-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, GviSpkDwNwBNGKw6anbEOMCdBt6KAEAtBR6m9aMZqDU3C43iu2kOU43HKmYNZ3dO BM85+gcj6nplrbiebmiyCA== 0000914121-05-002109.txt : 20051114 0000914121-05-002109.hdr.sgml : 20051111 20051114120321 ACCESSION NUMBER: 0000914121-05-002109 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20051111 ITEM INFORMATION: Other Events ITEM INFORMATION: Financial Statements and Exhibits FILED AS OF DATE: 20051114 DATE AS OF CHANGE: 20051114 FILER: COMPANY DATA: COMPANY CONFORMED NAME: WELLS FARGO ASSET SECURITIES CORP CENTRAL INDEX KEY: 0001011663 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] IRS NUMBER: 521972128 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 8-K SEC ACT: 1934 Act SEC FILE NUMBER: 333-02209 FILM NUMBER: 051198024 BUSINESS ADDRESS: STREET 1: 7485 NEW HORIZON WAY CITY: FREDERICK STATE: MD ZIP: 21703 BUSINESS PHONE: 3018468881 MAIL ADDRESS: STREET 1: 7485 NEW HORIZON WAY CITY: FREDERIDK STATE: MD ZIP: 21703 FORMER COMPANY: FORMER CONFORMED NAME: NORWEST ASSET SECURITIES CORP DATE OF NAME CHANGE: 19960717 8-K 1 we868488-8k.txt CURRENT REPORT UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 8-K CURRENT REPORT Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 Date of Report: November 11, 2005 (Date of earliest event reported) Wells Fargo Asset Securities Corporation - -------------------------------------------------------------------------------- (Exact name of registrant as specified in its charter) Delaware 333-114847 52-1972128 - -------------------------------------------------------------------------------- (State or other jurisdiction (Commission (IRS Employer of incorporation) File No.) Identification No.) 7430 New Technology Way, Frederick, Maryland 21703 - -------------------------------------------------------------------------------- Address of principal executive offices (Zip Code) Registrant's Telephone Number, including area code (301) 846-8881 -------------- 7485 New Horizon Way, Frederick, Maryland 21703 - -------------------------------------------------------------------------------- (Former name or former address, if changed since last report) Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions: |_| Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) |_| Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12) |_| Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) |_| Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)) ITEM 8.01. Other Events ------------ Attached as an exhibit are the Collateral Term Sheets (as defined in the no-action letter dated February 17, 1995 issued by the Securities and Exchange Commission to the Public Securities Association) and Structural Term Sheets (as defined in the no-action letter dated May 21, 1994 issued by the Securities and Exchange Commission to Kidder, Peabody Acceptance Corporation I, Kidder, Peabody & Co. Incorporated and Kidder Structured Asset Corporation) prepared by Goldman, Sachs & Co. which are hereby filed pursuant to such letters. ITEM 9.01 Financial Statements and Exhibits --------------------------------- (c) Exhibits Item 601(a) of Regulation S-K Exhibit No. Description - ----------- ----------- (99) Collateral Term Sheets and Structural Term Sheets prepared by Goldman, Sachs & Co. in connection with Wells Fargo Home Equity Trust, Asset Backed Certificates, Series 2005-3 Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized. WELLS FARGO ASSET SECURITIES CORPORATION November 11, 2005 By: /s/ Bradley A. Davis ------------------------- Bradley A. Davis Vice President INDEX TO EXHIBITS ----------------- Paper (P) or Exhibit No. Description Electronic (E) - ----------- ----------- -------------- (99) Collateral Term Sheets and E Structural Term Sheets prepared by Goldman, Sachs & Co. in connection with Wells Fargo Home Equity Trust, Asset Backed Certificates, Series 2005-3 EX-99 2 we868488-ex99.txt COLLATERAL TERM SHEETS EXHIBIT 99 $270,088,000 (Approximate) Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust Wells Fargo Asset Securities Corporation, Depositor Goldman, Sachs & Co., Underwriter Home Equity Asset-Backed Certificates, Series 2005-3
Overview of the Offered Certificates - ------------------------------------ Approximate Expected Initial Estimated S&P /Moody's Principal Certificate Credit Pass-Through Rate Avg. Life Principal Payment Expected Certificates Balance(1) Type Support (2) (3) (yrs) (4) Window (4) (5) Ratings - ----------------------------------------------------------------------------------------------------------------------------------- M-1 $60,426,000 Sub 16.10% LIBOR + [ ]% 4.94 04/09 - 01/13 AAA /Aa1 M-2 $54,934,000 Sub 13.10% LIBOR + [ ]% 4.91 03/09 - 01/13 AA+/Aa2 M-3 $36,622,000 Sub 11.10% LIBOR + [ ]% 4.89 02/09 - 01/13 AA+/Aa3 M-4 $26,551,000 Sub 9.65% LIBOR + [ ]% 4.88 02/09 - 01/13 AA/A1 M-5 $26,551,000 Sub 8.20% LIBOR + [ ]% 4.87 01/09 - 01/13 AA /A2 M-6 $23,804,000 Sub 6.90% LIBOR + [ ]% 4.86 01/09 - 01/13 AA-/A3 M-7 $23,805,000 Sub 5.60% LIBOR + [ ]% 4.86 01/09 - 01/13 A+/Baa1 M-8 $17,395,000 Sub 4.65% LIBOR + [ ]% 4.85 12/08 - 01/13 A/Baa2 Total $270,088,000 Overview of the Non-offered LIBOR Certificates - ----------------------------------------------------------------------------------------------------------------------------------- A $1,475,875,000 Sr 19.40% LIBOR + [ ]% N/A N/A N/A M-9 $13,734,000 Sub 3.90% LIBOR + [ ]% N/A N/A N/A M-10 $13,733,000 Sub 3.15% LIBOR + [ ]% N/A N/A N/A M-11 $16,480,000 Sub 2.25% LIBOR + [ ]% N/A N/A N/A
(1) The initial aggregate principal balance of the LIBOR Certificates will be subject to an upward or downward variance of no more than approximately 10%. The principal balances of the LIBOR Certificates are calculated using the scheduled principal balances of the Mortgage Loans as of the Cut-Off Date. (2) On the closing date, the expected overcollateralization will be an amount equal to approximately 2.25% of the scheduled principal balances of the Mortgage Loans as of the Cut-Off Date. (3) See the "Structure of the Certificates" section of this Term Sheet for more information on the Pass-Through-Rates of the LIBOR Certificates. (4) 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. (5) The final scheduled distribution date for the certificates is the Distribution Date in November 2035. Selected Mortgage Pool Data (1) - ------------------------------- Aggregate --------- Scheduled Principal Balance: $ 1,831,110,510 Number of Mortgage Loans: 10,316 Average Scheduled Principal Balance: $ 177,502 Weighted Average Gross Coupon: 6.947% Weighted Average Net Coupon(2): 6.447% Weighted Average FICO Score: 624 Weighted Average Original LTV Ratio: 78.94% Weighted Average Stated Remaining Term (months): 353 Weighted Average Seasoning (months): 3 Weighted Average Months to Roll: 22 Weighted Average Gross Margin: 4.23% Weighted Average Initial Rate Cap: 3.00% Weighted Average Periodic Rate Cap: 1.00% Weighted Average Gross Maximum Lifetime Rate: 12.94% (1) All percentages calculated herein are percentages of scheduled principal balance unless otherwise noted as of the Cut-Off Date. (2) The Weighted Average Net Coupon is equivalent to the Weighted Average Gross Coupon less the Servicing Fee. The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 1 Features of the Transaction - --------------------------- o The mortgage loans in the transaction consist of sub-prime, adjustable and fixed rate, first lien residential mortgage loans (the "Mortgage Loans") originated or acquired by Wells Fargo Bank, N.A. ("Wells Fargo"). o The Mortgage Loans will be serviced by the Wells Fargo Home Mortgage division of Wells Fargo Bank, N.A. o Credit support for the certificates will be provided through a senior/subordinate structure, upfront fully funded overcollateralization of approximately 2.25% (subject to stepdown as described herein), excess spread and mortgage insurance. o None of the Mortgage Loans are classified as (a) "high cost" loans under the Home Ownership and Equity Protection Act of 1994, as amended or (b) "high cost" loans under any other applicable state, federal or local law. o None of the Mortgage Loans secured by a property in the state of Georgia were originated between October 1, 2002 and March 7, 2003. o The transaction will be modeled on INTEX as GSWFHET20053 and on Bloomberg as WFHET 2005-3. o This transaction will contain a one-month LIBOR yield maintenance agreement (the "Yield Maintenance Agreement") available to pay Cap Carryover Amounts on the Class M Certificates in the manner described herein. The Yield Maintenance Agreement will have an initial notional amount of approximately $314,035,000, a term of 33 months beginning on the first Distribution Date, and the trust fund will receive a payment under the Yield Maintenance Agreement with respect to any Distribution Date on which one-month LIBOR exceeds the applicable lower strike rate with respect to such Distribution Date. The Yield Maintenance Agreement will have an upper strike rate of 10% (See Appendix A for Yield Maintenance Agreement details). o The Offered Certificates and the Class A Certificates will be registered under a registration statement filed with the Securities and Exchange Commission. Time Table - ---------- Expected Closing Date: November 29, 2005 Cut-Off Date: November 1, 2005 Expected Pricing Date: On or before November 18, 2005 First Distribution Date: December 27, 2005 Key Terms - --------- Offered Certificates: Class M Certificates other than the Class M-9 Certificates, Class M-10 Certificates and Class M-11 Non-Offered Certificates: Certificates Class A Certificates, Class M-9 Certificates, Class M-10 Certificates, Class M-11 Certificates, Class CE Certificates, Class P Certificates and Class R Certificates LIBOR Certificates: Class A and Class M Certificates Class M Certificates: Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8 Certificates, Class M-9, Class M-10 and Class M-11 Certificates Class R Certificates: Class R-1 and Class R-2 Certificates Subordinated Certificates: Class M and Class CE Certificates Depositor: Wells Fargo Asset Securities Corporation Underwriter: Goldman, Sachs & Co. Servicer: Wells Fargo Bank, N.A. The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 2 Securities Administrator: Wells Fargo Bank, N.A. Trustee: HSBC Bank (USA), National Association Custodian: Wells Fargo Bank, N.A. Cap Provider: TBD Yield Maintenance Agreement: This transaction will have a one-month LIBOR yield maintenance agreement available to pay Cap Carryover Amounts on the Class M Certificates. The Yield Maintenance Agreement will have an initial notional amount of $314,035,000, for a term of 33 months beginning on the first Distribution Date. Servicing Fee Rate: 50 bps Distribution Date: 25th day of the month or the next Business Day Record Date: For any Distribution Date, the last Business Day of the Interest Accrual Period. Delay Days: 0 day delay on all the Offered Certificates Day Count: Actual/360 basis Prepayment Period: The calendar month prior to the Distribution Date Collection 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 the Distribution Date occurs. Interest Accrual Period: For the LIBOR Certificates, from and including the prior Distribution Date or for the first Distribution Date, from the Closing Date, through and including the day prior to the current Distribution Date. Pricing Prepayment Assumption: Adjustable rate mortgage loans: CPR starting at 5% CPR in the first month of the life of the mortgage loan and increasing to 28% CPR in the twelfth month (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 life of the mortgage loan and increasing to 24% CPR in the twelfth month (an approximate 1.727% increase per month), and remaining at 24% CPR thereafter. Excess Spread: The interest payable on the mortgage loans due to the initial weighted average net mortgage interest rate of the mortgage pool will be greater than the interest payments required 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 of the Mortgage Loans (1): 6.9467% Less Servicing Fee 0.5000% ------- Net WAC (1): 6.4467% Less Initial Principal Certificate Coupon (Approx.)(1)(2): 4.4399% ------- Initial Excess Spread (1): 2.0068%
