number of years from the date of issuance of the certificates to the related Distribution Date, (ii) adding the results, and (iii) dividing them by the aggregate of the net reductions of the Class Certificate Balance described in clause (i). (3) Calculation assumes the exercise of the 10% optional clean-up call on the earliest possible date. * Indicates an outstanding Class Certificate Balance greater than 0% and less than 0.5% of the original Class Certificate Balance. S-97 PERCENT OF INITIAL CLASS CERTIFICATE BALANCE OUTSTANDING(1)
CLASS M-1 CLASS M-2 PREPAYMENT SCENARIO PREPAYMENT SCENARIO ------------------- ------------------- DISTRIBUTION DATE I II III IV V I II III IV V ----------------- - -- --- -- - - -- --- -- - Initial Percentage...................100 100 100 100 100 100 100 100 100 100 August 2006..........................100 100 100 100 100 100 100 100 100 100 August 2007..........................100 100 100 100 100 100 100 100 100 100 August 2008..........................100 100 100 100 100 100 100 100 100 100 August 2009..........................100 83 59 100 100 100 83 59 74 100 August 2010..........................100 65 43 27 100 100 65 43 27 39 August 2011..........................100 52 31 18 71 100 52 31 18 10 August 2012..........................100 41 22 12 42 100 41 22 12 6 August 2013..........................100 32 16 8 25 100 32 16 8 3 August 2014..........................100 25 12 5 12 100 25 12 5 0 August 2015..........................100 20 8 3 2 100 20 8 3 0 August 2016..........................100 15 6 * 0 100 15 6 0 0 August 2017..........................100 12 4 0 0 100 12 4 0 0 August 2018..........................100 9 3 0 0 100 9 3 0 0 August 2019..........................100 7 1 0 0 100 7 0 0 0 August 2020..........................100 5 0 0 0 100 5 0 0 0 August 2021..........................100 4 0 0 0 100 4 0 0 0 August 2022..........................100 3 0 0 0 100 3 0 0 0 August 2023..........................100 2 0 0 0 100 * 0 0 0 August 2024..........................100 0 0 0 0 100 0 0 0 0 August 2025..........................100 0 0 0 0 100 0 0 0 0 August 2026..........................100 0 0 0 0 100 0 0 0 0 August 2027..........................100 0 0 0 0 100 0 0 0 0 August 2028..........................100 0 0 0 0 100 0 0 0 0 August 2029.......................... 92 0 0 0 0 92 0 0 0 0 August 2030.......................... 81 0 0 0 0 81 0 0 0 0 August 2031.......................... 67 0 0 0 0 67 0 0 0 0 August 2032.......................... 53 0 0 0 0 53 0 0 0 0 August 2033.......................... 37 0 0 0 0 37 0 0 0 0 August 2034.......................... 19 0 0 0 0 19 0 0 0 0 August 2035.......................... 0 0 0 0 0 0 0 0 0 0 Weighted Average Life to Maturity (years)(2)..............27.06 7.30 5.64 5.33 7.07 27.06 7.29 5.57 4.97 5.12 Weighted Average Life to Call (years)(2)(3)...............26.95 6.61 5.10 4.91 4.67 26.95 6.61 5.04 4.56 4.62
------------------ (1) Rounded to the nearest whole percentage. (2) The weighted average life of any class of certificates is determined by (i) multiplying the net reduction, if any, of the Class Certificate Balance by the number of years from the date of issuance of the certificates to the related Distribution Date, (ii) adding the results, and (iii) dividing them by the aggregate of the net reductions of the Class Certificate Balance described in clause (i). (3) Calculation assumes the exercise of the 10% optional clean-up call on the earliest possible date. * Indicates an outstanding Class Certificate Balance greater than 0% and less than 0.5% of the original Class Certificate Balance. S-98 PERCENT OF INITIAL CLASS CERTIFICATE BALANCE OUTSTANDING(1)
CLASS M-3 CLASS M-4 PREPAYMENT SCENARIO PREPAYMENT SCENARIO ------------------- ------------------- DISTRIBUTION DATE I II III IV V I II III IV V ----------------- - -- --- -- - - -- --- -- - Initial Percentage...................100 100 100 100 100 100 100 100 100 100 August 2006..........................100 100 100 100 100 100 100 100 100 100 August 2007..........................100 100 100 100 100 100 100 100 100 100 August 2008..........................100 100 100 100 100 100 100 100 100 100 August 2009..........................100 83 59 41 85 100 83 59 41 28 August 2010..........................100 65 43 27 16 100 65 43 27 16 August 2011..........................100 52 31 18 10 100 52 31 18 10 August 2012..........................100 41 22 12 6 100 41 22 12 6 August 2013..........................100 32 16 8 2 100 32 16 8 0 August 2014..........................100 25 12 5 0 100 25 12 5 0 August 2015..........................100 20 8 2 0 100 20 8 0 0 August 2016..........................100 15 6 0 0 100 15 6 0 0 August 2017..........................100 12 4 0 0 100 12 4 0 0 August 2018..........................100 9 * 0 0 100 9 0 0 0 August 2019..........................100 7 0 0 0 100 7 0 0 0 August 2020..........................100 5 0 0 0 100 5 0 0 0 August 2021..........................100 4 0 0 0 100 4 0 0 0 August 2022..........................100 2 0 0 0 100 0 0 0 0 August 2023..........................100 0 0 0 0 100 0 0 0 0 August 2024..........................100 0 0 0 0 100 0 0 0 0 August 2025..........................100 0 0 0 0 100 0 0 0 0 August 2026..........................100 0 0 0 0 100 0 0 0 0 August 2027..........................100 0 0 0 0 100 0 0 0 0 August 2028..........................100 0 0 0 0 100 0 0 0 0 August 2029.......................... 92 0 0 0 0 92 0 0 0 0 August 2030.......................... 81 0 0 0 0 81 0 0 0 0 August 2031.......................... 67 0 0 0 0 67 0 0 0 0 August 2032.......................... 53 0 0 0 0 53 0 0 0 0 August 2033.......................... 37 0 0 0 0 37 0 0 0 0 August 2034.......................... 19 0 0 0 0 19 0 0 0 0 August 2035.......................... 0 0 0 0 0 0 0 0 0 0 Weighted Average Life to Maturity (years)(2)..............27.06 7.27 5.53 4.79 4.59 27.06 7.25 5.50 4.70 4.36 Weighted Average Life to Call (years)(2)(3)...............26.95 6.61 5.01 4.39 4.28 26.95 6.61 5.00 4.31 4.06
------------------ (1) Rounded to the nearest whole percentage. (2) The weighted average life of any class of certificates is determined by (i) multiplying the net reduction, if any, of the Class Certificate Balance by the number of years from the date of issuance of the certificates to the related Distribution Date, (ii) adding the results, and (iii) dividing them by the aggregate of the net reductions of the Class Certificate Balance described in clause (i). (3) Calculation assumes the exercise of the 10% optional clean-up call on the earliest possible date. * Indicates an outstanding Class Certificate Balance greater than 0% and less than 0.5% of the original Class Certificate Balance. S-99 PERCENT OF INITIAL CLASS CERTIFICATE BALANCE OUTSTANDING(1)
CLASS M-5 CLASS M-6 PREPAYMENT SCENARIO PREPAYMENT SCENARIO ------------------- ------------------- DISTRIBUTION DATE I II III IV V I II III IV V ----------------- - -- --- -- - - -- --- -- - Initial Percentage...................100 100 100 100 100 100 100 100 100 100 August 2006..........................100 100 100 100 100 100 100 100 100 100 August 2007..........................100 100 100 100 100 100 100 100 100 100 August 2008..........................100 100 100 100 100 100 100 100 100 100 August 2009..........................100 83 59 41 28 100 83 59 41 28 August 2010..........................100 65 43 27 16 100 65 43 27 16 August 2011..........................100 52 31 18 10 100 52 31 18 10 August 2012..........................100 41 22 12 6 100 41 22 12 6 August 2013..........................100 32 16 8 0 100 32 16 8 0 August 2014..........................100 25 12 5 0 100 25 12 2 0 August 2015..........................100 20 8 0 0 100 20 8 0 0 August 2016..........................100 15 6 0 0 100 15 6 0 0 August 2017..........................100 12 2 0 0 100 12 0 0 0 August 2018..........................100 9 0 0 0 100 9 0 0 0 August 2019..........................100 7 0 0 0 100 7 0 0 0 August 2020..........................100 5 0 0 0 100 5 0 0 0 August 2021..........................100 1 0 0 0 100 0 0 0 0 August 2022..........................100 0 0 0 0 100 0 0 0 0 August 2023..........................100 0 0 0 0 100 0 0 0 0 August 2024..........................100 0 0 0 0 100 0 0 0 0 August 2025..........................100 0 0 0 0 100 0 0 0 0 August 2026..........................100 0 0 0 0 100 0 0 0 0 August 2027..........................100 0 0 0 0 100 0 0 0 0 August 2028..........................100 0 0 0 0 100 0 0 0 0 August 2029.......................... 92 0 0 0 0 92 0 0 0 0 August 2030.......................... 81 0 0 0 0 81 0 0 0 0 August 2031.......................... 67 0 0 0 0 67 0 0 0 0 August 2032.......................... 53 0 0 0 0 53 0 0 0 0 August 2033.......................... 37 0 0 0 0 37 0 0 0 0 August 2034.......................... 19 0 0 0 0 19 0 0 0 0 August 2035.......................... 0 0 0 0 0 0 0 0 0 0 Weighted Average Life to Maturity (years)(2)..............27.05 7.23 5.47 4.63 4.22 27.05 7.20 5.44 4.57 4.12 Weighted Average Life to Call (years)(2)(3)...............26.95 6.61 4.99 4.26 3.93 26.95 6.61 4.98 4.21 3.84
------------------ (1) Rounded to the nearest whole percentage. (2) The weighted average life of any class of certificates is determined by (i) multiplying the net reduction, if any, of the Class Certificate Balance by the number of years from the date of issuance of the certificates to the related Distribution Date, (ii) adding the results, and (iii) dividing them by the aggregate of the net reductions of the Class Certificate Balance described in clause (i). (3) Calculation assumes the exercise of the 10% optional clean-up call on the earliest possible date. S-100 PERCENT OF INITIAL CLASS CERTIFICATE BALANCE OUTSTANDING(1)
CLASS B-1 CLASS B-2 PREPAYMENT SCENARIO PREPAYMENT SCENARIO ------------------- ------------------- DISTRIBUTION DATE I II III IV V I II III IV V ----------------- - -- --- -- - - -- --- -- - Initial Percentage...................100 100 100 100 100 100 100 100 100 100 August 2006..........................100 100 100 100 100 100 100 100 100 100 August 2007..........................100 100 100 100 100 100 100 100 100 100 August 2008..........................100 100 100 100 100 100 100 100 100 100 August 2009..........................100 83 59 41 28 100 83 59 41 28 August 2010..........................100 65 43 27 16 100 65 43 27 16 August 2011..........................100 52 31 18 10 100 52 31 18 10 August 2012..........................100 41 22 12 1 100 41 22 12 0 August 2013..........................100 32 16 8 0 100 32 16 5 0 August 2014..........................100 25 12 0 0 100 25 12 0 0 August 2015..........................100 20 8 0 0 100 20 8 0 0 August 2016..........................100 15 2 0 0 100 15 0 0 0 August 2017..........................100 12 0 0 0 100 12 0 0 0 August 2018..........................100 9 0 0 0 100 9 0 0 0 August 2019..........................100 7 0 0 0 100 3 0 0 0 August 2020..........................100 0 0 0 0 100 0 0 0 0 August 2021..........................100 0 0 0 0 100 0 0 0 0 August 2022..........................100 0 0 0 0 100 0 0 0 0 August 2023..........................100 0 0 0 0 100 0 0 0 0 August 2024..........................100 0 0 0 0 100 0 0 0 0 August 2025..........................100 0 0 0 0 100 0 0 0 0 August 2026..........................100 0 0 0 0 100 0 0 0 0 August 2027..........................100 0 0 0 0 100 0 0 0 0 August 2028..........................100 0 0 0 0 100 0 0 0 0 August 2029.......................... 92 0 0 0 0 92 0 0 0 0 August 2030.......................... 81 0 0 0 0 81 0 0 0 0 August 2031.......................... 67 0 0 0 0 67 0 0 0 0 August 2032.......................... 53 0 0 0 0 53 0 0 0 0 August 2033.......................... 37 0 0 0 0 37 0 0 0 0 August 2034.......................... 19 0 0 0 0 19 0 0 0 0 August 2035.......................... 0 0 0 0 0 0 0 0 0 0 Weighted Average Life to Maturity (years)(2)..............27.05 7.16 5.40 4.51 4.01 27.04 7.11 5.36 4.44 3.93 Weighted Average Life to Call (years)(2)(3)...............26.95 6.61 4.97 4.18 3.75 26.95 6.61 4.97 4.14 3.70
------------------ (1) Rounded to the nearest whole percentage. (2) The weighted average life of any class of certificates is determined by (i) multiplying the net reduction, if any, of the Class Certificate Balance by the number of years from the date of issuance of the certificates to the related Distribution Date, (ii) adding the results, and (iii) dividing them by the aggregate of the net reductions of the Class Certificate Balance described in clause (i). (3) Calculation assumes the exercise of the 10% optional clean-up call on the earliest possible date. S-101 PERCENT OF INITIAL CLASS CERTIFICATE BALANCE OUTSTANDING(1)
CLASS B-3 CLASS B-4 PREPAYMENT SCENARIO PREPAYMENT SCENARIO ------------------- ------------------- DISTRIBUTION DATE I II III IV V I II III IV V ----------------- - -- --- -- - - -- --- -- - Initial Percentage...................100 100 100 100 100 100 100 100 100 100 August 2006..........................100 100 100 100 100 100 100 100 100 100 August 2007..........................100 100 100 100 100 100 100 100 100 100 August 2008..........................100 100 100 100 100 100 100 100 100 100 August 2009..........................100 83 59 41 28 100 83 59 41 28 August 2010..........................100 65 43 27 16 100 65 43 27 16 August 2011..........................100 52 31 18 7 100 52 31 18 0 August 2012..........................100 41 22 12 0 100 41 22 4 0 August 2013..........................100 32 16 0 0 100 32 16 0 0 August 2014..........................100 25 12 0 0 100 25 4 0 0 August 2015..........................100 20 1 0 0 100 20 0 0 0 August 2016..........................100 15 0 0 0 100 15 0 0 0 August 2017..........................100 12 0 0 0 100 6 0 0 0 August 2018..........................100 6 0 0 0 100 0 0 0 0 August 2019..........................100 0 0 0 0 100 0 0 0 0 August 2020..........................100 0 0 0 0 100 0 0 0 0 August 2021..........................100 0 0 0 0 100 0 0 0 0 August 2022..........................100 0 0 0 0 100 0 0 0 0 August 2023..........................100 0 0 0 0 100 0 0 0 0 August 2024..........................100 0 0 0 0 100 0 0 0 0 August 2025..........................100 0 0 0 0 100 0 0 0 0 August 2026..........................100 0 0 0 0 100 0 0 0 0 August 2027..........................100 0 0 0 0 100 0 0 0 0 August 2028..........................100 0 0 0 0 100 0 0 0 0 August 2029.......................... 92 0 0 0 0 92 0 0 0 0 August 2030.......................... 81 0 0 0 0 81 0 0 0 0 August 2031.......................... 67 0 0 0 0 67 0 0 0 0 August 2032.......................... 53 0 0 0 0 53 0 0 0 0 August 2033.......................... 37 0 0 0 0 37 0 0 0 0 August 2034.......................... 19 0 0 0 0 19 0 0 0 0 August 2035.......................... 0 0 0 0 0 0 0 0 0 0 Weighted Average Life to Maturity (years)(2)..............27.04 7.04 5.29 4.39 3.85 27.02 6.93 5.20 4.29 3.76 Weighted Average Life to Call (years)(2)(3)...............26.95 6.61 4.96 4.13 3.65 26.95 6.61 4.95 4.11 3.62
------------------ (1) Rounded to the nearest whole percentage. (2) The weighted average life of any class of certificates is determined by (i) multiplying the net reduction, if any, of the Class Certificate Balance by the number of years from the date of issuance of the certificates to the related Distribution Date, (ii) adding the results, and (iii) dividing them by the aggregate of the net reductions of the Class Certificate Balance described in clause (i). (3) Calculation assumes the exercise of the 10% optional clean-up call on the earliest possible date. S-102 AVAILABLE FUNDS CAPS The information in the following table has been prepared in accordance with the Structuring Assumptions except for the following: o One-Month LIBOR and the Six-Month LIBOR Loan Index remain constant at 20.00%; o prepayments on the mortgage loans occur at 100% of the Prepayment Assumption (i.e., Scenario III); and o the available funds caps ("AVAILABLE FUNDS CAPS") indicated in the table below equals the quotient, expressed as a percentage of (i) the total interest assumed to be distributed to the Offered Certificates, including Accrued Certificate Interest, Unpaid Interest Amounts and Basis Risk Carry Forward Amounts and (ii) the current Class Certificate Balance multiplied by the quotient of 360 divided by the actual number of days in the related Interest Accrual Period. It is highly unlikely, however, that prepayments on the mortgage loans will occur at a constant rate of 100% of the Prepayment Assumption or at any other constant percentage. There is no assurance, therefore, of whether or to what extent the actual interest rates on the mortgage loans on any Distribution Date will conform to the corresponding rate set forth for that Distribution Date in the following table.
Class A-2A, Class A-2B and Class Class A-1 A-2C Class M-1 Class M-2 Class M-3 Class M-4 Class M-5 Class M-6 Class B-1 Available Available Available Available Available Available Available Available Available Distribution Funds Funds Funds Funds Funds Funds Funds Funds Funds Date Cap (%) Cap (%) Cap (%) Cap (%) Cap (%) Cap (%) Cap (%) Cap (%) Cap (%) ---- ------- ------- ------- ------- ------- ------- ------- ------- ------- 09/05 20.24 20.20 20.45 20.49 20.52 20.59 20.63 20.69 21.15 10/05 20.24 20.20 20.45 20.49 20.52 20.59 20.63 20.69 21.15 11/05 20.24 20.20 20.45 20.49 20.52 20.59 20.63 20.69 21.15 12/05 20.24 20.20 20.45 20.49 20.52 20.59 20.63 20.69 21.15 01/06 20.24 20.20 20.45 20.49 20.52 20.59 20.63 20.69 21.15 02/06 20.24 20.21 20.45 20.49 20.52 20.59 20.63 20.69 21.15 03/06 20.24 20.21 20.45 20.49 20.52 20.59 20.63 20.69 21.15 04/06 20.24 20.21 20.45 20.49 20.52 20.59 20.63 20.69 21.15 05/06 20.24 20.22 20.45 20.49 20.52 20.59 20.63 20.69 21.15 06/06 20.24 20.22 20.45 20.49 20.52 20.59 20.63 20.69 21.15 07/06 20.24 20.22 20.45 19.88 19.16 19.16 19.16 19.16 19.16 08/06 20.00 19.99 18.77 18.77 18.77 18.77 18.77 18.77 18.77 09/06 19.75 19.76 18.50 18.50 18.50 18.50 18.50 18.50 18.50 10/06 19.27 19.29 18.01 18.01 18.01 18.01 18.01 18.01 18.01 11/06 19.06 19.08 17.76 17.76 17.76 17.76 17.76 17.76 17.76 12/06 18.60 18.62 17.28 17.28 17.28 17.28 17.28 17.28 17.28 01/07 18.27 18.30 16.93 16.93 16.93 16.93 16.93 16.93 16.93 02/07 18.42 18.45 17.02 17.02 17.02 17.02 17.02 17.02 17.02 03/07 17.66 17.68 16.25 16.25 16.25 16.25 16.25 16.25 16.25 04/07 17.56 17.55 16.09 16.09 16.09 16.09 16.09 16.09 16.09 05/07 18.67 18.50 16.94 16.94 16.94 16.94 16.94 16.94 16.94 06/07 12.64 12.57 11.45 11.45 11.45 11.45 11.45 11.45 11.45 07/07 12.35 12.30 11.15 11.15 11.15 11.15 11.15 11.15 11.15 08/07 12.33 12.29 11.09 11.09 11.09 11.09 11.09 11.09 11.09 09/07 12.62 12.59 11.30 11.30 11.30 11.30 11.30 11.30 11.30 10/07 12.34 12.30 10.99 10.99 10.99 10.99 10.99 10.99 10.99 11/07 13.48 13.33 11.87 11.87 11.87 11.87 11.87 11.87 11.87 12/07 13.38 13.37 11.80 11.80 11.80 11.80 11.80 11.80 11.80 01/08 13.42 13.41 11.75 11.75 11.75 11.75 11.75 11.75 11.75 02/08 14.15 14.15 12.31 12.31 12.31 12.31 12.31 12.31 12.31 03/08 13.50 13.49 11.65 11.65 11.65 11.65 11.65 11.65 11.65 04/08 13.99 13.92 11.95 11.95 11.95 11.95 11.95 11.95 11.95 05/08 14.76 14.53 12.41 12.41 12.41 12.41 12.41 12.41 12.41 06/08 14.83 14.71 12.41 12.41 12.41 12.41 12.41 12.41 12.41 07/08 14.55 14.43 12.05 12.05 12.05 12.05 12.05 12.05 12.05 08/08 65.13 63.44 12.02 12.02 12.02 12.02 12.02 12.02 12.02 09/08 20.10 19.82 12.33 12.33 12.33 12.33 12.33 12.33 12.33 10/08 19.31 19.05 11.99 11.99 11.99 11.99 11.99 11.99 11.99 11/08 20.50 20.13 12.97 12.97 12.97 12.97 12.97 12.97 12.97 12/08 19.89 19.66 12.83 12.83 12.83 12.83 12.83 12.83 12.83 01/09 19.67 19.45 12.81 12.81 12.81 12.81 12.81 12.81 12.81 02/09 21.34 21.11 13.98 13.98 13.98 13.98 13.98 13.98 13.98 03/09 19.24 19.05 12.76 12.76 12.76 12.76 12.76 12.76 12.76 04/09 19.63 19.43 13.12 13.12 13.12 13.12 13.12 13.12 13.12 05/09 19.01 18.80 12.78 12.78 12.78 12.78 12.78 12.78 12.78 06/09 19.57 19.37 13.16 13.16 13.16 13.16 13.16 13.16 13.16
Class B-2 Class B-3 Class B-4 Available Available Available Distribution Funds Funds Funds Date Cap (%) Cap (%) Cap (%) ---- ------- ------- ------- 09/05 21.30 21.75 22.50 10/05 21.30 21.75 22.50 11/05 21.30 21.75 22.50 12/05 21.30 21.75 22.50 01/06 21.30 21.75 22.50 02/06 21.30 21.75 22.50 03/06 21.30 21.75 22.50 04/06 21.30 21.75 22.50 05/06 21.30 21.75 22.50 06/06 21.30 21.75 22.50 07/06 19.16 19.16 19.16 08/06 18.77 18.77 18.77 09/06 18.50 18.50 18.50 10/06 18.01 18.01 18.01 11/06 17.76 17.76 17.76 12/06 17.28 17.28 17.28 01/07 16.93 16.93 16.93 02/07 17.02 17.02 17.02 03/07 16.25 16.25 16.25 04/07 16.09 16.09 16.09 05/07 16.94 16.94 16.94 06/07 11.45 11.45 11.45 07/07 11.15 11.15 11.15 08/07 11.09 11.09 11.09 09/07 11.30 11.30 11.30 10/07 10.99 10.99 10.99 11/07 11.87 11.87 11.87 12/07 11.80 11.80 11.80 01/08 11.75 11.75 11.75 02/08 12.31 12.31 12.31 03/08 11.65 11.65 11.65 04/08 11.95 11.95 11.95 05/08 12.41 12.41 12.41 06/08 12.41 12.41 12.41 07/08 12.05 12.05 12.05 08/08 12.02 12.02 12.02 09/08 12.33 12.33 12.33 10/08 11.99 11.99 11.99 11/08 12.97 12.97 12.97 12/08 12.83 12.83 12.83 01/09 12.81 12.81 12.81 02/09 13.98 13.98 13.98 03/09 12.76 12.76 12.76 04/09 13.12 13.12 13.12 05/09 12.78 12.78 12.78 06/09 13.16 13.16 13.16
S-103
Class A-2A, Class A-2B and Class Class A-1 A-2C Class M-1 Class M-2 Class M-3 Class M-4 Class M-5 Class M-6 Class B-1 Available Available Available Available Available Available Available Available Available Distribution Funds Funds Funds Funds Funds Funds Funds Funds Funds Date Cap (%) Cap (%) Cap (%) Cap (%) Cap (%) Cap (%) Cap (%) Cap (%) Cap (%) ---- ------- ------- ------- ------- ------- ------- ------- ------- ------- 07/09 18.97 18.77 12.76 12.76 12.76 12.76 12.76 12.76 12.76 08/09 18.94 18.75 12.73 12.73 12.73 12.73 12.73 12.73 12.73 09/09 19.49 19.29 13.09 13.09 13.09 13.09 13.09 13.09 13.09 10/09 18.90 18.70 12.69 12.69 12.69 12.69 12.69 12.69 12.69 11/09 19.52 19.30 13.10 13.10 13.10 13.10 13.10 13.10 13.10 12/09 18.91 18.71 12.70 12.70 12.70 12.70 12.70 12.70 12.70 01/10 18.89 18.68 12.68 12.68 12.68 12.68 12.68 12.68 12.68 02/10 20.73 20.50 13.88 13.88 13.88 13.88 13.88 13.88 13.88 03/10 18.84 18.63 12.63 12.63 12.63 12.63 12.63 12.63 12.63 04/10 19.40 19.18 12.99 12.99 12.99 12.99 12.99 12.99 12.99 05/10 18.81 18.60 12.60 12.60 12.60 12.60 12.60 12.60 12.60 06/10 19.42 19.18 12.98 12.98 12.98 12.98 12.98 12.98 12.98 07/10 18.81 18.58 12.58 12.58 12.58 12.58 12.58 12.58 12.58 08/10 17.79 17.56 11.68 11.68 11.68 11.68 11.68 11.68 11.68 09/10 18.38 18.14 12.07 12.07 12.07 12.07 12.07 12.07 12.07 10/10 17.78 17.55 11.67 11.67 11.67 11.67 11.67 11.67 11.67 11/10 18.38 18.13 12.06 12.06 12.06 12.06 12.06 12.06 12.06 12/10 17.80 17.55 11.68 11.68 11.68 11.68 11.68 11.68 11.68 01/11 17.80 17.55 11.67 11.67 11.67 11.67 11.67 11.67 11.67 02/11 22.68 18.01 12.92 12.92 12.92 12.92 12.92 12.92 12.92 03/11 20.43 16.29 11.67 11.67 11.67 11.67 11.67 11.67 11.67 04/11 21.07 16.85 12.05 12.05 12.05 12.05 12.05 12.05 12.05 05/11 20.35 16.33 11.66 11.66 11.66 11.66 11.66 11.66 11.66 06/11 21.00 16.89 12.06 12.06 12.06 12.06 12.06 12.06 12.06 07/11 20.28 16.36 11.67 11.67 11.67 11.67 11.67 11.67 11.67 08/11 20.24 16.38 11.66 11.66 11.66 11.66 11.66 11.66 11.66 09/11 20.89 16.94 12.05 12.05 12.05 12.05 12.05 12.05 12.05 10/11 20.18 16.40 11.66 11.66 11.66 11.66 11.66 11.66 11.66 11/11 20.83 16.96 12.04 12.04 12.04 12.04 12.04 12.04 12.04 12/11 20.14 16.43 11.66 11.66 11.66 11.66 11.66 11.66 11.66 01/12 20.11 16.44 11.65 11.65 11.65 11.65 11.65 11.65 11.65 02/12 21.48 17.58 12.45 12.45 12.45 12.45 12.45 12.45 12.45 03/12 20.07 16.45 11.65 11.65 11.65 11.65 11.65 11.65 11.65 04/12 20.72 17.01 12.03 12.03 12.03 12.03 12.03 12.03 12.03 05/12 20.04 16.46 11.64 11.64 11.64 11.64 11.64 11.64 11.64 06/12 20.69 17.02 12.03 12.03 12.03 12.03 12.03 12.03 12.03 07/12 20.01 16.47 11.63 11.63 11.63 11.63 11.63 11.63 11.63 08/12 20.00 16.48 11.63 11.63 11.63 11.63 11.63 11.63 11.63 09/12 20.65 17.03 12.02 12.02 12.02 12.02 12.02 12.02 12.02 10/12 19.97 16.49 11.62 11.62 11.62 11.62 11.62 11.62 11.62 11/12 20.63 17.04 12.01 12.01 12.01 12.01 12.01 12.01 12.01 12/12 19.96 16.49 11.62 11.62 11.62 11.62 11.62 11.62 11.62 01/13 19.95 16.49 11.62 11.62 11.62 11.62 11.62 11.62 11.62 02/13 22.08 18.26 12.86 12.86 12.86 12.86 12.86 12.86 12.86 03/13 19.94 16.49 11.61 11.61 11.61 11.61 11.61 11.61 11.61 04/13 20.60 17.04 11.99 11.99 11.99 11.99 11.99 11.99 11.99 05/13 19.93 16.49 11.60 11.60 11.60 11.60 11.60 11.60 11.60 06/13 20.59 17.04 11.99 11.99 11.99 11.99 11.99 11.99 11.99 07/13 19.93 16.49 11.60 11.60 11.60 11.60 11.60 11.60 11.60 08/13 19.92 16.49 11.59 11.59 11.59 11.59 11.59 11.59 11.59 09/13 20.59 17.04 11.98 11.98 11.98 11.98 11.98 11.98 11.98 10/13 19.93 16.49 11.59 11.59 11.59 11.59 11.59 11.59 11.59 11/13 20.59 17.04 11.97 11.97 11.97 11.97 11.97 11.97 11.97 12/13 19.93 16.49 11.58 11.58 11.58 11.58 11.58 11.58 11.58 01/14 15.55 13.82 11.58 11.58 11.58 11.58 11.58 11.58 11.58 02/14 15.49 14.26 12.81 12.81 12.81 12.81 12.81 12.81 12.81 03/14 14.06 12.91 11.57 11.57 11.57 11.57 11.57 11.57 11.57 04/14 14.59 13.38 11.95 11.95 11.95 11.95 11.95 11.95 11.95 05/14 14.19 12.98 11.56 11.56 11.56 11.56 11.56 11.56 11.56 06/14 14.73 13.46 11.95 11.95 11.95 11.95 11.95 11.95 11.95 07/14 14.32 13.06 11.56 11.56 11.56 11.56 11.56 11.56 11.56 08/14 14.40 13.10 11.55 11.55 11.55 11.55 11.55 11.55 11.55 09/14 14.96 13.58 11.94 11.94 11.94 11.94 11.94 11.94 11.94 10/14 14.55 13.18 11.55 11.55 11.55 11.55 11.55 11.55 11.55 11/14 15.12 13.66 11.93 11.93 11.93 11.93 11.93 11.93 11.93 12/14 14.71 13.27 11.54 11.54 11.54 11.54 11.54 11.54 11.54 01/15 14.80 13.31 11.54 11.54 11.54 11.54 11.54 11.54 11.54 02/15 16.49 14.79 12.77 12.77 12.77 12.77 12.77 12.77 12.77 03/15 14.98 13.40 11.53 11.53 11.53 11.53 11.53 11.53 11.53 04/15 15.58 13.90 11.91 11.91 11.91 11.91 11.91 11.91 11.91 05/15 15.18 13.50 11.53 11.53 11.53 11.53 11.53 11.53 11.53 06/15 15.79 14.00 11.91 11.91 11.91 11.91 11.91 11.91 11.91 07/15 15.39 13.61 11.52 11.52 11.52 11.52 11.52 11.52 11.52 08/15 15.50 13.66 11.52 11.52 11.52 11.52 11.52 11.52 11.52
Class B-2 Class B-3 Class B-4 Available Available Available Distribution Funds Funds Funds Date Cap (%) Cap (%) Cap (%) ---- ------- ------- ------- 07/09 12.76 12.76 12.76 08/09 12.73 12.73 12.73 09/09 13.09 13.09 13.09 10/09 12.69 12.69 12.69 11/09 13.10 13.10 13.10 12/09 12.70 12.70 12.70 01/10 12.68 12.68 12.68 02/10 13.88 13.88 13.88 03/10 12.63 12.63 12.63 04/10 12.99 12.99 12.99 05/10 12.60 12.60 12.60 06/10 12.98 12.98 12.98 07/10 12.58 12.58 12.58 08/10 11.68 11.68 11.68 09/10 12.07 12.07 12.07 10/10 11.67 11.67 11.67 11/10 12.06 12.06 12.06 12/10 11.68 11.68 11.68 01/11 11.67 11.67 11.67 02/11 12.92 12.92 12.92 03/11 11.67 11.67 11.67 04/11 12.05 12.05 12.05 05/11 11.66 11.66 11.66 06/11 12.06 12.06 12.06 07/11 11.67 11.67 11.67 08/11 11.66 11.66 11.66 09/11 12.05 12.05 12.05 10/11 11.66 11.66 11.66 11/11 12.04 12.04 12.04 12/11 11.66 11.66 11.66 01/12 11.65 11.65 11.65 02/12 12.45 12.45 12.45 03/12 11.65 11.65 11.65 04/12 12.03 12.03 12.03 05/12 11.64 11.64 11.64 06/12 12.03 12.03 12.03 07/12 11.63 11.63 11.63 08/12 11.63 11.63 11.63 09/12 12.02 12.02 12.02 10/12 11.62 11.62 11.62 11/12 12.01 12.01 12.01 12/12 11.62 11.62 11.62 01/13 11.62 11.62 11.62 02/13 12.86 12.86 12.86 03/13 11.61 11.61 11.61 04/13 11.99 11.99 11.99 05/13 11.60 11.60 11.60 06/13 11.99 11.99 11.99 07/13 11.60 11.60 11.60 08/13 11.59 11.59 11.59 09/13 11.98 11.98 11.98 10/13 11.59 11.59 11.59 11/13 11.97 11.97 11.97 12/13 11.58 11.58 11.58 01/14 11.58 11.58 11.58 02/14 12.81 12.81 12.81 03/14 11.57 11.57 11.57 04/14 11.95 11.95 11.95 05/14 11.56 11.56 11.56 06/14 11.95 11.95 11.95 07/14 11.56 11.56 11.56 08/14 11.55 11.55 11.55 09/14 11.94 11.94 11.94 10/14 11.55 11.55 11.55 11/14 11.93 11.93 11.93 12/14 11.54 11.54 11.54 01/15 11.54 11.54 - 02/15 12.77 12.77 - 03/15 11.53 11.53 - 04/15 11.91 11.91 - 05/15 11.53 11.53 - 06/15 11.91 11.91 - 07/15 11.52 11.52 - 08/15 11.52 11.52 -
S-104 WAC CAP The information in the following table has been prepared in accordance with the Structuring Assumptions except for the following: o One-Month LIBOR and the Six-Month LIBOR Loan Index remain constant at 20.00%; and o prepayments on the mortgage loans occur at 100% of the Prepayment Assumption (i.e., Scenario III). It is highly unlikely, however, that prepayments on the mortgage loans will occur at a constant rate of 100% of the Prepayment Assumption or at any other constant percentage. There is no assurance, therefore, of whether or to what extent the actual interest rates on the mortgage loans or the WAC Cap on any Distribution Date will conform to the corresponding rate set forth for that Distribution Date in the following table. LOAN LOAN DISTRIBUTION WAC CAP GROUP I GROUP II DATE (%) CAP CAP ---- --- --- --- 09/05 21.75346 21.70609 21.77739 10/05 21.76185 21.71297 21.78654 11/05 21.56996 21.52271 21.59379 12/05 21.52490 21.47634 21.54939 01/06 21.27227 21.22538 21.29590 02/06 21.07701 21.03023 21.10056 03/06 21.15158 21.09995 21.17756 04/06 20.58652 20.54005 20.60989 05/06 20.38767 20.33983 20.41171 06/06 19.95253 19.90663 19.97557 07/06 19.67049 19.62327 19.69419 08/06 19.16097 19.11547 19.18380 09/06 18.76650 18.72120 18.78922 10/06 18.49833 18.45173 18.52170 11/06 18.00548 17.96058 18.02798 12/06 17.76216 17.71613 17.78522 01/07 17.27978 17.23544 17.30199 02/07 16.92938 16.88525 16.95148 03/07 17.01627 16.96720 17.04082 04/07 16.25335 16.20844 16.27581 05/07 16.08619 16.07579 16.09138 06/07 16.93748 17.29133 16.76062 07/07 11.45026 11.40661 11.47206 08/07 11.14703 11.11048 11.16529 09/07 11.08960 11.05342 11.10767 10/07 11.29667 11.25953 11.31520 11/07 10.98727 10.96741 10.99717 12/07 11.87009 12.04328 11.78371 01/08 11.79639 11.74184 11.82359 02/08 11.75197 11.70032 11.77771 03/08 12.31423 12.25960 12.34145 04/08 11.65436 11.60823 11.67734 05/08 11.94690 11.96366 11.93855 06/08 12.40676 12.72312 12.24929 07/08 12.41361 12.50197 12.36965 08/08 12.05068 12.13919 12.00665 09/08 12.02132 12.11047 11.97698 10/08 12.33494 12.42916 12.28810 11/08 11.98543 12.10984 11.92361 12/08 12.97238 13.32736 12.79602 01/09 12.83138 12.96283 12.76610 02/09 12.80921 12.94329 12.74263 03/09 13.98119 14.13065 13.90701 04/09 12.75616 12.89357 12.68798 05/09 13.11609 13.28122 13.03418 06/09 12.78481 12.98961 12.68325 07/09 13.15870 13.35365 13.06206 08/09 12.75658 12.94614 12.66265 09/09 12.73191 12.92236 12.63756 10/09 13.08593 13.28520 12.98724 11/09 12.69374 12.90212 12.59057 12/09 13.09919 13.33837 12.98081 01/10 12.70114 12.93056 12.58762 02/10 12.67839 12.90869 12.56447 03/10 13.87712 14.13307 13.75055 04/10 12.63400 12.86607 12.51928 05/10 12.99240 13.23311 12.87344 06/10 12.60014 12.84576 12.47879 07/10 12.98067 13.25757 12.84391 08/10 12.57889 12.84778 12.44613 09/10 11.67980 11.94962 11.54663 10/10 12.06597 12.34573 11.92793 11/10 11.67369 11.94534 11.53968 12/10 12.06109 12.34450 11.92134 01/11 11.67752 11.96097 11.53779 02/11 11.67444 11.95880 11.53429 03/11 12.92185 13.23768 12.76624 04/11 11.66826 11.95444 11.52730 05/11 12.05400 12.35066 11.90792 06/11 11.66346 11.95314 11.52086 07/11 12.05731 12.36504 11.90587 08/11 11.66525 11.96396 11.51829 09/11 11.66213 11.96175 11.51477 10/11 12.04764 12.35818 11.89495 11/11 11.65588 11.95731 11.50772 12/11 12.04215 12.35535 11.88825 01/12 11.65542 11.96225 11.50469 02/12 11.65228 11.96001 11.50115 03/12 12.45253 12.78245 12.29055 04/12 11.64599 11.95554 11.49407 05/12 12.03094 12.35174 11.87354 06/12 11.63994 11.95105 11.48733 07/12 12.02555 12.34709 11.86787 08/12 11.63447 11.94655 11.48148 09/12 11.63131 11.94429 11.47793 10/12 12.01575 12.34010 11.85684 11/12 11.62498 11.93978 11.47080 12/12 12.00920 12.33543 11.84948 01/13 11.61864 11.93525 11.46367 02/13 11.61547 11.93298 11.46010 03/13 12.85647 13.20900 12.68402 04/13 11.60911 11.92844 11.45296 05/13 11.99280 12.32370 11.83103 06/13 11.60275 11.92388 11.44581 07/13 11.98622 12.31899 11.82364 08/13 11.59638 11.91932 11.43865 09/13 11.59319 11.91704 11.43507 10/13 11.97633 12.31191 11.81254 11/13 11.58681 11.91246 11.42790 12/13 11.96973 12.30717 11.80513 01/14 11.58042 11.90787 11.42073 02/14 11.57722 11.90558 11.41714 03/14 12.81409 13.17863 12.63643 04/14 11.57082 11.90098 11.40996 05/14 11.95320 12.29530 11.78658 06/14 11.56441 11.89637 11.40278 07/14 11.94657 12.29054 11.77915 08/14 11.55799 11.89176 11.39559 09/14 11.55478 11.88945 11.39199 10/14 11.93662 12.28337 11.76801 11/14 11.54836 11.88482 11.38479 12/14 11.92998 12.27859 11.76057 01/15 11.54193 11.88019 11.37760 02/15 11.53871 11.87787 11.37400 03/15 12.77144 13.14794 12.58865 04/15 11.53227 11.87323 11.36679 05/15 11.91335 12.26661 11.74197 06/15 11.52583 11.86859 11.35959 07/15 11.90670 12.26181 11.73452 08/15 11.51939 11.86395 11.35238 S-105 RATED FINAL DISTRIBUTION DATE AND LAST SCHEDULED DISTRIBUTION DATE The "RATED FINAL DISTRIBUTION DATE" for the certificates is the Distribution Date occurring in August 2035. Rated Final Distribution Date has the meaning set forth in "Ratings" in this prospectus supplement. The last scheduled Distribution Date for the certificates is the Distribution Date occurring in July 2045. The last scheduled Distribution Dates for all classes have been calculated as the Distribution Date in the month following the month in which the latest maturity date of any mortgage loan occurs. Since the rate of distributions in reduction of the Class Certificate Balance of each class of LIBOR Certificates will depend on the rate of payment (including prepayments) of the mortgage loans, the Class Certificate Balance of each class could be reduced to zero significantly earlier or later than the Rated Final Distribution Date. The rate of payments on the mortgage loans will depend on their particular characteristics, as well as on prevailing interest rates from time to time and other economic factors, and no assurance can be given as to the actual payment experience of the mortgage loans. See "--Prepayment Considerations and Risks" and "--Weighted Average Lives of the Offered Certificates" above and "Yield and Prepayment Considerations" in the prospectus. FEDERAL INCOME TAX CONSEQUENCES The discussion in this section and in the section "Federal Income Tax Consequences" in the prospectus is based upon laws, regulations, rulings and decisions now in effect, all of which are subject to change. The discussion below and in the prospectus does not purport to deal with all federal tax consequences applicable to all categories of investors, some of which may be subject to special rules. Investors may wish to consult their own tax advisors in determining the federal, state, local and any other tax consequences to them of the purchase, ownership and disposition of the Offered Certificates. References in this section and in the "ERISA Considerations" section of this prospectus supplement to the "Code" and "Sections" are to the Internal Revenue Code of 1986, as amended. GENERAL The pooling and servicing agreement provides that certain segregated asset pools within the trust (exclusive, among other things, of the assets held in the Excess Reserve Fund Account, the Supplemental Interest Trust, the Maturity Reserve Accounts and certain other accounts specified in the pooling and servicing agreement and the right of each class of LIBOR Certificates to receive Basis Risk Carry Forward Amounts) will comprise multiple REMICs (the "TRUST REMICS") organized in a tiered REMIC structure. Each class of LIBOR Certificates represents (exclusive of the right to receive Basis Risk Carry Forward Amounts and payments from the Maturity Reserve Accounts) a regular interest (a "REGULAR INTEREST") in a Trust REMIC. The Class R-2 certificates will represent ownership of the sole class of residual interest in the Trust REMIC that holds the mortgage loans, the Class R-1 certificates will represent ownership of the sole class of residual interest in certain other Trust REMICs, and the Class R-3 certificates will represent ownership of the sole class of residual interest in a separate Trust REMIC. In addition, each class of the LIBOR Certificates will represent a beneficial interest in the right to receive payments from the Excess Reserve Fund Account and the Supplemental Interest Trust as well as payments from the Maturity Reserve Accounts under the circumstances described in "Description of the Certificates--Maturity Reserve