(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 4.173% 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: The Servicer will advance delinquent payments of scheduled principal and interest (other than balloon payments), subject to recoverability. The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 3 Compensating Interest: The Servicer will be obligated, on or before each Distribution Date, to pay to the Securities Administrator for the benefit of Certificateholders an amount (such amount, "Compensating Interest") equal to the lesser of (i) the aggregate prepayment interest shortfall attributable to prepayments in full with respect to such Distribution Date and (ii) the Servicing Fee for such 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., and Moody's Investors Service, Inc. Minimum Denomination: $100,000 with regard to each of the Offered Certificates. Legal Investment: It is anticipated that the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 and Class M-6 Certificates will initially be SMMEA eligible. ERISA Eligible: Underwriter's exemption is expected to apply to the Offered Certificates. However, prospective purchasers should consult their own counsel. Tax Treatment: All LIBOR Certificates represent REMIC regular interests subject to certain rights and obligations to receive amounts in respect of the Cap Carryover Amounts; the Securities Administrator will treat the rights and obligations to receive amounts in respect of the Cap Carryover Amounts as rights under a notional principal contract. The Class R-1 and Class R-2 Certificates each represent the residual interest in a REMIC. Prospectus: The Offered Certificates and the Class A 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 Class A Certificates and the collateral in which they evidence a beneficial ownership interest 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. The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 4 Structure of the Certificates - ----------------------------- Description of Principal and Interest Distributions Principal will be paid as described under the heading "Principal Distributions". Prior to the Step-Down Date or when a Trigger Event is in effect, all principal collected or advanced on the Mortgage Loans will be paid to the LIBOR Certificates as described herein. On or after the Step-Down 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 maintain 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 date on which the Optional Clean-up Call is exercisable, subject to the Net WAC Cap. The interest paid to each class will be reduced by Current Interest Shortfalls allocated to such class to the extent not otherwise covered by the monthly excess interest amount. Any reductions in interest payments due to the Pass-Through-Rate attributable to the Net WAC Cap will be carried forward with interest at the applicable Pass-Through-Rate 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 Monthly Excess Interest Amount, (2) 2.25% overcollateralization (fully funded upfront) (after the Step-Down Date, so long as a Trigger Event is not in effect, the Targeted Overcollateralization Amount will equal 4.50% of the aggregate scheduled principal balance of the Mortgage Loans as of the last day of the related Collection Period, subject to a floor equal to 0.50% of the aggregate scheduled principal 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. Targeted Overcollateralization Amount. As of any Distribution Date (x) prior to the Stepdown Date, approximately 2.25% of the aggregate principal balance as of the Cut-Off Date and (y) on and after the Stepdown Date, (i) if a Trigger Event has not occurred for such Distribution Date, the greater of (a) approximately 4.50% of the aggregate principal balance of the mortgage loans as of the last day of the related Collection Period and (b) 0.50% of the aggregate principal balance of the mortgage loans as of the Cut-Off Date and (ii) if a Trigger Event has occurred for such Distribution Date, the Targeted Overcollateralization Amount for the immediately preceding Distribution Date. Mortgage Insurance. As of the Cut-Off Date, approximately 81.57% of the Mortgage Loans with original LTVs greater than 80% are covered by borrower and/or lender paid mortgage insurance. Senior Enhancement Percentage. For any Distribution Date, the percentage obtained by dividing (x) the aggregate principal balance of the Class M Certificates (including any overcollateralization and prior to 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 Collection Period. Step-Down Date. The earlier of (A) the Distribution Date following the date on which the principal balance of the Class A Certificates has been reduced to zero and (B) the later to occur of: (x) the Distribution Date occurring in December 2008; and (y) the first Distribution Date on which the Senior Enhancement Percentage is greater than or equal to 38.80%. The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 5 Class Initial Subordination Percentage Step-Down Date Percentage - ----- -------------------------------- ------------------------- A 19.40% 38.80% M-1 16.10% 32.20% M-2 13.10% 26.20% M-3 11.10% 22.20% M-4 9.65% 19.30% M-5 8.20% 16.40% M-6 6.90% 13.80% M-7 5.60% 11.20% M-8 4.65% 9.30% M-9 3.90% 7.80% M-10 3.15% 6.30% M-11 2.25% 4.50% Trigger Event. A Trigger Event is in effect on any Distribution Date if (i) the three-month rolling average of 60+ Day Delinquent Loans (as a percentage of the aggregate principal balance of the mortgage loans as of the last day of the related Collection Period) equals or exceeds [41]% of the Senior Enhancement Percentage or (ii) the aggregate amount of realized losses incurred since the Cut-Off Date through the last day of the related Collection 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 Date Cumulative Realized Loss Percentage: ----------------- ------------------------------------ [1.05]% for the first month, plus an additional December 2007 - November 2008 1/12th of [1.25]% for each month thereafter [2.30]% for the first month, plus an additional December 2008 - November 2009 1/12th of [0.30]% for each month thereafter [2.60]% for the first month, plus an additional December 2009 - November 2010 1/12th of [2.00]% for each month thereafter [4.60]% for the first month, plus an additional December 2010 - November 2011 1/12th of [0.15]% for each month thereafter December 2011 and thereafter [4.75]% 60+ Day Delinquent Loan. A 60+ Day Delinquent Loan is any Mortgage Loan (including each Mortgage Loan in foreclosure and each Mortgage Loan for which the related mortgagor has filed for bankruptcy after the Closing Date) with respect to which any portion of a monthly payment is, as of the last day of the prior Collection Period, two months or more past due and each Mortgage Loan relating to REO property. Step-Up Coupons. For all LIBOR Certificates the coupon will increase after the first distribution date on which the Optional Clean-Up Call is first exercisable, should the call not be exercised. The margin for the Class A Certificates will increase to 2 times the margin at issuance, the margin for the Class M Certificates will increase to 1.5 times the margin at issuance. Class A Pass-Through Rate. The Class A Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ]% ([ ]% after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net WAC Cap. Class M-1 Pass-Through Rate. The Class M-1 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ]% ([ ]% after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net WAC Cap. The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 6 Class M-2 Pass-Through Rate. The Class M-2 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ]% ([ ]% after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net WAC Cap. Class M-3 Pass-Through Rate. The Class M-3 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ]% ([ ]% after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net WAC Cap. Class M-4 Pass-Through Rate. The Class M-4 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ]% ([ ]% after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net WAC Cap. Class M-5 Pass-Through Rate. The Class M-5 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ]% ([ ]% after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net WAC Cap. Class M-6 Pass-Through Rate. The Class M-6 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ]% ([ ]% after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net WAC Cap. Class M-7 Pass-Through Rate. The Class M-7 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ]% ([ ]% after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net WAC Cap. Class M-8 Pass-Through Rate. The Class M-8 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ]% ([ ]% after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net WAC Cap. Class M-9 Pass-Through Rate. The Class M-9 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ]% ([ ]% after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net WAC Cap. Class M-10 Pass-Through Rate. The Class M-10 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ]% ([ ]% after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net WAC Cap. Class M-11 Pass-Through Rate. The Class M-11 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [ ]% ([ ]% after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Net WAC Cap. Net WAC Cap. As to any Distribution Date a per annum rate equal to the weighted average mortgage interest rate of the Mortgage Loans in effect on the beginning of the related Collection Period less the Servicing Fee Rate (calculated on an actual/360 day basis with respect to the LIBOR Certificates). Cap Carryover Amount. As to any Distribution Date, the Cap Carryover Amount for each of the LIBOR Certificates will equal the sum of (i) the excess, if any, of interest that would otherwise be due on such class of certificates at such certificates' applicable Pass-Through Rate (without regard to the Net WAC Cap) over interest due on such class of certificates at a rate equal to the Net WAC Cap, (ii) any Cap Carryover Amount for such class remaining unpaid for such certificate from prior Distribution Dates, and (iii) interest on the amount in clause (ii) at the certificates' applicable Pass-Through Rate (without regard to the Net WAC Cap). In the event any Class A or Class M Certificates are no longer outstanding, the applicable Certificateholders will not be entitled to receive Cap Carryover Amounts for that class of certificates. The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 7 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 principal balance immediately prior to such Distribution Date at the related Pass-Through Rate as reduced by that class's share of the excess of the Current Interest Shortfall for such Distribution Date, if any, over the Monthly Excess Interest Amount for such Distribution Date. Current Interest Shortfall. Any shortfalls resulting from the application of the Servicemembers Civil Relief Act or any similar state statutes, prepayment interest shortfalls resulting from prepayments in full, to the extent not covered by Compensating Interest and any prepayment interest shortfalls resulting from partial principal prepayments. Interest Remittance Amount. For any Distribution Date, the portion of funds available for distribution on such Distribution Date attributable to interest received or advanced on the Mortgage Loans less the Servicing Fee Rate. 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 Servicer for the related advances and the applicable servicing fees in respect of such Mortgage Loan. Interest Distributions on the LIBOR Certificates. On each Distribution Date, interest distributions from the Interest Remittance Amount will be allocated as follows: (a) to the Class A Certificates, the related accrued certificate interest and any unpaid accrued certificate interest amount from prior Distribution Dates; (b) from any remaining Interest Remittance Amount to the Class M Certificates, sequentially, in ascending numerical order, their Accrued Certificate Interest for such Distribution Date; and (c) from any remaining Interest Remittance Amount (such amount, the "Monthly Excess Interest Amount"), as a component of Monthly Excess Cashflow Amount. Principal Distributions. On each Distribution Date (a) prior to the Step-Down Date or (b) on which a Trigger Event is in effect, the Principal Distribution Amount will be allocated in the following order of priority: (a) first, concurrently, to the Class R-1 and Class R-2 Certificates and then to the Class A Certificates, the Principal Distribution Amount, until the principal balance thereof has been reduced to zero; (b) the portion of the available Principal Distribution Amount remaining after making the distribution described above in paragraph (a) will be distributed to the Class M Certificates, sequentially, in ascending numerical order, until the principal balances thereof have been reduced to zero; and (c) from any remaining Principal Distribution Amount, as a component of Monthly Excess Cash Flow Amount. On each Distribution Date (a) on or after the Step-Down Date and (b) on which a Trigger Event is not in effect, the principal distributions from the Principal Distribution Amount will be allocated in the following order of priority: (a) to the Class A Certificates, the lesser of the Principal Distribution Amount and the Class A Principal Distribution Amount, until their principal balance has been reduced to zero; The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 8 (b) the portion of the available Principal Distribution Amount remaining after making the distribution described above in paragraph (a) will be distributed sequentially, in ascending numerical order, to each Class M Certificate, the lesser of the remaining Principal Distribution Amount and the Principal Distribution Amount for such class, until the principal balance of such class has been reduced to zero. Allocation of Monthly Excess Cashflow Amount. For any Distribution Date, any Monthly Excess Cashflow Amounts and Yield Maintenance Agreement payments shall be paid as follows: (a) (i) from the Yield Maintenance Agreement payments, concurrently and pro rata (based on their respective principal balance immediately prior to such distribution date), to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10 and Class M-11 Certificates, in each case, up to their respective Cap Carryover Amounts (provided that, if for any distribution date, after the allocation of the unpaid Cap Carryover Amounts to the Class M Certificates, the unpaid Cap Carryover Amount for any of the Class M Certificates is reduced to zero, any amount of Yield Maintenance Agreement payments that would have been allocated to that Class M Certificate for that Distribution Date will instead be allocated, pro rata, based on their respective remaining unpaid Cap Carryover Amounts, to the other Class M Certificates to the extent the other Class M Certificates have any remaining unpaid Cap Carryover Amounts), and (ii) from any remaining Yield Maintenance Agreement payments, after the distributions to the certificates in this paragraph, such remaining amount is required to be distributed as set forth in the pooling and servicing agreement; (b) from any Monthly Excess Cashflow Amounts in the following order of priority: (i) concurrently to the Class A Certificates, first their remaining unpaid Accrued Certificate Interest and then their interest carryforward amount; (ii) sequentially, in ascending numerical order, to the Class M Certificates, first their remaining unpaid Accrued Certificate Interest, and then their interest carryforward amount; (iii) to the Class A Certificates, any Cap Carryover Amount for the Class A Certificates; (iv) sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10 and Class M-11 Certificates, any Cap Carryover Amounts for such classes remaining after the distributions pursuant to clause (a) above; and (c) to the holders of the Class CE certificates, any remaining amounts. Monthly Excess Cashflow Amount. For any Distribution Date, the amount of available funds for such Distribution Date remaining after making all payments of interest and principal to the certificates. Allocation of Realized Losses. All Realized Losses on the Mortgage Loans will be allocated sequentially on each Distribution Date in the following order of priority, (a) to the excess cash flow, (b) in reduction of the overcollateralization amount, and (c) sequentially, to the Class M-11, Class M-10, Class M-9, Class M-8, Class M-7, Class M-6, Class M-5, Class M-4, Class M-3, Class M-2 and Class M-1 Certificates, in that order. An allocation of any Realized Losses to a Subordinated Certificate (other than the Class CE Certificates) on any Distribution Date will be made by reducing its principal balance, after taking into account all distributions made on such Distribution Date and any increase in principal balance due to a subsequent recovery. Once realized losses are allocated sequentially to the Class M-11, Class M-10, Class M-9, Class M-8, Class M-7, Class M-6, Class M-5, Class M-4, Class M-3, Class M-2 and Class M-1 Certificates, their principal balances will be permanently reduced by the amount so allocated, and no amounts will be distributable with respect to such written down amounts on that Distribution Date or any future Distribution Date. Realized Losses will not be allocated to reduce the principal balance of the Class A Certificates. The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 9 Principal Distribution Amount. On any Distribution Date, (1) the sum of (a) the Principal Remittance Amount and (b) the Extra Principal Distribution Amount, if any, minus (2) the Overcollateralization Release Amount, if any. Principal Remittance Amount. On any Distribution Date, the sum, less certain reimbursement and indemnification amounts, of: a) all scheduled payments of principal due during the related Collection 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, b) the principal portion of all partial and full prepayments received during the related prepayment period, c) the principal portion of all net liquidation proceeds, net condemnation proceeds, net insurance proceeds and subsequent recoveries received during the month prior to the month during which such Distribution Date occurs, d) the principal portion of the repurchase price for any repurchase price for any repurchased Mortgage Loans, that were repurchased during the related prepayment period, e) the principal portion of substitution adjustments received in connection with the substitution of a Mortgage Loan during the related prepayment period, and f) the principal portion of the termination price if the Optional Clean-Up Call is exercised. Extra Principal Distribution Amount. For any Distribution Date, the lesser of (a) the Monthly Excess Interest Amount, after reduction for any Current Interest Shortfall and (b) the Overcollateralization Deficiency Amount for such Distribution Date. Overcollateralization Deficiency Amount: For any Distribution Date, the excess, if any, of (x) the Targeted Overcollateralization Amount for such Distribution Date over (y) the actual overcollateralization amount, after giving effect to distributions of the Principal Distribution Amount (other than the Extra Principal Distribution Amount component) on such Distribution Date. Overcollateralization Release Amount. For any Distribution Date on or after the Stepdown Date on which a Trigger Event is not in effect, the lesser of (x) the Principal Remittance Amount and (y) the excess, if any, of (i) the Overcollateralization