Accounts" in this prospectus supplement. Elections will be made to treat each of the Trust REMICs as a REMIC for federal income tax purposes. Upon the issuance of the Offered Certificates, Cadwalader, Wickersham & Taft LLP will deliver its opinion to the effect that, assuming compliance with the pooling and servicing agreement, for federal income tax purposes, the Trust REMICs will each qualify as a REMIC within the meaning of Section 860D of the Code. S-106 TAXATION OF REGULAR INTERESTS A holder of a class of LIBOR Certificates will be treated for federal income tax purposes as owning an interest in the corresponding class of Regular Interests in the related Trust REMIC. In addition, the pooling and servicing agreement provides that each holder of a LIBOR Certificate will be treated as owning an interest in a limited recourse interest rate cap contract (each, a "BASIS RISK CONTRACT") representing the right to receive Basis Risk Carry Forward Amounts from the Excess Reserve Fund Account and the Supplemental Interest Trust and a contingent forward contract (the "MATURITY CONTRACT") representing the right to receive payments from the Maturity Reserve Accounts. The Regular Interest component of a LIBOR Certificate will be entitled to receive interest and principal payments at the times and in the amounts equal to those made on the LIBOR Certificate to which it corresponds, except that (i) the maximum interest rate of that Regular Interest component will equal the lesser of the Loan Group I Cap or Loan Group II Cap, as applicable, or the WAC Cap, in each case computed for this purpose without regard to any Net Swap Receipts, (ii) Basis Risk Carry Forward Amounts will be deemed to include the excess, if any, of the Loan Group I Cap or Loan Group II Cap, as applicable, or the WAC Cap over the maximum interest rate specified in clause (i), and (iii) any Swap Termination Payment will be treated as being payable first from Net Monthly Excess Cashflow and second from amounts distributed on the Regular Interests. As a result of the foregoing, the amount of distributions on the Regular Interest component of a LIBOR Certificate may exceed the actual amount of distributions on the LIBOR Certificate. A holder of a LIBOR Certificate must allocate its purchase price for the LIBOR Certificate among its components--the Regular Interest component and, to the extent they have measurable value, the Basis Risk Contract component and the Maturity Contract component. To the extent either the Basis Risk Contract component or Maturity Contract component of a LIBOR Certificate has value, the Regular Interest component will be viewed as having been issued at a lesser premium or with an additional amount of original issue discount ("OID") (which could cause the total amount of OID to exceed a statutorily defined de minimis amount). See "Federal Income Tax Consequences--Treatment by the REMIC of OID, Market Discount, and Amortizable Premium" in the prospectus. Upon the sale, exchange, or other disposition of a LIBOR Certificate, the holder must allocate the amount realized between the components of the LIBOR Certificate based on the relative fair market values of those components at the time of sale. Assuming that a LIBOR Certificate is held as a "capital asset" within the meaning of Section 1221 of the Code, gain or loss on the disposition of an interest in the Basis Risk Contract component or Maturity Contract component should be capital gain or loss, and gain or loss on the Regular Interest component will be treated as described in the prospectus under "Federal Income Tax Consequences--Gain or Loss on Disposition." Interest on the Regular Interest component of a LIBOR Certificate must be included in income by a holder under the accrual method of accounting, regardless of the holder's regular method of accounting. In addition, the Regular Interest components of the LIBOR Certificates could be considered to have been issued with OID. See "Federal Income Tax Consequences--Treatment by the REMIC of OID, Market Discount, and Amortizable Premium" in the prospectus. The prepayment assumption that will be used in determining the accrual of any OID and market discount, or the amortization of bond premium, if any, will be a rate equal to 100% of the related Prepayment Assumption, as set forth under "Prepayment and Yield Considerations--Structuring Assumptions" in this prospectus supplement. No representation is made that the mortgage loans will prepay at such a rate or at any other rate. OID must be included in income as it accrues on a constant yield method, regardless of whether the holder receives currently the cash attributable to such OID. RESIDUAL CERTIFICATES The holders of the Residual Certificates must include the taxable income of the related REMIC in their federal taxable income. The Residual Certificates will remain outstanding for federal income tax purposes until there are no certificates of any other class outstanding. Prospective investors are cautioned that the Residual Certificates' REMIC taxable income and the tax liability on the Residual Certificates may S-107 exceed, and may substantially exceed, cash distributions to the holders of the Residual Certificates during certain periods, in which event, the holder's of the Residual Certificates must have sufficient alternative sources of funds to pay such tax liability. Furthermore, it is anticipated that all or a substantial portion of the taxable income of the related REMIC includible by the holders of the Residual Certificates will be treated as "excess inclusion" income, resulting in (i) the inability of such holder to use net operating losses to offset such income from the related REMIC, (ii) the treatment of such income as "unrelated business taxable income" to certain holders who are otherwise tax exempt and (iii) the treatment of such income as subject to 30% withholding tax to certain non-U.S. investors, with no exemption or treaty reduction. The Residual Certificates will be considered to represent "noneconomic residual interests," with the result that transfers would be disregarded for federal income tax purposes if any significant purpose of the transferor was to impede the assessment or collection of tax. Accordingly, the Residual Certificates are subject to certain restrictions on transfer and any prospective transferee will be required to furnish the trustee with an affidavit as described in this prospectus supplement under "Description of the Certificates--Restrictions on Transfer of the Residual Certificates." See "Federal Income Tax Consequences--Tax Treatment of REMIC Regular Interests and Other Debt Instruments," and "-Tax Treatment of REMIC Residual Interests" in the prospectus. An individual, trust or estate that holds a Residual Certificate (whether such certificate is held directly or indirectly through certain pass through entities) also may have additional gross income with respect to, but may be subject to limitations on the deductibility of, servicing fees on the mortgage loans and other administrative expenses of the related REMIC in computing such holder's regular tax liability, and may not be able to deduct such fees or expenses to any extent in computing such holder's alternative minimum tax liability. Unless required otherwise by applicable authority, it is anticipated that such expenses will be allocated to the holder of the Class R-2 certificates in respect of the residual interest in the Trust REMIC that holds the mortgage loans. In addition, some portion of a purchaser's basis, if any, in a Residual Certificate may not be recovered until termination of the related REMIC. Furthermore, regulations have been issued concerning the federal income tax consequences of any consideration paid to a transferee on a transfer of the Residual Certificates, including any "safe harbor" payment described in the prospectus. See "Description of the Certificates--Restrictions on Transfer of the Residual Certificates" in this prospectus supplement and "Federal Income Tax Consequences--Tax Treatment of REMIC Residual Interests--Non-Recognition of Certain Transfers for Federal Income Tax Purposes," and "-Tax Treatment of REMIC Residual Interests" in the prospectus. Any transferee receiving consideration with respect to a Residual Certificate should consult its tax advisors. Due to the special tax treatment of residual interests, the effective after tax return of the Residual Certificates may be significantly lower than would be the case if the Residual Certificates were taxed as debt instruments, or may be negative. Prospective purchasers of the Residual Certificates should consider carefully the tax consequences of an investment in Residual Certificates discussed in the prospectus and should consult their own tax advisors with respect to those consequences. See "Federal Income Tax Consequences--Tax Treatment of REMIC Residual Interests" in the prospectus. STATUS OF THE OFFERED CERTIFICATES The Residual Certificates and the Regular Interest components of the LIBOR Certificates will be treated as assets described in Section 7701(a)(19)(C) of the Code for a "domestic building and loan association", and as "real estate assets" under Section 856(c)(5)(B) of the Code for a "real estate investment trust" ("REIT"), generally, in the same proportion that the assets of the trust, exclusive of the Excess Reserve Fund Account, the Supplemental Interest Trust and the Maturity Reserve Accounts, would be so treated. In addition, to the extent the Regular Interest component of an Offered Certificate represents real estate assets under Section 856(c)(5)(B) of the Code, the interest derived from that component and the Residual Certificates would be interest on obligations secured by interests in real property for purposes of Section 856(c)(3)(B) of the Code for a REIT. The Basis Risk Contract and S-108 Maturity Contract components of the LIBOR Certificates will not, however, qualify as assets described in Section 7701(a)(19)(C) of the Code or as real estate assets under Section 856(c)(5)(B) of the Code. THE BASIS RISK CONTRACT COMPONENT As indicated above, a portion of the purchase price paid by a holder to acquire a LIBOR Certificate, or a portion of the proceeds of a sale of a LIBOR Certificate, will be attributable to the Basis Risk Contract component of such certificate. As of the closing date, the Basis Risk Contract components are expected to have a de minimis value. The portion of the overall purchase price attributable to the Basis Risk Contract component must be amortized over the life of such certificate, taking into account the declining balance of the related regular interest component. Treasury regulations concerning notional principal contracts provide alternative methods for amortizing the purchase price of an interest rate cap contract. Under one method - the level yield or constant interest method - the price paid for an interest rate cap is amortized over the life of the cap as though it were the principal amount of a loan bearing interest at a reasonable rate. Holders are urged to consult their tax advisors concerning the methods that can be employed to amortize the portion of the purchase price paid for the Basis Risk Contract component of a LIBOR Certificate. Any Basis Risk Carry Forward Amounts paid to a holder from the Excess Reserve Fund Account or the Supplemental Interest Trust will be treated as periodic payments on an interest rate cap contract. To the extent the sum of such periodic payments for any year exceeds that year's amortized cost of the related Basis Risk Contract component, such excess is ordinary income. Conversely, to the extent that the amount of that year's amortized cost exceeds the sum of the periodic payments, such excess shall represent a net deduction for that year. In addition, any amounts payable on a Regular Interest component in excess of the amount of payments on the LIBOR Certificates to which it relates as a result of certain Swap Termination Payments will be treated as having been received by the beneficial owners of such LIBOR Certificates and then paid by such owners to the Supplemental Interest Trust pursuant to the Basis Risk Contract, and such excess may be treated as a payment on a notional principal contract that is made by the beneficial owner during the applicable taxable year and that is taken into account in determining the beneficial owner's net income or net deduction with respect to the Basis Risk Contract for such taxable year. Although not clear, net income or a net deduction with respect to the Basis Risk Contract should be treated as ordinary income or as an ordinary deduction. Alternatively, such payments by beneficial owners of the LIBOR Certificates may be treated as a guarantee of the obligation of the holder of the Class X certificates to make payments under the interest rate swap agreement. A beneficial owner's ability to recognize a net deduction with respect to the Basis Risk Contract component of a LIBOR Certificate or any such guarantee payment may be limited under Sections 67 and/or 68 of the Code in the case of (1) estates and trusts and (2) individuals owning an interest in such component directly or through a "pass-through entity" (other than in connection with such individual's trade or business). Pass-through entities include partnerships, S corporations, grantor trusts and non-publicly offered regulated investment companies, but do not include estates, nongrantor trusts, cooperatives, real estate investment trusts and publicly offered regulated investment companies. Further, such a beneficial owner will not be able to recognize a net deduction with respect to the Basis Risk Contract component or any such guarantee payment in computing the beneficial owner's alternative minimum tax liability. Because a beneficial owner of a LIBOR Certificate will be required to include in income the amount deemed to have been paid by such owner pursuant to the Basis Risk Contract or such guarantee but may not be able to deduct that amount from income, a beneficial owner of a LIBOR Certificate may have income that exceeds cash distributions on the LIBOR Certificate, in any period and over the term of the LIBOR Certificate. As a result, the LIBOR Certificates may not be a suitable investment for any taxpayer whose net deduction with respect to the Basis Risk Contract or guarantee would be subject to the limitations described above. Subject to the foregoing, if for any year the amount of that year's amortized cost exceeds the sum of the periodic payments, such excess is allowable as an ordinary deduction. S-109 THE MATURITY CONTRACT COMPONENT As indicated above, a portion of the purchase price paid by a holder to acquire a LIBOR Certificate, or a portion of the proceeds of a sale of a LIBOR Certificate, may be attributable to the Maturity Contract component of such certificate. As of the closing date, the Maturity Contract components are expected to have a de minimis value. Any beneficial owner of a LIBOR Certificate receiving a principal payment from the Maturity Reserve Accounts will be treated as selling its certificate to the Class X Certificateholder and will be treated as receiving the amount of the principal payment from the Class X Certificateholder as proceeds of the sale. Accordingly, any principal payment from the Maturity Reserve Accounts will not be treated as a distribution from any REMIC. Prospective investors should consult their own tax advisors regarding the consequences to them of such a sale. OTHER MATTERS For a discussion of information reporting, backup withholding and taxation of foreign investors in the certificates, see "Federal Income Tax Consequences--Backup Withholding" and "--Taxation of Certain Foreign Holders of Debt Instruments" in the prospectus. STATE AND LOCAL TAXES The depositor makes no representations regarding the tax consequences of purchase, ownership or disposition of the LIBOR Certificates and the Residual Certificates under the tax laws of any state, local or other jurisdiction. Investors considering an investment in the LIBOR Certificates and the Residual Certificates may wish to consult their own tax advisors regarding these tax consequences. ERISA CONSIDERATIONS The Employee Retirement Income Security Act of 1974, as amended ("ERISA"), and Section 4975 of the Code, impose requirements on employee benefit plans subject to Title I of ERISA, and on certain other retirement plans and arrangements, including individual retirement accounts and annuities and Keogh plans, as well as on collective investment funds, separate accounts and other entities in which such plans, accounts or arrangements are invested (collectively, the "PLANS") and on persons who bear certain relationships to such Plans. See "ERISA Considerations" in the prospectus. The U.S. Department of Labor (the "DOL") has granted an administrative exemption to Goldman, Sachs & Co. (Prohibited Transaction Exemption ("PTE") 89-88, Exemption Application No. D-7573, 54 Fed. Reg. 42582 (1989)) (the "EXEMPTION") from certain of the prohibited transaction rules of ERISA with respect to the initial purchase, the holding and the subsequent resale by Plans of certificates representing interests in asset-backed pass-through trusts that consist of certain receivables, loans and other obligations that meet the conditions and requirements of the Exemption. The receivables covered by the Exemption include secured residential, commercial, and home equity loans such as the mortgage loans in the trust fund. The Exemption was amended by PTE 2000-58, Exemption Application No. D-10829, 65 Fed. Reg. 67765 (2000) and PTE 2002-41, Exemption Application No. D-11077, 67 Fed. Reg. 54487 (2002) to extend exemptive relief to certificates, including Subordinated Certificates, rated in the four highest generic rating categories in certain designated transactions, provided the conditions of the Exemption are met. The Exemption will apply to the acquisition, holding and resale of the LIBOR Certificates (the "ERISA ELIGIBLE CERTIFICATES") by a Plan (subject to the discussion below concerning the interest rate swap agreement), provided that specific conditions (certain of which are described below) are met. Among the conditions which must be satisfied for the Exemption, as amended, to apply to the ERISA Eligible Certificates are the following: (1) The acquisition of the ERISA Eligible Certificates by a Plan is on terms (including the price for the ERISA Eligible Certificates) that are at least as favorable to the Plan as they would be in an arm's length transaction with an unrelated party; S-110 (2) The ERISA Eligible Certificates acquired by the Plan have received a rating at the time of such acquisition that is one of the four highest generic rating categories from S&P, Moody's or Fitch, Inc.; (3) The trustee is not an affiliate of any other member of the Restricted Group (as defined below) other than an underwriter; (4) The sum of all payments made to and retained by the underwriter in connection with the distribution of the ERISA Eligible Certificates represents not more than reasonable compensation for underwriting the ERISA Eligible Certificates. The sum of all payments made to and retained by the depositor pursuant to the sale of the ERISA Eligible Certificates to the trust fund represents not more than the fair market value of such mortgage loans. The sum of all payments made to and retained by the servicer represents not more than reasonable compensation for the servicer's services under the pooling and servicing agreement and reimbursement of the servicer's reasonable expenses in connection with its services; and (5) The Plan investing in the ERISA Eligible Certificates is an "accredited investor" as defined in Rule 501(a)(1) of Regulation D of the Securities and Exchange Commission under the Securities Act of 1933, as amended. Moreover, the Exemption would provide relief from certain self-dealing/conflict of interest prohibited transactions that may arise when a Plan fiduciary causes a Plan to acquire certificates in a trust containing receivables on which the fiduciary (or its affiliate) is an obligor only if, among other requirements, (i) in the case of the acquisition of ERISA Eligible Certificates in connection with the initial issuance, at least 50% of each class of ERISA Eligible Certificates and at least 50% of the aggregate interests in the trust fund are acquired by persons independent of the Restricted Group (as defined below), (ii) the Plan's investment in ERISA Eligible Certificates does not exceed 25% of each class of ERISA Eligible Certificates outstanding at the time of the acquisition, (iii) immediately after the acquisition, no more than 25% of the assets of any Plan for which the fiduciary has discretionary authority or renders investment advice are invested in certificates representing an interest in one or more trusts containing assets sold or serviced by the same entity, and (iv) the fiduciary or its affiliate is an obligor with respect to obligations representing no more than 5% of the fair market value of the obligations in the trust. This relief is not available to Plans sponsored by the depositor, either underwriter, the trustee, the servicer, the Swap Provider, any obligor with respect to mortgage loans included in the trust fund constituting more than 5% of the aggregate unamortized principal balance of the assets in the trust fund, or any affiliate of such parties (the "RESTRICTED GROUP"). Except as provided below with respect to the interest rate swap agreement, the depositor believes that the Exemption will apply to the acquisition and holding by Plans of the ERISA Eligible Certificates sold by the underwriter and that all conditions of the Exemption other than those within the control of the investors have been met. In addition, as of the date of this prospectus supplement, there is no obligor with respect to mortgage loans included in the trust fund constituting more than five percent of the aggregate unamortized principal balance of the assets of the trust fund. Each purchaser that is a Plan or that is investing on behalf of or with plan assets of a Plan in reliance on the Exemption will be deemed to represent that it qualifies as an accredited investor as defined in Rule 501(a)(1) of Regulation D of the Securities Act. The rating of a certificate may change. If a class of certificates no longer has a rating of at least BBB- or its equivalent, then certificates of that class will no longer be eligible for relief under the Exemption, and consequently may not be purchased by or sold to a Plan (although a Plan that had purchased the certificates when it had a permitted rating would not be required by the Exemption to dispose of it). The interest rate swap agreement does not meet all of the requirements for an "eligible swap" under the Exemption, and consequently is not eligible for the exemptive relief available under the Exemption. For ERISA purposes, an interest in a class of LIBOR Certificates should represent beneficial interest in S-111 two assets, (i) the right to receive payments with respect to the applicable class without taking into account payments made or received with respect to the interest rate swap agreement and (ii) the rights and obligations under the interest rate swap agreement. A Plan's purchase and holding of an ERISA Eligible Certificate could constitute or otherwise result in a prohibited transaction under ERISA and Section 4975 of the Code between the Plan and the Swap Provider unless an exemption is available. Accordingly, as long as the interest rate swap agreement is in effect, no Plan or other person using Plan assets may acquire or hold any interest in an ERISA Eligible Certificate unless such acquisition or holding is eligible for the exemptive relief available under Department of Labor Prohibited Transaction Class Exemption ("PTE") 84-14 (for transactions by independent "QUALIFIED PROFESSIONAL ASSET MANAGERS"), PTE 91-38 (for transactions by bank collective investment funds), PTE 90-1 (for transactions by insurance company pooled separate accounts), PTE 95-60 (for transactions by insurance company general accounts) or PTE 96-23 (for transactions effected by "IN-HOUSE ASSET MANAGERS") or similar exemption under similar law (collectively, the "INVESTOR BASED EXEMPTIONS"). It should be noted, however, that even if the conditions specified in one or more of the Investor-Based Exemptions are met, the scope of relief provided by the Investor-Based Exemptions may not necessarily cover all acts that might be construed as prohibited transactions. Plan fiduciaries should consult their legal counsel concerning these issues. As long as the interest rate swap agreement is in effect, each beneficial owner of an ERISA Eligible Certificate, or any interest in an ERISA Eligible Certificate, shall be deemed to have represented that either (i) it is not a Plan or person using Plan assets or (ii) the acquisition and holding of the offered certificate are eligible for the exemptive relief available under at least one of the Investor-Based Exemptions. Employee benefit plans that are governmental plans (as defined in section 3(32) of ERISA) and certain church plans (as defined in section 3(33) of ERISA) are not subject to ERISA requirements. However, such plans may be subject to applicable provisions of other federal and state laws materially similar to the provisions of ERISA or the Code (any such applicable law, "SIMILAR LAW"). Any Plan fiduciary who proposes to cause a Plan to purchase ERISA Eligible Certificates should consult with its own counsel with respect to the potential consequences under ERISA and the Code of the Plan's acquisition and ownership of ERISA Eligible Certificates. Assets of a Plan or individual retirement account should not be invested in the ERISA Eligible Certificates unless it is clear that the assets of the trust fund will not be plan assets or unless it is clear that the Exemption and, as long as the interest rate swap agreement is in effect, one or more of the Investor Based Exemptions will apply and exempt all potential prohibited transactions. The Residual Certificates may not be purchased by or transferred to a Plan or any other person investing "plan assets" of any Plan (or any plan subject to SIMILAR LAW). Accordingly, the preceding discussion does not purport to discuss any considerations under ERISA, the Code or Similar Law with respect to the purchase, acquisition or resale of the Residual Certificates. LEGAL INVESTMENT The Offered Certificates will not constitute "mortgage related securities" for purposes of the Secondary Mortgage Market Enhancement Act of 1984, as amended, and as a result, the appropriate characterization of the Offered Certificates under various legal investment restrictions, and thus the ability of investors subject to these restrictions to purchase the Offered Certificates, is subject to significant interpretive uncertainties. No representations are made as to the proper characterization of the Offered Certificates for legal investment, financial institution regulatory purposes, or other purposes, or as to the ability of particular investors to purchase the Offered Certificates under applicable legal investment restrictions. The uncertainties described above and any unfavorable future determinations concerning the legal investment or financial institution regulatory characteristics of the Offered Certificates may adversely affect the liquidity of the Offered Certificates. S-112 Accordingly, all investors whose investment activities are subject to legal investment laws and regulations, regulatory capital requirements, or review by regulatory authorities should consult their own legal advisors in determining whether, and to what extent, the Offered Certificates will constitute legal investments for them or are subject to investment, capital or other restrictions. See "Legal Investment" in the prospectus. METHOD OF DISTRIBUTION The depositor has agreed to sell to the underwriter, and the underwriter has agreed to purchase, all of the Offered Certificates. An underwriting agreement among the depositor and the underwriter governs the sale of the Offered Certificates. The aggregate proceeds (excluding accrued interest) to the depositor from the sale of the Offered Certificates, before deducting expenses estimated to be approximately $2,500,000 will be approximately 99.6233% of the initial aggregate Class Principal Balances of the Offered Certificates. Under the underwriting agreement, the underwriter has agreed to take and pay for all of the Offered Certificates, if any are taken. The underwriter will distribute the Offered Certificates from time to time in negotiated transactions or otherwise at varying prices to be determined at the time of sale. The difference between the purchase price for the Offered Certificates paid to the depositor and the proceeds from the sale of the Offered Certificates realized by the underwriter will constitute underwriting discounts and commissions. The Offered Certificates are a new issue of securities with no established trading market. The depositor has been advised by the underwriter that the underwriter intends to make a market in the Offered Certificates but they are not obligated to do so and may discontinue market making at any time without notice. No assurance can be given as to the liquidity of the trading market for the Offered Certificates. The depositor has agreed to indemnify the underwriter against certain civil liabilities, including liabilities under Securities Act of 1933. Goldman, Sachs & Co., the underwriter, is an affiliate of GSMC, the depositor and the Swap Provider. LEGAL MATTERS The validity of the certificates and certain federal income tax matters will be passed upon for the depositor and the underwriter by Cadwalader, Wickersham & Taft LLP, New York, New York. S-113 RATINGS In order to be issued, the Offered Certificates must be assigned ratings not lower than the following by Standard & Poor's Ratings Services, a division of The McGraw-Hill Companies, Inc. ("S&P"), Fitch, Inc. ("FITCH") and Moody's Investors Service, Inc. ("MOODY'S"): CLASS S&P FITCH MOODY'S ----- --- ----- ------- A-1............ AAA AAA Aaa A-2A........... AAA AAA Aaa A-2B........... AAA AAA Aaa A-2C........... AAA AAA Aaa M-1............ AA+ AA+ Aa1 M-2............ AA+ AA+ Aa2 M-3............ AA AA Aa3 M-4............ AA- AA- A1 M-5............ A+ A+ A2 M-6............ A A A3 B-1............ A- A- Baa1 B-2............ BBB+ BBB+ Baa2 B-3............ BBB BBB Baa3 B-4............ BBB- BBB- Ba1 R-1............ AAA AAA Aaa R-2............ AAA AAA Aaa R-3............ AAA AAA Aaa A securities rating addresses the likelihood of the receipt by a certificateholder of distributions on the mortgage loans to which they are entitled to by the Rated Final Distribution Date. The rating takes into consideration the characteristics of the mortgage loans and the structural, legal and tax aspects associated with the certificates. The ratings on the Offered Certificates do not, however, constitute statements regarding the likelihood or frequency of prepayments on the mortgage loans, the payment of the Basis Risk Carry Forward Amount or the possibility that a holder of an Offered Certificate might realize a lower than anticipated yield. Explanations of the significance of such ratings may be obtained from Standard & Poor's Ratings Services, 55 Water Street, New York, New York 10041, Fitch, Inc., One State Street Plaza, New York, New York 10007 and Moody's Investors Service, Inc., 99 Church Street, New York, New York 10007. A security rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time by the assigning rating organization. Each security rating should be evaluated independently of any other security rating. In the event that the ratings initially assigned to any of the Offered Certificates by S&P, Fitch or Moody's are subsequently lowered for any reason, no person or entity is obligated to provide any additional support or credit enhancement with respect to such Offered Certificates. S-114 GLOSSARY OF TERMS The following terms have the meanings given below when used in this prospectus supplement. "ACCRUED CERTIFICATE INTEREST" means, for each class of LIBOR Certificates on any Distribution Date, the amount of interest accrued during the related Interest Accrual Period on the related Class Certificate Balance immediately prior to such Distribution Date at the related Pass-Through Rate, as reduced by that class's share of net prepayment interest shortfalls and any shortfalls resulting from the application of the Servicemembers Civil Relief Act or any similar state statute, as described in "Description of the Certificates--Distributions of Interest and Principal" in this prospectus supplement. "ADJUSTMENT DATE" has the meaning set forth in "The Mortgage Loan Pool--Adjustable-Rate Mortgage Loans" in this prospectus supplement. "APPLIED REALIZED LOSS AMOUNT" has the meaning set forth in "Description of the Certificates--Distributions of Interest and Principal" in this prospectus supplement. "ARM" means an adjustable-rate mortgage loan. "AVAILABLE FUNDS" means, with respect to any Distribution Date, the sum of the following amounts, to the extent received by the trustee, with respect to the mortgage loans, net of amounts payable or reimbursable to the depositor, the servicer, the custodians and the trustee, if any, payable with respect to that Distribution Date: (1) the aggregate amount of monthly payments on the mortgage loans due on the due date in the related Due Period and received by the servicer on or prior to the related Determination Date, after deduction of the applicable servicing fee, and the trustee fee for that Distribution Date, together with any related P&I Advance for that Distribution Date, (2) certain unscheduled payments in respect of the mortgage loans received by the servicer during the related Prepayment Period, including prepayments, Insurance Proceeds, Condemnation Proceeds, and net Liquidation Proceeds, excluding Prepayment Premiums, (3) Compensating Interest payments in respect of prepayment interest shortfalls for that Distribution Date, (4) the proceeds from repurchases of mortgage loans received and any Substitution Adjustment Amounts received in connection with the substitution of mortgage loans with respect to that Distribution Date, (5) any Net Swap Receipts for such Distribution Date, and (6) all proceeds received with respect to any Optional Clean-up Call. The holders of the Class P certificates will be entitled to all Prepayment Premiums received on the mortgage loans and such amounts will not be part of Available Funds or available for distribution to the holders of the Offered Certificates. "BASIC PRINCIPAL DISTRIBUTION AMOUNT" means, with respect to any Distribution Date, the excess of (i) the aggregate Principal Remittance Amount for that Distribution Date over (ii) the Excess Overcollateralized Amount, if any, for that Distribution Date. "BASIS RISK CARRY FORWARD AMOUNT" has the meaning set forth in "Description of the Certificates--Excess Reserve Fund Account" in this prospectus supplement. "BASIS RISK CONTRACTS" has the meaning set forth in "Federal Income Tax Consequences--Taxation of Regular Interests" in this prospectus supplement. "BASIS RISK PAYMENT" has the meaning set forth in "Description of the Certificates--Excess Reserve Fund Account" in this prospectus supplement. "BULK MORTGAGE LOANS" means the mortgage loans in the trust that were acquired by GSMC from various original loan sellers that each individually sold mortgage loans comprising less than 10% of the total mortgage loans in the trust. "CLASS A" means the Class A-1, Class A-2A, Class A-2B and Class A-2C certificates, collectively. S-115 "CLASS A CERTIFICATE GROUP" means the Class A-1 Certificate Group or the Class A-2 Certificate Group, as applicable. "CLASS A PRINCIPAL ALLOCATION PERCENTAGE" for any Distribution Date is the percentage equivalent of a fraction, determined as follows: (i) with respect to the Class A-1 Certificate Group, a fraction, the numerator of which is the portion of the Principal Remittance Amount for that Distribution Date that is attributable to the principal received or advanced on the group I mortgage loans and the denominator of which is the Principal Remittance Amount for that Distribution Date; and (ii) with respect to the Class A-2 Certificate Group, a fraction, the numerator of which is the portion of the Principal Remittance Amount for that