Amount for such Distribution Date, assuming that 100% of the Principal Remittance Amount is applied as a principal payment on the Certificates on such Distribution Date over (ii) the Targeted Overcollateralization Amount of such Distribution Date. With respect to any Distribution Date on which a Trigger Event is in effect, the Overcollateralization Release Amount will be zero. Class A Principal Distribution Amount. An amount equal to the excess of: (x) the principal balance of the Class A Certificates immediately prior to such Distribution Date, over (y) the lesser of: (A) the product of (i) 61.20% 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 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 principal 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 principal balance of the Class M-1 Certificates immediately prior to such Distribution Date, over (y) the lesser of: (A) the product of (i) 67.80% 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. The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 10 Class M-2 Principal Distribution Amount. An amount equal to the excess of: (x) the sum of: (A) the principal 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 principal 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 principal balance of the Class M-2 Certificates immediately prior to such Distribution Date, over (y) the lesser of: (A) the product of (i) 73.80% 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-3 Principal Distribution Amount. An amount equal to the excess of: (x) the sum of (A) the principal balance of the Class A Certificates (after taking into account any payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the principal balance of the Class M-1 Certificates (after taking into account any payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the principal balance of the Class M-2 Certificates (after taking into account any payment of the Class M-2 Principal Distribution Amount on such Distribution Date), and (D) the principal balance of the Class M-3 Certificates immediately prior to such Distribution Date, over (y) the lesser of (A) the product of (i) 77.80% 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-4 Principal Distribution Amount. An amount equal to the excess of: (x) the sum of (A) the principal balance of the Class A Certificates (after taking into account any payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the principal balance of the Class M-1 Certificates (after taking into account any payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the principal balance of the Class M-2 Certificates (after taking into account any payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (D) the principal balance of the Class M-3 Certificates (after taking into account any payment of the Class M-3 Principal Distribution Amount on such Distribution Date), and (E) the principal balance of the Class M-4 Certificates immediately prior to such Distribution Date, over (y) the lesser of (A) the product of (i) 80.70% 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 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-5 Principal Distribution Amount. An amount equal to the excess of: (x) the sum of (A) the principal balance of the Class A Certificates (after taking into account any payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the principal balance of the Class M-1 Certificates (after taking into account any payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the principal balance of the Class M-2 Certificates (after taking into account any payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (D) the principal balance of the Class M-3 Certificates (after taking into account any payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (E) the principal balance of the Class M-4 Certificates (after taking into account any payment of the Class M-4 Principal Distribution Amount on such Distribution Date), and (F) the principal balance of the Class M-5 Certificates immediately prior to such Distribution Date, over (y) the lesser of (A) the product of (i) 83.60% 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. The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 11 Class M-6 Principal Distribution Amount. An amount equal to the excess of: (x) the sum of (A) the principal balance of the Class A Certificates (after taking into account any payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the principal balance of the Class M-1 Certificates (after taking into account any payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the principal balance of the Class M-2 Certificates (after taking into account any payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (D) the principal balance of the Class M-3 Certificates (after taking into account any payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (E) the principal balance of the Class M-4 Certificates (after taking into account any payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (F) the principal balance of the Class M-5 Certificates (after taking into account any payment of the Class M-5 Principal Distribution Amount on such Distribution Date), and (G) the principal balance of the Class M-6 Certificates immediately prior to such Distribution Date, over (y) the lesser of (A) the product of (i) 86.20% 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 M-7 Principal Distribution Amount. An amount equal to the excess of: (x) the sum of (A) the principal balance of the Class A Certificates (after taking into account any payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the principal balance of the Class M-1 Certificates (after taking into account any payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the principal balance of the Class M-2 Certificates (after taking into account any payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (D) the principal balance of the Class M-3 Certificates (after taking into account any payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (E) the principal balance of the Class M-4 Certificates (after taking into account any payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (F) the principal balance of the Class M-5 Certificates (after taking into account any payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (G) the principal balance of the Class M-6 Certificates (after taking into account any payment of the Class M-6 Principal Distribution Amount on such Distribution Date), and (H) the principal balance of the Class M-7 Certificates immediately prior to such Distribution Date, over (y) the lesser of (A) the product of (i) 88.80% 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-8 Principal Distribution Amount. An amount equal to the excess of: (x) the sum of (A) the principal balance of the Class A Certificates (after taking into account any payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the principal balance of the Class M-1 Certificates (after taking into account any payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the principal balance of the Class M-2 Certificates (after taking into account any payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (D) the principal balance of the Class M-3 Certificates (after taking into account any payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (E) the principal balance of the Class M-4 Certificates (after taking into account any payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (F) the principal balance of the Class M-5 Certificates (after taking into account any payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (G) the principal balance of the Class M-6 Certificates (after taking into account any payment of the Class M-6 Principal Distribution Amount on such Distribution Date), (H) the principal balance of the Class M-7 Certificates (after taking into account any payment of the Class M-7 Principal Distribution Amount on such Distribution Date), and (I) the principal balance of the Class M-8 Certificates immediately prior to such Distribution Date, over (y) the lesser of (A) the product of (i) 90.70% 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 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. The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 12 Class M-9 Principal Distribution Amount. An amount equal to the excess of: (x) the sum of (A) the principal balance of the Class A Certificates (after taking into account any payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the principal balance of the Class M-1 Certificates (after taking into account any payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the principal balance of the Class M-2 Certificates (after taking into account any payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (D) the principal balance of the Class M-3 Certificates (after taking into account any payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (E) the principal balance of the Class M-4 Certificates (after taking into account any payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (F) the principal balance of the Class M-5 Certificates (after taking into account any payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (G) the principal balance of the Class M-6 Certificates (after taking into account any payment of the Class M-6 Principal Distribution Amount on such Distribution Date), (H) the principal balance of the Class M-7 Certificates (after taking into account any payment of the Class M-7 Principal Distribution Amount on such Distribution Date), (I) the principal balance of the Class M-8 Certificates (after taking into account any payment of the Class M-8 Principal Distribution Amount on such Distribution Date), and (J) the principal balance of the Class M-9 Certificates immediately prior to such Distribution Date, over (y) the lesser of (A) the product of (i) 92.20% 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 M-10 Principal Distribution Amount. An amount equal to the excess of: (x) the sum of (A) the principal balance of the Class A Certificates (after taking into account any payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the principal balance of the Class M-1 Certificates (after taking into account any payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the principal balance of the Class M-2 Certificates (after taking into account any payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (D) the principal balance of the Class M-3 Certificates (after taking into account any payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (E) the principal balance of the Class M-4 Certificates (after taking into account any payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (F) the principal balance of the Class M-5 Certificates (after taking into account any payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (G) the principal balance of the Class M-6 Certificates (after taking into account any payment of the Class M-6 Principal Distribution Amount on such Distribution Date), (H) the principal balance of the Class M-7 Certificates (after taking into account any payment of the Class M-7 Principal Distribution Amount on such Distribution Date), (I) the principal balance of the Class M-8 Certificates (after taking into account any payment of the Class M-8 Principal Distribution Amount on such Distribution Date), (J) the principal balance of the Class M-9 Certificates (after taking into account any payment of the Class M-9 Principal Distribution Amount on such Distribution Date), and (K) the principal balance of the Class M-10 Certificates immediately prior to such Distribution Date, over (y) the lesser of (A) the product of (i) 93.70% 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 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. The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 13 Class M-11 Principal Distribution Amount. An amount equal to the excess of: (x) the sum of (A) the principal balance of the Class A Certificates (after taking into account any payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the principal balance of the Class M-1 Certificates (after taking into account any payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the principal balance of the Class M-2 Certificates (after taking into account any payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (D) the principal balance of the Class M-3 Certificates (after taking into account any payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (E) the principal balance of the Class M-4 Certificates (after taking into account any payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (F) the principal balance of the Class M-5 Certificates (after taking into account any payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (G) the principal balance of the Class M-6 Certificates (after taking into account any payment of the Class M-6 Principal Distribution Amount on such Distribution Date), (H) the principal balance of the Class M-7 Certificates (after taking into account any payment of the Class M-7 Principal Distribution Amount on such Distribution Date), (I) the principal balance of the Class M-8 Certificates (after taking into account any payment of the Class M-8 Principal Distribution Amount on such Distribution Date), (J) the principal balance of the Class M-9 Certificates (after taking into account any payment of the Class M-9 Principal Distribution Amount on such Distribution Date), ), (K) the principal balance of the Class M-10 Certificates (after taking into account any payment of the Class M-10 Principal Distribution Amount on such Distribution Date), and (L) the principal balance of the Class M-11 Certificates immediately prior to such Distribution Date, over (y) the lesser of (A) the product of (i) 95.50% 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. The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 14 Remaining Prepayment Penalty Term by Product Type (1)(2) - --------------------------------------------------------
Product No Penalty 1-12 Months 13-24 Months 25-36 Months 37-48 Months 49-60 Months Total - --------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 15 YR FIXED $ 6,105,285 $ 0 $ 380,376 $ 12,535,291 $ 0 $ 0 $ 19,020,951 2 YR ARM $ 341,966,181 $ 97,119 $ 885,161,614 $ 0 $ 0 $ 0 $1,227,224,914 2 YR ARM IO $ 108,175,368 $ 0 $ 281,353,593 $ 0 $ 0 $ 0 $ 389,528,962 3 YR ARM $ 6,222,503 $ 0 $ 1,576,095 $ 24,230,892 $ 0 $ 0 $ 32,029,491 3 YR ARM IO $ 3,298,743 $ 0 $ 3,011,172 $ 14,841,186 $ 0 $ 0 $ 21,151,101 30 YR FIXED $ 24,255,033 $ 0 $ 1,762,068 $ 85,045,340 $ 0 $ 0 $ 111,062,442 30 YR FIXED IO $ 320,218 $ 0 $ 154,651 $ 5,021,558 $ 0 $ 0 $ 5,496,427 FIXED 15/30 BLN $ 1,383,918 $ 0 $ 259,182 $ 23,953,123 $ 0 $ 0 $ 25,596,223 - --------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- Total(3): $ 491,727,251 $ 97,119 $1,173,658,750 $ 165,627,390 $ 0 $ 0 $1,831,110,510 Product No Penalty 1-12 Months 13-24 Months 25-36 Months 37-48 Months 49-60 Months - --------------- -------------- -------------- -------------- -------------- -------------- -------------- 15 YR FIXED 0.33% 0.00% 0.02% 0.68% 0.00% 0.00% 2 YR ARM 18.68% 0.01% 48.34% 0.00% 0.00% 0.00% 2 YR ARM IO 5.91% 0.00% 15.37% 0.00% 0.00% 0.00% 3 YR ARM 0.34% 0.00% 0.09% 1.32% 0.00% 0.00% 3 YR ARM IO 0.18% 0.00% 0.16% 0.81% 0.00% 0.00% 30 YR FIXED 1.32% 0.00% 0.10% 4.64% 0.00% 0.00% 30 YR FIXED IO 0.02% 0.00% 0.01% 0.27% 0.00% 0.00% FIXED 15/30 BLN 0.08% 0.00% 0.01% 1.31% 0.00% 0.00% - --------------- -------------- -------------- -------------- -------------- -------------- -------------- Total(3): 26.85% 0.01% 64.10% 9.05% 0.00% 0.00%
(1) All percentages calculated herein are percentages of scheduled principal balance as of the Cut-Off Date unless otherwise noted. (2) None of the Mortgage Loans has a prepayment penalty term in excess of 60 months. (3) Columns may not add up due to rounding. The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 15 Breakeven CDR Table for the Class M Certificates - ------------------------------------------------ The assumptions for the breakeven CDR table below are as follows: o The Pricing Prepayment Assumption (as defined on page 3 above) is applied. o 1-month and 6-month Forward LIBOR curves (as of close on November 9, 2005) are used. o 40% loss severity, 100% advancing of principal and interest. 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 All the Offered Certificates are priced at par. o All payments are assumed to be made on the 25th of the month regardless of business days. o Triggers Failing
First Dollar of Loss LIBOR Flat 0% Return - ---------------------------------------------------------------------------------------------------------------------- Class M-1 CDR (%) 26.67 26.78 28.21 Yield (%) 5.3388 4.9071 0.0297 WAL (years) 3.99 3.99 3.78 Modified Duration (years) 3.56 3.57 3.49 Principal Window Nov09 - Nov09 Nov09 - Nov09 Sep09 - Sep09 Principal Writedown $69,889.27 (0.12%) $1,210,521.59 (2.00%) $12,234,104.55 (20.25%) Total Collat Loss $340,284,045.03 (18.58%) $341,327,476.17 (18.64%) $350,170,167.87 (19.12%) - ---------------------------------------------------------------------------------------------------------------------- Class M-2 CDR (%) 21.07 21.17 22.25 Yield (%) 5.3770 4.9355 0.0301 WAL (years) 4.41 4.41 4.25 Modified Duration (years) 3.89 3.89 3.88 Principal Window Apr10 - Apr10 Apr10 - Apr10 Mar10 - Mar10 Principal Writedown $61,504.36 (0.11%) $1,245,113.79 (2.27%) $12,580,777.06 (22.90%) Total Collat Loss $293,172,574.21 (16.01%) $294,249,659.13 (16.07%) $303,998,314.50 (16.60%) - ---------------------------------------------------------------------------------------------------------------------- Class M-3 CDR (%) 17.77 17.84 18.55 Yield (%) 5.3941 4.9278 0.0352 WAL (years) 4.74 4.74 4.58 Modified Duration (years) 4.14 4.15 4.14 Principal Window Aug10 - Aug10 Aug10 - Aug10 Jul10 - Jul10 Principal Writedown $92,739.26 (0.25%) $996,262.28 (2.72%) $9,102,422.36 (24.86%) Total Collat Loss $262,145,220.96 (14.32%) $262,965,621.86 (14.36%) $269,795,960.80 (14.73%) - ---------------------------------------------------------------------------------------------------------------------- Class M-4 CDR (%) 15.64 15.71 16.16 Yield (%) 5.5589 4.9042 0.0754 WAL (years) 4.91 4.90 4.83 Modified Duration (years) 4.25 4.26 4.31 Principal Window Oct10 - Oct10 Oct10 - Oct10 Oct10 - Oct10 Principal Writedown $15,058.16 (0.06%) $970,737.74 (3.66%) $7,077,531.25 (26.66%) Total Collat Loss $239,027,034.82 (13.05%) $239,895,791.86 (13.10%) $245,443,053.01 (13.40%) - ---------------------------------------------------------------------------------------------------------------------- Class M-5 CDR (%) 13.61 13.68 14.17 Yield (%) 5.6153 4.9594 0.0047 WAL (years) 5.16 5.15 4.97 Modified Duration (years) 4.43 4.44 4.43 Principal Window Jan11 - Jan11 Jan11 - Jan11 Dec10 - Dec10 Principal Writedown $19,139.70 (0.07%) $1,032,463.84 (3.89%) $7,437,478.62 (28.01%) Total Collat Loss $216,445,965.52 (11.82%) $217,367,506.91 (11.87%) $222,696,116.91 (12.16%) - ----------------------------------------------------------------------------------------------------------------------
The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 16
First Dollar of Loss LIBOR Flat 0% Return - ---------------------------------------------------------------------------------------------------------------------- Class M-6 CDR (%) 11.94 12.01 12.40 Yield (%) 5.6266 4.8852 0.0227 WAL (years) 5.32 5.32 5.18 Modified Duration (years) 4.55 4.56 4.60 Principal Window Mar11 - Mar11 Mar11 - Mar11 Mar11 - Mar11 Principal Writedown $67,644.97 (0.28%) $1,126,061.31 (4.73%) $6,995,895.10 (29.39%) Total Collat Loss $195,840,351.81 (10.70%) $196,808,943.34 (10.75%) $202,171,068.14 (11.04%) - ---------------------------------------------------------------------------------------------------------------------- Class M-7 CDR (%) 10.33 10.46 10.83 Yield (%) 6.0798 4.9269 0.1145 WAL (years) 5.57 5.48 5.28 Modified Duration (years) 4.66 4.61 4.65 Principal Window Jun11 - Jun11 May11 - May11 May11 - May11 Principal Writedown $141,373.17 (0.59%) $1,826,632.41 (7.67%) $7,641,517.58 (32.10%) Total Collat Loss $175,475,823.75 (9.58%) $176,581,691.90 (9.64%) $181,920,469.56 (9.93%) - ---------------------------------------------------------------------------------------------------------------------- Class M-8 CDR (%) 9.23 9.32 9.58 Yield (%) 6.1964 4.8728 0.2034 WAL (years) 5.66 5.64 5.44 Modified Duration (years) 4.70 4.71 4.74 Principal Window Jul11 - Jul11 Jul11 - Jul11 Jul11 - Jul11 Principal Writedown $150,598.66 (0.87%) $1,611,349.54 (9.26%) $5,826,559.90 (33.50%) Total Collat Loss $159,880,368.02 (8.73%) $161,237,882.88 (8.81%) $165,139,654.50 (9.02%) - ----------------------------------------------------------------------------------------------------------------------
The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 17 Available Funds Cap. The information in the following table has been prepared in accordance with the following assumptions (i) one-month and six-month LIBOR remain constant at 20.00%, (ii) day count convention of actual/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 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.