Distribution Date that is attributable to the principal received or advanced on the group II mortgage loans and the denominator of which is the Principal Remittance Amount for that Distribution Date. "CLASS A PRINCIPAL DISTRIBUTION AMOUNT" means, with respect to any Distribution Date is the excess of (a) the aggregate Class Certificate Balance of the Class A certificates immediately prior to that Distribution Date over (b) the lesser of (x) 50.90% of the aggregate Stated Principal Balances of the mortgage loans for that Distribution Date and (y) the excess, if any, of the aggregate Stated Principal Balance of the mortgage loans for that Distribution Date over the Overcollateralization Floor. "CLASS A-1 CERTIFICATE GROUP" means the Class A-1 certificates. "CLASS A-2 CERTIFICATE GROUP" means the Class A-2A, Class A-2B and Class A-2C certificates, collectively. "CLASS B-1 PRINCIPAL DISTRIBUTION AMOUNT" means, with respect to any Distribution Date, the excess of (i) the sum of (a) the aggregate Class Certificate Balances of the Class A certificates (after taking into account the distribution of the Class A Principal Distribution Amount for that Distribution Date), (b) the Class Certificate Balance of the Class M-1 certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount for that Distribution Date), (c) the Class Certificate Balance of the Class M-2 certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount for that Distribution Date), (d) the Class Certificate Balance of the Class M-3 certificates (after taking into account the distribution of the Class M-3 Principal Distribution Amount for that Distribution Date), (e) the Class Certificate Balance of the Class M-4 certificates (after taking into account the distribution of the Class M-4 Principal Distribution Amount for that Distribution Date), (f) the Class Certificate Balance of the Class M-5 certificates (after taking into account the distribution of the Class M-5 Principal Distribution Amount for that Distribution Date), (g) the Class Certificate Balance of the Class M-6 certificates (after taking into account the distribution of the Class M-6 Principal Distribution Amount for that Distribution Date) and (h) the Class Certificate Balance of the Class B-1 certificates immediately prior to that Distribution Date, over the lesser of (a) 85.20% of the aggregate Stated Principal Balances of the mortgage loans for that Distribution Date and (b) the excess, if any, of the aggregate Stated Principal Balance of the mortgage loans for that Distribution Date over the Overcollateralization Floor. "CLASS B-2 PRINCIPAL DISTRIBUTION AMOUNT" means, with respect to any Distribution Date, the excess of (i) the sum of (a) the aggregate Class Certificate Balances of the Class A certificates (after taking into account the distribution of the Class A Principal Distribution Amount for that Distribution Date), (b) the Class Certificate Balance of the Class M-1 certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount for that Distribution Date), (c) the Class Certificate Balance of the Class M-2 certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount for that Distribution Date), (d) the Class Certificate Balance of the Class M-3 certificates (after taking into account the distribution of the Class M-3 Principal Distribution Amount for that Distribution Date), (e) the Class Certificate Balance of the Class M-4 certificates (after taking into account the distribution of the Class M-4 Principal Distribution Amount for that Distribution Date), (f) the Class Certificate Balance of the Class M-5 certificates (after taking into account the distribution of the Class M-5 Principal Distribution Amount for that Distribution Date), (g) the Class Certificate Balance of the Class M-6 S-116 certificates (after taking into account the distribution of the Class M-6 Principal Distribution Amount for that Distribution Date), (h) the Class Certificate Balance of the Class B-1 certificates (after taking into account the distribution of the Class B-1 Principal Distribution Amount for that Distribution Date) and (i) the Class Certificate Balance of the Class B-2 certificates immediately prior to that Distribution Date, over the lesser of (a) 87.70% of the aggregate Stated Principal Balances of the mortgage loans for that Distribution Date and (b) the excess, if any, of the aggregate Stated Principal Balance of the mortgage loans for that Distribution Date over the Overcollateralization Floor. "CLASS B-3 PRINCIPAL DISTRIBUTION AMOUNT" means, with respect to any Distribution Date, the excess of (i) the sum of (a) the aggregate Class Certificate Balances of the Class A certificates (after taking into account the distribution of the Class A Principal Distribution Amount for that Distribution Date), (b) the Class Certificate Balance of the Class M-1 certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount for that Distribution Date), (c) the Class Certificate Balance of the Class M-2 certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount for that Distribution Date), (d) the Class Certificate Balance of the Class M-3 certificates (after taking into account the distribution of the Class M-3 Principal Distribution Amount for that Distribution Date), (e) the Class Certificate Balance of the Class M-4 certificates (after taking into account the distribution of the Class M-4 Principal Distribution Amount for that Distribution Date), (f) the Class Certificate Balance of the Class M-5 certificates (after taking into account the distribution of the Class M-5 Principal Distribution Amount for that Distribution Date), (g) the Class Certificate Balance of the Class M-6 certificates (after taking into account the distribution of the Class M-6 Principal Distribution Amount for that Distribution Date), (h) the Class Certificate Balance of the Class B-1 certificates (after taking into account the distribution of the Class B-1 Principal Distribution Amount for that Distribution Date), (i) the Class Certificate Balance of the Class B-2 certificates (after taking into account the distribution of the Class B-2 Principal Distribution Amount for that Distribution Date) and (j) the Class Certificate Balance of the Class B-3 certificates immediately prior to that Distribution Date, over the lesser of (a) 90.40% of the aggregate Stated Principal Balances of the mortgage loans for that Distribution Date and (b) the excess, if any, of the aggregate Stated Principal Balance of the mortgage loans for that Distribution Date over the Overcollateralization Floor. "CLASS B-4 PRINCIPAL DISTRIBUTION AMOUNT" means, with respect to any Distribution Date, the excess of (i) the sum of (a) the aggregate Class Certificate Balances of the Class A certificates (after taking into account the distribution of the Class A Principal Distribution Amount for that Distribution Date), (b) the Class Certificate Balance of the Class M-1 certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount for that Distribution Date), (c) the Class Certificate Balance of the Class M-2 certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount for that Distribution Date), (d) the Class Certificate Balance of the Class M-3 certificates (after taking into account the distribution of the Class M-3 Principal Distribution Amount for that Distribution Date), (e) the Class Certificate Balance of the Class M-4 certificates (after taking into account the distribution of the Class M-4 Principal Distribution Amount for that Distribution Date), (f) the Class Certificate Balance of the Class M-5 certificates (after taking into account the distribution of the Class M-5 Principal Distribution Amount for that Distribution Date), (g) the Class Certificate Balance of the Class M-6 certificates (after taking into account the distribution of the Class M-6 Principal Distribution Amount for that Distribution Date), (h) the Class Certificate Balance of the Class B-1 certificates (after taking into account the distribution of the Class B-1 Principal Distribution Amount for that Distribution Date), (i) the Class Certificate Balance of the Class B-2 certificates (after taking into account the distribution of the Class B-2 Principal Distribution Amount for that Distribution Date), (j) the Class Certificate Balance of the Class B-3 certificates (after taking into account the distribution of the Class B-3 Principal Distribution Amount for that Distribution Date) and (k) the Class Certificate Balance of the Class B-4 certificates immediately prior to that Distribution Date, over the lesser of (a) 92.90% of the aggregate Stated Principal Balances of the mortgage loans for that Distribution Date and (b) the excess, if any, of the aggregate Stated Principal Balance of the mortgage loans for that Distribution Date over the Overcollateralization Floor. "CLASS CERTIFICATE BALANCE" means, with respect to any class of LIBOR Certificates as of any Distribution Date, the initial Class Certificate Balance of that class reduced by the sum of: S-117 o all amounts previously distributed to holders of certificates of that class as payments of principal, and o the amount of any Applied Realized Loss Amounts previously allocated to that class of certificates; provided, however, that immediately following the Distribution Date on which a Subsequent Recovery is distributed, the Class Certificate Balances of any class or classes of certificates that have been previously reduced by Applied Realized Loss Amounts will be increased, in order of seniority, by the amount of the Subsequent Recovery distributed on such Distribution Date (up to the amount of Applied Realized Loss Amounts allocated to such class or classes). "CLASS M-1 PRINCIPAL DISTRIBUTION AMOUNT" means, with respect to any Distribution Date is the excess of (i) the sum of (a) the aggregate Class Certificate Balances of the Class A certificates (after taking into account the distribution of the Class A Principal Distribution Amount for that Distribution Date) and (b) the Class Certificate Balance of the Class M-1 certificates immediately prior to that Distribution Date over (ii) the lesser of (a) 58.80% of the aggregate Stated Principal Balances of the mortgage loans for that Distribution Date and (b) the excess, if any, of the aggregate Stated Principal Balance of the mortgage loans for that Distribution Date over the Overcollateralization Floor. "CLASS M-2 PRINCIPAL DISTRIBUTION AMOUNT" means, with respect to any Distribution Date is the excess of (i) the sum of (a) the aggregate Class Certificate Balances of the Class A certificates (after taking into account the distribution of the Class A Principal Distribution Amount for that Distribution Date), (b) the Class Certificate Balance of the Class M-1 certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount for that Distribution Date) and (c) the Class Certificate Balance of the Class M-2 certificates immediately prior to that Distribution Date over (ii) the lesser of (a) 66.30% of the aggregate Stated Principal Balances of the mortgage loans for that Distribution Date and (b) the excess, if any, of the aggregate Stated Principal Balance of the mortgage loans for that Distribution Date over the Overcollateralization Floor. "CLASS M-3 PRINCIPAL DISTRIBUTION AMOUNT" means, with respect to any Distribution Date is the excess of (i) the sum of (a) the aggregate Class Certificate Balances of the Class A certificates (after taking into account the distribution of the Class A Principal Distribution Amount for that Distribution Date), (b) the Class Certificate Balance of the Class M-1 certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount for that Distribution Date), (c) the Class Certificate Balance of the Class M-2 certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount for that Distribution Date), and (d) the Class Certificate Balance of the Class M-3 certificates immediately prior to that Distribution Date, over the lesser of (a) 71.40% of the aggregate Stated Principal Balances of the mortgage loans for that Distribution Date and (b) the excess, if any, of the aggregate Stated Principal Balance of the mortgage loans for that Distribution Date over the Overcollateralization Floor. "CLASS M-4 PRINCIPAL DISTRIBUTION AMOUNT" means, with respect to any Distribution Date is the excess of (i) the sum of (a) the aggregate Class Certificate Balances of the Class A certificates (after taking into account the distribution of the Class A Principal Distribution Amount for that Distribution Date), (b) the Class Certificate Balance of the Class M-1 certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount for that Distribution Date), (c) the Class Certificate Balance of the Class M-2 certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount for that Distribution Date), (d) the Class Certificate Balance of the Class M-3 certificates (after taking into account the distribution of the Class M-3 Principal Distribution Amount for that Distribution Date), and (e) the Class Certificate Balance of the Class M-4 certificates immediately prior to that Distribution Date, over the lesser of (a) 75.00% of the aggregate Stated Principal Balances of the mortgage loans for that Distribution Date and (b) the excess, if any, of the aggregate Stated Principal Balance of the mortgage loans for that Distribution Date over the Overcollateralization Floor. "CLASS M-5 PRINCIPAL DISTRIBUTION AMOUNT" means, with respect to any Distribution Date is the excess of (i) the sum of (a) the aggregate Class Certificate Balances of the Class A certificates (after S-118 taking into account the distribution of the Class A Principal Distribution Amount for that Distribution Date), (b) the Class Certificate Balance of the Class M-1 certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount for that Distribution Date), (c) the Class Certificate Balance of the Class M-2 certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount for that Distribution Date), (d) the Class Certificate Balance of the Class M-3 certificates (after taking into account the distribution of the Class M-3 Principal Distribution Amount for that Distribution Date), (e) the Class Certificate Balance of the Class M-4 certificates (after taking into account the distribution of the Class M-4 Principal Distribution Amount for that Distribution Date), and (f) the Class Certificate Balance of the Class M-5 certificates immediately prior to that Distribution Date, over the lesser of (a) 78.60% of the aggregate Stated Principal Balances of the mortgage loans for that Distribution Date and (b) the excess, if any, of the aggregate Stated Principal Balance of the mortgage loans for that Distribution Date over the Overcollateralization Floor. "CLASS M-6 PRINCIPAL DISTRIBUTION AMOUNT" means, with respect to any Distribution Date is the excess of (i) the sum of (a) the aggregate Class Certificate Balances of the Class A certificates (after taking into account the distribution of the Class A Principal Distribution Amount for that Distribution Date), (b) the Class Certificate Balance of the Class M-1 certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount for that Distribution Date), (c) the Class Certificate Balance of the Class M-2 certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount for that Distribution Date), (d) the Class Certificate Balance of the Class M-3 certificates (after taking into account the distribution of the Class M-3 Principal Distribution Amount for that Distribution Date), (e) the Class Certificate Balance of the Class M-4 certificates (after taking into account the distribution of the Class M-4 Principal Distribution Amount for that Distribution Date), (f) the Class Certificate Balance of the Class M-5 certificates (after taking into account the distribution of the Class M-5 Principal Distribution Amount for that Distribution Date), and (g) the Class Certificate Balance of the Class M-6 certificates immediately prior to that Distribution Date, over the lesser of (a) 81.80% of the aggregate Stated Principal Balances of the mortgage loans for that Distribution Date and (b) the excess, if any, of the aggregate Stated Principal Balance of the mortgage loans for that Distribution Date over the Overcollateralization Floor. "CODE" has the meaning set forth in "Federal Income Tax Consequences" in this prospectus supplement. "COMBINED ORIGINAL LOAN-TO-VALUE RATIO" has the meaning set forth in "The Mortgage Loan Pool--General" in this prospectus supplement. "COMPENSATING INTEREST" has the meaning set forth in "The Pooling and Servicing Agreement--Prepayment Interest Shortfalls" in this prospectus supplement. "CONDEMNATION PROCEEDS" means all awards or settlements in respect of a mortgaged property, whether permanent or temporary, partial or entire, by exercise of the power of eminent domain or condemnation. "CONDUIT MORTGAGE LOANS" means the mortgage loans in the trust that were acquired by GSMC through the Goldman Sachs Mortgage Company mortgage conduit program. "COUPON STRIP" has the meaning set forth in "Description of the Certificates--Distributions of Interest and Principal" in this prospectus supplement. "COUPON STRIP RATE" has the meaning set forth in "Description of the Certificates--Distributions of Interest and Principal" in this prospectus supplement. "COUPON STRIP RESERVE ACCOUNT" has the meaning set forth in "Description of the Certificates--Maturity Reserve Accounts" in this prospectus supplement. "CREDIT SCORES" has the meaning set forth in "The Mortgage Loan Pool--Credit Scores" in this prospectus supplement. S-119 "DEFAULTED SWAP TERMINATION PAYMENT" has the meaning set forth in "Description of the Certificates--Interest Rate Swap Agreement" in this prospectus supplement. "DETERMINATION DATE" means, for each Distribution Date, the 18th of the month in which such Distribution Date occurs, or, if that day is not a business day, the immediately preceding business day. "DISTRIBUTION DATE" means the 25th of each month or, if that day is not a business day, the immediately succeeding business day. "DOL" has the meaning set forth in "ERISA Considerations" in this prospectus supplement. "DOWNGRADE TERMINATING EVENT" has the meaning set forth in "Description of the Certificates--Interest Rate Swap Agreement" in this prospectus supplement. "DUE PERIOD" means, with respect to any Distribution Date, the period commencing on the second day of the calendar month preceding the month in which that Distribution Date occurs and ending on the first day in the calendar month in which that Distribution Date occurs. "EQUIFIRST" means EquiFirst Corporation, a North Carolina corporation. "EQUIFIRST AGREEMENTS" has the meaning set forth in "Description of the Certificates--Representations and Warranties Relating to the Mortgage Loans" in this prospectus supplement. "EQUIFIRST ASSIGNMENT AGREEMENT" has the meaning set forth in "Description of the Certificates--Representations and Warranties Relating to the Mortgage Loans" in this prospectus supplement. "EQUIFIRST MORTGAGE LOANS" means the mortgage loans in the trust that were acquired from EquiFirst. "ERISA" has the meaning set forth in "ERISA Considerations" in this prospectus supplement. "ERISA ELIGIBLE CERTIFICATES" has the meaning set forth in "ERISA Considerations" in this prospectus supplement. "EXCESS CASHFLOW ACCOUNT" has the meaning set forth in "Description of the Certificates--Maturity Reserve Accounts" in this prospectus supplement. "EXCESS OVERCOLLATERALIZED AMOUNT" is described in "Description of the Certificates--Overcollateralization Provisions" in this prospectus supplement. "EXCESS RESERVE FUND ACCOUNT" has the meaning set forth in "Description of the Certificates--Excess Reserve Fund Account" in this prospectus supplement. "EXEMPTION" has the meaning set forth in "ERISA Considerations" in this prospectus supplement. "EXPENSE FEE RATE" means, with respect to any mortgage loan, a per annum rate equal to the sum of the servicing fee rate and the trustee fee rate. The Expense Fee Rate is not expected to exceed 0.510%. See "The Pooling and Servicing Agreement--Servicing and Trustee Fees and Other Compensation and Payment of Expenses" in this prospectus supplement. "EXTRA PRINCIPAL DISTRIBUTION AMOUNT" means, as of any Distribution Date, the lesser of (x) the related Total Monthly Excess Spread for that Distribution Date and (y) the related Overcollateralization Deficiency for that Distribution Date. "FITCH" has the meaning set forth in "Ratings" in this prospectus supplement. "FREMONT" means Fremont Investment & Loan, a California state chartered industrial bank. S-120 "FREMONT AGREEMENTS" has the meaning set forth in "Description of the Certificates--Representations and Warranties Relating to the Mortgage Loans" in this prospectus supplement. "FREMONT ASSIGNMENT AGREEMENT" has the meaning set forth in "Description of the Certificates--Representations and Warranties Relating to the Mortgage Loans" in this prospectus supplement. "FREMONT MORTGAGE LOANS" means the mortgage loans in the trust that were acquired from Fremont. "GROSS MARGIN" has the meaning set forth in "The Mortgage Loan Pool--Adjustable-Rate Mortgage Loans" in this prospectus supplement. "GSMC" means Goldman Sachs Mortgage Company, a New York limited partnership. "INDEX" shall mean the Six-Month LIBOR Loan Index. "INITIAL CAP" has the meaning set forth in "The Mortgage Loan Pool--Adjustable-Rate Mortgage Loans" in this prospectus supplement. "INSURANCE PROCEEDS" means, with respect to each mortgage loan, proceeds of insurance policies insuring the mortgage loan or the related mortgaged property. "INTEREST ACCRUAL PERIOD" means, for any Distribution Date, with respect to the LIBOR Certificates, the period commencing on the immediately preceding Distribution Date (or, for the initial Distribution Date, the closing date) and ending on the day immediately preceding the current Distribution Date. "INTEREST REMITTANCE AMOUNT" means, with respect to any Distribution Date and the mortgage loans in a loan group, that portion of Available Funds attributable to interest (calculated net of the Expense Fee Rate) relating to the mortgage loans in that mortgage loan group and any Net Swap Receipts attributable to that loan group for that Distribution Date, net of any Net Swap Payments made from that loan group with respect to that Distribution Date. "INVESTOR BASED EXEMPTIONS" has the meaning set forth in "ERISA Considerations" in this prospectus supplement." "JPMORGAN" means JPMorgan Chase Bank, National Association, a national banking association. "LIBOR CERTIFICATES" has the meaning set forth in "Description of the Certificates--General" in this prospectus supplement. "LIBOR DETERMINATION DATE" means, with respect to any Interest Accrual Period, the second London business day preceding the commencement of that Interest Accrual Period. For purposes of determining One-Month LIBOR, a "London business day" is any day on which dealings in deposits of United States dollars are transacted in the London interbank market. "LIQUIDATION PROCEEDS" means any cash received in connection with the liquidation of a defaulted mortgage loan, whether through a trustee's sale, foreclosure sale or otherwise, including any Subsequent Recoveries. "LOAN GROUP I CAP" has the meaning set forth in "Description of the Certificates--Distributions of Interest and Principal" in this prospectus supplement. "LOAN GROUP II CAP" has the meaning set forth in "Description of the Certificates--Distributions of Interest and Principal" in this prospectus supplement. "LOAN-TO-VALUE RATIO" or "LTV" has the meaning set forth in "The Mortgage Loan Pool--General" in this prospectus supplement. S-121 "MATURITY CONTRACT" has the meaning set forth in "Federal Income Tax Consequences--Taxation of Regular Interests" in the prospectus supplement. "MATURITY RESERVE ACCOUNTS" has the meaning set forth in "Description of the Certificates--Maturity Reserve Accounts" in this prospectus supplement. "MAXIMUM RATE" has the meaning set forth in "The Mortgage Loan Pool--Adjustable-Rate Mortgage Loans" in this prospectus supplement. "MERS DESIGNATED MORTGAGE LOAN" means any mortgage loan for which (1) Mortgage Electronic Registration Systems, Inc., its successors and assigns has been designated the mortgagee of record and (2) the trustee is designated the investor pursuant to the procedures manual of MERSCORP, Inc. "MINIMUM RATE" has the meaning set forth in "The Mortgage Loan Pool--Adjustable-Rate Mortgage Loans" in this prospectus supplement. "MOODY'S" has the meaning set forth in "Ratings" in this prospectus supplement. "NET MONTHLY EXCESS CASH FLOW" has the meaning set forth in "Description of the Certificates--Overcollateralization Provisions" in this prospectus supplement. "NET SWAP PAYMENT" has the meaning set forth in "Description of the Certificates--Interest Rate Swap Agreement" in this prospectus supplement. "NET SWAP RECEIPT" has the meaning set forth in "Description of the Certificates--Interest Rate Swap Agreement" in this prospectus supplement. "OFFERED CERTIFICATES" has the meaning set forth in "Description of the Certificates-General" in this prospectus supplement. "ONE-MONTH LIBOR" means, with respect to any LIBOR Determination Date, the London interbank offered rate for one-month United States dollar deposits which appears in the Telerate Page 3750 as of 11:00 a.m., London time, on that date. If the rate does not appear on Telerate Page 3750, the rate for that day will be determined on the basis of the rates at which deposits in United States dollars are offered by the Reference Banks at approximately 11:00 a.m. (London time), on that day to prime banks in the London interbank market. The trustee will be required to request the principal London office of each of the Reference Banks to provide a quotation of its rate. If at least two quotations are provided, the rate for that day will be the arithmetic mean of the quotations (rounded upwards if necessary to the nearest whole multiple of 1/16%). If fewer than two quotations are provided as requested, the rate for that day will be the arithmetic mean of the rates quoted by major banks in New York City, selected by the trustee (after consultation with the depositor), at approximately 11:00 a.m. (New York City time) on that day for loans in United States dollars to leading European banks. "OPTIONAL CLEAN-UP CALL" has the meaning set forth in "The Pooling and Servicing Agreement--Termination; Optional Clean-up Call" in this prospectus supplement. "ORIGINAL LOAN-TO-VALUE RATIO" has the meaning set forth in "The Mortgage Loan Pool--General" in this prospectus supplement. "ORIGINAL SALE DATE" means, with regard to each Conduit mortgage loan, the date on which GSMC acquired such Conduit mortgage loan from the applicable original loan seller; with respect to each Fremont mortgage loan, June 29, 2005 or July 27, 2005, as applicable; with respect to each EquiFirst mortgage loan, June 1, 2005; and with respect to each Bulk mortgage loan, the date on which GSMC acquired such Bulk mortgage loan from the applicable original loan seller. "OVERCOLLATERALIZATION DEFICIENCY" has the meaning set forth in "Description of the Certificates--Overcollateralization Provisions" in this prospectus supplement. S-122 "OVERCOLLATERALIZATION FLOOR" means 0.50% of the aggregate Stated Principal Balance of the mortgage loans as of the cut-off date. "OVERCOLLATERALIZATION REDUCTION AMOUNT" has the meaning set forth in "Description of the Certificates--Overcollateralization Provisions" in this prospectus supplement. "OVERCOLLATERALIZED AMOUNT" has the meaning set forth in "Description of the Certificates--Overcollateralization Provisions" in this prospectus supplement. "P&I ADVANCES" means advances made by the servicer on each Distribution Date with respect to delinquent payments of interest and principal on the mortgage loans, less the servicing fee. "PASS-THROUGH RATE" has the meaning set forth in "Description of the Certificates--Distributions of Interest and Principal" in this prospectus supplement. "PERIODIC CAP" has the meaning set forth in "The Mortgage Loan Pool--Adjustable-Rate Mortgage Loans" in this prospectus supplement. "PLAN" has the meaning set forth in "ERISA Considerations" in this prospectus supplement. "PREPAYMENT ASSUMPTION" has the meaning set forth in "Prepayment and Yield Considerations--Structuring Assumptions" in this prospectus supplement. "PREPAYMENT PERIOD" means, with respect to any Distribution Date, the calendar month preceding the month in which that Distribution Date occurs. "PREPAYMENT PREMIUM" has the meaning set forth in "The Mortgage Loan Pool--Prepayment Premiums" in this prospectus supplement. "PRINCIPAL DISTRIBUTION AMOUNT" has the meaning set forth in "Description of the Certificates--Distributions of Interest and Principal" in this prospectus supplement. "PRINCIPAL REMITTANCE AMOUNT" means, with respect to any Distribution Date, to the extent of funds available for distribution as described in this prospectus supplement, the amount equal to the sum of the following amounts (without duplication) with respect to the related Due Period: (i) each scheduled payment of principal on a mortgage loan due during the related Due Period and received by the servicer on or prior to the related Determination Date or advanced by the servicer for the related Servicer Remittance Date, (ii) all full and partial principal prepayments received on the mortgage loans during the related Prepayment Period, (iii) all net Liquidation Proceeds, Condemnation Proceeds and Insurance Proceeds on the mortgage loans allocable to principal and received during the related Prepayment Period, (iv) the portion of the repurchase price allocable to principal with respect to each mortgage loan that was repurchased with respect to that Distribution Date, (v) the portion of Substitution Adjustment Amounts allocable to principal received in connection with the substitution of any mortgage loan as of that Distribution Date, and (vi) the portion of the proceeds received with respect to any Optional Clean-up Call (to the extent they relate to principal). "PTE" has the meaning set forth in "ERISA Considerations" in this prospectus supplement. "RATED FINAL DISTRIBUTION DATE" has the meaning set forth in "Prepayment and Yield Considerations--Last Scheduled Distribution Date" in this prospectus supplement. "RATING AGENCY CONDITION" means, with respect to any action to which a Rating Agency Condition applies, that each rating agency shall have been given ten days (or such shorter period as is acceptable to each rating agency) prior notice of that action and that each of the rating agencies shall have notified the trustee, the servicer, the depositor and the trust in writing that such action will not result in a reduction, qualification or withdrawal of the then current rating of the certificates that it maintains. S-123 "REALIZED LOSS" has the meaning set forth in "Prepayment and Yield Considerations--Defaults" in this prospectus supplement. "RECORD DATE" means, (a) with respect to any Distribution Date and the LIBOR Certificates, the last business day of the related Interest Accrual Period, unless the LIBOR Certificates are issued in definitive form, in which case the Record Date will be the last business day of the month immediately preceding the month in which that Distribution Date occurs, and (b) with respect to the Residual Certificates, the last business day of the month preceding the month in which the related Distribution Date occurs. "REFERENCE BANKS" means leading banks selected by the trustee (after consultation with the depositor) and engaged in transactions in Eurodollar deposits in the international Eurocurrency market. "REGULAR INTEREST" has the meaning set forth in "Federal Income Tax Consequences--General" in this prospectus supplement. "REIT" has the meaning set forth in "Federal Income Tax Consequences" in this prospectus supplement. "REPRESENTATIONS AGREEMENT" has the meaning set forth in "Description of the Certificates--Assignment of the Mortgage Loans" in this prospectus supplement. "REQUIRED SWAP COUNTERPARTY RATING" means, with respect to a counterparty or entity guaranteeing the obligations of such counterparty, (x) either (i) if such counterparty or entity has only a long-term rating by Moody's, a long-term senior, unsecured debt obligation rating, credit rating or other similar rating (as the case may be, the "Long-Term Rating") of at least "Aa3" by Moody's and if rated "Aa3" by Moody's is not on negative credit watch by Moody's or (ii) if such counterparty or entity has a Long-Term Rating and a short-term rating by Moody's, a Long-Term Rating of at least "A1" by Moody's and a short-term rating of "P-1" by Moody's and, in each case, such rating is not on negative credit watch by Moody's, (y) (i) a short-term rating of at least "A-1" by S&P or (ii) if such counterparty or entity does not have a short-term rating by S&P, a Long-Term Rating of at least "A+" by S&P and (z) (i) short-term rating of at least "F1" by Fitch (if rated by Fitch or, if not rated by Fitch but rated by another rating agency, the corresponding rating from such rating agency) or (ii) if such counterparty or entity does not have a short-term rating by Fitch, a Long-Term Rating of at least "A+" by Fitch (if rated by Fitch or, if not rated by Fitch but rated by another rating agency, the corresponding rating from such rating agency). "RESIDUAL CERTIFICATES" has the meaning set forth in "Description of the Certificates--General" in this prospectus supplement. "RESTRICTED GROUP" has the meaning set forth in "ERISA Considerations" in this prospectus supplement. "S&P" has the meaning set forth in "Ratings" in this prospectus supplement. "SENIOR ENHANCEMENT PERCENTAGE" means with respect to any Distribution Date, the percentage obtained by dividing (x) the sum of (i) the aggregate Class Certificate Balance of the Subordinated Certificates and (ii) the Overcollateralized Amount (in each case after taking into account the distributions of the related Principal Distribution Amount for that Distribution Date) by (y) the aggregate Stated Principal Balance of the mortgage loans for that Distribution Date. "SENIOR SPECIFIED ENHANCEMENT PERCENTAGE" on any date of determination is approximately 49.10%. "SERVICER REMITTANCE DATE" means, with respect to any Distribution Date, the business day immediately preceding that Distribution Date. "SIX-MONTH LIBOR LOAN INDEX" has the meaning set forth in "The Mortgage Loan Pool--The Index" in this prospectus supplement. S-124 "SPECIFIED OVERCOLLATERALIZED AMOUNT" means, prior to the Stepdown Date, an amount equal to 3.55% of the aggregate Stated Principal Balance of the mortgage loans as of the cut-off date; on and after the Stepdown Date, an amount equal to 7.10% of the aggregate Stated Principal Balance of the mortgage loans for that Distribution Date, subject, until the Class Certificate Balance of each class of LIBOR Certificates has been reduced to zero, to a minimum amount equal to the Overcollateralization Floor; provided, however, that if, on any Distribution Date, a Trigger Event has occurred, the Specified Overcollateralized Amount will not be reduced to the applicable percentage of the then Stated Principal Balance of the mortgage loans but instead will remain the same as the prior period's Specified Overcollateralized Amount until the Distribution Date on which a Trigger Event is no longer occurring. When the Class Certificate Balance of each class of LIBOR Certificates has been reduced to zero, the Specified Overcollateralized Amount will thereafter equal zero. "STATED PRINCIPAL BALANCE" means, as to any mortgage loan and as of any date of determination, (i) the principal balance of the mortgage loan at the cut-off date after giving effect to payments of principal due on or before such date, minus (ii) all amounts previously remitted to the trustee with respect to the related mortgage loan representing payments or recoveries of principal, including advances in respect of scheduled payments of principal. For purposes of any Distribution Date, the Stated Principal Balance of any mortgage loan will give effect to any scheduled payments of principal received by the servicer on or prior to the related Determination Date or advanced by the servicer for the related Servicer Remittance Date and any unscheduled principal payments and other unscheduled principal collections received during the related Prepayment Period, and the Stated Principal Balance of any mortgage loan that has prepaid in full or has been liquidated during the related Prepayment Period will be zero. "STEPDOWN DATE" means the earlier to occur of (a) the date on which the aggregate Class Certificate Balances of the Class A certificates have been reduced to zero and (b) the later to occur of (i) the Distribution Date in September 2008 and (ii) the first Distribution Date on which the Senior Enhancement Percentage is greater than or equal to the Senior Specified Enhancement Percentage. "STRUCTURING ASSUMPTIONS" has the meaning set forth in "Prepayment and Yield Considerations--Structuring Assumptions" in this prospectus supplement. "SUBORDINATED CERTIFICATES" means any of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2, Class B-3 or Class B-4 certificates. "SUBSEQUENT RECOVERY" has the meaning set forth in "Description of the Certificates--Distributions of Interest and Principal" in this prospectus supplement. "SUBSTITUTE MORTGAGE LOAN" means a mortgage loan substituted by Fremont or EquiFirst within 120 days of the applicable Original Sale date for a mortgage loan that is in breach of Fremont's or EquiFirst's representations and warranties regarding the applicable mortgage loans or a mortgage loan substituted by GSMC within two years of the closing date for a mortgage loan that is in breach of GSMC's representations and warranties regarding the applicable mortgage loans, which must, on the date of such substitution, (i) have a principal balance, after deduction of the principal portion of the scheduled payment due in the month of substitution, not in excess of the principal balance of the mortgage loan in breach; (ii) be accruing interest at a rate no lower than and not more than 1% per annum higher than, that of the mortgage loan in breach; (iii) have a remaining term to maturity no greater than (and not more than one year less than that of) the mortgage loan in breach; (iv) be of the same type as the mortgage loan in breach (i.e., fixed rate or adjustable-rate with same Periodic Cap and Index) and (v) comply with each representation and warranty made by GSMC, Fremont or EquiFirst, as applicable. "SUBSTITUTION ADJUSTMENT AMOUNT" has the meaning set forth in "Description of the Certificates--Representations and Warranties Relating to the Mortgage Loans" in this prospectus supplement. "SUBSTITUTION EVENT" has the meaning set forth in "Description of the Certificates--Interest Rate Swap Agreement" in this prospectus supplement. S-125 "SUPPLEMENTAL INTEREST TRUST" has the meaning set forth in "Description of the Certificates--Supplemental Interest Trust" in this prospectus supplement. "SWAP PROVIDER" has the meaning set forth in "Description of the Certificates--Interest Rate Swap Agreement" in this prospectus supplement. "SWAP TERMINATION PAYMENT" has the meaning set forth in "Description of the Certificates--Interest Rate Swap Agreement" in this prospectus supplement. "TELERATE PAGE 3750" means the display page currently so designated on the Bridge Telerate Service (or any other page as may replace that page on that service for the purpose of displaying comparable rates or prices). "TOTAL MONTHLY EXCESS SPREAD" means, with respect to any Distribution Date, the excess, if any, of (x) the interest collected on the mortgage loans by the servicer on or prior to the related Determination Date or advanced by the servicer for the related Servicer Remittance Date, net of the servicing fee and the trustee fee and plus Net Swap Receipts and less Net Swap Payments for such Distribution Date, over (y) the amounts paid to the classes of certificates pursuant to clause (i) under the seventh full paragraph of "Description of the Certificates--Distributions of Interest and Principal" in this prospectus supplement. "TRIGGER EVENT," with respect to any Distribution Date, means the circumstances in which (i) the quotient (expressed as a percentage) of (x) the rolling three month average of the aggregate unpaid principal balance of the mortgage loans that are 60 days delinquent or more, including mortgage loans in foreclosure, all REO properties and all mortgage loans where the mortgagor has filed for bankruptcy, and (y) the aggregate unpaid principal balance of the mortgage loans, as of the last day of the related Due Period, equals or exceeds 33.00% of the Senior Enhancement Percentage as of the last day of the prior Due Period or (ii) the aggregate amount of realized losses incurred since the cut-off date through the last day of the related Prepayment Period divided by the aggregate Stated Principal Balance of the mortgage loans as of the cut-off date exceeds the applicable percentages described below with respect to such Distribution Date:
DISTRIBUTION DATE OCCURRING IN CUMULATIVE REALIZED LOSS PERCENTAGE ------------------------------ ----------------------------------- September 2007 - August 2008 1.700% for the first month, plus an additional 1/12th of 2.150% for each month thereafter September 2008 - August 2009 3.850% for the first month, plus an additional 1/12th of 2.200% for each month thereafter September 2009 - August 2010 6.050% for the first month, plus an additional 1/12th of 1.750% for each month thereafter September 2010 - August 2011 7.800% for the first month, plus an additional 1/12th of 0.450% for each month thereafter September 2011 and thereafter 8.250%
"TRUST REMICS" has the meaning set forth in "Federal Income Tax Consequences--General" in this prospectus supplement. "UNPAID INTEREST AMOUNT" for any class of certificates and any Distribution Date will equal the sum of (a) the portion of Accrued Certificate Interest from Distribution Dates prior to the current Distribution Date remaining unpaid immediately prior to the current Distribution Date, and (b) interest on the amount in clause (a) at the applicable Pass-Through Rate (to the extent permitted by applicable law). "WAC CAP" has the meaning set forth in "Description of the Certificates--Distributions of Interest and Principal" in this prospectus supplement. S-126 ANNEX I CERTAIN U.S. FEDERAL INCOME TAX DOCUMENTATION REQUIREMENTS A holder that is not a "United States person" (a "U.S. PERSON") within the meaning of Section 7701(a)(30) of the Code (a "NON-U.S. HOLDER") holding a book-entry certificate through Clearstream, societe anonyme, Euroclear or DTC may be subject to U.S. withholding tax unless such holder provides certain documentation to the issuer of such holder's book-entry certificate, the paying agent or any other entity required to withhold tax (any of the foregoing, a "U.S. WITHHOLDING AGENT") establishing an exemption from withholding. A non-U.S. holder may be subject to withholding unless each U.S. withholding agent receives: 1. from a non-U.S. holder that is classified as a corporation for U.S. federal income tax purposes or is an individual, and is eligible for the benefits of the portfolio interest exemption or an exemption (or reduced rate) based on a treaty, a duly completed and executed IRS Form W-8BEN (or any successor form); 2. from a non-U.S. holder that is eligible for an exemption on the basis that the holder's income from the LIBOR Certificate is effectively connected to its U.S. trade or business, a duly completed and executed IRS Form W-8ECI (or any successor form); 3. from a non-U.S. holder that is classified as a partnership for U.S. federal income tax purposes, a duly completed and executed IRS Form W-8IMY (or any successor form) with all supporting documentation (as specified in the U.S. Treasury Regulations) required to substantiate exemptions from withholding on behalf of its partners; certain partnerships may enter into agreements with the IRS providing for different documentation requirements and it is recommended that such partnerships consult their tax advisors with respect to these certification rules; 4. from a non-U.S. holder that is an intermediary (i.e., a person acting as a custodian, a broker, nominee or otherwise as an agent for the beneficial owner of an Offered Certificate): (a) if the intermediary is a "qualified intermediary" within the meaning of section 1.1441-1(e)(5)(ii) of the U.S. Treasury Regulations (a "QUALIFIED INTERMEDIARY"), a duly completed and executed IRS Form W-8IMY (or any successor or substitute form)-- (i) stating the name, permanent residence address and qualified intermediary employer identification number of the qualified intermediary and the country under the laws of which the qualified intermediary is created, incorporated or governed, (ii) certifying that the qualified intermediary has provided, or will provide, a withholding statement as required under section 1.1441-1(e)(5)(v) of the U.S. Treasury Regulations, (iii) certifying that, with respect to accounts it identifies on its withholding statement, the qualified intermediary is not acting for its own account but is acting as a qualified intermediary, and (iv) providing any other information, certifications, or statements that may be required by the IRS Form W-8IMY or accompanying instructions in addition to, or in lieu of, the information and certifications described in section 1.1441-1(e)(3)(ii) or 1.1441-1(e)(5)(v) of the U.S. Treasury Regulations; or (b) if the intermediary is not a qualified intermediary (a "NONQUALIFIED INTERMEDIARY"), a duly completed and executed IRS Form W-8IMY (or any successor or substitute form)-- I-1 (i) stating the name and permanent residence address of the nonqualified intermediary and the country under the laws of which the nonqualified intermediary is created, incorporated or governed, (ii) certifying that the nonqualified intermediary is not acting for its own account, (iii) certifying that the nonqualified intermediary has provided, or will provide, a withholding statement that is associated with the appropriate IRS Forms W-8 and W-9 required to substantiate exemptions from withholding on behalf of such nonqualified intermediary's beneficial owners, and (iv) providing any other information, certifications or statements that may be required by the IRS Form W-8IMY or accompanying instructions in addition to, or in lieu of, the information, certifications, and statements described in section 1.1441-1(e)(3)(iii) or (iv) of the U.S. Treasury Regulations; or 5. from a non-U.S. holder that is a trust, depending on whether the trust is classified for U.S. federal income tax purposes as the beneficial owner of the Offered Certificate, either an IRS Form W-8BEN or W-8IMY; any non-U.S. holder that is a trust should consult its tax advisors to determine which of these forms it should provide. All non-U.S. holders will be required to update the above-listed forms and any supporting documentation in accordance with the requirements under the U.S. Treasury Regulations. These forms generally remain in effect for a period starting on the date the form is signed and ending on the last day of the third succeeding calendar year, unless a change in circumstances makes any information on the form incorrect. Under certain circumstances, an IRS Form W-8BEN, if furnished with a taxpayer identification number, remains in effect until the status of the beneficial owner changes, or a change in circumstances makes any information on the form incorrect. In addition, all holders, including holders that are U.S. persons, holding book-entry certificates through Clearstream, societe anonyme, Euroclear or DTC may be subject to backup withholding unless the holder-- (i) provides the appropriate IRS Form W-8 (or any successor or substitute form), duly completed and executed, if the holder is a non-U.S. holder; (ii) provides a duly completed and executed IRS Form W-9, if the holder is a U.S. person; or (iii) can be treated as a "exempt recipient" within the meaning of section 1.6049-4(c)(1)(ii) of the U.S. Treasury Regulations (e.g., a corporation or a financial institution such as a bank). This summary does not deal with all of the aspects of U.S. federal income tax withholding or backup withholding that may be relevant to investors that are non-U.S. holders. Such holders are advised to consult their own tax advisors for specific tax advice concerning their holding and disposing of book-entry certificates. I-2 ANNEX II INTEREST RATE SWAP NOTIONAL AMOUNT AMORTIZATION SCHEDULE INTEREST RATE SWAP DISTRIBUTION DATE NOTIONAL AMOUNT ($) ----------------- ------------------- 09/05 1,405,121,142 10/05 1,384,837,395 11/05 1,359,719,373 12/05 1,329,804,135 01/06 1,295,173,648 02/06 1,255,956,804 03/06 1,212,329,558 04/06 1,164,515,621 05/06 1,112,786,184 06/06 1,057,459,437 07/06 998,923,601 08/06 941,580,744 09/06 887,259,244 10/06 835,847,389 11/06 787,188,819 12/06 741,135,598 01/07 697,547,765 02/07 656,292,902 03/07 617,245,714 04/07 580,287,657 05/07 545,306,576 06/07 512,196,352 07/07 147,802,705 08/07 140,686,917 09/07 133,916,116 10/07 127,473,446 11/07 121,342,876 12/07 115,509,167 01/08 109,957,830 02/08 104,675,090 03/08 99,647,850 04/08 94,863,656 05/08 90,310,667 06/08 85,978,032 07/08 59,035,942 08/08 56,368,240 09/08 53,820,743 10/08 51,388,046 11/08 49,064,988 12/08 46,846,641 01/09 44,728,294 02/09 42,705,451 03/09 40,773,818 04/09 38,929,292 05/09 37,167,954 06/09 35,486,062 07/09 33,880,042 08/09 32,346,480 09/09 30,882,115 10/09 29,483,833 11/09 28,148,660 12/09 26,873,755 01/10 25,656,405 02/10 24,494,018 03/10 23,384,119 04/10 22,324,346 05/10 21,312,439 06/10 20,346,245 07/10 19,423,682 08/10 18,542,065 II-1 [This page intentionally left blank] ANNEX III COUPON STRIP RESERVE ACCOUNT SCHEDULE
DISTRIBUTION DATE SCHEDULED AMOUNT ($) DISTRIBUTION DATE SCHEDULED AMOUNT ($) DISTRIBUTION DATE SCHEDULED AMOUNT ($) ----------------- -------------------- ----------------- -------------------- ----------------- -------------------- 8/15 25,382,771.24 7/19 20,376,164.19 6/23 16,181,167.11 9/15 25,266,409.37 8/19 20,279,147.23 7/23 16,099,357.77 10/15 25,150,506.81 9/19 20,182,494.70 8/23 16,017,831.25 11/15 25,035,061.31 10/19 20,086,204.77 9/23 15,936,585.95 12/15 24,920,070.75 11/19 19,990,275.54 10/23 15,855,620.22 1/16 24,805,532.93 12/19 19,894,705.18 11/23 15,774,932.50 2/16 24,691,445.70 1/20 19,799,491.86 12/23 15,694,521.14 3/16 24,577,806.90 2/20 19,704,633.74 1/24 15,614,384.55 4/16 24,464,614.39 3/20 19,610,128.99 2/24 15,534,521.13 5/16 24,351,866.03 4/20 19,515,975.78 3/24 15,454,929.30 6/16 24,239,559.70 5/20 19,422,172.28 4/24 15,375,607.43 7/16 24,127,693.27 6/20 19,328,716.71 5/24 15,296,553.97 8/16 24,016,264.62 7/20 19,235,607.21 6/24 15,217,767.30 9/16 23,905,271.64 8/20 19,142,842.03 7/24 15,139,245.84 10/16 23,794,712.26 9/20 19,050,419.35 8/24 15,060,988.07 11/16 23,684,584.34 10/20 18,958,337.38 9/24 14,982,992.35 12/16 23,574,885.85 11/20 18,866,594.34 10/24 14,905,257.14 1/17 23,465,614.66 12/20 18,775,188.44 11/24 14,827,780.86 2/17 23,356,768.72 1/21 18,684,117.92 12/24 14,750,561.99 3/17 23,248,345.96 2/21 18,593,381.00 1/25 14,673,598.92 4/17 23,140,344.35 3/21 18,502,975.91 2/25 14,596,890.10 5/17 23,032,761.82 4/21 18,412,900.90 3/25 14,520,434.04 6/17 22,925,596.33 5/21 18,323,154.21 4/25 14,444,229.10 7/17 22,818,845.84 6/21 18,233,734.10 5/25 14,368,273.80 8/17 22,712,508.32 7/21 18,144,638.83 6/25 14,292,566.60 9/17 22,606,581.77 8/21 18,055,866.66 7/25 14,217,105.92 10/17 22,501,064.16 9/21 17,967,415.83 8/25 14,141,890.25 11/17 22,395,953.47 10/21 17,879,284.66 9/25 14,066,918.08 12/17 22,291,247.74 11/21 17,791,471.40 10/25 13,992,187.87 1/18 22,186,944.92 12/21 17,703,974.32 11/25 13,917,698.07 2/18 22,083,043.07 1/22 17,616,791.72 12/25 13,843,447.20 3/18 21,979,540.19 2/22 17,529,921.91 1/26 13,769,433.70 4/18 21,876,434.29 3/22 17,443,363.19 2/26 13,695,656.10 5/18 21,773,723.47 4/22 17,357,113.80 3/26 13,622,112.85 6/18 21,671,405.68 5/22 17,271,172.12 4/26 13,548,802.48 7/18 21,569,479.02 6/22 17,185,536.42 5/26 13,475,723.46 8/18 21,467,941.54 7/22 17,100,205.03 6/26 13,402,874.30 9/18 21,366,791.30 8/22 17,015,176.26 7/26 13,330,253.49 10/18 21,266,026.36 9/22 16,930,448.45 8/26 13,257,859.56 11/18 21,165,644.76 10/22 16,846,019.94 9/26 13,185,690.99 12/18 21,065,644.64 11/22 16,761,889.02 10/26 13,113,746.29 1/19 20,966,024.03 12/22 16,678,054.08 11/26 13,042,023.98 2/19 20,866,781.05 1/23 16,594,513.45 12/26 12,970,522.58 3/19 20,767,913.81 2/23 16,511,265.44 1/27 12,899,240.61 4/19 20,669,420.39 3/23 16,428,308.45 2/27 12,828,176.61 5/19 20,571,298.89 4/23 16,345,640.84 3/27 12,757,329.08 6/19 20,473,547.45 5/23 16,263,260.93 4/27 12,686,696.52
III-1
DISTRIBUTION DATE SCHEDULED AMOUNT ($) DISTRIBUTION DATE SCHEDULED AMOUNT ($) DISTRIBUTION DATE SCHEDULED AMOUNT ($) ----------------- -------------------- ----------------- -------------------- ----------------- -------------------- 5/27 12,616,277.51 2/30 10,402,762.24 11/32 8,368,951.12 6/27 12,546,070.57 3/30 10,338,745.40 12/32 8,309,597.49 7/27 12,476,074.24 4/30 10,274,892.02 1/33 8,250,361.74 8/27 12,406,287.05 5/30 10,211,200.77 2/33 8,191,242.52 9/27 12,336,707.51 6/30 10,147,670.18 3/33 8,132,238.46 10/27 12,267,334.20 7/30 10,084,298.91 4/33 8,073,348.16 11/27 12,198,165.65 8/30 10,021,085.53 5/33 8,014,570.25 12/27 12,129,200.43 9/30 9,958,028.70 6/33 7,955,903.38 1/28 12,060,437.07 10/30 9,895,126.97 7/33 7,897,346.19 2/28 11,991,874.11 11/30 9,832,378.99 8/33 7,838,897.25 3/28 11,923,510.13 12/30 9,769,783.35 9/33 7,780,555.24 4/28 11,855,343.69 1/31 9,707,338.66 10/33 7,722,318.77 5/28 11,787,373.32 2/31 9,645,043.54 11/33 7,664,186.48 6/28 11,719,597.61 3/31 9,582,896.63 12/33 7,606,156.99 7/28 11,652,015.10 4/31 9,520,896.49 1/34 7,548,228.92 8/28 11,584,624.39 5/31 9,459,041.78 2/34 7,490,400.90 9/28 11,517,424.00 6/31 9,397,331.12 3/34 7,432,671.55 10/28 11,450,412.53 7/31 9,335,763.10 4/34 7,375,039.51 11/28 11,383,588.55 8/31 9,274,336.35 5/34 7,317,503.42 12/28 11,316,950.65 9/31 9,213,049.51 6/34 7,260,061.87 1/29 11,250,497.36 10/31 9,151,901.16 7/34 7,202,713.48 2/29 11,184,227.30 11/31 9,090,889.97 8/34 7,145,456.92 3/29 11,118,139.04 12/31 9,030,014.53 9/34 7,088,290.77 4/29 11,052,231.15 1/32 8,969,273.46 10/34 7,031,213.68 5/29 10,986,502.22 2/32 8,908,665.40 11/34 6,974,224.26 6/29 10,920,950.84 3/32 8,848,188.97 12/34 6,917,321.14 7/29 10,855,575.59 4/32 8,787,842.79 1/35 6,860,502.93 8/29 10,790,375.07 5/32 8,727,625.48 2/35 6,803,768.25 9/29 10,725,347.86 6/32 8,667,535.67 3/35 6,747,115.73 10/29 10,660,492.55 7/32 8,607,572.00 4/35 6,690,544.00 11/29 10,595,807.74 8/32 8,547,733.09 5/35 6,634,051.64 12/29 10,531,292.00 9/32 8,488,017.55 6/35 6,577,637.30 1/30 10,466,943.98 10/32 8,428,424.02 7/35 6,521,299.57 8/35 6,465,037.09
III-2 SCHEDULE A - STRUCTURAL AND COLLATERAL TERM SHEET $1,413,322,200 APPROXIMATE(1)(4) GSAMP 2005-HE4 GS MORTGAGE SECURITIES CORP., DEPOSITOR MORTGAGE PASS-THROUGH CERTIFICATES OVERVIEW OF THE OFFERED CERTIFICATES
------------------------------------------------------------------------------------------------------------------------------ APPROXIMATE PRIMARY EXPECTED INITIAL ESTIMATED PRINCIPAL EXPECTED OFFERED PRINCIPAL COLLATERAL CREDIT PASS-THROUGH AVG. LIFE PAYMENT RATINGS CERTIFICATES BALANCE(1)(4) GROUP SUPPORT RATE((5)) (YRS)(2) WINDOW(2)(3) S&P / FITCH / MOODY'S ------------------------------------------------------------------------------------------------------------------------------ A-1 $371,030,000 Group I 24.55% LIBOR + 0.240% 2.39 09/05 - 12/12 AAA / AAA / Aaa A-2A $385,189,000 Group II 24.55% LIBOR + 0.120% 1.00 09/05 - 06/07 AAA / AAA / Aaa A-2B $255,843,000 Group II 24.55% LIBOR + 0.250% 3.00 06/07 - 02/11 AAA / AAA / Aaa A-2C $93,538,000 Group II 24.55% LIBOR + 0.370% 6.88 02/11 - 12/12 AAA / AAA / Aaa M-1 $57,881,000 Groups I & II 20.60% LIBOR + 0.450% 5.10 03/09 - 12/12 AA+ / AA+ / Aa1 M-2 $54,951,000 Groups I & II 16.85% LIBOR + 0.490% 5.04 01/09 - 12/12 AA+ / AA+ / Aa2 M-3 $37,366,000 Groups I & II 14.30% LIBOR + 0.520% 5.01 12/08 - 12/12 AA / AA / Aa3 M-4 $26,376,000 Groups I & II 12.50% LIBOR + 0.590% 5.00 11/08 - 12/12 AA- / AA- / A1 M-5 $26,376,000 Groups I & II 10.70% LIBOR + 0.630% 4.99 11/08 - 12/12 A+ / A+ / A2 M-6 $23,446,000 Groups I & II 9.10% LIBOR + 0.690% 4.98 10/08 - 12/12 A / A / A3 B-1 $24,911,000 Groups I & II 7.40% LIBOR + 1.150% 4.97 10/08 - 12/12 A- / A- / Baa1 B-2 $18,316,000 Groups I & II 6.15% LIBOR + 1.300% 4.97 10/08 - 12/12 BBB+ / BBB+ / Baa2 B-3 $19,782,000 Groups I & II 4.80% LIBOR + 1.750% 4.96 09/08 - 12/12 BBB / BBB / Baa3 B-4 $18,317,000 Groups I & II 3.55% LIBOR + 2.500% 4.95 09/08 - 12/12 BBB- / BBB- / Ba1 R-1 $50 Groups I & II 24.55% N/A N/A N/A AAA / AAA / Aaa R-2 $100 Groups I & II 24.55% N/A N/A N/A AAA / AAA / Aaa R-3 $50 Groups I & II 24.55% N/A N/A N/A AAA / AAA / Aaa ------------------------------------------------------------------------------------------------------------------------------ TOTAL $1,413,322,200 ------------------------------------------------------------------------------------------------------------------------------
(1) The principal balances of the Offered Certificates are calculated using the scheduled principal balances of the Mortgage Loans as of the Cut-Off date. (2) Assuming payment based on the pricing speeds outlined in "Key Terms - Pricing Prepayment Assumption" and to a 10% Optional Clean-up Call on all certificates. (3) The rated final distribution date for the certificates is the Distribution Date in August 2035. (4) The initial aggregate principal balance of the Offered Certificates will be subject to an upward or downward variance of no more than approximately 5%. (5) See the "Structure of the LIBOR Certificates" section of this Term Sheet for more information on the pass-through rates of the Offered Certificates. SELECTED MORTGAGE POOL DATA(6)
-------------------------------------------------------------------------------------- GROUP I GROUP II -------------------------------------------------------------------------------------------------------------- AGGREGATE ADJUSTABLE RATE FIXED RATE ADJUSTABLE RATE FIXED RATE ------------------------------------------------------------------------------------------------------------------------------ Scheduled Principal Balance: $441,952,996 $58,576,900 $814,636,104 $180,118,015 $1,495,284,015 Number of Mortgage Loans: 2,806 813 3,487 1,704 8,810 Average Scheduled Principal Balance: $157,503 $ 72,050 $233,621 $105,703 $169,726 Weighted Average Gross Coupon: 7.255% 8.736% 7.364% 7.990% 7.452% Weighted Average Net Coupon((7)): 6.715% 8.226% 6.854% 7.480% 6.942% Weighted Average Current FICO Score: 621 633 627 638 627 Weighted Average Original LTV Ratio(8): 81.20% 56.56% 82.66% 64.09% 78.97% Weighted Average Combined Original LTV 82.67% Ratio(8): 81.27% 87.29% 82.68% 84.56% Weighted Average Std. Remaining Term 358 (months): 361 311 363 339 Weighted Average Seasoning (months): 2 2 2 1 2 Weighted Average Months to Roll(9): 25 N/A 23 N/A 24 Weighted Average Gross Margin(9): 6.35% N/A 6.37% N/A 6.36% Weighted Average Initial Rate Cap(9): 2.70% N/A 2.56% N/A 2.61% Weighted Average Periodic Rate Cap(9): 1.31% N/A 1.30% N/A 1.30% Weighted Average Gross Max. Lifetime Rate(9): 13.61% N/A 13.71% N/A 13.67% ------------------------------------------------------------------------------------------------------------------------------
(6) All percentages related to the Mortgage Loans calculated herein are percentages of their scheduled principal balances as of the Statistical Calculation Date. (7) The Weighted Average Net Coupon is equivalent to the Weighted Average Gross Coupon less the Expense Fee Rate. (8) With respect to first lien mortgage loans, the original LTV ratio reflects the original loan-to-value ratio, and with respect to the second lien mortgage loans, the combined original LTV ratio reflects the ratio of the sum of the original principal balance of the second lien mortgage loans plus the original principal balance of the related first lien mortgage loan, to the value of the mortgaged property. (9) Represents the weighted average of the adjustable rate mortgage loans in the applicable loan group. This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-1 FEATURES OF THE TRANSACTION o The mortgage loans in the transaction consist of subprime fixed and adjustable rate, first and second lien residential mortgage loans (the "Mortgage Loans") originated by or acquired from Fremont Investment & Loan ("Fremont") (48.42%), various other sellers, each comprising of less than 10% (29.78%) and purchased through the Goldman Sachs Residential Mortgage Conduit (21.80%). o Credit support for the certificates will be provided through a senior/subordinate structure, initial overcollateralization of 3.55% and excess spread. o Upon completion of servicing transfers (scheduled to occur by November 1, 2005), all of the Mortgage Loans will be serviced by JPMorgan Chase Bank, National Association ("JPMorgan"). JPMorgan's servicer ratings are Strong (S&P), RPS1 (Fitch) and SQ1 (Moody's). o All amounts and percentages herein related to the Mortgage Loans are as of the Statistical Calculation Date unless as otherwise noted. o None of the Mortgage Loans are (a) covered by the Home Ownership and Equity Protection Act of 1994, as amended, or (b) classified as "high cost" loans under any other applicable state, federal or local law or (c) secured by a property in the state of Georgia and originated between October 1, 2002 and March 7, 2003. o The transaction will be modeled on INTEX as "GSA05HE4" and on Bloomberg as "GSAMP 05-HE4". o This transaction will contain a swap agreement with an initial swap notional amount of approximately $1,405,121,142. The swap notional amount will amortize in accordance with the swap schedule. Under the swap agreement, on each Distribution Date prior to the termination of the swap agreement, the trust will be obligated to pay an amount equal to a per annum rate of 4.456% (on a 30/360 basis) on the lesser of the swap notional amount and the aggregate class certificate balance of the LIBOR Certificates to the swap provider and the trust will be entitled to receive an amount equal to a per annum rate of one-month LIBOR (on an actual/360 basis), on the lesser of the swap notional amount and the aggregate class certificate balance of the LIBOR Certificates from the swap provider. o The Offered Certificates will be registered under a registration statement filed with the Securities and Exchange Commission. TIME TABLE EXPECTED CLOSING DATE: August 25, 2005 CUT-OFF DATE: August 1, 2005 STATISTICAL CALCULATION DATE: July 1, 2005 EXPECTED PRICING DATE: On or before August 17, 2005 FIRST DISTRIBUTION DATE: September 26, 2005 KEY TERMS OFFERED CERTIFICATES: Class A, Class M and Class B Certificates LIBOR CERTIFICATES: The Offered Certificates CLASS A-2 CERTIFICATES: Class A-2A, Class A-2B and Class A-2C Certificates CLASS A CERTIFICATES: Class A-1 and Class A-2 Certificates CLASS M CERTIFICATES: Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 and Class M-6 Certificates CLASS B CERTIFICATES: Class B-1, Class B-2, Class B-3 and Class B-4 Certificates CLASS R CERTIFICATES: Class R-1, Class R-2 and Class R-3 Certificates. DEPOSITOR: GS Mortgage Securities Corp. LEAD MANAGER: Goldman, Sachs & Co. SERVICER: Upon completion of servicing transfers (scheduled to occur by November 1, 2005), JPMorgan. TRUSTEE: Deutsche Bank National Trust Company CUSTODIANS: Wells Fargo Bank, N.A., Deutsche Bank National Trust Company and JPMorgan SWAP PROVIDER: Goldman Sachs Mitsui Marine Derivative Products L.P. SERVICING FEE RATE: 50 bps TRUSTEE FEE RATE: No more than 1 bp EXPENSE FEE RATE: The Servicing Fee Rate and the Trustee Fee Rate This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-2 DISTRIBUTION DATE: 25th day of the month or the following Business Day RATED FINAL DISTRIBUTION DATE: For all certificates, the Distribution Date occurring in August 2035. MORTGAGE LOANS: The trust will consist of two groups of subprime, fixed and adjustable rate, first and second lien residential mortgage loans GROUP I MORTGAGE LOANS: Approximately $500,529,896 of Mortgage Loans with original principal balances that conform to the original principal balance limits for one- to four-family residential mortgage loan guidelines set by both Fannie Mae and Freddie Mac. GROUP II MORTGAGE LOANS: Approximately $994,754,119 of Mortgage Loans with original principal balances that may or may not conform to the original principal balance limits for one- to four-family residential mortgage loan guidelines set by Fannie Mae or Freddie Mac. RECORD DATE: For any Distribution Date, with respect to each class of Offered Certificates, the last business day of the Interest Accrual Period. With respect to the Class R Certificates, the last business day of the month preceding the month in which the Distribution Date occurs. DELAY DAYS: 0 day delay on all certificates DAY COUNT: Actual/360 basis PREPAYMENT PERIOD: The calendar month prior to the Distribution Date DUE PERIOD: The period commencing on the second day of the calendar month preceding the month in which the Distribution Date occurs and ending on the first day of the calendar month in which Distribution Date occurs. INTEREST ACCRUAL PERIOD: The prior Distribution Date to the day prior to the current Distribution Date, except for the initial accrual period for which interest will accrue from the Closing Date. PRICING PREPAYMENT ASSUMPTION: Adjustable rate mortgage loans: CPR starting at 5% CPR in the first month of the mortgage loan (i.e. loan age) and increasing to 28% CPR in month 12 (an approximate 2.091% increase per month), and remaining at 28% CPR thereafter. Fixed rate mortgage loans: CPR starting at 5% CPR in the first month of the mortgage loan (i.e. loan age) and increasing to 24% CPR in month 12 (an approximate 1.727% increase per month), and remaining at 24% CPR thereafter. This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-3 EXCESS SPREAD: The initial weighted average net coupon of the mortgage pool will be greater than the interest payments on the LIBOR Certificates, resulting in excess cash flow calculated in the following manner based on the collateral as of the Cut-Off Date: Initial Gross WAC:(1) 7.4441% Less Expense Fee Rate: 0.5100% ---------- Net WAC:(1) 6.9341% Less Initial Swap Outflow:(2) 0.8376% Less Initial Wtd. Avg. Certificate Coupon (Approx.):(2) 3.7880% ---------- Initial Excess Spread:(1) 2.3085%
(1) This amount will vary on each Distribution Date based on changes to the weighted average interest rate on the Mortgage Loans as well as any changes in day count. (2) Assumes 1-month LIBOR equal to 3.5825%, initial marketing spreads and a 30-day month. This amount will vary on each Distribution Date based on changes to the weighted average pass-through rates on the LIBOR Certificates as well as any changes in day count. SERVICER ADVANCING: Yes, as to principal and interest, subject to recoverability COMPENSATING INTEREST: The Servicer will pay compensating interest up to the lesser of (A) the aggregate of the prepayment interest shortfalls on the Mortgage Loans for the related Distribution Date resulting from principal prepayments on the Mortgage Loans during the related Prepayment Period and (B) the aggregate Servicing Fee received by the Servicer for that Distribution Date. OPTIONAL CLEAN-UP CALL: The transaction has a 10% optional clean-up call RATING AGENCIES: Standard & Poor's Ratings Services, a division of The McGraw-Hill Companies, Inc., Moody's Investors Service, Inc. and Fitch, Inc. will each rate all of the Offered Certificates. MINIMUM DENOMINATION: $25,000 with regard to each of the Offered Certificates LEGAL INVESTMENT: It is anticipated that the Offered Certificates will not be SMMEA eligible ERISA ELIGIBLE: Underwriter's exemption is expected to apply to all Offered Certificates. However, prospective purchasers should consult their own counsel. TAX TREATMENT: All Offered Certificates represent REMIC regular interests and, to a limited extent, interests in certain notional principal contract payments including basis risk interest carryover payments pursuant to the payment priorities in the transaction; which interest in certain basis risk interest carryover payments will be treated for tax purposes as an interest rate cap contract. The Class R Certificates will represent the beneficial ownership of the residual interests in any REMICs. The tax advice contained in this term sheet is not intended or written to be used, and cannot be used, for the purpose of avoiding U.S. federal, state, or local tax penalties. This advice is written to support the promotion or marketing of the transactions or matters addressed in this term sheet. You should seek advice based on your particular circumstances from an independent tax advisor. This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-4 PROSPECTUS: The Offered Certificates will be offered pursuant to a prospectus supplemented by a prospectus supplement (together, the "Prospectus"). Complete information with respect to the Offered Certificates and the collateral securing them will be contained in the Prospectus. The information herein is qualified in its entirety by the information appearing in the Prospectus. To the extent that the information herein is inconsistent with the Prospectus, the Prospectus shall govern in all respects. Sales of the Offered Certificates may not be consummated unless the purchaser has received the Prospectus. PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A DESCRIPTION OF INFORMATION THAT SHOULD BE CONSIDERED IN CONNECTION WITH AN INVESTMENT IN THE OFFERED CERTIFICATES This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-5 STRUCTURE OF THE LIBOR CERTIFICATES DESCRIPTION OF PRINCIPAL AND INTEREST DISTRIBUTIONS Principal will be paid as described under the definition of "Principal Distributions on the Certificates". Prior to the Stepdown Date all principal collected or advanced on the Mortgage Loans will be paid to the LIBOR Certificates as described herein. On or after the Stepdown Date, so long as no Trigger Event is in effect, the LIBOR Certificates will be paid, in order of seniority, principal only to the extent necessary to maintain their credit enhancement target. Excess interest will be available to support the overcollateralization target (which is one component of the credit support available to the certificateholders). Interest will be paid monthly, on all of the LIBOR Certificates, at a rate of one month LIBOR plus a margin that will step up after the Optional Clean-up Call date, subject to the lesser of the WAC Cap or applicable loan group cap. The interest paid to each class will be reduced by their allocable share of prepayment interest shortfalls not covered by compensating interest and shortfalls resulting from the application of the Servicemembers Civil Relief Act, (or any similar state statute) allocated to such class. Any reductions in the Pass Through-Rate attributable to the WAC Cap or applicable loan group cap will be carried forward with interest at the applicable Pass Through-Rate (without regard to the WAC Cap or applicable loan group cap) as described below and will be payable after payment of all required principal payments on such future Distribution Dates. DEFINITIONS CREDIT ENHANCEMENT. The LIBOR Certificates are credit enhanced by (1) the Net Monthly Excess Cash Flow from the Mortgage Loans, (2) 3.55% overcollateralization (funded upfront) (after the Stepdown Date, so long as a Trigger Event is not in effect, the required overcollateralization will equal 7.10% of the aggregate scheduled principal balance of the Mortgage Loans as of the last day of the related Due Period, subject to a floor equal to 0.50% of the aggregate scheduled balance of the Mortgage Loans as of the Cut-off Date), and (3) subordination of distributions on the more subordinate classes of certificates to the required distributions on the more senior classes of certificates. CREDIT ENHANCEMENT PERCENTAGE. For any Distribution Date, the percentage obtained by dividing (x) the aggregate class certificate balance of the subordinate certificates (including any overcollateralization and taking into account the distributions of the Principal Distribution Amount for such Distribution Date) by (y) the aggregate scheduled principal balance of the Mortgage Loans as of the last day of the related Due Period. STEPDOWN DATE. The earlier of (A) the date on which the aggregate class certificate balance of the Class A Certificates has been reduced to zero and (B) the later to occur of: (x) the Distribution Date occurring in September 2008; and (y) the first Distribution Date on which the Credit Enhancement Percentage for the Class A Certificates is greater than or equal to 49.10%.