Effective Effective Distribution Available Available Distribution Available Available Period Distribution Funds Funds Period Distribution Funds Funds (months) Date Cap (%) Cap (%) (months) Date Cap (%) Cap (%) -------- ---- ------- ------- -------- ---- ------- ------- 1 25-Dec-05 7.44 10.00 47 25-Oct-09 11.81 11.81 2 25-Jan-06 6.24 10.00 48 25-Nov-09 11.43 11.43 3 25-Feb-06 6.24 10.00 49 25-Dec-09 11.80 11.80 4 25-Mar-06 6.91 10.00 50 25-Jan-10 11.42 11.42 5 25-Apr-06 6.24 10.00 51 25-Feb-10 11.42 11.42 6 25-May-06 6.45 10.00 52 25-Mar-10 12.67 12.67 7 25-Jun-06 6.24 10.00 53 25-Apr-10 11.44 11.44 8 25-Jul-06 6.45 10.00 54 25-May-10 11.82 11.82 9 25-Aug-06 6.24 10.00 55 25-Jun-10 11.44 11.44 10 25-Sep-06 6.24 10.00 56 25-Jul-10 11.82 11.82 11 25-Oct-06 6.45 10.00 57 25-Aug-10 11.44 11.44 12 25-Nov-06 6.24 10.00 58 25-Sep-10 11.43 11.43 13 25-Dec-06 6.45 10.00 59 25-Oct-10 11.81 11.81 14 25-Jan-07 6.24 10.00 60 25-Nov-10 11.43 11.43 15 25-Feb-07 6.24 10.00 61 25-Dec-10 11.81 11.81 16 25-Mar-07 6.91 10.00 62 25-Jan-11 11.43 11.43 17 25-Apr-07 6.24 10.00 63 25-Feb-11 11.43 11.43 18 25-May-07 6.45 10.00 64 25-Mar-11 12.65 12.65 19 25-Jun-07 6.24 10.00 65 25-Apr-11 11.42 11.42 20 25-Jul-07 6.45 10.00 66 25-May-11 11.80 11.80 21 25-Aug-07 6.24 10.00 67 25-Jun-11 11.42 11.42 22 25-Sep-07 8.59 10.00 68 25-Jul-11 11.80 11.80 23 25-Oct-07 9.08 10.00 69 25-Aug-11 11.42 11.42 24 25-Nov-07 8.78 10.00 70 25-Sep-11 11.41 11.41 25 25-Dec-07 9.07 10.00 71 25-Oct-11 11.79 11.79 26 25-Jan-08 8.78 10.00 72 25-Nov-11 11.41 11.41 27 25-Feb-08 8.78 10.00 73 25-Dec-11 11.79 11.79 28 25-Mar-08 10.22 10.22 74 25-Jan-12 11.41 11.41 29 25-Apr-08 9.63 10.00 75 25-Feb-12 11.40 11.40 30 25-May-08 9.94 10.00 76 25-Mar-12 12.19 12.19 31 25-Jun-08 9.62 10.00 77 25-Apr-12 11.40 11.40 32 25-Jul-08 9.94 10.00 78 25-May-12 11.78 11.78 33 25-Aug-08 9.62 10.00 79 25-Jun-12 11.40 11.40 34 25-Sep-08 10.47 10.47 80 25-Jul-12 11.78 11.78 35 25-Oct-08 10.90 10.90 81 25-Aug-12 11.39 11.39 36 25-Nov-08 10.55 10.55 82 25-Sep-12 11.39 11.39 37 25-Dec-08 10.90 10.90 83 25-Oct-12 11.77 11.77 38 25-Jan-09 10.54 10.54 84 25-Nov-12 11.39 11.39 39 25-Feb-09 10.54 10.54 85 25-Dec-12 11.77 11.77 40 25-Mar-09 12.56 12.56 86 25-Jan-13 11.39 11.39 41 25-Apr-09 11.41 11.41 87 25-Feb-13 11.38 11.38 42 25-May-09 11.79 11.79 88 25-Mar-13 12.60 12.60 43 25-Jun-09 11.41 11.41 89 25-Apr-13 11.38 11.38 44 25-Jul-09 11.78 11.78 90 25-May-13 11.76 11.76 45 25-Aug-09 11.40 11.40 91 25-Jun-13 11.38 11.38 46 25-Sep-09 11.43 11.43 92 25-Jul-13 11.75 11.75
(1) Includes Yield Management Agreement payments on all LIBOR Certificates, with the exception of the Class A Certificates. The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 18 Effective Distribution Available Available Period Distribution Funds Funds (months) Date Cap (%) Cap (%) -------- ---- ------- ------- 93 25-Aug-13 11.37 11.37 94 25-Sep-13 11.37 11.37 95 25-Oct-13 11.75 11.75 96 25-Nov-13 11.37 11.37 97 25-Dec-13 11.75 11.75 98 25-Jan-14 11.36 11.36 99 25-Feb-14 11.36 11.36 100 25-Mar-14 12.58 12.58 101 25-Apr-14 11.36 11.36 102 25-May-14 11.74 11.74 103 25-Jun-14 11.36 11.36 104 25-Jul-14 11.73 11.73 105 25-Aug-14 11.35 11.35 106 25-Sep-14 11.35 11.35 107 25-Oct-14 11.73 11.73 108 25-Nov-14 11.35 11.35 109 25-Dec-14 11.72 11.72 110 25-Jan-15 11.34 11.34 111 25-Feb-15 11.34 11.34 112 25-Mar-15 12.56 12.56 113 25-Apr-15 11.34 11.34 114 25-May-15 11.72 11.72 115 25-Jun-15 11.34 11.34 116 25-Jul-15 11.71 11.71 117 25-Aug-15 11.33 11.33 118 25-Sep-15 11.33 11.33 119 25-Oct-15 11.71 11.71 120 25-Nov-15 11.33 11.33 The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 19 Appendix A This transaction will contain a one-month LIBOR Yield Maintenance Agreement (the "Yield Maintenance Agreement") available to pay Cap Carryover Amounts on the Class M Certificates, in the manner described herein. The Yield Maintenance Agreement will have an initial notional amount of approximately $314,035,000, a term of 33 months beginning on the first Distribution Date and a strike rate as detailed in the table below with an upper strike rate of 10%. The Yield Maintenance Agreement notional amount will be the lesser of (i) the notional amount as detailed in the amortization schedule table below and (ii) the aggregate principal balance of the Class M Certificates, for such Distribution Date. The Yield Maintenance Agreement Notional Amount Amortization Schedule
Interest Rate Corridor Distribution Period (months) Distribution Date Strike Rate (%) Notional Amount ($) ---------------------------- ----------------- --------------- ------------------- 1 25-Dec-05 7.4385 314,035,000 2 25-Jan-06 6.2387 314,035,000 3 25-Feb-06 6.2386 314,035,000 4 25-Mar-06 6.9069 314,035,000 5 25-Apr-06 6.2384 314,035,000 6 25-May-06 6.4463 314,035,000 7 25-Jun-06 6.2382 314,035,000 8 25-Jul-06 6.4461 314,035,000 9 25-Aug-06 6.2381 314,035,000 10 25-Sep-06 6.2380 314,035,000 11 25-Oct-06 6.4458 314,035,000 12 25-Nov-06 6.2378 314,035,000 13 25-Dec-06 6.4457 314,035,000 14 25-Jan-07 6.2377 314,035,000 15 25-Feb-07 6.2376 314,035,000 16 25-Mar-07 6.9058 314,035,000 17 25-Apr-07 6.2374 314,035,000 18 25-May-07 6.4453 314,035,000 19 25-Jun-07 6.2373 314,035,000 20 25-Jul-07 6.4451 314,035,000 21 25-Aug-07 6.2371 314,035,000 22 25-Sep-07 8.5904 314,035,000 23 25-Oct-07 9.0762 314,035,000 24 25-Nov-07 8.7825 314,035,000 25 25-Dec-07 9.0743 314,035,000 26 25-Jan-08 8.7807 314,035,000 27 25-Feb-08 8.7798 314,035,000 28 25-Mar-08 N/A N/A 29 25-Apr-08 9.6251 314,035,000 30 25-May-08 9.9448 314,035,000 31 25-Jun-08 9.6228 314,035,000 32 25-Jul-08 9.9424 314,035,000 33 25-Aug-08 9.6211 314,035,000 34 & Above 25-Sep-08 N/A N/A
The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 20 The Mortgage Loans - All Collateral(1) Scheduled Principal Balance: $ 1,831,110,510 Number of Mortgage Loans: 10,316 Average Scheduled Principal Balance: $ 177,502 Weighted Average Gross Coupon: 6.947% Weighted Average Net Coupon: (2) 6.447% Weighted Average Current FICO Score: 624 Weighted Average Original LTV Ratio: 78.94% Weighted Average Stated Remaining Term (months): 353 Weighted Average Seasoning(months): 3 Weighted Average Months to Roll: 22 Weighted Average Gross Margin: 4.23% Weighted Average Initial Rate Cap: 3.00% Weighted Average Periodic Rate Cap: 1.00% Weighted Average Gross Maximum Lifetime Rate: 12.94% (1) All percentages calculated herein are percentages of scheduled principal balance unless otherwise noted as of the Cut-Off Date. (2) The Weighted Average Net Coupon is equivalent to the Weighted Average Gross Coupon less the Servicing Fee.
Distribution by Current Principal Balance Pct. Weighted Weighted Weighted Current Of Pool Avg. Avg. Avg. Avg. Pct. Pct. Principal Number of Principal By Principal Gross Current Principal Combined Full Owner Balance Loans Balance Balance Coupon FICO Balance Original LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ $50,000 & Below 676 $25,907,506 1.41% 8.562% 599 $38,325 75.95% 100.00% 87.75% $50,001 - $75,000 1,128 71,581,537 3.91 7.988 609 63,459 79.45 100.00 94.00 $75,001 - $100,000 1,212 106,717,673 5.83 7.676 611 88,051 78.51 100.00 96.99 $100,001 - $125,000 1,211 136,379,914 7.45 7.448 616 112,618 78.64 100.00 96.97 $125,001 - $150,000 1,063 145,747,476 7.96 7.454 614 137,110 79.73 100.00 97.55 $150,001 - $200,000 1,874 325,836,682 17.79 6.985 621 173,872 78.71 100.00 97.08 $200,001 - $250,000 1,045 233,699,772 12.76 6.868 623 223,636 78.60 100.00 97.41 $250,001 - $300,000 732 200,150,501 10.93 6.722 627 273,430 79.26 100.00 97.29 $300,001 - $350,000 446 144,488,199 7.89 6.705 628 323,965 79.42 100.00 98.46 $350,001 - $400,000 305 114,632,283 6.26 6.517 635 375,844 79.50 100.00 98.70 $400,001 & Above 624 325,968,968 17.80 6.329 641 522,386 78.84 99.63 97.91 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 10,316 $1,831,110,510 100.00% 6.947% 624 $177,502 78.94% 99.93% 97.28% - -----------------------------------------------------------------------------------------------------------------------------------
The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 21
Distribution by Current Rate Pct. Weighted Weighted Weighted Of Pool Avg. Avg. Avg. Avg. Pct. Pct. Number of Principal By Principal Gross Current Principal Combined Full Owner Current Rate Loans Balance Balance Coupon FICO Balance Original LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ 4.99% & Below 109 $34,630,842 1.89% 4.776% 675 $317,714 74.54% 100.00% 99.40% 5.00 - 5.49% 231 65,203,744 3.56 5.274 670 282,267 74.95 100.00 97.88 5.50 - 5.99% 1,209 305,814,354 16.70 5.791 653 252,948 75.32 100.00 97.89 6.00 - 6.49% 1,123 252,239,395 13.78 6.256 640 224,612 76.54 100.00 97.34 6.50 - 6.99% 2,431 471,355,411 25.74 6.762 627 193,894 78.60 99.75 97.09 7.00 - 7.49% 1,078 176,639,756 9.65 7.247 618 163,859 80.41 100.00 95.78 7.50 - 7.99% 1,657 240,635,753 13.14 7.731 604 145,224 82.47 100.00 97.21 8.00 - 8.49% 582 78,801,507 4.30 8.245 594 135,398 83.76 100.00 95.92 8.50 - 8.99% 942 118,677,430 6.48 8.728 579 125,985 84.12 100.00 97.97 9.00% & Above 954 87,112,317 4.76 9.744 563 91,313 80.96 100.00 98.16 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 10,316 $1,831,110,510 100.00% 6.947% 624 $177,502 78.94% 99.93% 97.28% - -----------------------------------------------------------------------------------------------------------------------------------
Distribution by Lien Pct. Weighted Weighted Weighted Of Pool Avg. Avg. Avg. Avg. Pct. Pct. Number of Principal By Principal Gross Current Principal Combined Full Owner Lien Loans Balance Balance Coupon FICO Balance Original LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ 1 10,316 $1,831,110,510 100.00% 6.947% 624 $177,502 78.94% 99.93% 97.28% - ----------------------------------------------------------------------------------------------------------------------------------- Total: 10,316 $1,831,110,510 100.00% 6.947% 624 $177,502 78.94% 99.93% 97.28% - -----------------------------------------------------------------------------------------------------------------------------------
Distribution by Original LTV Pct. Weighted Weighted Weighted Of Pool Avg. Avg. Avg. Avg. Pct. Pct. Number of Principal By Principal Gross Current Principal Combined Full Owner Original LTV Loans Balance Balance Coupon FICO Balance Original LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ 60.00% & Below 837 $131,787,312 7.20% 6.758% 613 $157,452 49.34% 100.00% 95.64% 60.01 - 70.00% 1,007 191,862,922 10.48 6.706 608 190,529 66.55 100.00 90.88 70.01 - 80.00% 5,217 922,897,418 50.40 6.693 629 176,902 78.68 99.87 97.60 80.01 - 85.00% 950 177,917,147 9.72 7.282 616 187,281 84.37 100.00 97.48 85.01 - 90.00% 1,277 249,403,291 13.62 7.320 623 195,304 89.60 100.00 100.00 90.01 - 95.00% 504 79,803,946 4.36 7.736 638 158,341 94.78 100.00 100.00 95.01 - 100.00% 524 77,438,475 4.23 8.106 645 147,783 99.92 100.00 100.00 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 10,316 $1,831,110,510 100.00% 6.947% 624 $177,502 78.94% 99.93% 97.28% - -----------------------------------------------------------------------------------------------------------------------------------
The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 22
Distribution by Documentation Pct. Weighted Weighted Weighted Of Pool Avg. Avg. Avg. Avg. Pct. Pct. Number of Principal By Principal Gross Current Principal Combined Full Owner Documentation Loans Balance Balance Coupon FICO Balance Original LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ Full 10,315 $1,829,912,951 99.93% 6.947% 624 $177,403 78.94% 100.00% 97.27% No Doc 1 1,197,559 0.07 6.950 688 1,197,559 75.00 0.00 100.00 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 10,316 $1,831,110,510 100.00% 6.947% 624 $177,502 78.94% 99.93% 97.28% - -----------------------------------------------------------------------------------------------------------------------------------
Distribution by Purpose Pct. Weighted Weighted Weighted Of Pool Avg. Avg. Avg. Avg. Pct. Pct. Number of Principal By Principal Gross Current Principal Combined Full Owner Purpose Loans Balance Balance Coupon FICO Balance Original LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ Cashout Refinance 5,046 $965,000,387 52.70% 6.928% 616 $191,241 75.75% 100.00% 97.06% Purchase 4,680 773,319,903 42.23 6.953 634 165,239 82.85 99.85 97.52 Rate/term Refinance 590 92,790,221 5.07 7.084 625 157,272 79.50 100.00 97.48 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 10,316 $1,831,110,510 100.00% 6.947% 624 $177,502 78.94% 99.93% 97.28% - -----------------------------------------------------------------------------------------------------------------------------------
Distribution by Occupancy Pct. Weighted Weighted Weighted Of Pool Avg. Avg. Avg. Avg. Pct. Pct. Number of Principal By Principal Gross Current Principal Combined Full Owner Occupancy Loans Balance Balance Coupon FICO Balance Original LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ Owner Occupied 9,933 $1,781,221,515 97.28% 6.945% 624 $179,324 79.16% 99.93% 100.00% Non Owner 285 33,374,794 1.82 6.989 640 117,105 69.71 100.00 0.00 Second Home 98 16,514,202 0.90 7.074 637 168,512 73.34 100.00 0.00 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 10,316 $1,831,110,510 100.00% 6.947% 624 $177,502 78.94% 99.93% 97.28% - -----------------------------------------------------------------------------------------------------------------------------------
Distribution by Property Type Pct. Weighted Weighted Weighted Of Pool Avg. Avg. Avg. Avg. Pct. Pct. Number of Principal By Principal Gross Current Principal Combined Full Owner Property Type Loans Balance Balance Coupon FICO Balance Original LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ Single Family 9,441 $1,667,580,534 91.07% 6.968% 623 $176,632 79.07% 99.93% 97.82% Condo 622 110,876,677 6.06 6.744 637 178,258 79.70 100.00 94.20 2 Family 175 34,741,017 1.90 6.627 633 198,520 74.36 100.00 89.57 3-4 Family 41 8,996,617 0.49 6.945 631 219,430 68.78 100.00 76.54 Condo Hi-rise 37 8,915,665 0.49 6.748 633 240,964 72.73 100.00 84.64 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 10,316 $1,831,110,510 100.00% 6.947% 624 $177,502 78.94% 99.93% 97.28% - -----------------------------------------------------------------------------------------------------------------------------------
The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 23