-------------------------------------------------------------------------------------------------------------- CLASS INITIAL SUBORDINATION PERCENTAGE(1) STEPDOWN DATE PERCENTAGE -------------------------------------------------------------------------------------------------------------- A 24.55% 49.10% -------------------------------------------------------------------------------------------------------------- M-1 20.60% 41.20% -------------------------------------------------------------------------------------------------------------- M-2 16.85% 33.70% -------------------------------------------------------------------------------------------------------------- M-3 14.30% 28.60% -------------------------------------------------------------------------------------------------------------- M-4 12.50% 25.00% -------------------------------------------------------------------------------------------------------------- M-5 10.70% 21.40% -------------------------------------------------------------------------------------------------------------- M-6 9.10% 18.20% -------------------------------------------------------------------------------------------------------------- B-1 7.40% 14.80% -------------------------------------------------------------------------------------------------------------- B-2 6.15% 12.30% -------------------------------------------------------------------------------------------------------------- B-3 4.80% 9.60% -------------------------------------------------------------------------------------------------------------- B-4 3.55% 7.10% --------------------------------------------------------------------------------------------------------------
(1) Includes initial overcollateralization percentage. This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-6 TRIGGER EVENT. A Trigger Event is in effect on any Distribution Date if (i) on that Distribution Date the 60 Day+ Rolling Average equals or exceeds 33.00% of the prior period's Credit Enhancement Percentage to be specified in the Prospectus (the 60 Day+ Rolling Average will equal the rolling 3 month average percentage of Mortgage Loans that are 60 or more days delinquent, including Mortgage Loans in foreclosure, all REO property and Mortgage Loans where the related mortgagor has filed for bankruptcy) or (ii) during such period the aggregate amount of Realized Losses incurred since the Cut-off Date through the last day of the related Prepayment Period divided by the aggregate scheduled principal balance of the Mortgage Loans as of the Cut-off Date (the "Cumulative Realized Loss Percentage") exceeds the amounts set forth below:
---------------------------------------------------------------------------------------------------------------- DISTRIBUTION DATES CUMULATIVE REALIZED LOSS PERCENTAGE ---------------------------------------------------------------------------------------------------------------- September 2007 - August 2008 1.70% for the first month, plus an additional 1/12th of 2.15% for each month thereafter ---------------------------------------------------------------------------------------------------------------- September 2008 - August 2009 3.85% for the first month, plus an additional 1/12th of 2.20% for each month thereafter ---------------------------------------------------------------------------------------------------------------- September 2009 - August 2010 6.05% for the first month, plus an additional 1/12th of 1.75% for each month thereafter ---------------------------------------------------------------------------------------------------------------- September 2010 - August 2011 7.80% for the first month, plus an additional 1/12th of 0.45% for each month thereafter ---------------------------------------------------------------------------------------------------------------- September 2011 and thereafter 8.25% ----------------------------------------------------------------------------------------------------------------
STEP-UP COUPONS. For all LIBOR Certificates the coupon will increase after the first Distribution Date on which the Optional Clean-up Call is exercisable, should the call not be exercised. The margin for the Class A Certificates will increase to 2 times the margin at issuance and the margin for the Class M and Class B Certificates will increase to 1.5 times the margin at issuance. CLASS A-1 PASS-THROUGH RATE. The Class A-1 Certificates will accrue interest at a variable rate per annum equal to the least of (i) one-month LIBOR plus 0.240% (0.480% after the first Distribution Date on which the Optional Clean-up Call is exercisable), (ii) the Loan Group I WAC Cap and (iii) the WAC Cap. CLASS A-2A PASS-THROUGH RATE. The Class A-2A Certificates will accrue interest at a variable rate per annum equal to the least of (i) one-month LIBOR plus 0.120% (0.240% after the first Distribution Date on which the Optional Clean-up Call is exercisable), (ii) the Loan Group II WAC Cap and (iii) the WAC Cap. CLASS A-2B PASS-THROUGH RATE. The Class A-2B Certificates will accrue interest at a variable rate per annum equal to the least of (i) one-month LIBOR plus 0.250% (0.500% after the first Distribution Date on which the Optional Clean-up Call is exercisable), (ii) the Loan Group II WAC Cap and (iii) the WAC Cap. CLASS A-2C PASS-THROUGH RATE. The Class A-2C Certificates will accrue interest at a variable rate per annum equal to the least of (i) one-month LIBOR plus 0.370% (0.740% after the first Distribution Date on which the Optional Clean-up Call is exercisable), (ii) the Loan Group II WAC Cap and (iii) the WAC Cap. CLASS M-1 PASS-THROUGH RATE. The Class M-1 Certificates will accrue interest at a variable rate per annum equal to the lesser of (i) one-month LIBOR plus 0.450% (0.675% after the first Distribution Date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. CLASS M-2 PASS-THROUGH RATE. The Class M-2 Certificates will accrue interest at a variable rate per annum equal to the lesser of (i) one-month LIBOR plus 0.490% (0.735% after the first Distribution Date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. CLASS M-3 PASS-THROUGH RATE. The Class M-3 Certificates will accrue interest at a variable rate per annum equal to the lesser of (i) one-month LIBOR plus 0.520% (0.780% after the first Distribution Date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. CLASS M-4 PASS-THROUGH RATE. The Class M-4 Certificates will accrue interest at a variable rate per annum equal to the lesser of (i) one-month LIBOR plus 0.590% (0.885% after the first Distribution Date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. CLASS M-5 PASS-THROUGH RATE. The Class M-5 Certificates will accrue interest at a variable rate per annum equal to the lesser of (i) one-month LIBOR plus 0.630% (0.945% after the first Distribution Date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. CLASS M-6 PASS-THROUGH RATE. The Class M-6 Certificates will accrue interest at a variable rate per annum equal to the lesser of (i) one-month LIBOR plus 0.690% (1.035% after the first Distribution Date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-7 CLASS B-1 PASS-THROUGH RATE. The Class B-1 Certificates will accrue interest at a variable rate per annum equal to the lesser of (i) one-month LIBOR plus 1.150% (1.725% after the first Distribution Date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. CLASS B-2 PASS-THROUGH RATE. The Class B-2 Certificates will accrue interest at a variable rate per annum equal to the lesser of (i) one-month LIBOR plus 1.300% (1.950% after the first Distribution Date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. CLASS B-3 PASS-THROUGH RATE. The Class B-3 Certificates will accrue interest at a variable rate per annum equal to the lesser of (i) one-month LIBOR plus 1.750% (2.625% after the first Distribution Date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. CLASS B-4 PASS-THROUGH RATE. The Class B-4 Certificates will accrue interest at a variable rate per annum equal to the lesser of (i) one-month LIBOR plus 2.500% (3.750% after the first Distribution Date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. CLASS R CERTIFICATES are not entitled to receive any distributions of interest. WAC CAP. As to any Distribution Date, a per annum rate equal to the product of (i) 30 divided by the actual number of days in the Interest Accrual Period and (ii) the sum of (A) the weighted average gross coupon of the Mortgage Loans in effect on the beginning of the related Due Period less the Expense Fee Rate and the Coupon Strip, if necessary and (B) the swap receivable into the trust, if any, less swap payments out of the trust, if any, divided by the Mortgage Loan balance at the beginning of the related Due Period multiplied by 12. LOAN GROUP I WAC CAP. As to any Distribution Date, a per annum rate equal to the product of (i) 30 divided by the actual number of days in the Interest Accrual Period and (ii) the sum of (A) the weighted average gross coupon of the Group I Mortgage Loans in effect on the beginning of the related Due Period less the Expense Fee Rate and the Coupon Strip, if necessary and (B) the swap receivable into the trust, if any, less swap payments out of the trust, if any, divided by the Mortgage Loan balance at the beginning of the related Due Period multiplied by 12. LOAN GROUP II WAC CAP. As to any Distribution Date, a per annum rate equal to the product of (i) 30 divided by the actual number of days in the Interest Accrual Period and (ii) the sum of (A) the weighted average gross coupon of the Group II Mortgage Loans in effect on the beginning of the related Due Period less the Expense Fee Rate and the Coupon Strip, if necessary and (B) the swap receivable into the trust, if any, less swap payments out of the trust, if any, divided by the Mortgage Loan balance at the beginning of the related Due Period multiplied by 12. BASIS RISK CARRY FORWARD AMOUNT. As to any Distribution Date, and any class of LIBOR Certificates, a supplemental interest amount for each class which will equal the sum of: (i) the excess, if any, of interest that would otherwise be due on such class of certificates at such class' applicable pass-through rate (without regard to the WAC Cap or applicable group cap, as applicable) over interest due on such class of certificates at a rate equal to the WAC Cap or the lesser of the WAC Cap or the applicable loan group cap, as applicable, (ii) any Basis Risk Carry Forward Amount for such class remaining unpaid from prior Distribution Dates and (iii) interest on the amount in clause (ii) at such class' applicable pass-through rate (without regard to the WAC Cap or applicable loan group cap, as applicable). In the event any class of certificates is no longer outstanding, the applicable certificateholders will not be entitled to receive Basis Risk Carry Forward Amounts for that class of certificates. ACCRUED CERTIFICATE INTEREST. For each class of LIBOR Certificates on any Distribution Date, the amount of interest accrued during the related Interest Accrual Period on the related class certificate balance immediately prior to such Distribution Date (or from the Closing Date in the case of the first Distribution Date) at the related pass-through rate as reduced by that class's share of net prepayment interest shortfalls and any shortfalls resulting from the application of the Servicemembers Civil Relief Act or any similar state statutes. INTEREST REMITTANCE AMOUNT ON THE LIBOR CERTIFICATES. For any Distribution Date, the portion of funds available for distribution on such Distribution Date attributable to any net swap receipts and to interest received or advanced on the Mortgage Loans less the Expense Fee Rate, the Coupon Strip, if necessary, net swap payments and certain swap termination payments owed to the swap provider. COUPON STRIP RESERVE ACCOUNT ("COUPON STRIP RESERVE ACCOUNT"). If, on the Distribution Date occurring in August 2015 or on any Distribution Date thereafter, any LIBOR Certificates are outstanding and the aggregate stated principal balance of the mortgage loans with original terms to maturity in excess of 30 years is greater than the amount set forth on the Coupon Strip Reserve Schedule attached hereto, the trustee will be required to deposit, from interest remittance amounts, into the Coupon Strip Reserve Account on each such Distribution Date an amount equal to the product of one-twelfth of 0.15% and the aggregate stated principal balance of the mortgage loans. This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-8 EXCESS CASHFLOW ACCOUNT ("EXCESS CASHFLOW ACCOUNT"). If any LIBOR certificates are outstanding on the Distribution Date in July 2030 or on any Distribution Date thereafter, then all amounts otherwise payable to the Class X certificates will be required to be deposited by the trustee into the Excess Cashflow Account. MATURITY RESERVE FUND ("MATURITY RESERVE FUND"). The Mortgage Reserve Fund will be an amount equal to the sum of the amounts in the Coupon Strip Reserve Account and the Excess Cashflow Account. The purpose of the Maturity Reserve Fund is to make payments to certificateholders on the 360th Distribution Date to pay any outstanding LIBOR certificates to zero. The balance of the Mortgage Reserve Fund will not exceed the minimum of the aggregate certificate balance and the balance of the mortgage loans with original terms to maturity in excess of 30 years. PRINCIPAL REMITTANCE AMOUNT. On any Distribution Date, the sum of: (1) all scheduled payments of principal due during the related Due Period and received by the Servicer on or prior to the related determination date or advanced by the Servicer on the related servicer remittance date, (2) the principal portion of all partial and full prepayments received during the related Prepayment Period, (3) the principal portion of all net liquidation proceeds, net condemnation proceeds and net insurance proceeds received during the month prior to the month during which such Distribution Date occurs, (4) the principal portion of the repurchase price for any repurchase price for any repurchased Mortgage Loans, and that were repurchased during the period from the prior Distribution Date (or from the Closing Date in the case of the first Distribution Date) through the servicer remittance date for the current Distribution Date, (5) the principal portion of substitution adjustments received in connection with the substitution of a Mortgage Loan as of such Distribution Date, and (6) the principal portion of the termination price if the Optional Clean-up Call is exercised. BASIC PRINCIPAL DISTRIBUTION AMOUNT. On any Distribution Date, the excess of (i) the aggregate Principal Remittance Amount over (ii) the Excess Subordinated Amount, if any. EXTRA PRINCIPAL DISTRIBUTION AMOUNT. For any Distribution Date, the lesser of (i) the excess of (x) interest collected or advanced on the Mortgage Loans for each Distribution Date (less the Expense Fee Rate and plus swap receipts, if any, and less net swap payments, if any) and available for distribution on such Distribution Date, over (y) the sum of interest payable on the LIBOR Certificates on such Distribution Date and (ii) the overcollateralization deficiency amount for such Distribution Date. PRINCIPAL DISTRIBUTION AMOUNT. On any Distribution Date, the sum of (i) the Basic Principal Distribution Amount and (ii) the Extra Principal Distribution Amount. GROUP I PRINCIPAL DISTRIBUTION AMOUNT. On any Distribution Date, the portion of the Principal Distribution Amount attributable to the Group I Mortgage Loans, determined in accordance with the Class A Principal Allocation Percentage for the Class A-1 Certificates. GROUP II PRINCIPAL DISTRIBUTION AMOUNT. On any Distribution Date, the portion of the Principal Distribution Amount attributable to the Group II Mortgage Loans, determined in accordance with the Class A Principal Allocation Percentage for the Class A-2 Certificates. CLASS A PRINCIPAL ALLOCATION PERCENTAGE. For any Distribution Date, the percentage equivalent of a fraction, determined as follows: (i) in the case of the Class A-1 Certificates, the numerator of which is (x) the portion of the Principal Remittance Amount for such Distribution Date that is attributable to principal received or advanced on the Group I Mortgage Loans and the denominator of which is (y) the Principal Remittance Amount for such Distribution Date; and (ii) in the case of the Class A-2A, Class A-2B and Class A-2C Certificates, the numerator of which is (x) the portion of the Principal Remittance Amount for such Distribution Date that is attributable to principal received or advanced on the Group II Mortgage Loans and the denominator of which is (y) the Principal Remittance Amount for such Distribution Date. NET MONTHLY EXCESS CASHFLOW. For any Distribution Date is the amount of available funds for such Distribution Date remaining after making all payments of interest and principal to the certificates. This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-9 EXCESS SUBORDINATED AMOUNT. For any Distribution Date, means the excess, if any of (i) the actual overcollateralization, over (ii) the required overcollateralization for such Distribution Date. REALIZED LOSSES. With respect to any defaulted Mortgage Loan that is liquidated, the amount of loss realized equal to the portion of the principal balance remaining unpaid after application of all liquidation proceeds, insurance proceeds and condemnation awards, net of amounts reimbursable to the applicable Servicer for the related advances and the applicable Expense Fee Rate in respect of such Mortgage Loan. CLASS A PRINCIPAL DISTRIBUTION AMOUNT. An amount equal to the excess of: (x) the aggregate class certificate balance of the Class A Certificates immediately prior to such Distribution Date, over (y) the lesser of: (A) the product of (i) approximately 50.90% and (ii) the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date, and (B) the excess, if any, of the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date over 0.50% of the aggregate scheduled principal balance of the Mortgage Loans as of the Cut-off Date. CLASS M-1 PRINCIPAL DISTRIBUTION AMOUNT. An amount equal to the excess of: (x) the sum of: (A) the aggregate class certificate balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date) and (B) the class certificate balance of the Class M-1 Certificates immediately prior to such Distribution Date, over (y) the lesser of: (A) the product of (i) approximately 58.80% and (ii) the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date, and (B) the excess, if any, of the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date over 0.50% of the aggregate scheduled principal balance of the Mortgage Loans as of the Cut-off Date. CLASS M-2 PRINCIPAL DISTRIBUTION AMOUNT. An amount equal to the excess of: (x) the sum of: (A) the aggregate class certificate balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the class certificate balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), and (C) the class certificate balance of the Class M-2 Certificates immediately prior to such Distribution Date, over (y) the lesser of: (A) the product of (i) approximately 66.30% and (ii) the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date, and (B) the excess, if any, of the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date over 0.50% of the aggregate scheduled principal balance of the Mortgage Loans as of the Cut-off Date. CLASS M-3 PRINCIPAL DISTRIBUTION AMOUNT. An amount equal to the excess of: (x) the sum of: (A) the aggregate class certificate balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the Class certificate balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the class certificate balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), and (D) the class certificate balance of the Class M-3 Certificates immediately prior to such Distribution Date, over (y) the lesser of: (A) the product of (i) approximately 71.40% (ii) the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date, and (B) the excess, if any, of the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date over 0.50% of the aggregate scheduled principal balance of the Mortgage Loans as of the Cut-off Date. CLASS M-4 PRINCIPAL DISTRIBUTION AMOUNT. An amount equal to the excess of: (x) the sum of: (A) the aggregate class certificate balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the class certificate balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the class certificate balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (D) the class certificate balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), and (E) the class certificate balance of the Class M-4 Certificates immediately prior to such Distribution Date, over (y) the lesser of: (A) the product of (i) approximately 75.00% and (ii) the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date, and (B) the excess, if any, of the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date over 0.50% of the aggregate scheduled principal balance of the Mortgage Loans as of the Cut-off Date. This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-10 CLASS M-5 PRINCIPAL DISTRIBUTION AMOUNT. An amount equal to the excess of: (x) the sum of: (A) the aggregate class certificate balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the class certificate balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the class certificate balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (D) the class certificate balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (E) the class certificate balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date), and (F) the class certificate balance of the Class M-5 Certificates immediately prior to such Distribution Date, over (y) the lesser of: (A) the product of (i) approximately 78.60% and (ii) the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date, and (B) the excess, if any, of the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date over 0.50% of the aggregate scheduled principal balance of the Mortgage Loans as of the Cut-off Date. CLASS M-6 PRINCIPAL DISTRIBUTION AMOUNT. An amount equal to the excess of: (x) the sum of: (A) the aggregate class certificate balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the class certificate balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the class certificate balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (D) the class certificate balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (E) the class certificate balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (F) the class certificate balance of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date), and (G) the class certificate balance of the Class M-6 Certificates immediately prior to such Distribution Date, over (y) the lesser of: (A) the product of (i) approximately 81.80% and (ii) the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date, and (B) the excess, if any, of the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date over 0.50% of the aggregate scheduled principal balance of the Mortgage Loans as of the Cut-off Date. CLASS B-1 PRINCIPAL DISTRIBUTION AMOUNT. An amount equal to the excess of: (x) the sum of: (A) the aggregate class certificate balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the class certificate balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the class certificate balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (D) the class certificate balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (E) the class certificate balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (F) the class certificate balance of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (G) the class certificate balance of the Class M-6 Certificates (after taking into account the payment of the Class M-6 Principal Distribution Amount on such Distribution Date), and (H) the class certificate balance of the Class B-1 Certificates immediately prior to such Distribution Date, over (y) the lesser of: (A) the product of (i) approximately 85.20% and (ii) the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date, and (B) the excess, if any, of the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date over 0.50% of the aggregate scheduled principal balance of the Mortgage Loans as of the Cut-off Date. CLASS B-2 PRINCIPAL DISTRIBUTION AMOUNT. An amount equal to the excess of: (x) the sum of: (A) the aggregate class certificate balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the class certificate balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the class certificate balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (D) the class certificate balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (E) the class certificate balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (F) the class certificate balance of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (G) the class certificate balance of the Class M-6 Certificates (after taking into account the payment of the Class M-6 Principal Distribution Amount on such Distribution Date), (H) the class certificate balance of the Class B-1 Certificates (after taking into account the payment of the Class B-1 Principal Distribution Amount on such Distribution Date), and (I) the class certificate balance of the Class B-2 Certificates immediately prior to such Distribution Date, over (y) the lesser of: (A) the product of (i) approximately 87.70% and (ii) the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date, and (B) the excess, if any, of the aggregate scheduled principal balance This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-11 of the Mortgage Loans for such Distribution Date over 0.50% of the aggregate scheduled principal balance of the Mortgage Loans as of the Cut-off Date. CLASS B-3 PRINCIPAL DISTRIBUTION AMOUNT. An amount equal to the excess of: (x) the sum of: (A) the aggregate class certificate balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the class certificate balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the class certificate balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (D) the class certificate balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (E) the class certificate balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (F) the class certificate balance of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (G) the class certificate balance of the Class M-6 Certificates (after taking into account the payment of the Class M-6 Principal Distribution Amount on such Distribution Date), (G) the class certificate balance of the Class M-6 Certificates (after taking into account the payment of the Class M-6 Principal Distribution Amount on such Distribution Date), (H) the class certificate balance of the Class B-1 Certificates (after taking into account the payment of the Class B-1 Principal Distribution Amount on such Distribution Date), (I) the class certificate balance of the Class B-2 Certificates (after taking into account the payment of the Class B-2 Principal Distribution Amount on such Distribution Date), and (J) the class certificate balance of the Class B-3 Certificates immediately prior to such Distribution Date, over (y) the lesser of: (A) the product of (i) approximately 90.40% and (ii) the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date, and (B) the excess, if any, of the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date over 0.50% of the aggregate scheduled principal balance of the Mortgage Loans as of the Cut-off Date. CLASS B-4 PRINCIPAL DISTRIBUTION AMOUNT. An amount equal to the excess of: (x) the sum of: (A) the aggregate class certificate balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the class certificate balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the class certificate balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (D) the class certificate balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (E) the class certificate balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (F) the class certificate balance of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (G) the class certificate balance of the Class M-6 Certificates (after taking into account the payment of the Class M-6 Principal Distribution Amount on such Distribution Date), (H) the class certificate balance of the Class B-1 Certificates (after taking into account the payment of the Class B-1 Principal Distribution Amount on such Distribution Date), (I) the class certificate balance of the Class B-2 Certificates (after taking into account the payment of the Class B-2 Principal Distribution Amount on such Distribution Date), (J) the class certificate balance of the Class B-3 Certificates (after taking into account the payment of the Class B-3 Principal Distribution Amount on such Distribution Date), and (K) the class certificate balance of the Class B-4 Certificates immediately prior to such Distribution Date, over (y) the lesser of: (A) the product of (i) approximately 92.90% and (ii) the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date, and (B) the excess, if any, of the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date over 0.50% of the aggregate scheduled principal balance of the Mortgage Loans as of the Cut-off Date. INTEREST DISTRIBUTIONS ON THE LIBOR CERTIFICATES. On each Distribution Date, distributions from available funds will be allocated as follows: (i) to the Supplemental Interest Trust, net swap payments and certain swap termination payments owed to the swap provider, if any, (ii) concurrently, (a) from the Interest Remittance Amount related to the Group I Mortgage Loans, to the Class A-1 Certificates, their Accrued Certificate Interest, and any unpaid Accrued Certificate Interest from prior Distribution Dates; and (b) from the Interest Remittance Amount related to the Group II Mortgage Loans, to the Class A-2A, Class A-2B and Class A2-C Certificates, their Accrued Certificate Interest and any unpaid Accrued Certificate Interest from prior Distribution Dates, allocated based on their entitlement to those amounts, This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-12 provided, that if the Interest Remittance Amount for either group of Mortgage Loans is insufficient to make the related payments set forth in clause (a) or (b) above, any Interest Remittance Amount relating to the other group of Mortgage Loans remaining after making the related payments set forth in clause (a) or (b) above will be available to cover that shortfall; (iii) from any remaining Interest Remittance Amount to the Class M Certificates, sequentially, in ascending numerical order, their Accrued Certificate Interest, and (iv) from any remaining Interest Remittance Amount to the Class B Certificates, sequentially, in ascending numerical order, their Accrued Certificate Interest. PRINCIPAL DISTRIBUTIONS ON THE CERTIFICATES. On each Distribution Date (A) prior to the Stepdown Date or (B) on which a Trigger Event is in effect, principal distributions from the Principal Distribution Amount will be allocated as follows: (i) sequentially: (a) concurrently, to the Class R Certificates, pro rata based on their respective class certificate balances, until their respective class certificate balances have been reduced to zero, and (b) concurrently, (1) to the Class A-1 Certificates, the Group I Principal Distribution Amount, until the class certificate balances thereof have been reduced to zero and (2) to the Class A-2 Certificates, the Group II Principal Distribution Amount, sequentially, to the Class A-2A Certificates until the class certificate balance thereof has been reduced to zero, the Class A-2B Certificates until the class certificate balance thereof has been reduced to zero, and then to the Class A-2C Certificates until the class certificate balance thereof has been reduced to zero, provided, that if after making distributions pursuant to paragraphs (b)(1) and (b)(2) above on any Distribution Date (without giving effect to this proviso) the class certificate balance of any class of Class A certificates is reduced to zero (considering the Class A-2A, Class A-2B and Class A-2C certificates as one class for the purposes of this proviso only), then the remaining amount of principal distributable pursuant to this subsection (i)(b) to the Class A certificates on that Distribution Date, and the amount of principal distributable to the Class A certificates on all subsequent Distribution Dates pursuant to this subsection (i)(b), will be required to be distributed to the other Class A certificates remaining outstanding (in accordance with the paragraphs (b)(1) or (b)(2) above, as applicable), until their respective class certificate balances have been reduced to zero; (ii) to the Class M Certificates, sequentially, in ascending numerical order, until their respective class certificate balances have been reduced to zero, and (iii) to the Class B Certificates, sequentially, in ascending numerical order, until their respective class certificate balances have been reduced to zero. On each Distribution Date (A) on or after the Stepdown Date and (B) on which a Trigger Event is not in effect, the principal distributions from the Principal Distribution Amount will be allocated as follows: (i) concurrently, (a) to the Class A-1 Certificates, the lesser of the Group I Principal Distribution Amount and the portion of the Class A Principal Distribution Amount determined in accordance with the Class A Principal Allocation Percentage for these classes, until their respective class certificate balances have been reduced to zero, and (b) to the Class A-2A, Class A-2B and Class A-2C Certificates, the lesser of the Group II Principal Distribution Amount and the portion of the Class A Principal Distribution Amount allocable to the Class A-2 Certificates, determined in accordance with the Class A Principal Allocation Percentage for these classes, allocated sequentially to the Class A-2A Certificates until the class certificate balance thereof has been reduced to zero, to the Class A-2B Certificates until the class certificate balance thereof has been reduced to zero, and then to the Class A-2C Certificates until the class certificate balance thereof has been reduced to zero, This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-13 provided, that if after making distributions pursuant to paragraphs (a) and (b) above on any Distribution Date (without giving effect to this proviso) the class certificate balance of any class of Class A Certificates is reduced to zero (considering the Class A-2A, Class A-2B and Class A-2C Certificates as one class for the purposes of this proviso only), then the remaining amount of principal distributable pursuant to this subsection (i) to the Class A Certificates on that Distribution Date, and the amount of principal distributable to the Class A Certificates on all subsequent Distribution Dates pursuant to this subsection (i), will be required to be distributed to the other Class A Certificates remaining outstanding (in accordance with the paragraphs (a) or (b) above, as applicable), until their class certificate balances have been reduced to zero; (ii) to the Class M-1 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-1 Principal Distribution Amount, until their class certificate balance has been reduced to zero, (iii) to the Class M-2 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-2 Principal Distribution Amount, until their class certificate balance has been reduced to zero, (iv) to the Class M-3 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-3 Principal Distribution Amount, until their class certificate balance has been reduced to zero, (v) to the Class M-4 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-4 Principal Distribution Amount, until their class certificate balance has been reduced to zero, (vi) to the Class M-5 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-5 Principal Distribution Amount, until their class certificate balance has been reduced to zero, (vii) to the Class M-6 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-6 Principal Distribution Amount, until their class certificate balance has been reduced to zero, (viii) to the Class B-1 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-1 Principal Distribution Amount, until their class certificate balance has been reduced to zero, (ix) to the Class B-2 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-2 Principal Distribution Amount, until their class certificate balance has been reduced to zero, (x) to the Class B-3 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-3 Principal Distribution Amount, until their class certificate balance has been reduced to zero, and (xi) to the Class B-4 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-4 Principal Distribution Amount, until their class certificate balance has been reduced to zero. Notwithstanding the allocation of principal to the Class A Certificates described above, from and after the Distribution Date on which the aggregate class certificate balances of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2, Class B-3 and Class B-4 Certificates and Class X certificates have been reduced to zero, any principal distributions allocated to the Class A Certificates are required to be allocated pro rata to the Class A-1 Certificates, on the one hand, and the Class A-2 Certificates, on the other hand, based on their respective class certificate balances, with the principal allocated to the Class A-2 Certificates, being allocated pro rata between the Class A-2A, Class A-2B and Class A-2C Certificates. ALLOCATION OF NET MONTHLY EXCESS CASHFLOW. For any Distribution Date, any Net Monthly Excess Cashflow shall be allocated sequentially as follows: (i) sequentially, in ascending numerical order, to the Class M Certificates, their unpaid interest amount, (ii) sequentially, in ascending numerical order, to the Class B Certificates, their unpaid interest amount, (iii) concurrently, to the Class A-1 Certificates, any Basis Risk Carry Forward Amounts for such class, and to the Class A-2 Certificates, any Basis Risk Carry Forward Amounts for such class, allocated pro rata by their respective Basis Risk Carry Forward Amounts, (iv) sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2, Class B-3 and Class B4 Certificates, any Basis Risk Carry Forward Amounts for such classes, (v) to a reserve fund, if necessary, any remaining amounts in order to build the Excess Spread Reserve, and (vi) to the holders of the Class X certificates, any remaining amounts. This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-14 SUPPLEMENTAL INTEREST TRUST. Funds deposited into the Supplemental Interest Trust on a Distribution Date will include: the net swap payments owed to the Swap Provider for such Distribution Date and net swap receipts from the Swap Provider for such Distribution Date. Funds in the Supplemental Interest Trust will be distributed on each Distribution Date in the following order of priority: (i) to the swap provider, any net swap payments and certain swap termination payment (other than a defaulted swap termination payment) owed for such Distribution Date, (ii) to the certificateholders, to pay interest according to sections (ii), (iii) and (iv) of the "Interest Distributions on the LIBOR Certificates" section, to the extent unpaid from other available funds, (iii) to the certificateholders, to pay principal according to the section "Principal Distributions on the Certificates", but only to the extent necessary to cause the overcollateralization to be maintained at the current overcollateralization amount (prior to distribution of any amounts due), to the extent unpaid from other available funds, (iv) to the certificateholders, to pay unpaid interest shortfall and Basis Risk Carry Forward Amounts according to the section "Allocation of Net Monthly Excess Cashflow" to the extent unpaid, to the extent unpaid from other available funds, (v) to the swap provider, any defaulted swap termination payment owed for such Distribution Date, and (vi) to the holders of the Class X certificates, any remaining amounts. ALLOCATION OF REALIZED LOSSES. All Realized Losses on the Mortgage Loans will be allocated on each Distribution Date, first to the excess cash flow, second in reduction of the overcollateralization amount, third to the Class B-4 Certificates, fourth to the Class B-3 Certificates, fifth to the Class B-2 Certificates, sixth to the Class B-1 Certificates, seventh to the Class M-6 Certificates, eighth to the Class M-5 Certificates, ninth to the Class M-4 Certificates, tenth to the Class M-3 Certificates, eleventh to the Class M-2 Certificates and twelfth to the Class M-1 Certificates. An allocation of any Realized Losses to a class of certificates on any Distribution Date will be made by reducing its class certificate balance, after taking into account all distributions made on such Distribution Date. Realized Losses will not be allocated to Class A Certificates until the last scheduled Distribution Date. This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-15 REMAINING PREPAYMENT PENALTY TERM BY PRODUCT TYPE(1)
PRODUCT TYPE NO PENALTY 1-12 MONTHS 13-24 MONTHS 25-36 MONTHS 37-48 MONTHS 49-60 MONTHS TOTAL ------------ ---------- ----------- ------------ ------------ ------------ ------------ ----- 2 YR ARM $193,216,939 $67,962,778 $430,881,596 $17,071,995 $0 $0 $709,133,308 2 YR ARM IO 64,757,727 29,894,074 281,058,957 9,630,767 0 0 385,341,526 3 YR ARM 10,872,668 4,896,329 5,610,910 42,021,242 0 0 63,401,149 3 YR ARM IO 8,457,488 2,861,550 1,107,900 29,616,191 0 0 42,043,129 5 YR ARM 2,130,928 806,465 1,884,715 4,550,931 0 0 9,373,040 5 YR ARM IO 0 0 448,700 2,480,500 0 0 2,929,200 BALLOON 15/30 8,872,931 1,918,594 14,946,561 2,628,075 0 0 28,366,161 BALLOON 20/30 99,959 81,837 509,773 0 0 0 691,569 BALLOON 30/40 0 0 0 719,793 0 0 719,793 FIXED 48,064,083 23,565,163 29,661,961 90,663,597 151,664 0 192,106,467 FIXED IO 1,523,165 301,200 369,691 7,213,665 0 0 9,407,721 40 YR 7,408,109 501,851 31,575,357 12,285,637 0 0 51,770,954 ------------ ------------ ------------ ------------ -------- -- -------------- TOTAL: $345,403,997 $132,789,841 $798,056,121 $218,882,392 $151,664 $0 $1,495,284,015 ============ ============ ============ ============ ======== == ==============
PRODUCT TYPE NO PENALTY 1-12 MONTHS 13-24 MONTHS 25-36 MONTHS 37-48 MONTHS 49-60 MONTHS TOTAL ------------ ---------- ----------- ------------ ------------ ------------ ------------ ----- 2 YR ARM 12.92% 4.55% 28.82% 1.14% 0.00% 0.00% 47.42% 2 YR ARM IO 4.33 2.00 18.80 0.64 0.00 0.00 25.77 3 YR ARM 0.73 0.33 0.38 2.81 0.00 0.00 4.24 3 YR ARM IO 0.57 0.19 0.07 1.98 0.00 0.00 2.81 5 YR ARM 0.14 0.05 0.13 0.30 0.00 0.00 0.63 5 YR ARM IO 0.00 0.00 0.03 0.17 0.00 0.00 0.20 BALLOON 15/30 0.59 0.13 1.00 0.18 0.00 0.00 1.90 BALLOON 20/30 0.01 0.01 0.03 0.00 0.00 0.00 0.05 BALLOON 30/40 0.00 0.00 0.00 0.05 0.00 0.00 0.05 FIXED 3.21 1.58 1.98 6.06 0.01 0.00 12.85 FIXED IO 0.10 0.02 0.02 0.48 0.00 0.00 0.63 40 YR 0.50 0.03 2.11 0.82 0.00 0.00 3.46 ----- ---- ----- ----- ---- ---- ------ TOTAL: 23.10% 8.88% 53.37% 14.64% 0.01% 0.00% 100.00% ===== ==== ===== ===== ==== ==== ======
(1) All percentages calculated herein are percentages of scheduled principal balance as of the Statistical Calculation Date unless otherwise noted. This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-16 BREAKEVEN CDR TABLE FOR THE CLASS M AND CLASS B CERTIFICATES The assumptions for the breakeven CDR table below are as follows: o ThePricing Prepayment Assumptions (as defined on page 3 above) are applied o 1-month and 6-month Forward LIBOR curves (as of close on August 9, 2005) are used o 40% loss severity o There is a 6 month lag in recoveries o Priced to call with collateral losses calculated through the life of the applicable bond o The LIBOR Certificates, with the exception of Class B-4, are priced at par. Class B-4 priced at 87.276% o Based upon initial marketing structure and spreads
------------------------------------------------------------------------------------------------------------------------------- FIRST DOLLAR LOSS LIBOR FLAT 0% RETURN ------------------------------------------------------------------------------------------------------------------------------- CLASS M-1 CDR (%) 40.03 40.16 41.72 Yield (%) 4.9912 4.5462 0.0128 WAL 3.17 3.17 3.07 Modified Duration 2.91 2.916 2.90 Principal Window Oct08 - Oct08 Oct08 - Oct08 Sep08 - Sep08 Principal Writedown 32,957.07 (0.06%) 915,664.85 (1.56%) 9,016,128.01 (15.41%) Total Collat Loss 347,130,813.47 (23.43%) 347,924,078.25 (23.49%) 354,356,226.97 (23.92%) ------------------------------------------------------------------------------------------------------------------------------- CLASS M-2 CDR (%) 30.77 30.91 32.24 Yield (%) 5.0527 4.5530 0.0191 WAL 3.75 3.75 3.63 Modified Duration 3.392 3.40 3.388 Principal Window May09 - May09 May09 - May09 Apr09 - Apr09 Principal Writedown 17,288.28 (0.03%) 1,146,461.85 (2.06%) 10,215,663.54 (18.39%) Total Collat Loss 303,312,223.45 (20.47%) 304,308,799.55 (20.54%) 311,545,985.92 (21.03%) ------------------------------------------------------------------------------------------------------------------------------- CLASS M-3 CDR (%) 25.75 25.84 26.73 Yield (%) 5.0687 4.5882 0.0119 WAL 4.08 4.08 3.96 Modified Duration 3.664 3.67 3.66 Principal Window Sep09 - Sep09 Sep09 - Sep09 Aug09 - Aug09 Principal Writedown 47,807.73 (0.13%) 859,111.03 (2.27%) 7,643,989.04 (20.23%) Total Collat Loss 273,127,019.71 (18.44%) 273,837,959.75 (18.48%) 279,053,350.08 (18.84%) ------------------------------------------------------------------------------------------------------------------------------- CLASS M-4 CDR (%) 22.59 22.67 23.20 Yield (%) 5.1973 4.5847 0.0638 WAL 4.33 4.33 4.29 Modified Duration 3.853 3.86 3.917 Principal Window Dec09 - Dec09 Dec09 - Dec09 Dec09 - Dec09 Principal Writedown 16,357.47 (0.06%) 795,675.83 (2.98%) 5,923,762.40 (22.21%) Total Collat Loss 251,978,262.51 (17.01%) 252,657,504.00 (17.05%) 257,124,917.94 (17.36%) ------------------------------------------------------------------------------------------------------------------------------- CLASS M-5 CDR (%) 19.73 19.81 20.33 Yield (%) 5.2312 4.6105 0.0640 WAL 4.58 4.58 4.51 Modified Duration 4.042 4.05 4.11 Principal Window Mar10 - Mar10 Mar10 - Mar10 Mar10 - Mar10 Principal Writedown 42,295.56 (0.16%) 880,734.38 (3.30%) 6,295,478.06 (23.61%) Total Collat Loss 230,909,754.06 (15.59%) 231,638,593.08 (15.64%) 236,340,816.04 (15.95%) ------------------------------------------------------------------------------------------------------------------------------- CLASS M-6 CDR (%) 17.38 17.46 17.95 Yield (%) 5.2698 4.5684 0.0699 WAL 4.83 4.83 4.66 Modified Duration 4.23 4.24 4.227 Principal Window Jun10 - Jun10 Jun10 - Jun10 May10 - May10 Principal Writedown 81,918.54 (0.35%) 973,297.91 (4.11%) 5,852,571.50 (24.69%) Total Collat Loss 212,340,630.17 (14.33%) 213,116,312.59 (14.39%) 216,710,289.62 (14.63%) -------------------------------------------------------------------------------------------------------------------------------
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-17
------------------------------------------------------------------------------------------------------------------------------- FIRST DOLLAR LOSS LIBOR FLAT 0% RETURN ------------------------------------------------------------------------------------------------------------------------------- CLASS B-1 CDR (%) 15.08 15.22 15.71 Yield (%) 5.7644 4.5915 0.0060 WAL 5.08 5.07 4.84 Modified Duration 4.363 4.375 4.36 Principal Window Sep10 - Sep10 Sep10 - Sep10 Aug10 - Aug10 Principal Writedown 69,297.04 (0.28%) 1,734,718.06 (6.89%) 7,106,812.68 (28.22%) Total Collat Loss 192,319,944.16 (12.98%) 193,767,077.93 (13.08%) 197,826,054.08 (13.35%) ------------------------------------------------------------------------------------------------------------------------------- CLASS B-2 CDR (%) 13.51 13.62 13.97 Yield (%) 5.8648 4.5996 0.0670 WAL 5.25 5.24 5 Modified Duration 4.466 4.478 4.46 Principal Window Nov10 - Nov10 Nov10 - Nov10 Oct10 - Oct10 Principal Writedown 118,673.14 (0.64%) 1,483,785.53 (8.01%) 5,488,065.13 (29.63%) Total Collat Loss 177,449,713.15 (11.98%) 178,641,047.81 (12.06%) 181,546,546.13 (12.25%) ------------------------------------------------------------------------------------------------------------------------------- CLASS B-3 CDR (%) 11.90 12.06 12.40 Yield (%) 6.3510 4.6051 0.0166 WAL 5.42 5.38 5.11 Modified Duration 4.523 4.54 4.576 Principal Window Jan11 - Jan11 Jan11 - Jan11 Jan11 - Jan11 Principal Writedown 108,607.15 (0.54%) 2,186,858.23 (10.93%) 6,582,898.51 (32.92%) Total Collat Loss 161,127,722.64 (10.88%) 162,946,399.72 (11.00%) 166,783,738.75 (11.26%) ------------------------------------------------------------------------------------------------------------------------------- CLASS B-4 CDR (%) 10.55 10.91 11.13 Yield (%) 10.1849 4.5721 0.1373 WAL 5.58 5.23 4.83 Modified Duration 4.388 4.419 4.46 Principal Window Mar11 - Mar11 Mar11 - Mar11 Mar11 - Mar11 Principal Writedown 66,300.93 (0.36%) 5,592,581.80 (30.20%) 8,684,559.00 (46.90%) Total Collat Loss 146,803,933.84 (9.91%) 151,064,108.35 (10.20%) 153,645,650.88 (10.37%) -------------------------------------------------------------------------------------------------------------------------------
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-18 SENSITIVITY TABLE FOR THE CERTIFICATES - TO MATURITY The assumptions for the sensitivity table below are as follows: o The Pricing Prepayment Assumptions (as defined on page 3 above) are applied o 1-month and 6-month LIBOR remain static o 10% Clean Up Call is not exercised o Based upon initial marketing structure and spreads
------------------------------------------------------------------------------------------------------------------- 50 PPA 75 PPA 100 PPA 125 PPA 150 PPA 175 PPA ------------------------------------------------------------------------------------------------------------------- CLASS A-1 WAL 5.03 3.45 2.55 1.88 1.31 1.12 First Prin Pay 1 1 1 1 1 1 Last Prin Pay 316 240 180 140 35 29 ------------------------------------------------------------------------------------------------------------------- CLASS A-2A WAL 1.80 1.27 1.00 0.84 0.72 0.64 First Prin Pay 1 1 1 1 1 1 Last Prin Pay 43 29 22 18 15 13 ------------------------------------------------------------------------------------------------------------------- CLASS A-2B WAL 6.18 4.16 3.00 2.13 1.76 1.51 First Prin Pay 43 29 22 18 15 13 Last Prin Pay 132 89 66 34 28 24 ------------------------------------------------------------------------------------------------------------------- CLASS A-2C WAL 16.31 11.40 8.49 6.24 2.65 2.22 First Prin Pay 132 89 66 34 28 24 Last Prin Pay 325 255 194 153 36 30 ------------------------------------------------------------------------------------------------------------------- CLASS M-1 WAL 10.67 7.30 5.64 5.33 7.07 5.83 First Prin Pay 58 39 43 52 65 54 Last Prin Pay 302 225 171 133 124 102 ------------------------------------------------------------------------------------------------------------------- CLASS M-2 WAL 10.66 7.29 5.57 4.97 5.12 4.23 First Prin Pay 58 39 41 47 52 43 Last Prin Pay 295 217 164 128 103 85 ------------------------------------------------------------------------------------------------------------------- CLASS M-3 WAL 10.63 7.27 5.53 4.79 4.59 3.80 First Prin Pay 58 39 40 44 48 40 Last Prin Pay 286 208 157 123 99 81 ------------------------------------------------------------------------------------------------------------------- CLASS M-4 WAL 10.61 7.25 5.50 4.69 4.36 3.62 First Prin Pay 58 39 39 43 45 38 Last Prin Pay 278 201 151 118 95 78 ------------------------------------------------------------------------------------------------------------------- CLASS M-5 WAL 10.59 7.23 5.47 4.63 4.22 3.50 First Prin Pay 58 39 39 41 43 36 Last Prin Pay 272 195 147 114 92 76 ------------------------------------------------------------------------------------------------------------------- CLASS M-6 WAL 10.56 7.20 5.44 4.57 4.11 3.42 First Prin Pay 58 39 38 40 41 35 Last Prin Pay 264 188 141 110 89 73 ------------------------------------------------------------------------------------------------------------------- CLASS B-1 WAL 10.51 7.16 5.40 4.50 4.01 3.33 First Prin Pay 58 39 38 40 40 33 Last Prin Pay 255 180 135 105 85 70 ------------------------------------------------------------------------------------------------------------------- CLASS B-2 WAL 10.45 7.11 5.36 4.44 3.93 3.27 First Prin Pay 58 39 38 39 39 33 Last Prin Pay 244 172 128 100 80 66 ------------------------------------------------------------------------------------------------------------------- CLASS B-3 WAL 10.36 7.04 5.29 4.39 3.85 3.20 First Prin Pay 58 39 37 38 38 32 Last Prin Pay 233 163 121 94 76 63 ------------------------------------------------------------------------------------------------------------------- CLASS B-4 WAL 10.21 6.93 5.20 4.29 3.76 3.13 First Prin Pay 58 39 37 38 37 31 Last Prin Pay 218 151 112 87 71 58 -------------------------------------------------------------------------------------------------------------------
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-19 SENSITIVITY TABLE FOR THE CERTIFICATES - TO CALL The assumptions for the sensitivity table below are as follows: o The Pricing Prepayment Assumptions (as defined on page 3 above) are applied o 1-month and 6-month LIBOR remain static o 10% Clean Up Call is exercised on the first possible date o Based upon initial marketing structure and spreads
------------------------------------------------------------------------------------------------------------------- 50 PPA 75 PPA 100 PPA 125 PPA 150 PPA 175 PPA ------------------------------------------------------------------------------------------------------------------- CLASS A-1 WAL 4.76 3.24 2.39 1.76 1.31 1.12 First Prin Pay 1 1 1 1 1 1 Last Prin Pay 176 120 88 69 35 29 ------------------------------------------------------------------------------------------------------------------- CLASS A-2A WAL 1.80 1.27 1.00 0.84 0.72 0.64 First Prin Pay 1 1 1 1 1 1 Last Prin Pay 43 29 22 18 15 13 ------------------------------------------------------------------------------------------------------------------- CLASS A-2B WAL 6.18 4.16 3.00 2.13 1.76 1.51 First Prin Pay 43 29 22 18 15 13 Last Prin Pay 132 89 66 34 28 24 ------------------------------------------------------------------------------------------------------------------- CLASS A-2C WAL 13.76 9.35 6.88 4.97 2.65 2.22 First Prin Pay 132 89 66 34 28 24 Last Prin Pay 176 120 88 69 36 30 ------------------------------------------------------------------------------------------------------------------- CLASS M-1 WAL 9.79 6.61 5.10 4.91 4.67 3.83 First Prin Pay 58 39 43 52 56 46 Last Prin Pay 176 120 88 69 56 46 ------------------------------------------------------------------------------------------------------------------- CLASS M-2 WAL 9.79 6.61 5.04 4.56 4.62 3.81 First Prin Pay 58 39 41 47 52 43 Last Prin Pay 176 120 88 69 56 46 ------------------------------------------------------------------------------------------------------------------- CLASS M-3 WAL 9.79 6.61 5.01 4.39 4.28 3.54 First Prin Pay 58 39 40 44 48 40 Last Prin Pay 176 120 88 69 56 46 ------------------------------------------------------------------------------------------------------------------- CLASS M-4 WAL 9.79 6.61 5.00 4.31 4.06 3.37 First Prin Pay 58 39 39 43 45 38 Last Prin Pay 176 120 88 69 56 46 ------------------------------------------------------------------------------------------------------------------- CLASS M-5 WAL 9.79 6.61 4.99 4.26 3.93 3.26 First Prin Pay 58 39 39 41 43 36 Last Prin Pay 176 120 88 69 56 46 ------------------------------------------------------------------------------------------------------------------- CLASS M-6 WAL 9.79 6.61 4.98 4.21 3.84 3.18 First Prin Pay 58 39 38 40 41 35 Last Prin Pay 176 120 88 69 56 46 ------------------------------------------------------------------------------------------------------------------- CLASS B-1 WAL 9.79 6.61 4.97 4.18 3.75 3.11 First Prin Pay 58 39 38 40 40 33 Last Prin Pay 176 120 88 69 56 46 ------------------------------------------------------------------------------------------------------------------- CLASS B-2 WAL 9.79 6.61 4.97 4.14 3.70 3.07 First Prin Pay 58 39 38 39 39 33 Last Prin Pay 176 120 88 69 56 46 ------------------------------------------------------------------------------------------------------------------- CLASS B-3 WAL 9.79 6.61 4.96 4.13 3.65 3.03 First Prin Pay 58 39 37 38 38 32 Last Prin Pay 176 120 88 69 56 46 ------------------------------------------------------------------------------------------------------------------- CLASS B-4 WAL 9.79 6.61 4.95 4.11 3.61 3.00 First Prin Pay 58 39 37 38 37 31 Last Prin Pay 176 120 88 69 56 46 -------------------------------------------------------------------------------------------------------------------
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-20 EXCESS SPREAD. The information in the following table has been prepared in accordance with the following assumptions (i) one and six-month LIBOR increase in accordance with the LIBOR Forward Curves as of the close on August 15, 2005, (ii) day count convention of 30/360 is applied, and (iii) prepayments on the mortgage loans occur at the Pricing Prepayment Assumption. It is highly unlikely, however, that prepayments on the mortgage loans will occur at the Pricing Prepayment Assumption or at any other constant percentage. There is no assurance, therefore, of whether or to what extent the actual excess spread on any distribution date will conform to the corresponding rate set forth for that Distribution Date in the following table. This table is based on initial marketing structure and spreads.
DISTRIBUTION EXCESS DISTRIBUTION EXCESS DISTRIBUTION EXCESS SPREAD PERIOD DATE SPREAD (%) PERIOD DATE SPREAD (%) PERIOD DATE (%) ------ ---- ---------- ------ ---- ---------- ------ ---- --- 1 Sep-05 2.3219 49 Sep-09 5.0308 97 Sep-13 4.5425 2 Oct-05 2.3331 50 Oct-09 5.1751 98 Oct-13 4.7171 3 Nov-05 2.3184 51 Nov-09 5.0142 99 Nov-13 4.5273 4 Dec-05 2.3310 52 Dec-09 5.1789 100 Dec-13 4.7223 5 Jan-06 2.3113 53 Jan-10 4.9876 101 Jan-14 4.5199 6 Feb-06 2.3109 54 Feb-10 5.0194 102 Feb-14 4.5352 7 Mar-06 2.3700 55 Mar-10 5.4790 103 Mar-14 5.0943 8 Apr-06 2.3002 56 Apr-10 5.0087 104 Apr-14 4.5580 9 May-06 2.3197 57 May-10 5.1602 105 May-14 4.7517 10 Jun-06 2.2887 58 Jun-10 5.0049 106 Jun-14 4.5980 11 Jul-06 2.3136 59 Jul-10 5.1762 107 Jul-14 4.7984 12 Aug-06 2.2724 60 Aug-10 5.0163 108 Aug-14 4.6318 13 Sep-06 2.2634 61 Sep-10 4.9854 109 Sep-14 4.6462 14 Oct-06 2.2966 62 Oct-10 5.1483 110 Oct-14 4.8395 15 Nov-06 2.2420 63 Nov-10 4.9792 111 Nov-14 4.6764 16 Dec-06 2.2851 64 Dec-10 5.1490 112 Dec-14 4.8873 17 Jan-07 2.2144 65 Jan-11 4.9503 113 Jan-15 4.7136 18 Feb-07 2.2166 66 Feb-11 4.9838 114 Feb-15 4.7484 19 Mar-07 2.3947 67 Mar-11 5.4760 115 Mar-15 5.2928 20 Apr-07 2.1993 68 Apr-11 4.9731 116 Apr-15 4.7793 21 May-07 2.2775 69 May-11 5.1338 117 May-15 4.9721 22 Jun-07 3.5477 70 Jun-11 4.9708 118 Jun-15 4.8289 23 Jul-07 4.0663 71 Jul-11 5.1355 119 Jul-15 5.0259 24 Aug-07 3.9420 72 Aug-11 4.9626 120 Aug-15 4.8695 25 Sep-07 3.9415 73 Sep-11 4.9580 26 Oct-07 4.0778 74 Oct-11 5.1208 27 Nov-07 3.9462 75 Nov-11 4.9500 28 Dec-07 4.6549 76 Dec-11 5.1279 29 Jan-08 4.7483 77 Jan-12 4.9241 30 Feb-08 4.7668 78 Feb-12 4.9561 31 Mar-08 5.0420 79 Mar-12 5.2842 32 Apr-08 4.7637 80 Apr-12 4.9421 33 May-08 4.9350 81 May-12 5.1023 34 Jun-08 4.9870 82 Jun-12 4.9459 35 Jul-08 5.1725 83 Jul-12 5.1125 36 Aug-08 5.0182 84 Aug-12 4.9355 37 Sep-08 5.0141 85 Sep-12 4.9270 38 Oct-08 5.0902 86 Oct-12 5.0880 39 Nov-08 4.9620 87 Nov-12 4.9112 40 Dec-08 5.1797 88 Dec-12 5.0962 41 Jan-09 5.0205 89 Jan-13 4.9079 42 Feb-09 5.0353 90 Feb-13 4.5700 43 Mar-09 5.4841 91 Mar-13 5.1057 44 Apr-09 5.0272 92 Apr-13 4.5549 45 May-09 5.1801 93 May-13 4.7282 46 Jun-09 5.0452 94 Jun-13 4.5580 47 Jul-09 5.1968 95 Jul-13 4.7400 48 Aug-09 5.0394 96 Aug-13 4.5503
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-21 COUPON STRIP RESERVE ACCOUNT SCHEDULE
DISTRIBUTION DATE SCHEDULED AMOUNT ($) DISTRIBUTION DATE SCHEDULED AMOUNT ($) ----------------- -------------------- ----------------- -------------------- 8/15 25,382,771.24 6/20 19,328,716.71 9/15 25,266,409.37 7/20 19,235,607.21 10/15 25,150,506.81 8/20 19,142,842.03 11/15 25,035,061.31 9/20 19,050,419.35 12/15 24,920,070.75 10/20 18,958,337.38 1/16 24,805,532.93 11/20 18,866,594.34 2/16 24,691,445.70 12/20 18,775,188.44 3/16 24,577,806.90 1/21 18,684,117.92 4/16 24,464,614.39 2/21 18,593,381.00 5/16 24,351,866.03 3/21 18,502,975.91 6/16 24,239,559.70 4/21 18,412,900.90 7/16 24,127,693.27 5/21 18,323,154.21 8/16 24,016,264.62 6/21 18,233,734.10 9/16 23,905,271.64 7/21 18,144,638.83 10/16 23,794,712.26 8/21 18,055,866.66 11/16 23,684,584.34 9/21 17,967,415.83 12/16 23,574,885.85 10/21 17,879,284.66 1/17 23,465,614.66 11/21 17,791,471.40 2/17 23,356,768.72 12/21 17,703,974.32 3/17 23,248,345.96 1/22 17,616,791.72 4/17 23,140,344.35 2/22 17,529,921.91 5/17 23,032,761.82 3/22 17,443,363.19 6/17 22,925,596.33 4/22 17,357,113.80 7/17 22,818,845.84 5/22 17,271,172.12 8/17 22,712,508.32 6/22 17,185,536.42 9/17 22,606,581.77 7/22 17,100,205.03 10/17 22,501,064.16 8/22 17,015,176.26 11/17 22,395,953.47 9/22 16,930,448.45 12/17 22,291,247.74 10/22 16,846,019.94 1/18 22,186,944.92 11/22 16,761,889.02 2/18 22,083,043.07 12/22 16,678,054.08 3/18 21,979,540.19 1/23 16,594,513.45 4/18 21,876,434.29 2/23 16,511,265.44 5/18 21,773,723.47 3/23 16,428,308.45 6/18 21,671,405.68 4/23 16,345,640.84 7/18 21,569,479.02 5/23 16,263,260.93 8/18 21,467,941.54 6/23 16,181,167.11 9/18 21,366,791.30 7/23 16,099,357.77 10/18 21,266,026.36 8/23 16,017,831.25 11/18 21,165,644.76 9/23 15,936,585.95 12/18 21,065,644.64 10/23 15,855,620.22 1/19 20,966,024.03 11/23 15,774,932.50 2/19 20,866,781.05 12/23 15,694,521.14 3/19 20,767,913.81 1/24 15,614,384.55 4/19 20,669,420.39 2/24 15,534,521.13 5/19 20,571,298.89 3/24 15,454,929.30 6/19 20,473,547.45 4/24 15,375,607.43 7/19 20,376,164.19 5/24 15,296,553.97 8/19 20,279,147.23 6/24 15,217,767.30 9/19 20,182,494.70 7/24 15,139,245.84 10/19 20,086,204.77 8/24 15,060,988.07 11/19 19,990,275.54 9/24 14,982,992.35 12/19 19,894,705.18 10/24 14,905,257.14 1/20 19,799,491.86 11/24 14,827,780.86 2/20 19,704,633.74 12/24 14,750,561.99 3/20 19,610,128.99 1/25 14,673,598.92 4/20 19,515,975.78 2/25 14,596,890.10 5/20 19,422,172.28 3/25 14,520,434.04
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-22 DISTRIBUTION DATE SCHEDULED AMOUNT ($) DISTRIBUTION DATE SCHEDULED AMOUNT ($) ----------------- -------------------- ----------------- -------------------- 4/25 14,444,229.10 6/30 10,147,670.18 5/25 14,368,273.80 7/30 10,084,298.91 6/25 14,292,566.60 8/30 10,021,085.53 7/25 14,217,105.92 9/30 9,958,028.70 8/25 14,141,890.25 10/30 9,895,126.97 9/25 14,066,918.08 11/30 9,832,378.99 10/25 13,992,187.87 12/30 9,769,783.35 11/25 13,917,698.07 1/31 9,707,338.66 12/25 13,843,447.20 2/31 9,645,043.54 1/26 13,769,433.70 3/31 9,582,896.63 2/26 13,695,656.10 4/31 9,520,896.49 3/26 13,622,112.85 5/31 9,459,041.78 4/26 13,548,802.48 6/31 9,397,331.12 5/26 13,475,723.46 7/31 9,335,763.10 6/26 13,402,874.30 8/31 9,274,336.35 7/26 13,330,253.49 9/31 9,213,049.51 8/26 13,257,859.56 10/31 9,151,901.16 9/26 13,185,690.99 11/31 9,090,889.97 10/26 13,113,746.29 12/31 9,030,014.53 11/26 13,042,023.98 1/32 8,969,273.46 12/26 12,970,522.58 2/32 8,908,665.40 1/27 12,899,240.61 3/32 8,848,188.97 2/27 12,828,176.61 4/32 8,787,842.79 3/27 12,757,329.08 5/32 8,727,625.48 4/27 12,686,696.52 6/32 8,667,535.67 5/27 12,616,277.51 7/32 8,607,572.00 6/27 12,546,070.57 8/32 8,547,733.09 7/27 12,476,074.24 9/32 8,488,017.55 8/27 12,406,287.05 10/32 8,428,424.02 9/27 12,336,707.51 11/32 8,368,951.12 10/27 12,267,334.20 12/32 8,309,597.49 11/27 12,198,165.65 1/33 8,250,361.74 12/27 12,129,200.43 2/33 8,191,242.52 1/28 12,060,437.07 3/33 8,132,238.46 2/28 11,991,874.11 4/33 8,073,348.16 3/28 11,923,510.13 5/33 8,014,570.25 4/28 11,855,343.69 6/33 7,955,903.38 5/28 11,787,373.32 7/33 7,897,346.19 6/28 11,719,597.61 8/33 7,838,897.25 7/28 11,652,015.10 9/33 7,780,555.24 8/28 11,584,624.39 10/33 7,722,318.77 9/28 11,517,424.00 11/33 7,664,186.48 10/28 11,450,412.53 12/33 7,606,156.99 11/28 11,383,588.55 1/34 7,548,228.92 12/28 11,316,950.65 2/34 7,490,400.90 1/29 11,250,497.36 3/34 7,432,671.55 2/29 11,184,227.30 4/34 7,375,039.51 3/29 11,118,139.04 5/34 7,317,503.42 4/29 11,052,231.15 6/34 7,260,061.87 5/29 10,986,502.22 7/34 7,202,713.48 6/29 10,920,950.84 8/34 7,145,456.92 7/29 10,855,575.59 9/34 7,088,290.77 8/29 10,790,375.07 10/34 7,031,213.68 9/29 10,725,347.86 11/34 6,974,224.26 10/29 10,660,492.55 12/34 6,917,321.14 11/29 10,595,807.74 1/35 6,860,502.93 12/29 10,531,292.00 2/35 6,803,768.25 1/30 10,466,943.98 3/35 6,747,115.73 2/30 10,402,762.24 4/35 6,690,544.00 3/30 10,338,745.40 5/35 6,634,051.64 4/30 10,274,892.02 6/35 6,577,637.30 5/30 10,211,200.77 7/35 6,521,299.57 8/35 6,465,037.09
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-23 WAC CAP. The information in the following table has been prepared in accordance with the following assumptions (i) one and six-month LIBOR remain constant at 20.00%, (iii) day count convention of actual/360 is applied, and (ii) prepayments on the mortgage loans occur at the Pricing Prepayment Assumption. It is highly unlikely, however, that prepayments on the mortgage loans will occur at the Pricing Prepayment Assumption or at any other constant percentage. There is no assurance, therefore, of whether or to what extent the actual mortgage rates on the mortgage loans on any distribution date will conform to the corresponding rate set forth for that distribution date in the following table. This table is based on initial marketing structure and spreads.
GROUP DISTRIBUTION GROUP I II CAP DISTRIBUTION GROUP I GROUP II PERIOD DATE WAC CAP (%) CAP (%) (%) PERIOD DATE WAC CAP (%) CAP (%) CAP (%) ------ ---- ----------- ------- --- ------ ---- ----------- ------- ------- 1 Sep-05 21.5978 21.5493 21.6223 49 Sep-09 12.7346 12.9183 12.6439 2 Oct-05 21.6090 21.5588 21.6342 50 Oct-09 13.0895 13.2817 12.9946 3 Nov-05 21.4166 21.3682 21.4409 51 Nov-09 12.6971 12.8991 12.5974 4 Dec-05 21.3749 21.3251 21.3999 52 Dec-09 13.1042 13.3369 12.9895 5 Jan-06 21.1225 21.0744 21.1466 53 Jan-10 12.7052 12.9289 12.5949 6 Feb-06 20.9295 20.8815 20.9535 54 Feb-10 12.6827 12.9072 12.5720 7 Mar-06 21.0121 20.9591 21.0386 55 Mar-10 13.8836 14.1331 13.7606 8 Apr-06 20.4447 20.3970 20.4685 56 Apr-10 12.6388 12.8650 12.5273 9 May-06 20.2509 20.2018 20.2754 57 May-10 12.9980 13.2327 12.8824 10 Jun-06 19.8179 19.7709 19.8415 58 Jun-10 12.6052 12.8448 12.4872 11 Jul-06 19.5417 19.4933 19.5659 59 Jul-10 12.9861 13.2565 12.8530 12 Aug-06 19.0351 18.9884 19.0584 60 Aug-10 12.5839 12.8465 12.4547 13 Sep-06 18.6449 18.5985 18.6681 61 Sep-10 11.6942 11.9577 11.5646 14 Oct-06 18.3824 18.3346 18.4062 62 Oct-10 12.0809 12.3541 11.9465 15 Nov-06 17.8922 17.8462 17.9152 63 Nov-10 11.6881 11.9534 11.5577 16 Dec-06 17.6542 17.6071 17.6778 64 Dec-10 12.0760 12.3528 11.9400 17 Jan-07 17.1745 17.1290 17.1971 65 Jan-11 11.6918 11.9687 11.5557 18 Feb-07 16.8279 16.7826 16.8504 66 Feb-11 11.6887 11.9666 11.5523 19 Mar-07 16.9224 16.8721 16.9475 67 Mar-11 12.9377 13.2463 12.7862 20 Apr-07 16.1592 16.1132 16.1821 68 Apr-11 11.6826 11.9622 11.5453 21 May-07 15.9964 15.9843 16.0024 69 May-11 12.0688 12.3587 11.9266 22 Jun-07 16.8534 17.2015 16.6800 70 Jun-11 11.6778 11.9609 11.5389 23 Jul-07 11.4396 11.3888 11.4649 71 Jul-11 12.0720 12.3728 11.9244 24 Aug-07 11.1359 11.0923 11.1576 72 Aug-11 11.6795 11.9715 11.5363 25 Sep-07 11.0791 11.0359 11.1006 73 Sep-11 11.6764 11.9693 11.5328 26 Oct-07 11.2875 11.2431 11.3096 74 Oct-11 12.0624 12.3659 11.9136 27 Nov-07 10.9778 10.9507 10.9912 75 Nov-11 11.6701 11.9648 11.5258 28 Dec-07 11.8595 12.0237 11.7779 76 Dec-11 12.0569 12.3631 11.9069 29 Jan-08 11.7863 11.7238 11.8174 77 Jan-12 11.6696 11.9696 11.5227 30 Feb-08 11.7423 11.6827 11.7719 78 Feb-12 11.6665 11.9674 11.5192 31 Mar-08 12.3066 12.2434 12.3379 79 Mar-12 12.4677 12.7903 12.3099 32 Apr-08 11.6457 11.5916 11.6726 80 Apr-12 11.6602 11.9629 11.5121 33 May-08 11.9393 11.9483 11.9349 81 May-12 12.0457 12.3594 11.8922 34 Jun-08 12.3993 12.7059 12.2473 82 Jun-12 11.6542 11.9584 11.5054 35 Jul-08 12.4122 12.4929 12.3722 83 Jul-12 12.0403 12.3547 11.8866 36 Aug-08 12.0488 12.1299 12.0087 84 Aug-12 11.6487 11.9539 11.4996 37 Sep-08 12.0198 12.1015 11.9793 85 Sep-12 11.6456 11.9517 11.4961 38 Oct-08 12.3343 12.4208 12.2914 86 Oct-12 12.0305 12.3478 11.8756 39 Nov-08 11.9843 12.1012 11.9264 87 Nov-12 11.6393 11.9472 11.4890 40 Dec-08 12.9711 13.3176 12.7996 88 Dec-12 12.0240 12.3431 11.8683 41 Jan-09 12.8301 12.9546 12.7685 89 Jan-13 11.6330 11.9427 11.4819 42 Feb-09 12.8081 12.9352 12.7452 90 Feb-13 11.6298 11.9404 11.4784 43 Mar-09 13.9821 14.1238 13.9120 91 Mar-13 12.8724 13.2172 12.7042 44 Apr-09 12.7556 12.8860 12.6911 92 Apr-13 11.6235 11.9359 11.4712 45 May-09 13.1163 13.2743 13.0382 93 May-13 12.0077 12.3314 11.8499 46 Jun-09 12.7844 12.9849 12.6853 94 Jun-13 11.6172 11.9313 11.4641 47 Jul-09 13.1615 13.3495 13.0686 95 Jul-13 12.0011 12.3267 11.8426 48 Aug-09 12.7590 12.9419 12.6688 96 Aug-13 11.6108 11.9268 11.4570
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-24
GROUP DISTRIBUTION GROUP I II CAP PERIOD DATE WAC CAP (%) CAP (%) (%) ------ ---- ----------- ------- --- 97 Sep-13 11.6076 11.9245 11.4535 98 Oct-13 11.9913 12.3196 11.8315 99 Nov-13 11.6013 11.9199 11.4463 100 Dec-13 11.9847 12.3149 11.8242 101 Jan-14 11.5949 11.9153 11.4392 102 Feb-14 11.5917 11.9130 11.4356 103 Mar-14 12.8302 13.1869 12.6569 104 Apr-14 11.5854 11.9084 11.4285 105 May-14 11.9682 12.3030 11.8057 106 Jun-14 11.5790 11.9038 11.4213 107 Jul-14 11.9617 12.2983 11.7983 108 Aug-14 11.5726 11.8992 11.4142 109 Sep-14 11.5694 11.8969 11.4106 110 Oct-14 11.9517 12.2911 11.7872 111 Nov-14 11.5630 11.8923 11.4034 112 Dec-14 11.9451 12.2863 11.7798 113 Jan-15 11.5566 11.8877 11.3963 114 Feb-15 11.5534 11.8854 11.3927 115 Mar-15 12.7877 13.1562 12.6093 116 Apr-15 11.5470 11.8807 11.3855 117 May-15 11.9286 12.2743 11.7613 118 Jun-15 11.5406 11.8761 11.3783 119 Jul-15 11.9219 12.2695 11.7539 120 Aug-15 11.5341 11.8714 11.3712
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-25 SWAP AGREEMENT. On the Closing Date, the Trustee will enter into a swap agreement with an initial swap notional amount of $1,405,121,142. Under the swap agreement, on each Distribution Date prior to the termination of the swap agreement, the trust shall be obligated to pay an amount equal to a per annum rate of 4.456% (on a 30/360 basis) on the lesser of the swap notional amount and the aggregate class certificate balance of the LIBOR Certificates to the swap provider and the trust will be entitled to receive an amount equal to a per annum rate of 1-month LIBOR (on a actual/360 basis) on the lesser of the swap notional amount and the aggregate class certificate balance of the LIBOR Certificates from the swap provider. Only the net amount of the two obligations above will be paid by the appropriate party. SWAP SCHEDULE
SWAP NOTIONAL SWAP NOTIONAL PERIOD DISTRIBUTION DATE AMOUNT ($) PERIOD DISTRIBUTION DATE AMOUNT ($) ------ ----------------- ---------- ------ ----------------- ---------- 1 Sep-05 1,405,121,142 38 Oct-08 51,388,046 2 Oct-05 1,384,837,395 39 Nov-08 49,064,988 3 Nov-05 1,359,719,373 40 Dec-08 46,846,641 4 Dec-05 1,329,804,135 41 Jan-09 44,728,294 5 Jan-06 1,295,173,648 42 Feb-09 42,705,451 6 Feb-06 1,255,956,804 43 Mar-09 40,773,818 7 Mar-06 1,212,329,558 44 Apr-09 38,929,292 8 Apr-06 1,164,515,621 45 May-09 37,167,954 9 May-06 1,112,786,184 46 Jun-09 35,486,062 10 Jun-06 1,057,459,437 47 Jul-09 33,880,042 11 Jul-06 998,923,601 48 Aug-09 32,346,480 12 Aug-06 941,580,744 49 Sep-09 30,882,115 13 Sep-06 887,259,244 50 Oct-09 29,483,833 14 Oct-06 835,847,389 51 Nov-09 28,148,660 15 Nov-06 787,188,819 52 Dec-09 26,873,755 16 Dec-06 741,135,598 53 Jan-10 25,656,405 17 Jan-07 697,547,765 54 Feb-10 24,494,018 18 Feb-07 656,292,902 55 Mar-10 23,384,119 19 Mar-07 617,245,714 56 Apr-10 22,324,346 20 Apr-07 580,287,657 57 May-10 21,312,439 21 May-07 545,306,576 58 Jun-10 20,346,245 22 Jun-07 512,196,352 59 Jul-10 19,423,682 23 Jul-07 147,802,705 60 Aug-10 18,542,065 24 Aug-07 140,686,917 61 Sep-10 onwards 0 25 Sep-07 133,916,116 26 Oct-07 127,473,446 27 Nov-07 121,342,876 28 Dec-07 115,509,167 29 Jan-08 109,957,830 30 Feb-08 104,675,090 31 Mar-08 99,647,850 32 Apr-08 94,863,656 33 May-08 90,310,667 34 Jun-08 85,978,032 35 Jul-08 59,035,942 36 Aug-08 56,368,240 37 Sep-08 53,820,743
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-26 SELECTED MORTGAGE LOAN DATA(1) THE MORTGAGE LOANS - ALL COLLATERAL SCHEDULED PRINCIPAL BALANCE: $1,495,284,015 NUMBER OF MORTGAGE LOANS: 8,810 AVERAGE SCHEDULED PRINCIPAL BALANCE: $169,726 WEIGHTED AVERAGE GROSS COUPON: 7.452% WEIGHTED AVERAGE NET COUPON: (2) 6.942% WEIGHTED AVERAGE CURRENT FICO SCORE: 627 WEIGHTED AVERAGE ORIGINAL LTV RATIO: 78.97% WEIGHTED AVERAGE COMBINED ORIGINAL LTV RATIO: 82.67% WEIGHTED AVERAGE STATED REMAINING TERM (MONTHS): 358 WEIGHTED AVERAGE SEASONING(MONTHS): 2 WEIGHTED AVERAGE MONTHS TO ROLL: (3) 24 WEIGHTED AVERAGE GROSS MARGIN: (3) 6.36% WEIGHTED AVERAGE INITIAL RATE CAP: (3) 2.61% WEIGHTED AVERAGE PERIODIC RATE CAP: (3) 1.30% WEIGHTED AVERAGE GROSS MAXIMUM LIFETIME RATE: (3) 13.67% (1) All percentages calculated herein are percentages of scheduled principal balance as of the Statistical Calculation Date unless otherwise noted. (2) The Weighted Average Net Coupon is equivalent to the Weighted Average Gross Coupon less initial servicing and trustee fees. (3) Represents the weighted average of the adjustable rate mortgage loans in the applicable group. DISTRIBUTION BY CURRENT PRINCIPAL BALANCE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. CURRENT NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. PRINCIPAL OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER BALANCE LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ------- ----- ------- ------- ------ ---- ------- --- --- -------- $50,000 & Below 1,149 $ 35,641,915 2.38% 10.276% 637 $ 31,020 96.58% 65.58% 94.98% $50,001 - $75,000 866 54,102,834 3.62 9.059 622 62,474 87.64 67.06 90.48 $75,001 - $100,000 888 78,174,397 5.23 8.260 622 88,034 84.90 66.45 91.03 $100,001 - $125,000 1,015 113,963,457 7.62 7.810 620 112,279 83.48 69.80 93.74 $125,001 - $150,000 885 121,517,471 8.13 7.598 623 137,308 82.26 66.97 90.67 $150,001 - $200,000 1,362 237,394,466 15.88 7.430 622 174,298 82.19 63.36 93.57 $200,001 - $250,000 832 186,352,677 12.46 7.241 625 223,982 81.37 58.36 93.10 $250,001 - $300,000 588 161,113,037 10.77 7.087 626 274,002 82.03 56.31 94.81 $300,001 - $350,000 391 126,724,033 8.47 7.050 629 324,102 82.33 47.35 92.44 $350,001 - $400,000 307 114,848,708 7.68 7.054 636 374,100 81.65 47.51 95.42 $400,001 & Above 527 265,451,021 17.75 7.042 634 503,702 81.30 43.18 95.11 ----- -------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 8,810 $1,495,284,011 100.00% 7.452% 627 $169,726 82.67% 56.95% 93.53% ===== ============== ====== ===== === ======== ===== ===== =====
DISTRIBUTION BY CURRENT RATE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. CURRENT OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER RATE LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ------- ----- ------- ------- ------ ---- ------- --- --- -------- 4.99% & Below 1 $ 194,530 0.01% 4.990% 721 $194,530 58.21% 100.00% 100.00% 5.00 - 5.49% 34 9,479,249 0.63 5.280 669 278,801 76.77 78.68 100.00 5.50 - 5.99% 255 65,609,499 4.39 5.829 655 257,292 78.37 62.19 96.70 6.00 - 6.49% 646 153,783,472 10.28 6.270 655 238,055 79.29 64.93 97.78 6.50 - 6.99% 1,716 398,888,775 26.68 6.764 637 232,453 80.39 61.11 94.25 7.00 - 7.49% 1,306 268,928,039 17.99 7.245 624 205,917 81.70 54.25 92.68 7.50 - 7.99% 1,420 267,016,642 17.86 7.723 615 188,040 83.46 48.54 90.36 8.00 - 8.49% 637 99,278,767 6.64 8.233 606 155,854 84.39 51.00 91.68 8.50 - 8.99% 693 87,356,064 5.84 8.738 599 126,055 87.65 55.84 90.79 9.00% & Above 2,102 144,748,980 9.68 10.061 609 68,863 91.06 58.44 95.52 ----- -------------- ------- ----- --- -------- ----- ----- ----- TOTAL: 8,810 $1,495,284,015 100.00% 7.452% 627 $169,726 82.67% 56.95% 93.53% ===== ============== ======= ===== === ======== ===== ===== =====
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-27 DISTRIBUTION BY CREDIT SCORE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. CREDIT OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER SCORE LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ------- ----- ------- ------- ------ ---- ------- --- --- -------- 740 & Above 210 $ 40,282,025 2.69% 6.859% 764 $191,819 83.75% 49.40% 86.40% 720 - 739 193 31,898,216 2.13 6.968 729 165,276 83.47 48.42 93.61 700 - 719 283 50,736,953 3.39 7.047 709 179,283 83.55 39.93 90.70 680 - 699 540 94,441,535 6.32 7.212 689 174,892 84.18 38.03 89.17 660 - 679 870 151,443,076 10.13 7.232 669 174,073 83.48 42.76 86.27 640 - 659 1,161 202,309,498 13.53 7.252 649 174,255 83.24 43.01 92.21 620 - 639 1,374 225,897,015 15.11 7.357 629 164,408 83.20 56.74 93.40 600 - 619 1,433 237,647,593 15.89 7.430 609 165,839 83.55 68.35 96.26 580 - 599 1,303 218,808,517 14.63 7.532 590 167,927 81.98 74.22 96.94 560 - 579 669 110,328,482 7.38 8.001 570 164,916 82.05 66.45 97.46 540 - 559 393 70,341,353 4.70 8.020 550 178,986 79.40 60.79 95.58 520 - 539 254 40,373,658 2.70 8.479 530 158,951 78.22 61.98 98.02 500 - 519 124 20,177,457 1.35 8.626 510 162,721 73.30 69.67 97.57 1 - 499 1 292,336 0.02 8.875 471 292,336 75.00 0.00 100.00 N/A 2 306,301 0.02 8.841 0 153,150 67.82 54.78 100.00 ----- -------------- ------ ----- --- -------- ----- ----- ------ TOTAL: 8,810 $1,495,284,015 100.00% 7.452% 627 $169,726 82.67% 56.95% 93.53% ===== ============== ====== ===== === ======== ===== ===== ======
DISTRIBUTION BY LIEN
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER LIEN LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ---- ----- ------- ------- ------ ---- ------- --- --- -------- First Lien 7,315 $1,426,289,622 95.39% 7.316% 626 $194,981 81.85% 57.27% 93.30% Second Lien 1,495 68,994,393 4.61 10.272 650 46,150 99.57 50.49 98.36 ----- -------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 8,810 $1,495,284,015 100.00% 7.452% 627 $169,726 82.67% 56.95% 93.53% ===== ============== ====== ===== === ======== ===== ===== =====
DISTRIBUTION BY COMBINED ORIGINAL LTV
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. COMBINED OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER ORIGINAL LTV LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ------------ ----- ------- ------- ------ ---- ------- --- --- -------- 60.00% & Below 240 $ 40,700,213 2.72% 7.352% 600 $169,584 48.96% 39.83% 91.85% 60.01 - 70.00% 385 78,926,020 5.28 7.396 599 205,003 66.70 44.55 88.62 70.01 - 80.00% 3,858 777,297,860 51.98 7.049 634 201,477 79.28 53.72 95.22 80.01 - 85.00% 649 126,476,536 8.46 7.509 602 194,879 84.47 57.43 93.22 85.01 - 90.00% 1,373 269,313,506 18.01 7.578 620 196,150 89.76 67.15 88.50 90.01 - 95.00% 469 71,722,341 4.80 8.055 627 152,926 94.80 62.58 92.39 95.01 - 100.00% 1,836 130,847,540 8.75 9.271 646 71,268 99.91 64.43 98.28 ----- -------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 8,810 $1,495,284,015 100.00% 7.452% 627 $169,726 82.67% 56.95% 93.53% ===== ============== ====== ===== === ======== ===== ===== =====
DISTRIBUTION BY ORIGINAL LTV
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER ORIGINAL LTV LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ------------ ----- ------- ------- ------ ---- ------- --- --- -------- 60.00% & Below 1,735 $ 109,694,606 7.34% 9.188% 632 $ 63,225 80.79% 46.53% 95.94% 60.01 - 70.00% 385 78,926,020 5.28 7.396 599 205,003 66.70 44.55 88.62 70.01 - 80.00% 3,858 777,297,860 51.98 7.049 634 201,477 79.28 53.72 95.22 80.01 - 85.00% 646 126,417,718 8.45 7.507 602 195,693 84.47 57.43 93.26 85.01 - 90.00% 1,356 268,250,503 17.94 7.569 620 197,825 89.77 67.21 88.46 90.01 - 95.00% 395 69,086,998 4.62 7.971 626 174,904 94.81 62.49 92.50 95.01 - 100.00% 435 65,610,311 4.39 8.269 642 150,828 99.85 78.90 97.76 ----- -------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 8,810 $1,495,284,015 100.00% 7.452% 627 $169,726 82.67% 56.95% 93.53% ===== ============== ====== ===== === ======== ===== ===== =====
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-28 DISTRIBUTION BY DOCUMENTATION
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER DOCUMENTATION LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ------------- ----- ------- ------- ------ ---- ------- --- --- -------- Full 5,503 $ 851,619,150 56.95% 7.402% 618 $154,755 83.73% 100.00% 93.10% Stated 3,090 597,568,498 39.96 7.539 639 193,388 81.24 0.00 94.49 Limited 173 39,343,644 2.63 7.288 611 227,420 81.36 0.00 87.79 No Doc 17 4,621,077 0.31 6.421 697 271,828 79.66 0.00 94.37 Alt 27 2,131,647 0.14 8.375 641 78,950 90.43 0.00 98.72 ----- -------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 8,810 $1,495,284,015 100.00% 7.452% 627 $169,726 82.67% 56.95% 93.53% ===== ============== ====== ===== === ======== ===== ===== =====
DISTRIBUTION BY PURPOSE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER PURPOSE LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ------- ----- ------- ------- ------ ---- ------- --- --- -------- Purchase 5,163 $778,189,681 52.04% 7.518% 640 $150,724 84.38% 56.44% 93.97% Cashout Refi 3,328 668,123,429 44.68 7.361 613 200,758 80.61 57.43 92.91 Rate/term Refi 319 48,970,905 3.28 7.656 612 153,514 83.54 58.59 95.10 ----- -------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 8,810 $1,495,284,015 100.00% 7.452% 627 $169,726 82.67% 56.95% 93.53% ===== ============== ====== ===== === ======== ===== ===== =====
DISTRIBUTION BY OCCUPANCY
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER OCCUPANCY LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED --------- ----- ------- ------- ------ ---- ------- --- --- -------- Owner Occupied 8,199 $1,398,558,068 93.53% 7.445% 625 $ 170,577 82.71% 56.69% 100.00% Investor 518 79,648,342 5.33 7.494 651 153,761 81.84 63.51 0.00 Second Home 93 17,077,606 1.14 7.903 652 183,630 83.48 47.72 0.00 ----- -------------- ------ ----- --- --------- ----- ----- ----- TOTAL: 8,810 $1,495,284,015 100.00% 7.452% 627 $ 169,726 82.67% 56.95% 93.53% ===== ============== ====== ===== === ========= ===== ===== =====
DISTRIBUTION BY PROPERTY TYPE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER PROPERTY TYPE LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ------------- ----- ------- ------- ------ ---- ------- --- --- -------- Single Family 7,107 $1,179,881,692 78.91% 7.460% 624 $166,017 82.63% 58.37% 95.33% PUD 546 94,178,284 6.30 7.519 626 172,488 82.92 49.25 92.96 2 Family 386 85,967,511 5.75 7.298 649 222,714 83.24 42.99 81.66 Condo 545 84,406,349 5.64 7.458 640 154,874 82.77 57.15 88.19 3-4 Family 123 35,752,914 2.39 7.385 637 290,674 81.44 66.98 78.02 PUD Detached 63 8,510,358 0.57 7.566 622 135,085 83.59 48.87 98.87 Manu/mobile Home 17 3,190,428 0.21 7.072 641 187,672 78.57 61.43 68.65 PUD Attached 11 1,812,824 0.12 7.898 642 164,802 84.69 19.50 91.84 Townhouse 9 1,239,643 0.08 7.165 646 137,738 85.76 61.13 85.31 Condo Hi-rise 2 193,131 0.01 7.699 714 96,566 81.11 0.00 100.00 Other 1 150,881 0.01 7.200 616 150,881 88.82 100.00 100.00 ----- -------------- ------ ----- --- -------- ----- ------ ------ TOTAL: 8,810 $1,495,284,015 100.00% 7.452% 627 $169,726 82.67% 56.95% 93.53% ===== ============== ====== ===== === ======== ===== ====== ======
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-29 DISTRIBUTION BY STATE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER STATE LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ----- ----- ------- ------- ------ ---- ------- --- --- -------- CA 1,437 $ 387,283,774 25.90% 7.027% 633 $269,509 80.30% 43.91% 94.75% FL 970 155,751,295 10.42 7.568 624 160,568 82.67 62.65 90.47 IL 620 97,525,253 6.52 7.454 633 157,299 85.06 53.41 93.58 NJ 337 81,949,746 5.48 7.355 622 243,174 82.98 52.26 95.88 GA 552 71,965,888 4.81 7.953 613 130,373 86.23 66.13 87.41 NY 236 68,449,712 4.58 7.130 635 290,041 80.64 46.57 91.44 MD 268 55,730,192 3.73 7.489 616 207,948 81.56 73.41 96.35 MN 320 49,710,074 3.32 7.553 617 155,344 84.46 64.23 91.04 VA 242 47,783,775 3.20 7.502 625 197,454 81.56 61.97 94.22 TX 436 41,271,527 2.76 8.151 624 94,659 84.52 54.76 95.17 Other 3,392 437,862,779 29.28 7.686 626 129,087 83.79 64.99 94.12 ----- -------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 8,810 $1,495,284,015 100.00% 7.452% 627 $169,726 82.67% 56.95% 93.53% ===== ============== ====== ===== === ======== ===== ===== =====