Distribution by State Pct. Weighted Weighted Weighted Of Pool Avg. Avg. Avg. Avg. Pct. Pct. Number of Principal By Principal Gross Current Principal Combined Full Owner State Loans Balance Balance Coupon FICO Balance Original LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ CA 1,326 $416,602,269 22.75% 6.308% 640 $314,180 74.72% 99.71% 96.98% MD 524 122,863,228 6.71 6.776 618 234,472 78.59 100.00 98.09 AZ 554 106,974,061 5.84 7.020 622 193,094 78.72 100.00 96.24 FL 496 89,289,026 4.88 7.027 617 180,018 78.17 100.00 93.74 VA 410 87,667,557 4.79 6.910 616 213,823 79.65 100.00 98.06 IL 506 67,577,324 3.69 7.535 615 133,552 82.80 100.00 98.42 NY 296 64,202,818 3.51 6.878 618 216,901 75.98 100.00 97.96 MN 370 61,516,277 3.36 6.963 624 166,260 80.88 100.00 99.14 WA 321 57,434,504 3.14 6.549 637 178,924 81.23 100.00 97.99 NJ 244 56,229,545 3.07 7.511 605 230,449 77.24 100.00 98.27 Other 5,269 700,753,901 38.27 7.275 621 132,996 81.23 100.00 97.34 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 10,316 $1,831,110,510 100.00% 6.947% 624 $177,502 78.94% 99.93% 97.28% - -----------------------------------------------------------------------------------------------------------------------------------
Distribution by Remaining Months to Maturity Pct. Weighted Weighted Weighted Of Pool Avg. Avg. Avg. Avg. Pct. Pct. Remaining Months Number of Principal By Principal Gross Current Principal Combined Full Owner To Maturity Loans Balance Balance Coupon FICO Balance Original LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ 1 - 180 324 $44,617,174 2.44% 6.982% 646 $137,707 68.96% 100.00% 92.63% 241 - 360 9,992 1,786,493,336 97.56 6.946 624 178,792 79.19 99.93 97.39 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 10,316 $1,831,110,510 100.00% 6.947% 624 $177,502 78.94% 99.93% 97.28% - -----------------------------------------------------------------------------------------------------------------------------------
Distribution by Amortization Type Pct. Weighted Weighted Weighted Of Pool Avg. Avg. Avg. Avg. Pct. Pct. Amortization Number of Principal By Principal Gross Current Principal Combined Full Owner Type Loans Balance Balance Coupon FICO Balance Original LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ 15 Yr Fixed 206 $19,020,951 1.04% 7.407% 630 $92,335 64.56% 100.00% 91.60% 2 YR ARM 7,548 1,227,224,914 67.02 7.133 614 162,589 79.71 99.90 96.88 2 YR ARM IO 1,504 389,528,962 21.27 6.405 642 258,995 79.92 100.00 99.57 3 YR ARM 166 32,029,491 1.75 6.513 647 192,949 78.59 100.00 96.63 3 YR ARM IO 76 21,151,101 1.16 6.247 666 278,304 76.78 100.00 100.00 30 Yr Fixed 675 111,062,442 6.07 7.036 649 164,537 71.70 100.00 94.94 30 YR FIXED IO 23 5,496,427 0.30 6.865 665 238,975 75.24 100.00 100.00 FIXED 15/30 BLN 118 25,596,223 1.40 6.667 658 216,917 72.23 100.00 93.40 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 10,316 $1,831,110,510 100.00% 6.947% 624 $177,502 78.94% 99.93% 97.28% - -----------------------------------------------------------------------------------------------------------------------------------
The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 24
Distribution by Initial Periodic Cap Pct. Weighted Weighted Weighted Of Pool Avg. Avg. Avg. Avg. Pct. Pct. Initial Periodic Number of Principal By Principal Gross Current Principal Combined Full Owner Cap Loans Balance Balance Coupon FICO Balance Original LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ 2.51 - 3.00% 9,294 $1,669,934,467 91.20% 6.940% 622 $179,679 79.70% 99.93% 97.55% N/A 1,022 161,176,043 8.80 7.015 649 157,706 71.06 100.00 94.48 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 10,316 $1,831,110,510 100.00% 6.947% 624 $177,502 78.94% 99.93% 97.28% - -----------------------------------------------------------------------------------------------------------------------------------
Distribution by Periodic Cap Pct. Weighted Weighted Weighted Of Pool Avg. Avg. Avg. Avg. Pct. Pct. Number of Principal By Principal Gross Current Principal Combined Full Owner Periodic Cap Loans Balance Balance Coupon FICO Balance Original LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ 1.00% 9,294 $1,669,934,467 91.20% 6.940% 622 $179,679 79.70% 99.93% 97.55% N/A 1,022 161,176,043 8.80 7.015 649 157,706 71.06 100.00 94.48 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 10,316 $1,831,110,510 100.00% 6.947% 624 $177,502 78.94% 99.93% 97.28% - -----------------------------------------------------------------------------------------------------------------------------------
Distribution by Months to Rate Reset Pct. Weighted Weighted Weighted Of Pool Avg. Avg. Avg. Avg. Pct. Pct. Months To Rate Number of Principal By Principal Gross Current Principal Combined Full Owner Reset Loans Balance Balance Coupon FICO Balance Original LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ 1 - 12 1 $97,119 0.01% 7.125% 686 $97,119 80.00% 100.00% 100.00% 13 - 24 9,051 1,616,656,756 88.29 6.958 621 178,616 79.76 99.93 97.53 25 - 36 242 53,180,592 2.90 6.407 655 219,755 77.87 100.00 97.97 N/A 1,022 161,176,043 8.80 7.015 649 157,706 71.06 100.00 94.48 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 10,316 $1,831,110,510 100.00% 6.947% 624 $177,502 78.94% 99.93% 97.28% - -----------------------------------------------------------------------------------------------------------------------------------
Distribution by Life Maximum Rate Pct. Weighted Weighted Weighted Of Pool Avg. Avg. Avg. Avg. Pct. Pct. Life Number of Principal By Principal Gross Current Principal Combined Full Owner Maximum Rate Loans Balance Balance Coupon FICO Balance Original LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ 11.99% & Below 1,474 $383,204,031 20.93% 5.610% 655 $259,976 75.65% 100.00% 97.97% 12.00 - 12.49% 1,026 229,614,960 12.54 6.257 636 223,796 77.45 100.00 97.11 12.50 - 12.99% 2,138 414,484,822 22.64 6.760 624 193,866 79.71 99.71 97.66 13.00 - 13.49% 965 159,325,965 8.70 7.246 616 165,105 81.23 100.00 96.15 13.50 - 13.99% 1,479 219,812,357 12.00 7.732 603 148,622 83.21 100.00 97.82 14.00 - 14.49% 520 72,499,696 3.96 8.245 592 139,422 84.35 100.00 96.02 14.50 - 14.99% 839 110,355,494 6.03 8.730 577 131,532 84.72 100.00 98.46 15.00 - 15.49% 284 29,149,313 1.59 9.250 570 102,638 82.67 100.00 97.64 15.50 - 15.99% 343 33,127,474 1.81 9.706 562 96,582 81.82 100.00 98.37 16.00% & Above 226 18,360,355 1.00 10.613 549 81,241 79.88 100.00 99.47 N/A 1,022 161,176,043 8.80 7.015 649 157,706 71.06 100.00 94.48 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 10,316 $1,831,110,510 100.00% 6.947% 624 $177,502 78.94% 99.93% 97.28% - -----------------------------------------------------------------------------------------------------------------------------------
The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 25
Distribution by Margin Pct. Weighted Weighted Weighted Of Pool Avg. Avg. Avg. Avg. Pct. Pct. Number of Principal By Principal Gross Current Principal Combined Full Owner Margin Loans Balance Balance Coupon FICO Balance Original LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ 4.99% & Below 6,612 $1,289,832,059 70.44% 6.518% 634 $195,074 78.40% 99.91% 97.26% 5.00 - 5.49% 809 132,290,125 7.22 7.761 604 163,523 87.18 100.00 98.13 5.50 - 5.99% 756 116,397,546 6.36 8.267 587 153,965 86.61 100.00 99.26 6.00 - 6.49% 578 70,155,651 3.83 8.778 562 121,377 81.01 100.00 98.36 6.50 - 6.99% 314 39,069,307 2.13 9.114 537 124,425 75.09 100.00 98.12 7.00 - 7.49% 121 14,897,650 0.81 9.670 538 123,121 76.94 100.00 96.80 7.50 - 7.99% 91 6,418,018 0.35 10.604 544 70,528 81.40 100.00 100.00 8.00 - 8.49% 13 874,110 0.05 11.096 564 67,239 84.00 100.00 100.00 N/A 1,022 161,176,043 8.80 7.015 649 157,706 71.06 100.00 94.48 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 10,316 $1,831,110,510 100.00% 6.947% 624 $177,502 78.94% 99.93% 97.28% - -----------------------------------------------------------------------------------------------------------------------------------
The information herein has been provided solely by Goldman, Sachs & Co. Neither the issuer of the certificates not any of its affiliates makes any representation as to the accuracy or completeness of the information here. The information herein is preliminary and will be superseded by the applicable prospectus supplement and by any other information subsequently filed with the Securities and Exchange Commission ("SEC"). This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. This material is for your private 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 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. 26 -----END PRIVACY-ENHANCED MESSAGE-----