DISTRIBUTION BY ZIP
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER ZIP LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED --- ----- ------- ------- ------ ---- ------- --- --- -------- 60618 12 $ 3,558,115 0.24% 6.910% 690 $296,510 83.63% 19.57% 100.00% 20721 7 3,059,216 0.20 7.359 643 437,031 84.33 42.77 100.00 90805 11 2,796,338 0.19 7.359 625 254,213 74.76 26.74 79.44 96740 7 2,770,390 0.19 7.753 679 395,770 75.73 27.44 100.00 92508 7 2,752,733 0.18 6.509 629 393,248 83.99 56.87 100.00 92345 13 2,698,978 0.18 7.189 630 207,614 80.06 41.93 100.00 11221 8 2,692,408 0.18 7.391 636 336,551 81.91 50.06 84.26 95823 11 2,683,495 0.18 6.750 629 243,954 79.97 50.79 100.00 20603 8 2,633,813 0.18 7.294 623 329,227 77.50 85.98 100.00 95206 12 2,623,688 0.18 7.030 670 218,641 81.81 37.01 93.33 Other 8,714 1,467,014,841 98.11 7.458 626 168,351 82.71 57.22 93.49 ----- -------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 8,810 $1,495,284,015 100.00% 7.452% 627 $169,726 82.67% 56.95% 93.53% ===== ============== ====== ===== === ======== ===== ===== =====
DISTRIBUTION BY REMAINING MONTHS TO MATURITY
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. REMAINING NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. MONTHS TO OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER MATURITY LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED -------- ----- ------- ------- ------ ---- ------- --- --- -------- 1 - 180 750 $ 33,652,313 2.25% 10.188% 649 $ 44,870 97.02% 43.98% 96.15% 181 - 240 257 9,340,708 0.62 9.968 640 36,345 94.24 53.39 98.49 241 - 360 7,589 1,400,520,040 93.66 7.382 627 184,546 82.34 57.87 93.31 421 - 480 214 51,770,954 3.46 7.130 613 241,920 80.02 41.19 97.00 ----- -------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 8,810 $1,495,284,015 100.00% 7.452% 627 $169,726 82.67% 56.95% 93.53% ===== ============== ====== ===== === ======== ===== ===== =====
DISTRIBUTION BY AMORTIZATION TYPE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER AMORTIZATION TYPE LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ----------------- ----- ------- ------- ------ ---- ------- --- --- -------- 2 YR ARM 3,980 $ 733,177,684 49.03% 7.497% 616 $184,215 82.21% 52.68% 91.89% 2 YR ARM IO 1,557 385,341,526 25.77 6.927 643 247,490 81.92 61.84 97.83 Fixed 1,822 199,509,672 13.34 7.908 633 109,500 83.19 66.70 92.58 3 YR ARM 447 71,283,328 4.77 7.654 604 159,471 83.36 58.28 88.52 3 YR ARM IO 194 42,043,129 2.81 7.303 637 216,717 84.32 56.00 91.11 Balloon 15/30 634 28,366,161 1.90 10.461 652 44,742 99.71 36.29 97.34 2 YR ARM BALLOON 30/40 51 11,322,232 0.76 7.424 641 222,005 77.21 35.07 97.97 FIXED IO 51 9,407,721 0.63 6.865 665 184,465 83.95 68.23 94.42 5 YR ARM 39 9,058,178 0.61 6.662 643 232,261 79.08 65.42 94.84 5 YR ARM IO 13 2,929,200 0.20 6.264 659 225,323 78.94 58.31 95.51 Other 22 2,845,185 0.19 8.110 682 129,327 87.41 21.95 96.49 ----- ------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 8,810 $1,495,284,01 100.00% 7.452% 627 $169,726 82.67% 56.95% 93.53% ===== ============= ====== ===== === ======== ===== ===== =====
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-30 DISTRIBUTION BY INITIAL PERIODIC CAP
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. INITIAL PERIODIC OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER CAP LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED --- ----- ------- ------- ------ ---- ------- --- --- -------- 0.51 - 1.00% 244 $42,610,690 2.85% 7.265% 620 $174,634 80.29% 37.82% 94.07% 1.01 - 1.50% 123 30,099,140 2.01 6.999 643 244,708 81.35 41.05 98.82 1.51 - 2.00% 1,706 403,614,331 26.99 7.196 626 236,585 81.68 63.27 93.18 2.51 - 3.00% 4,137 762,869,824 51.02 7.393 624 184,402 82.57 53.89 93.68 3.01 - 3.50% 8 890,718 0.06 6.854 667 111,340 83.68 30.95 100.00 3.51 - 4.00% 1 89,909 0.01 9.375 556 89,909 90.00 100.00 100.00 4.51 - 5.00% 10 2,232,808 0.15 6.617 648 223,281 77.30 15.25 100.00 5.51 - 6.00% 63 13,981,991 0.94 7.515 616 221,936 83.53 41.00 86.46 6.01% & Above 1 199,689 0.01 7.290 643 199,689 80.00 100.00 100.00 N/A 2,517 238,694,916 15.96 8.173 637 94,833 85.23 62.85 93.22 ----- -------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 8,810 $1,495,284,015 100.00% 7.452% 627 $169,726 82.67% 56.95% 93.53% ===== ============== ====== ===== === ======== ===== ===== =====
DISTRIBUTION BY PERIODIC CAP
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. PERIODIC OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER CAP LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED --- ----- ------- ------- ------ ---- ------- --- --- -------- 0.51 - 1.00% 3,190 $ 575,053,487 38.46% 7.387% 622 $180,268 82.72% 44.58% 94.12% 1.01 - 1.50% 2,981 656,857,049 43.93 7.243 628 220,348 81.74 65.94 93.21 1.51 - 2.00% 82 17,774,742 1.19 7.237 609 216,765 77.57 47.19 93.76 3.01% & Above 40 6,903,822 0.46 8.466 610 172,596 90.81 53.88 84.90 N/A 2,517 238,694,916 15.96 8.173 637 94,833 85.23 62.85 93.22 ----- -------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 8,810 $1,495,284,015 100.00% 7.452% 627 $169,726 82.67% 56.95% 93.53% ===== ============== ====== ===== === ======== ===== ===== =====
DISTRIBUTION BY MONTHS TO RATE RESET
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. MONTHS TO OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER RATE RESET LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ---------- ----- ------- ------- ------ ---- ------- --- --- -------- 1 - 12 10 $ 1,628,998 0.11% 6.710% 618 $162,900 84.65% 20.91% 84.42% 13 - 24 5,591 1,129,675,439 75.55 7.304 626 202,052 82.06 55.67 94.00 25 - 36 639 112,982,423 7.56 7.525 617 176,811 83.73 57.25 89.45 49 & Above 53 12,302,240 0.82 6.563 647 232,118 79.32 62.05 95.13 N/A 2,517 238,694,916 15.96 8.173 637 94,833 85.23 62.85 93.22 ----- -------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 8,810 $1,495,284,015 100.00% 7.452% 627 $169,726 82.67% 56.95% 93.53% ===== ============== ====== ===== === ======== ===== ===== =====
DISTRIBUTION BY LIFE MAXIMUM RATE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. LIFE MAXIMUM OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER RATE LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ---- ----- ------- ------- ------ ---- ------- --- --- -------- 11.99% & Below 172 $ 43,194,056 2.89% 5.781% 650 $251,128 77.96% 54.35% 98.75% 12.00 - 12.49% 264 61,891,518 4.14 6.236 645 234,438 79.16 51.46 98.11 12.50 - 12.99% 948 234,832,721 15.70 6.661 637 247,714 80.23 57.39 93.99 13.00 - 13.49% 980 216,364,240 14.47 6.969 635 220,780 81.70 58.38 93.94 13.50 - 13.99% 1,472 312,347,730 20.89 7.265 626 212,193 82.17 55.64 92.52 14.00 - 14.49% 815 151,928,462 10.16 7.659 615 186,415 83.25 53.17 92.96 14.50 - 14.99% 758 127,557,563 8.53 8.164 605 168,282 85.79 51.68 91.15 15.00 - 15.49% 327 46,976,339 3.14 8.718 608 143,659 87.13 49.33 94.05 15.50 - 15.99% 244 29,447,593 1.97 9.295 587 120,687 85.47 54.27 90.87 16.00% & Above 313 32,048,877 2.14 10.211 576 102,393 81.70 79.67 97.58 N/A 2,517 238,694,916 15.96 8.173 637 94,833 85.23 62.85 93.22 ----- -------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 8,810 $1,495,284,015 100.00% 7.452% 627 $169,726 82.67% 56.95% 93.53% ===== ============== ====== ===== === ======== ===== ===== =====
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-31 DISTRIBUTION BY MARGIN
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER MARGIN LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ------ ----- ------- ------- ------ ---- ------- --- --- -------- 4.99% & Below 400 $ 84,770,457 5.67% 6.382% 652 $211,926 80.86% 49.78% 97.37% 5.00 - 5.49% 532 121,754,468 8.14 6.448 649 228,862 79.65 43.96 94.41 5.50 - 5.99% 844 186,094,741 12.45 6.841 638 220,491 81.23 58.44 94.75 6.00 - 6.49% 1,351 301,561,836 20.17 7.026 629 223,214 81.14 56.64 94.76 6.50 - 6.99% 2,118 427,783,270 28.61 7.655 613 201,975 82.71 57.26 92.49 7.00% & Above 1,048 134,624,328 9.00 8.913 597 128,458 87.28 60.44 89.76 N/A 2,517 238,694,916 15.96 8.173 637 94,833 85.23 62.85 93.22 ----- -------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 8,810 $1,495,284,015 100.00% 7.452% 627 $169,726 82.67% 56.95% 93.53% ===== ============== ====== ===== === ======== ===== ===== =====
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-32 SELECTED MORTGAGE LOAN DATA(1) THE ADJUSTABLE RATE MORTGAGE LOANS - ALL COLLATERAL SCHEDULED PRINCIPAL BALANCE: $1,256,589,100 NUMBER OF MORTGAGE LOANS: 6,293 AVERAGE SCHEDULED PRINCIPAL BALANCE: $199,680 WEIGHTED AVERAGE GROSS COUPON: 7.316% WEIGHTED AVERAGE NET COUPON: (2) 6.806% WEIGHTED AVERAGE CURRENT FICO SCORE: 625 WEIGHTED AVERAGE ORIGINAL LTV RATIO: 82.15% WEIGHTED AVERAGE COMBINED ORIGINAL LTV RATIO: 82.18% WEIGHTED AVERAGE STATED REMAINING TERM (MONTHS): 363 WEIGHTED AVERAGE SEASONING(MONTHS): 2 WEIGHTED AVERAGE MONTHS TO ROLL: (3) 24 WEIGHTED AVERAGE GROSS MARGIN: (3) 6.36% WEIGHTED AVERAGE INITIAL RATE CAP: (3) 2.61% WEIGHTED AVERAGE PERIODIC RATE CAP: (3) 1.30% WEIGHTED AVERAGE GROSS MAXIMUM LIFETIME RATE: (3) 13.67% (1) All percentages calculated herein are percentages of scheduled principal balance as of the Statistical Calculation Date unless otherwise noted. (2) The Weighted Average Net Coupon is equivalent to the Weighted Average Gross Coupon less initial servicing and trustee fees. (3) Represents the weighted average of the adjustable rate mortgage loans in the applicable group. DISTRIBUTION BY CURRENT PRINCIPAL BALANCE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. CURRENT PRINCIPAL OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER BALANCE LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ------- ----- ------- ------- ------ ---- ------- --- --- -------- $50,000 & Below 114 $ 4,930,342 0.39% 9.344% 603 $ 43,249 83.93% 82.49% 82.78% $50,001 - $75,000 489 30,953,123 2.46 8.639 606 63,299 83.72 74.86 87.65 $75,001 - $100,000 607 53,546,672 4.26 7.952 617 88,215 83.86 70.12 90.92 $100,001 - $125,000 813 91,374,372 7.27 7.670 616 112,392 83.23 72.28 93.77 $125,001 - $150,000 741 101,796,244 8.10 7.541 621 137,377 82.31 67.44 90.22 $150,001 - $200,000 1,140 198,839,548 15.82 7.414 621 174,421 82.29 62.08 93.34 $200,001 - $250,000 738 165,390,437 13.16 7.262 623 224,106 81.75 57.42 93.46 $250,001 - $300,000 537 146,930,271 11.69 7.115 625 273,613 82.29 55.95 94.67 $300,001 - $350,000 348 112,665,572 8.97 7.058 627 323,752 82.51 45.09 93.59 $350,001 - $400,000 277 103,806,525 8.26 7.045 634 374,753 81.81 46.57 96.36 $400,001 & Above 489 246,355,994 19.61 7.053 634 503,795 81.29 41.54 94.94 ----- ------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 6,293 $1,256,589,10 100.00% 7.316% 625 $199,680 82.18% 55.83% 93.59% ===== ============= ====== ===== === ======== ===== ===== =====
DISTRIBUTION BY CURRENT RATE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. CURRENT OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER RATE LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ---- ----- ------- ------- ------ ---- ------- --- --- -------- 4.99% & Below 1 $ 194,530 0.02% 4.990% 721 $194,530 58.21% 100.00% 100.00% 5.00 - 5.49% 34 9,479,249 0.75 5.280 669 278,801 76.77 78.68 100.00 5.50 - 5.99% 242 62,239,423 4.95 5.825 654 257,188 78.25 60.31 97.05 6.00 - 6.49% 510 121,506,665 9.67 6.274 654 238,248 80.29 60.74 98.45 6.50 - 6.99% 1,485 355,158,378 28.26 6.764 636 239,164 80.44 60.22 94.50 7.00 - 7.49% 1,161 243,797,606 19.40 7.246 624 209,989 81.89 53.60 92.64 7.50 - 7.99% 1,214 235,383,821 18.73 7.722 615 193,891 83.81 46.37 90.26 8.00 - 8.49% 537 86,895,174 6.92 8.233 606 161,816 85.10 48.55 92.13 8.50 - 8.99% 470 68,678,771 5.47 8.722 590 146,125 87.62 53.82 91.30 9.00% & Above 639 73,255,483 5.83 9.775 581 114,641 85.03 67.93 95.07 ----- -------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 6,293 $1,256,589,100 100.00% 7.316% 625 $199,680 82.18% 55.83% 93.59% ===== ============== ====== ===== === ======== ===== ===== =====
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-33 DISTRIBUTION BY CREDIT SCORE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. CREDIT OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER SCORE LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ----- ----- ------- ------- ------ ---- ------- --- --- -------- 740 & Above 144 $ 31,076,145 2.47% 6.707% 765 $215,807 82.99% 42.52% 87.64% 720 - 739 118 25,393,104 2.02 6.714 729 215,196 82.22 46.93 93.73 700 - 719 180 41,138,131 3.27 6.819 708 228,545 82.08 40.17 90.26 680 - 699 336 75,016,655 5.97 6.973 688 223,264 82.99 35.33 89.20 660 - 679 553 121,195,451 9.64 7.050 669 219,160 82.74 41.33 85.64 640 - 659 774 168,497,153 13.41 7.039 649 217,697 82.15 41.68 92.21 620 - 639 930 186,155,702 14.81 7.181 629 200,167 82.47 54.19 93.20 600 - 619 1,023 200,839,310 15.98 7.275 609 196,324 83.36 66.31 96.41 580 - 599 1,018 193,502,287 15.40 7.418 590 190,081 81.81 74.08 96.80 560 - 579 560 99,474,330 7.92 7.969 570 177,633 82.37 65.40 97.38 540 - 559 329 60,445,924 4.81 8.015 550 183,726 80.27 60.77 95.76 520 - 539 222 36,163,582 2.88 8.504 530 162,899 78.74 60.23 97.92 500 - 519 103 17,092,691 1.36 8.557 511 165,948 74.42 69.99 97.13 1 - 499 1 292,336 0.02 8.875 471 292,336 75.00 0.00 100.00 N/A 2 306,301 0.02 8.841 0 153,150 67.82 54.78 100.00 ----- -------------- ------ ----- --- -------- ----- ----- ------ TOTAL: 6,293 $1,256,589,100 100.00% 7.316% 625 $199,680 82.18% 55.83% 93.59% ===== ============== ====== ===== === ======== ===== ===== ======
DISTRIBUTION BY LIEN
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER LIEN LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ---- ----- ------- ------- ------ ---- ------- --- --- -------- First Lien 6,285 $1,256,012,820 99.95% 7.315% 625 $199,843 82.17% 55.83% 93.59% Second Lien 8 576,280 0.05 9.344 673 72,035 100.00 66.01 100.00 ----- -------------- ------ ----- --- -------- ------ ----- ------ TOTAL: 6,293 $1,256,589,100 100.00% 7.316% 625 $199,680 82.18% 55.83% 93.59% ===== ============== ====== ===== === ======== ====== ===== ======
DISTRIBUTION BY COMBINED ORIGINAL LTV
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. COMBINED OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER ORIGINAL LTV LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ------------ ----- ------- ------- ------ ---- ------- --- --- -------- 60.00% & Below 159 $ 30,413,907 2.42% 7.349% 596 $191,282 49.55% 34.25% 92.28% 60.01 - 70.00% 278 60,947,396 4.85 7.455 596 219,235 66.85 40.05 87.96 70.01 - 80.00% 3,385 697,620,779 55.52 7.040 634 206,092 79.33 52.42 95.40 80.01 - 85.00% 525 107,482,294 8.55 7.510 597 204,728 84.49 54.46 94.33 85.01 - 90.00% 1,193 235,981,187 18.78 7.580 618 197,805 89.77 66.49 88.47 90.01 - 95.00% 351 63,553,009 5.06 7.948 625 181,063 94.82 61.37 92.82 95.01 - 100.00% 402 60,590,528 4.82 8.297 639 150,723 99.89 76.95 98.49 ----- -------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 6,293 $1,256,589,100 100.00% 7.316% 625 $199,680 82.18% 55.83% 93.59% ===== ============== ====== ===== === ======== ===== ===== =====
DISTRIBUTION BY ORIGINAL LTV
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER ORIGINAL LTV LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ------------ ----- ------- ------- ------ ---- ------- --- --- -------- 60.00% & Below 167 $ 30,990,187 2.47% 7.386% 598 $185,570 50.49% 34.84% 92.42% 60.01 - 70.00% 278 60,947,396 4.85 7.455 596 219,235 66.85 40.05 87.96 70.01 - 80.00% 3,385 697,620,779 55.52 7.040 634 206,092 79.33 52.42 95.40 80.01 - 85.00% 525 107,482,294 8.55 7.510 597 204,728 84.49 54.46 94.33 85.01 - 90.00% 1,193 235,981,187 18.78 7.580 618 197,805 89.77 66.49 88.47 90.01 - 95.00% 351 63,553,009 5.06 7.948 625 181,063 94.82 61.37 92.82 95.01 - 100.00% 394 60,014,248 4.78 8.287 639 152,320 99.89 77.05 98.48 ----- -------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 6,293 $1,256,589,100 100.00% 7.316% 625 $199,680 82.18% 55.83% 93.59% ===== ============== ====== ===== === ======== ===== ===== =====
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-34 DISTRIBUTION BY DOCUMENTATION
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER DOCUMENTATION LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ------------- ----- ------- ------- ------ ---- ------- --- --- -------- Full 3,905 $ 701,588,772 55.83% 7.290% 616 $179,664 83.48% 100.00% 93.18% Stated 2,229 516,137,773 41.07 7.361 638 231,556 80.46 0.00 94.62 Limited 136 32,753,818 2.61 7.258 613 240,837 81.54 0.00 85.92 No Doc 16 4,559,086 0.36 6.390 698 284,943 79.75 0.00 94.29 Alt 7 1,549,651 0.12 7.480 639 221,379 86.95 0.00 100.00 ----- -------------- ------ ----- --- -------- ----- ------ ------ TOTAL: 6,293 $1,256,589,100 100.00% 7.316% 625 $199,680 82.18% 55.83% 93.59% ===== ============== ====== ===== === ======== ===== ====== ======
DISTRIBUTION BY PURPOSE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER PURPOSE LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ------- ----- ------- ------- ------ ---- ------- --- --- -------- Purchase 3,603 $ 670,418,181 53.35% 7.300% 638 $186,072 83.26% 56.29% 93.84% Cashout Refi 2,467 546,081,444 43.46 7.314 611 221,354 80.74 55.16 93.07 Rate/term Refi 223 40,089,475 3.19 7.599 608 179,773 83.78 57.30 96.40 ----- -------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 6,293 $1,256,589,100 100.00% 7.316% 625 $199,680 82.18% 55.83% 93.59% ===== ============== ====== ===== === ======== ===== ===== =====
DISTRIBUTION BY OCCUPANCY
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER OCCUPANCY LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED --------- ----- ------- ------- ------ ---- ------- --- --- -------- Owner Occupied 5,824 $1,176,052,584 93.59% 7.302% 623 $201,932 82.18% 55.59% 100.00% Investor 403 66,789,495 5.32 7.451 649 165,731 82.27 62.95 0.00 Second Home 66 13,747,021 1.09 7.777 646 208,288 81.84 42.43 0.00 ----- -------------- ------ ----- --- -------- ----- ----- ------ TOTAL: 6,293 $1,256,589,100 100.00% 7.316% 625 $199,680 82.18% 55.83% 93.59% ===== ============== ====== ===== === ======== ===== ===== ======
DISTRIBUTION BY PROPERTY TYPE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER PROPERTY TYPE LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ------------- ----- ------- ------- ------ ---- ------- --- --- -------- Single Family 5,076 $ 991,016,171 78.87% 7.325% 622 $195,236 82.13% 56.99% 95.27% PUD 406 82,879,233 6.60 7.378 624 204,136 82.67 50.19 92.82 Condo 386 70,477,177 5.61 7.308 638 182,583 81.91 56.74 89.77 2 Family 272 69,782,932 5.55 7.134 647 256,555 82.81 42.24 81.97 3-4 Family 94 30,637,824 2.44 7.307 631 325,934 81.74 66.65 77.85 PUD Detached 31 6,338,634 0.50 7.293 622 204,472 81.86 44.35 98.49 Manu/mobile Home 14 2,922,432 0.23 6.840 647 208,745 80.76 64.04 71.92 PUD Attached 6 1,449,140 0.12 7.624 630 241,523 83.12 14.19 100.00 Townhouse 6 763,014 0.06 7.501 645 127,169 88.15 36.85 76.14 Condo Hi-rise 1 171,663 0.01 7.475 714 171,663 80.00 0.00 100.00 Other 1 150,881 0.01 7.200 616 150,881 88.82 100.00 100.00 ----- -------------- ------ ----- --- -------- ----- ----- ------ TOTAL: 6,293 $1,256,589,100 100.00% 7.316% 625 $199,680 82.18% 55.83% 93.59% ===== ============== ====== ===== === ======== ===== ===== ======
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-35 DISTRIBUTION BY STATE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER STATE LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ----- ----- ------- ------- ------ ---- ------- --- --- -------- CA 1,083 $ 343,869,962 27.37% 6.856% 632 $317,516 79.56% 43.92% 94.64% FL 689 126,089,986 10.03 7.458 624 183,004 82.61 61.13 90.00 IL 455 85,866,674 6.83 7.285 631 188,718 84.39 53.09 94.45 NJ 282 72,114,881 5.74 7.369 621 255,727 83.47 49.05 95.53 GA 402 60,138,537 4.79 7.839 613 149,598 86.37 65.56 86.65 NY 145 47,712,459 3.80 7.114 628 329,051 80.97 42.35 90.43 MD 195 45,423,940 3.61 7.447 613 232,943 81.57 71.52 96.02 MN 236 43,955,668 3.50 7.480 614 186,253 83.94 62.82 89.99 VA 171 40,432,482 3.22 7.390 622 236,447 80.71 59.44 95.17 MA 113 31,846,423 2.53 7.280 631 281,827 81.35 50.76 98.92 Other 2,522 359,138,089 28.58 7.599 622 142,402 83.31 64.76 94.32 ----- -------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 6,293 $1,256,589,100 100.00% 7.316% 625 $199,680 82.18% 55.83% 93.59% ===== ============== ====== ===== === ======== ===== ===== =====
DISTRIBUTION BY ZIP
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER ZIP LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED --- ----- ------- ------- ------ ---- ------- --- --- -------- 60618 10 $ 3,383,386 0.27% 6.711% 689 $338,339 82.78% 20.58% 100.00% 20721 7 3,059,216 0.24 7.359 643 437,031 84.33 42.77 100.00 92508 7 2,752,733 0.22 6.509 629 393,248 83.99 56.87 100.00 11221 6 2,523,285 0.20 7.227 633 420,548 80.70 53.42 83.21 90805 8 2,395,927 0.19 7.186 616 299,491 73.52 31.21 76.00 95206 8 2,339,603 0.19 6.753 667 292,450 79.60 38.73 92.52 92503 7 2,326,773 0.19 7.183 638 332,396 82.11 0.00 100.00 94531 5 2,237,693 0.18 7.142 649 447,539 80.33 16.89 100.00 92530 8 2,225,349 0.18 7.377 619 278,169 84.37 51.74 88.65 92345 10 2,212,589 0.18 6.948 615 221,259 77.61 49.75 100.00 Other 6,217 1,231,132,545 97.97 7.322 625 198,027 82.20 56.24 93.57 ----- -------------- ------ ----- --- -------- ----- ----- ------ TOTAL: 6,293 $1,256,589,100 100.00% 7.316% 625 $199,680 82.18% 55.83% 93.59% ===== ============== ====== ===== === ======== ===== ===== ======
DISTRIBUTION BY REMAINING MONTHS TO MATURITY
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. REMAINING NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. MONTHS TO OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER MATURITY LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED -------- ----- ------- ------- ------ ---- ------- --- --- -------- 1 - 180 9 $ 714,280 0.06% 9.302% 684 $ 79,364 84.54% 53.25% 100.00% 241 - 360 6,105 1,211,507,071 96.41 7.320 625 198,445 82.22 56.42 93.47 421 - 480 179 44,367,749 3.53 7.160 611 247,865 81.22 39.71 96.73 ----- -------------- ------ ----- --- -------- ----- ----- ------ TOTAL: 6,293 $1,256,589,100 100.00% 7.316% 625 $199,680 82.18% 55.83% 93.59% ===== ============== ====== ===== === ======== ===== ===== ======
DISTRIBUTION BY AMORTIZATION TYPE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER AMORTIZATION TYPE LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ----------------- ----- ------- ------- ------ ---- ------- --- --- -------- 2 YR ARM 3,980 $ 733,177,684 58.35% 7.497% 616 $184,215 82.21% 52.68% 91.89% 2 YR ARM IO 1,557 385,341,526 30.67 6.927 643 247,490 81.92 61.84 97.83 3 YR ARM 447 71,283,328 5.67 7.654 604 159,471 83.36 58.28 88.52 3 YR ARM IO 194 42,043,129 3.35 7.303 637 216,717 84.32 56.00 91.11 2 YR ARM BALLOON 30/40 51 11,322,232 0.90 7.424 641 222,005 77.21 35.07 97.97 5 YR ARM 39 9,058,178 0.72 6.662 643 232,261 79.08 65.42 94.84 5 YR ARM IO 13 2,929,200 0.23 6.264 659 225,323 78.94 58.31 95.51 2 YR ARM BALLOON 15/30 9 714,280 0.06 9.302 684 79,364 84.54 53.25 100.00 3 YR ARM BALLOON 30/40 2 404,682 0.03 6.143 697 202,341 76.24 0.00 100.00 5 YR ARM BALLOON 30/40 1 314,862 0.03 6.490 658 314,862 90.00 0.00 100.00 ----- ------------- ------ ----- --- -------- ----- ----- ------ TOTAL: 6,293 $1,256,589,10 100.00% 7.316% 625 $199,680 82.18% 55.83% 93.59% ===== ============= ====== ===== === ======== ===== ===== ======
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-36 DISTRIBUTION BY INITIAL PERIODIC CAP
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. INITIAL PERIODIC OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER CAP LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED --- ----- ------- ------- ------ ---- ------- --- --- -------- 0.51 - 1.00% 244 $ 42,610,690 3.39% 7.265% 620 $174,634 80.29% 37.82% 94.07% 1.01 - 1.50% 123 30,099,140 2.40 6.999 643 244,708 81.35 41.05 98.82 1.51 - 2.00% 1,706 403,614,331 32.12 7.196 626 236,585 81.68 63.27 93.18 2.51 - 3.00% 4,137 762,869,824 60.71 7.393 624 184,402 82.57 53.89 93.68 3.01 - 3.50% 8 890,718 0.07 6.854 667 111,340 83.68 30.95 100.00 3.51 - 4.00% 1 89,909 0.01 9.375 556 89,909 90.00 100.00 100.00 4.51 - 5.00% 10 2,232,808 0.18 6.617 648 223,281 77.30 15.25 100.00 5.51 - 6.00% 63 13,981,991 1.11 7.515 616 221,936 83.53 41.00 86.46 6.01% & Above 1 199,689 0.02 7.290 643 199,689 80.00 100.00 100.00 ----- -------------- ------ ----- --- -------- ----- ------ ------ TOTAL: 6,293 $1,256,589,100 100.00% 7.316% 625 $199,680 82.18% 55.83% 93.59% ===== ============== ====== ===== === ======== ===== ====== ======
DISTRIBUTION BY PERIODIC CAP
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. PERIODIC OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER CAP LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED --- ----- ------- ------- ------ ---- ------- --- --- -------- 0.51 - 1.00% 3,190 $ 575,053,487 45.76% 7.387% 622 $180,268 82.72% 44.58% 94.12% 1.01 - 1.50% 2,981 656,857,049 52.27 7.243 628 220,348 81.74 65.94 93.21 1.51 - 2.00% 82 17,774,742 1.41 7.237 609 216,765 77.57 47.19 93.76 3.01% & Above 40 6,903,822 0.55 8.466 610 172,596 90.81 53.88 84.90 ----- -------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 6,293 $1,256,589,100 100.00% 7.316% 625 $199,680 82.18% 55.83% 93.59% ===== ============== ====== ===== === ======== ===== ===== =====
DISTRIBUTION BY MONTHS TO RATE RESET
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. MONTHS TO OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER RATE RESET LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ---------- ----- ------- ------- ------ ---- ------- --- --- -------- 1-12 10 $ 1,628,998 0.13% 6.710% 618 $162,900 84.65% 20.91% 84.42% 13 - 24 5,591 1,129,675,439 89.90 7.304 626 202,052 82.06 55.67 94.00 25 - 36 639 112,982,423 8.99 7.525 617 176,811 83.73 57.25 89.45 49 & Above 53 12,302,240 0.98 6.563 647 232,118 79.32 62.05 95.13 ----- -------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 6,293 $1,256,589,100 100.00% 7.316% 625 $199,680 82.18% 55.83% 93.59% ===== ============== ====== ===== === ======== ===== ===== =====
DISTRIBUTION BY LIFE MAXIMUM RATE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. LIFE OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER MAXIMUM RATE LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ------------ ----- ------- ------- ------ ---- ------- --- --- -------- 11.99% & Below 172 $ 43,194,056 3.44% 5.781% 650 $251,128 77.96% 54.35% 98.75% 12.00 - 12.49% 264 61,891,518 4.93 6.236 645 234,438 79.16 51.46 98.11 12.50 - 12.99% 948 234,832,721 18.69 6.661 637 247,714 80.23 57.39 93.99 13.00 - 13.49% 980 216,364,240 17.22 6.969 635 220,780 81.70 58.38 93.94 13.50 - 13.99% 1,472 312,347,730 24.86 7.265 626 212,193 82.17 55.64 92.52 14.00 - 14.49% 815 151,928,462 12.09 7.659 615 186,415 83.25 53.17 92.96 14.50 - 14.99% 758 127,557,563 10.15 8.164 605 168,282 85.79 51.68 91.15 15.00 - 15.49% 327 46,976,339 3.74 8.718 608 143,659 87.13 49.33 94.05 15.50 - 15.99% 244 29,447,593 2.34 9.295 587 120,687 85.47 54.27 90.87 16.00% & Above 313 32,048,877 2.55 10.211 576 102,393 81.70 79.67 97.58 ----- -------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 6,293 $1,256,589,100 100.00% 7.316% 625 $199,680 82.18% 55.83% 93.59% ===== ============== ====== ===== === ======== ===== ===== =====
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-37 DISTRIBUTION BY MARGIN
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER MARGIN LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ------ ----- ------- ------- ------ ---- ------- --- --- -------- 4.99% & Below 400 $ 84,770,457 6.75% 6.382% 652 $211,926 80.86% 49.78% 97.37% 5.00 - 5.49% 532 121,754,468 9.69 6.448 649 228,862 79.65 43.96 94.41 5.50 - 5.99% 844 186,094,741 14.81 6.841 638 220,491 81.23 58.44 94.75 6.00 - 6.49% 1,351 301,561,836 24.00 7.026 629 223,214 81.14 56.64 94.76 6.50 - 6.99% 2,118 427,783,270 34.04 7.655 613 201,975 82.71 57.26 92.49 7.00% & Above 1,048 134,624,328 10.71 8.913 597 128,458 87.28 60.44 89.76 ----- -------------- ------ ----- --- -------- ----- ----- ----- TOTAL: 6,293 $1,256,589,100 100.00% 7.316% 625 $199,680 82.18% 55.83% 93.59% ===== ============== ====== ===== === ======== ===== ===== =====
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-38 SELECTED MORTGAGE LOAN DATA(1) THE FIXED RATE MORTGAGE LOANS - ALL COLLATERAL SCHEDULED PRINCIPAL BALANCE: $238,694,916 NUMBER OF MORTGAGE LOANS: 2,517 AVERAGE SCHEDULED PRINCIPAL BALANCE: $94,833 WEIGHTED AVERAGE GROSS COUPON: 8.173% WEIGHTED AVERAGE NET COUPON: (2) 7.663% WEIGHTED AVERAGE CURRENT FICO SCORE: 637 WEIGHTED AVERAGE ORIGINAL LTV RATIO: 62.24% WEIGHTED AVERAGE COMBINED ORIGINAL LTV RATIO: 85.23% WEIGHTED AVERAGE STATED REMAINING TERM (MONTHS): 333 WEIGHTED AVERAGE SEASONING(MONTHS): 2 (1) All percentages calculated herein are percentages of scheduled principal balance as of the Statistical Calculation Date unless otherwise noted. (2) The Weighted Average Net Coupon is equivalent to the Weighted Average Gross Coupon less initial servicing and trustee fees. DISTRIBUTION BY CURRENT PRINCIPAL BALANCE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. CURRENT PRINCIPAL OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER BALANCE LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ------- ----- ------- ------- ------ ---- ------- --- --- -------- $50,000 & Below 1,035 $ 30,711,572 12.87% 10.426% 642 $ 29,673 98.61% 62.87% 96.93% $50,001 - $75,000 377 23,149,712 9.70 9.619 642 61,405 92.87 56.64 94.27 $75,001 - $100,000 281 24,627,725 10.32 8.929 633 87,643 87.16 58.46 91.28 $100,001 - $125,000 202 22,589,085 9.46 8.378 637 111,827 84.52 59.76 93.58 $125,001 - $150,000 144 19,721,227 8.26 7.893 633 136,953 81.99 64.52 92.95 $150,001 - $200,000 222 38,554,918 16.15 7.511 627 173,671 81.68 69.98 94.75 $200,001 - $250,000 94 20,962,241 8.78 7.082 633 223,003 78.33 65.81 90.31 $250,001 - $300,000 51 14,182,766 5.94 6.791 639 278,093 79.34 60.02 96.26 $300,001 - $350,000 43 14,058,460 5.89 6.985 645 326,941 80.85 65.53 83.18 $350,001 - $400,000 30 11,042,183 4.63 7.141 650 368,073 80.16 56.29 86.58 $400,001 & Above 38 19,095,027 8.00 6.902 636 502,501 81.43 64.28 97.38 ----- ------------ ------ ------ --- -------- ----- ----- ----- TOTAL: 2,517 $238,694,916 100.00% 8.173% 637 $ 94,833 85.23% 62.85% 93.22% ===== ============ ====== ====== === ======== ===== ===== =====
DISTRIBUTION BY CURRENT RATE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. CURRENT OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER RATE LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ---- ----- ------- ------- ------ ---- ------- --- --- -------- 5.50 - 5.99% 13 $ 3,370,076 1.41% 5.897% 675 $259,237 80.59% 96.95% 90.29% 6.00 - 6.49% 136 32,276,808 13.52 6.257 657 237,329 75.53 80.71 95.26 6.50 - 6.99% 231 43,730,396 18.32 6.769 646 189,309 80.00 68.40 92.20 7.00 - 7.49% 145 25,130,433 10.53 7.239 622 173,313 79.81 60.60 93.09 7.50 - 7.99% 206 31,632,821 13.25 7.734 621 153,557 80.83 64.72 91.11 8.00 - 8.49% 100 12,383,593 5.19 8.228 604 123,836 79.39 68.19 88.51 8.50 - 8.99% 223 18,677,293 7.82 8.795 632 83,755 87.75 63.30 88.91 9.00% & Above 1,463 71,493,496 29.95 10.355 638 48,868 97.23 48.72 95.97 ----- ------------ ------ ------ --- -------- ----- ----- ----- TOTAL: 2,517 $238,694,916 100.00% 8.173% 637 $ 94,833 85.23% 62.85% 93.22% ===== ============ ====== ====== === ======== ===== ===== =====
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-39 DISTRIBUTION BY CREDIT SCORE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. CREDIT OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER SCORE LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ----- ----- ------- ------- ------ ---- ------- --- --- -------- 740 & Above 66 $ 9,205,880 3.86% 7.372% 761 $139,483 86.35% 72.62% 82.23% 720 - 739 75 6,505,113 2.73 7.960 729 86,735 88.36 54.22 93.14 700 - 719 103 9,598,822 4.02 8.021 710 93,192 89.84 38.88 92.62 680 - 699 204 19,424,880 8.14 8.131 689 95,220 88.79 48.44 89.04 660 - 679 317 30,247,625 12.67 7.962 670 95,418 86.48 48.49 88.76 640 - 659 387 33,812,345 14.17 8.310 649 87,370 88.65 49.64 92.20 620 - 639 444 39,741,313 16.65 8.179 630 89,507 86.62 68.70 94.30 600 - 619 410 36,808,283 15.42 8.275 610 89,776 84.61 79.50 95.43 580 - 599 285 25,306,230 10.60 8.404 590 88,794 83.34 75.23 98.03 560 - 579 109 10,854,152 4.55 8.288 569 99,579 79.07 76.10 98.27 540 - 559 64 9,895,430 4.15 8.046 550 154,616 74.03 60.89 94.47 520 - 539 32 4,210,077 1.76 8.266 528 131,565 73.74 77.05 98.81 500 - 519 21 3,084,767 1.29 9.011 507 146,894 67.08 67.85 100.00 ----- ------------ ------ ----- --- -------- ----- ----- ----- TOTAL: 2,517 $238,694,916 100.00% 8.173% 637 $ 94,833 85.23% 62.85% 93.22% ===== ============ ====== ===== === ======== ===== ===== =====
DISTRIBUTION BY LIEN
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER LIEN LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ---- ----- ------- ------- ------ ---- ------- --- --- -------- First Lien 1,030 $170,276,802 71.34% 7.327% 631 $165,317 79.47% 67.88% 91.16% Second Lien 1,487 68,418,113 28.66 10.280 650 46,011 99.57 50.36 98.35 ----- ------------ ------ ------ --- ------- ----- ----- ----- TOTAL: 2,517 $238,694,916 100.00% 8.173% 637 $94,833 85.23% 62.85% 93.22% ===== ============ ====== ====== === ======= ===== ===== =====
DISTRIBUTION BY COMBINED ORIGINAL LTV
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. COMBINED OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER ORIGINAL LTV LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ------------ ----- ------- ------- ------ ---- ------- --- --- -------- 60.00% & Below 81 $ 10,286,306 4.31% 7.359% 611 $126,991 47.22% 56.32% 90.56% 60.01 - 70.00% 107 17,978,624 7.53 7.197 608 168,025 66.21 59.78 90.86 70.01 - 80.00% 473 79,677,081 33.38 7.131 632 168,450 78.84 65.11 93.61 80.01 - 85.00% 124 18,994,242 7.96 7.506 629 153,179 84.36 74.25 86.94 85.01 - 90.00% 180 33,332,320 13.96 7.561 638 185,180 89.72 71.84 88.72 90.01 - 95.00% 118 8,169,332 3.42 8.894 645 69,232 94.58 72.03 89.01 95.01 - 100.00% 1,434 70,257,012 29.43 10.110 652 48,994 99.93 53.62 98.09 ----- ------------ ------ ------ --- -------- ----- ----- ----- TOTAL: 2,517 $238,694,916 100.00% 8.173% 637 $ 94,833 85.23% 62.85% 93.22% ===== ============ ====== ====== === ======== ===== ===== =====
DISTRIBUTION BY ORIGINAL LTV
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. NUMBER POOL BY AVG. AVG. AVG. COMBINED PCT. PCT. OF PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL FULL OWNER ORIGINAL LTV LOANS BALANCE BALANCE COUPON FICO BALANCE LTV DOC OCCUPIED ------------ ----- ------- ------- ------ ---- ------- --- --- -------- 60.00% & Below 1,568 $ 78,704,419 32.97% 9.898% 645 $ 50,194 92.73% 51.14% 97.33% 60.01 - 70.00% 107 17,978,624 7.53 7.197 608 168,025 66.21 59.78 90.86 70.01 - 80.00% 473 79,677,081 33.38 7.131 632 168,450 78.84 65.11 93.61 80.01 - 85.00% 121 18,935,424 7.93 7.494 629 156,491 84.36 74.30 87.21 85.01 - 90.00% 163 32,269,317 13.52 7.486 638 197,971 89.74 72.49 88.38 90.01 - 95.00% 44 5,533,989 2.32 8.235 643 125,772 94.69 75.33 88.81 95.01 - 100.00% 41 5,596,063 2.34 8.078 678 136,489 99.46 98.73 90.04 ----- ------------ ------ ----- --- -------- ----- ----- ----- TOTAL: 2,517 $238,694,916 100.00% 8.173% 637 $ 94,833 85.23% 62.85% 93.22% ===== ============ ====== ===== === ======== ===== ===== =====
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-40 DISTRIBUTION BY DOCUMENTATION
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. POOL BY AVG. AVG. AVG. COMBINED PCT. NUMBER PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL PCT. OWNER DOCUMENTATION OF LOANS BALANCE BALANCE COUPON FICO BALANCE LTV FULL DOC OCCUPIED ------------------ -------- ---------- --------- -------- --------- --------- -------- -------- ------- Full 1,598 $150,030,379 62.85% 7.925% 630 $ 93,886 84.88% 100.00% 92.76% Stated 861 81,430,724 34.11 8.670 651 94,577 86.17 0.00 93.73 Limited 37 6,589,826 2.76 7.441 600 178,103 80.42 0.00 97.10 Alt 20 581,996 0.24 10.759 645 29,100 99.69 0.00 95.30 No Doc 1 61,991 0.03 8.700 641 61,991 73.06 0.00 100.00 ----- ------------ ------ ------ --- -------- ----- ----- ----- TOTAL: 2,517 $238,694,916 100.00% 8.173% 637 $ 94,833 85.23% 62.85% 93.22% ===== ============ ====== ====== === ======== ===== ===== =====
DISTRIBUTION BY PURPOSE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. POOL BY AVG. AVG. AVG. COMBINED PCT. NUMBER PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL PCT. OWNER PURPOSE OF LOANS BALANCE BALANCE COUPON FICO BALANCE LTV FULL DOC OCCUPIED ------------------ -------- ---------- --------- -------- --------- --------- -------- -------- ------- Cashout Refi 861 $122,041,985 51.13% 7.568% 624 $141,744 80.00% 67.58% 92.18% Purchase 1,560 107,771,500 45.15 8.880 651 69,084 91.38 57.38 94.72 Rate/term Refi 96 8,881,430 3.72 7.914 632 92,515 82.48 64.38 89.23 ----- ------------ ------ ------ --- -------- ----- ----- ----- TOTAL: 2,517 $238,694,916 100.00% 8.173% 637 $ 94,833 85.23% 62.85% 93.22% ===== ============ ====== ====== === ======== ===== ===== =====
DISTRIBUTION BY OCCUPANCY
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. POOL BY AVG. AVG. AVG. COMBINED PCT. NUMBER PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL PCT. OWNER OCCUPANCY OF LOANS BALANCE BALANCE COUPON FICO BALANCE LTV FULL DOC OCCUPIED ------------------ -------- ---------- --------- -------- --------- --------- -------- -------- ------- Owner Occupied 2,375 $222,505,483 93.22% 8.196% 635 $ 93,687 85.48% 62.55% 100.00% Investor 115 12,858,847 5.39 7.716 660 111,816 79.59 66.45 0.00 Second Home 27 3,330,585 1.40 8.421 672 123,355 90.23 69.56 0.00 ----- ------------ ------ ------ --- -------- ----- ----- ----- TOTAL: 2,517 $238,694,916 100.00% 8.173% 637 $ 94,833 85.23% 62.85% 93.22% ===== ============ ====== ====== === ======== ===== ===== =====
DISTRIBUTION BY PROPERTY TYPE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. POOL BY AVG. AVG. AVG. COMBINED PCT. NUMBER PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL PCT. OWNER PROPERTY TYPE OF LOANS BALANCE BALANCE COUPON FICO BALANCE LTV FULL DOC OCCUPIED ------------------ -------- ---------- --------- -------- --------- --------- -------- -------- ------- Single Family 2,031 $188,865,521 79.12% 8.168% 633 $ 92,991 85.28% 65.62% 95.67% 2 Family 114 16,184,580 6.78 8.004 658 141,970 85.12 46.18 80.35 Condo 159 13,929,172 5.84 8.217 651 87,605 87.11 59.21 80.24 PUD 140 11,299,051 4.73 8.553 637 80,708 84.77 42.31 93.97 3-4 Family 29 5,115,090 2.14 7.850 676 176,382 79.67 68.92 79.08 PUD Detached 32 2,171,724 0.91 8.363 623 67,866 88.65 62.09 100.00 Townhouse 3 476,630 0.20 6.628 646 158,877 81.93 100.00 100.00 PUD Attached 5 363,684 0.15 8.988 687 72,737 90.92 40.66 59.34 Manu/mobile Home 3 267,996 0.11 9.606 575 89,332 54.71 32.91 32.91 Condo Hi-rise 1 21,469 0.01 9.490 714 21,469 90.00 0.00 100.00 ----- ------------ ------ ------ --- -------- ----- ------ ------ TOTAL: 2,517 $238,694,916 100.00% 8.173% 637 $ 94,833 85.23% 62.85% 93.22% ===== ============ ====== ====== === ======== ===== -===== =====-
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-41 DISTRIBUTION BY STATE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. POOL BY AVG. AVG. AVG. COMBINED PCT. NUMBER PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL PCT. OWNER STATE OF LOANS BALANCE BALANCE COUPON FICO BALANCE LTV FULL DOC OCCUPIED -------------- -------- ----------- --------- -------- -------- ---------- --------- -------- -------- CA 354 $ 43,413,813 18.19% 8.383% 644 $122,638 86.17% 43.78% 95.65% FL 281 29,661,309 12.43 8.036 625 105,556 82.92 69.09 92.45 NY 91 20,737,253 8.69 7.164 649 227,882 79.88 56.29 93.76 GA 150 11,827,351 4.96 8.530 614 78,849 85.51 69.05 91.26 IL 165 11,658,579 4.88 8.702 648 70,658 89.95 55.73 87.21 TX 193 11,212,300 4.70 8.712 628 58,095 87.88 54.13 96.21 MD 73 10,306,252 4.32 7.672 629 141,182 81.51 81.77 97.81 NJ 55 9,834,865 4.12 7.253 632 178,816 79.44 75.75 98.48 VA 71 7,351,293 3.08 8.116 639 103,539 86.22 75.87 88.95 MA 52 7,172,595 3.00 8.078 643 137,935 86.80 64.53 100.00 Other 1,032 75,519,306 31.64 8.368 637 73,178 86.92 68.92 91.22 ----- ------------ ------ ----- --- -------- ----- ----- ----- TOTAL: 2,517 $238,694,916 100.00% 8.173% 637 $ 94,833 85.23% 62.85% 93.22% ===== ============ ====== ===== === ======== ===== ===== =====
DISTRIBUTION BY ZIP
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. POOL BY AVG. AVG. AVG. COMBINED PCT. NUMBER PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL PCT. OWNER ZIP OF LOANS BALANCE BALANCE COUPON FICO BALANCE LTV FULL DOC OCCUPIED -------------- -------- ----------- --------- -------- -------- ---------- --------- -------- -------- 33325 3 $ 1,350,305 0.57% 8.282% 610 $450,102 89.71% 100.00% 100.00% 60402 6 1,153,737 0.48 9.016 696 192,290 85.14 0.00 10.49 55128 7 1,050,869 0.44 6.900 674 150,124 85.73 100.00 100.00 20603 3 939,892 0.39 6.546 664 313,297 76.62 100.00 100.00 11747 2 909,194 0.38 6.691 643 454,597 77.81 100.00 100.00 96740 3 835,624 0.35 7.942 662 278,541 85.19 62.02 100.00 33157 2 831,500 0.35 7.221 611 415,750 81.16 94.21 100.00 92805 2 781,807 0.33 7.385 636 390,903 85.40 54.02 100.00 93550 5 770,480 0.32 7.986 660 154,096 87.29 49.25 50.75 20841 1 744,760 0.31 6.550 629 744,760 90.00 100.00 100.00 Other 2,483 229,326,748 96.08 8.199 636 92,359 85.26 62.33 93.56 ----- ------------ ------ ----- --- -------- ----- ------ ------ TOTAL: 2,517 $238,694,916 100.00% 8.173% 637 $ 94,833 85.23% 62.85% 93.22% ===== ============ ====== ===== === ======== ===== ====== ======
DISTRIBUTION BY REMAINING MONTHS TO MATURITY
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. REMAINING POOL BY AVG. AVG. AVG. COMBINED PCT. MONTHS TO NUMBER PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL PCT. OWNER MATURITY OF LOANS BALANCE BALANCE COUPON FICO BALANCE LTV FULL DOC OCCUPIED -------------- -------- ----------- --------- -------- -------- ---------- --------- -------- -------- 1 - 180 741 $ 32,938,033 13.80% 10.208% 649 $ 44,451 97.29% 43.77% 96.07% 181 - 240 257 9,340,708 3.91 9.968 640 36,345 94.24 53.39 98.49 241 - 360 1,484 189,012,969 79.19 7.778 635 127,367 83.17 67.15 92.25 421 - 480 35 7,403,205 3.10 6.954 628 211,520 72.82 50.06 98.58 ----- ------------ ------ ------ --- -------- ----- ----- ----- TOTAL: 2,517 $238,694,916 100.00% 8.173% 637 $ 94,833 85.23% 62.85% 93.22% ===== ============ ====== ====== === ======== ===== ===== =====
DISTRIBUTION BY AMORTIZATION TYPE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. POOL BY AVG. AVG. AVG. COMBINED PCT. AMORTIZATION NUMBER PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL PCT. OWNER TYPE OF LOANS BALANCE BALANCE COUPON FICO BALANCE LTV FULL DOC OCCUPIED -------------- -------- ----------- --------- -------- -------- ---------- --------- -------- -------- Fixed 1,822 $199,509,672 83.58% 7.908% 633 $109,500 83.19% 66.70% 92.58% Balloon 15/30 634 28,366,161 11.88 10.461 652 44,742 99.71 36.29 97.34 Fixed IO 51 9,407,721 3.94 6.865 665 184,465 83.95 68.23 94.42 Balloon 30/40 2 719,793 0.30 6.857 698 359,896 83.31 33.90 100.00 Balloon 20/30 8 691,569 0.29 10.071 665 86,446 100.00 0.00 85.55 ----- ------------ ------ ------ --- -------- ----- ----- ----- TOTAL: 2,517 $238,694,916 100.00% 8.173% 637 $ 94,833 85.23% 62.85% 93.22% ===== ============ ====== ====== === ======== ===== ===== =====
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-42 SELECTED MORTGAGE LOAN DATA(1) THE GROUP I MORTGAGE LOANS SCHEDULED PRINCIPAL BALANCE: $500,529,896 NUMBER OF MORTGAGE LOANS: 3,619 AVERAGE SCHEDULED PRINCIPAL BALANCE: $138,306 WEIGHTED AVERAGE GROSS COUPON: 7.402% WEIGHTED AVERAGE NET COUPON: (2) 6.892% WEIGHTED AVERAGE CURRENT FICO SCORE: 622 WEIGHTED AVERAGE ORIGINAL LTV RATIO: 78.32% WEIGHTED AVERAGE COMBINED ORIGINAL LTV RATIO: 81.97% WEIGHTED AVERAGE STATED REMAINING TERM (MONTHS): 356 WEIGHTED AVERAGE SEASONING(MONTHS): 2 WEIGHTED AVERAGE MONTHS TO ROLL: (3) 25 WEIGHTED AVERAGE GROSS MARGIN: (3) 6.35% WEIGHTED AVERAGE INITIAL RATE CAP: (3) 2.70% WEIGHTED AVERAGE PERIODIC RATE CAP: (3) 1.31% WEIGHTED AVERAGE GROSS MAXIMUM LIFETIME RATE: (3) 13.61% (1) All percentages calculated herein are percentages of scheduled principal balance as of the Statistical Calculation Date unless otherwise noted. (2) The Weighted Average Net Coupon is equivalent to the Weighted Average Gross Coupon less initial servicing and trustee fees. (3) Represents the weighted average of the adjustable rate mortgage loans in the applicable group. DISTRIBUTION BY CURRENT PRINCIPAL BALANCE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. POOL BY AVG. AVG. AVG. COMBINED PCT. CURRENT PRINCIPAL NUMBER PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL PCT. OWNER BALANCE OF LOANS BALANCE BALANCE COUPON FICO BALANCE LTV FULL DOC OCCUPIED ------------------ -------- ---------- --------- -------- --------- --------- -------- -------- ------- $50,000 & Below 466 $ 14,125,138 2.82% 10.602% 628 $ 30,311 95.68% 62.31% 92.60% $50,001 - $75,000 396 24,883,208 4.97 9.090 617 62,836 87.10 67.17 88.73 $75,001 - $100,000 466 41,353,307 8.26 8.049 622 88,741 84.32 69.38 89.04 $100,001 -$125,000 563 63,323,697 12.65 7.475 623 112,475 82.94 76.19 94.03 $125,001 -$150,000 516 70,926,621 14.17 7.312 626 137,455 81.24 69.79 91.99 $150,001 -$200,000 484 83,864,264 16.76 7.211 617 173,273 80.70 67.36 91.13 $200,001 -$250,000 287 64,655,053 12.92 6.994 622 225,279 79.81 61.52 87.67 $250,001 -$300,000 214 58,750,184 11.74 6.973 616 274,534 80.38 57.28 88.55 $300,001 -$350,000 157 50,829,152 10.16 6.796 627 323,753 80.85 51.09 88.40 $350,001 -$400,000 48 17,483,044 3.49 6.970 629 364,230 81.72 54.13 89.18 $400,001 & Above 22 10,336,229 2.07 6.808 645 469,829 79.30 42.75 80.37 ----- ------------ ------ ----- --- -------- ----- ----- ----- TOTAL: 3,619 $500,529,896 100.00% 7.402% 622 $138,306 81.97% 64.28% 90.05% ===== ============ ====== ===== === ======== ===== ===== =====
DISTRIBUTION BY CURRENT RATE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. POOL BY AVG. AVG. AVG. COMBINED PCT. NUMBER PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL PCT. OWNER CURRENT RATE OF LOANS BALANCE BALANCE COUPON FICO BALANCE LTV FULL DOC OCCUPIED ------------------ -------- ---------- --------- -------- --------- --------- -------- -------- ------- 4.99% & Below 1 $ 194,530 0.04% 4.990% 721 $194,530 58.21% 100.00% 100.00% 5.00 - 5.49% 20 4,518,172 0.90 5.279 653 225,909 77.30 76.74 100.00 5.50 - 5.99% 138 27,630,490 5.52 5.830 643 200,221 76.29 68.19 93.50 6.00 - 6.49% 313 55,818,653 11.15 6.255 640 178,334 77.96 69.79 96.52 6.50 - 6.99% 900 159,116,151 31.79 6.780 632 176,796 79.96 65.30 89.19 7.00 - 7.49% 779 125,489,112 25.07 7.241 621 161,090 81.45 62.09 88.21 7.50 - 7.99% 78 10,751,056 2.15 7.735 619 137,834 87.53 59.15 73.70 8.00 - 8.49% 221 28,744,752 5.74 8.236 596 130,067 84.67 56.02 88.00 8.50 - 8.99% 217 23,948,137 4.78 8.735 595 110,360 89.40 58.22 83.40 9.00% & Above 952 64,318,843 12.85 10.158 597 67,562 89.37 65.36 94.10 ----- ------------ ------ ----- --- -------- ----- ----- ----- TOTAL: 3,619 $500,529,896 100.00% 7.402% 622 $138,306 81.97% 64.28% 90.05% ===== ============ ====== ===== === ======== ===== ===== =====
This material is for your information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material, the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. We and our affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy or sell, the securities mentioned herein or derivatives thereof (including options). Information contained in this material is current as of the date appearing on this material only and supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material may be filed with the SEC and incorporated by reference into an effective registration statement previously filed with the SEC. Goldman, Sachs & Co. does not provide accounting, tax or legal advice. In addition, we mutually agree that, subject to applicable law, you may disclose any and all aspects of any potential transaction or structure described herein that are necessary to support any U.S. federal income tax benefits, without Goldman, Sachs & Co. imposing any limitation of any kind. A-43 DISTRIBUTION BY CREDIT SCORE
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. POOL BY AVG. AVG. AVG. COMBINED PCT. NUMBER PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL PCT. OWNER CREDIT SCORE OF LOANS BALANCE BALANCE COUPON FICO BALANCE LTV FULL DOC OCCUPIED ------------------ -------- ---------- --------- -------- --------- --------- -------- -------- ------- 740 & Above 74 $ 10,780,968 2.15% 6.894% 764 $145,689 82.50% 61.38% 73.21% 720 - 739 77 8,618,786 1.72 7.037 728 111,932 83.51 59.55 86.53 700 - 719 99 14,236,272 2.84 6.950 708 143,801 84.20 59.67 76.13 680 - 699 205 27,170,473 5.43 7.077 688 132,539 82.62 50.34 86.29 660 - 679 357 47,974,833 9.58 7.238 669 134,383 83.67 49.59 79.44 640 - 659 449 66,375,903 13.26 7.064 649 147,831 82.39 50.07 85.25 620 - 639 558 76,394,619 15.26 7.223 629 136,908 82.67 64.71 89.58 600 - 619 603 83,979,985 16.78 7.289 609 139,270 82.31 69.77 95.62 580 - 599 522 75,148,522 15.01 7.391 590 143,963 81.14 76.07 95.66 560 - 579 327 41,641,040 8.32 8.067 569 127,343 80.88 73.30 94.97 540 - 559 165 22,932,992 4.58 8.169 550 138,988 80.63 69.09 94.01 520 - 539 122 16,700,484 3.34 8.662 529 136,889 78.55 76.91 97.28 500 - 519 58 7,976,382 1.59 8.788 511 137,524 74.68 77.75 98.18 1 - 499 1 292,336 0.06 8.875 471 292,336 75.00 0.00 100.00 N/A 2 306,301 0.06 8.841 0 153,150 67.82 54.78 100.00 ----- ------------ ------ ----- --- -------- ----- ----- ------ TOTAL: 3,619 $500,529,896 100.00% 7.402% 622 $138,306 81.97% 64.28% 90.05% ===== ============ ====== ===== === ======== ===== ===== ======
DISTRIBUTION BY LIEN
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. POOL BY AVG. AVG. AVG. COMBINED PCT. NUMBER PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL PCT. OWNER LIEN OF LOANS BALANCE BALANCE COUPON FICO BALANCE LTV FULL DOC OCCUPIED ------------------ -------- ---------- --------- -------- --------- --------- -------- -------- ------- First Lien 3,074 $477,780,574 95.45% 7.248% 621 $155,426 81.13% 64.96% 89.77% Second Lien 545 22,749,323 4.55 10.646 649 41,742 99.69 49.86 96.07 ----- ------------ ------ ----- --- -------- ----- ----- ----- TOTAL: 3,619 $500,529,896 100.00% 7.402% 622 $138,306 81.97% 64.28% 90.05% ===== ============ ====== ===== === ======== ===== ===== =====
DISTRIBUTION BY COMBINED ORIGINAL LTV
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. POOL BY AVG. AVG. AVG. COMBINED PCT. COMBINED NUMBER PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL PCT. OWNER ORIGINAL LTV OF LOANS BALANCE BALANCE COUPON FICO BALANCE LTV FULL DOC OCCUPIED ------------------ -------- ---------- --------- -------- --------- --------- -------- -------- ------- 60.00% & Below 115 $ 18,998,887 3.80% 6.996% 610 $165,208 48.06% 38.66% 93.84% 60.01 - 70.00% 193 35,420,525 7.08 7.189 608 183,526 66.84 48.29 85.32 70.01 - 80.00% 1,590 242,385,338 48.43 7.003 626 152,444 79.03 64.42 92.37 80.01 - 85.00% 321 51,243,098 10.24 7.409 602 159,636 84.47 64.06 91.37 85.01 - 90.00% 485 79,766,809 15.94 7.439 621 164,468 89.64 70.75 80.96 90.01 - 95.00% 227 29,731,176 5.94 7.981 627 130,974 94.76 73.19 84.56 95.01 -100.00% 688 42,984,064 8.59 9.532 643 62,477 99.96 70.02 98.28 ----- ------------ ------ ----- --- -------- ----- ----- ----- TOTAL: 3,619 $500,529,896 100.00% 7.402% 622 $138,306 81.97% 64.28% 90.05% ===== ============ ====== ===== === ======== ===== ===== =====
DISTRIBUTION BY ORIGINAL LTV
WEIGHTED PCT. OF WEIGHTED WEIGHTED AVG. POOL BY AVG. AVG. AVG. COMBINED PCT. NUMBER PRINCIPAL PRINCIPAL GROSS CURRENT PRINCIPAL ORIGINAL PCT. OWNER ORIGINAL LTV OF LOANS BALANCE BALANCE COUPON FICO BALANCE LTV FULL DOC OCCUPIED ------------------ -------- ---------- --------- -------- --------- --------- -------- -------- ------- 60.00% & Below 660 $ 41,748,210 8.34% 8.985% 631 $ 63,255 76.20% 44.76% 95.06% 60.01 - 70.00% 193 35,420,525 7.08 7.189 608 183,526 66.84 48.29 85.32 70.01 - 80.00% 1,590 242,385,338 48.43 7.003 626 152,444 79.03 64.42 92.37 80.01 - 85.00% 319 51,208,432 10.23 7.407 602 160,528 84.47 64.09 91.43 85.01 - 90.00% 480 79,585,039 15.90 7.434 621 165,802 89.64 70.91 80.93 90.01 - 95.00% 190 28,907,357 5.78 7.901 626 152,144 94.76 73.64 85.09 95.01 -100.00% 187 21,274,995 4.25 8.394 637 113,770 99.94 90.46 99.21 ----- ------------ ------ ----- --- -------- ----- ----- ----- TOTAL: 3,619 $500,529,896 100.00% 7.402% 622