EX-99 2 we796584-ex99.txt COLLATERAL TERM SHEETS & STRUCTURAL TERM SHEETS EXHIBIT 99 All information in this Term Sheet, whether regarding assets backing any securities discussed herein or otherwise, will be superseded by the information contained in the final prospectus. Preliminary Structural and Collateral Term Sheet September 22, 2004 -------------------------------------------------------------------------------- [Goldman] $894,600,000 (approximate) of Offered Certificates Sachs Wells Fargo Mortgage Backed Securities 2004-W Trust, Issuer LOGO Mortgage Pass-Through Certificates, Series 2004-W [ ] Overview of the Offered Certificates
-------------------------------------------------------------------------------------------------------------------------------- Approximate Expected Credit Initial Pass- Estimated Principal Certificate Expected Ratings Enhancement Through Avg. Life Estimated Avg. Payment Certificates Balance ($)(1) S&P/Moody's/Fitch Percentage Rate (2) (yrs) (3) Life (yrs) (4) Window(3) -------------------------------------------------------------------------------------------------------------------------------- A1 436,500,000 AAA/Aaa/AAA 3.00% 4.677% 2.61 3.36 11/04-09/09 -------------------------------------------------------------------------------------------------------------------------------- A2 105,354,000 AAA/Aaa/AAA 3.00% 4.677% 0.50 0.50 11/04-10/05 -------------------------------------------------------------------------------------------------------------------------------- A3 51,231,000 AAA/Aaa/AAA 3.00% 4.677% 1.25 1.25 10/05-04/06 -------------------------------------------------------------------------------------------------------------------------------- A4 72,758,000 AAA/Aaa/AAA 3.00% 4.677% 2.00 2.00 04/06-04/07 -------------------------------------------------------------------------------------------------------------------------------- A5 54,573,000 AAA/Aaa/AAA 3.00% 4.677% 3.00 3.00 04/07-04/08 -------------------------------------------------------------------------------------------------------------------------------- A6 36,870,000 AAA/Aaa/AAA 3.00% 4.677% 4.00 4.00 04/08-04/09 -------------------------------------------------------------------------------------------------------------------------------- A7 115,714,000 AAA/Aaa/AAA 3.00% 4.677% 4.90 7.71 04/09-09/09 -------------------------------------------------------------------------------------------------------------------------------- B1 13,500,000 AA 1.50% 4.677% 4.33 6.02 11/04-09/09 -------------------------------------------------------------------------------------------------------------------------------- B2 5,400,000 A 0.90% 4.677% 4.33 6.02 11/04-09/09 -------------------------------------------------------------------------------------------------------------------------------- B3 2,700,000 BBB 0.60% 4.677% 4.33 6.02 11/04-09/09 --------------------------- Principal Payment Certificates Window(4) --------------------------- A1 11/04-09/34 --------------------------- A2 11/04-10/05 --------------------------- A3 10/05-04/06 --------------------------- A4 04/06-04/07 --------------------------- A5 04/07-04/08 --------------------------- A6 04/08-04/09 --------------------------- A7 04/09-09/34 --------------------------- B1 11/04-09/34 --------------------------- B2 11/04-09/34 --------------------------- B3 11/04-09/34 ---------------------------
(1) The Certificate Sizes are approximate and subject to a +/- 5% variance. The Certificate Sizes are based on the expected unpaid principal balance of the mortgage loans as of the October 1, 2004 cut-off date, which unpaid principal balance is expected to be approximately $900,000,000. (2) The Certificates will pay the Weighted Average Net Coupon, which after the bond reset date will equal 1 yr CMT + the weighted average net margin, subject to applicable loan periodic and lifetime rate caps. (3) Average Life and Payment Windows are calculated based upon a pricing prepayment speed of 25% CPB. (4) Average Life and Payment Windows are calculated based upon a pricing prepayment speed of 25% CPR to Maturity. Preliminary Collateral Description*
---------------------------------------------------------------------------------------------------------- Preliminary Collateral Description (approximate) All Loans ---------------------------------------------------------------------------------------------------------- Aggregate Unpaid Principal Balance $900,000,000 ---------------------------------------------------------------------------------------------------------- Average Unpaid Principal Balance $392,724 ---------------------------------------------------------------------------------------------------------- WA Months To First Adjustment Date 59 ---------------------------------------------------------------------------------------------------------- Weighted Average FICO score 740 ---------------------------------------------------------------------------------------------------------- Weighted Average Current Mortgage Interest Rate 4.94% ---------------------------------------------------------------------------------------------------------- Servicing Fee 0.25% ---------------------------------------------------------------------------------------------------------- Master Servicing Fee 0.01% ---------------------------------------------------------------------------------------------------------- Gross Margin 2.75% ---------------------------------------------------------------------------------------------------------- Weighted Average Rate Ceiling 9.94% ---------------------------------------------------------------------------------------------------------- Range of Current Mortgage Interest Rates 2.500% - 6.000% ---------------------------------------------------------------------------------------------------------- Mortgage Loan Cutoff Date 1-Oct-04 ---------------------------------------------------------------------------------------------------------- Weighted Average Original Loan-to-Value Ratio 72% ---------------------------------------------------------------------------------------------------------- Weighted Average Remaining Term to Stated Maturity 359 ---------------------------------------------------------------------------------------------------------- Equity Take Out Refinance 6% ---------------------------------------------------------------------------------------------------------- Primary Residence 94% ---------------------------------------------------------------------------------------------------------- Single Family Dwellings 82% ---------------------------------------------------------------------------------------------------------- Full Documentation 66% ---------------------------------------------------------------------------------------------------------- Uninsured > 80% LTV 0.1% ---------------------------------------------------------------------------------------------------------- Interest Only 80% ---------------------------------------------------------------------------------------------------------- Relocation 9% ---------------------------------------------------------------------------------------------------------- California 44% ---------------------------------------------------------------------------------------------------------- Largest Individual Loan Balance 2,500,000 ----------------------------------------------------------------------------------------------------------
* Current principal balance of the mortgage loans is $735,964,737, as reflected in the attached collateral tables. The aggregate unpaid principal balance of the mortgage loans as of the October 1, 2004 cut-off date is expected to be approximately $900,000,000. 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. Neither the issuer of the certificates nor Goldman, Sachs & Co., nor any of their affiliates makes any representation as to the accuracy or completeness of the information herein. 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). This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the securities and the assets backing any securities discussed herein supersedes all prior information regarding such securities and assets. Any information in this material, whether regarding the assets backing any securities discussed herein or otherwise, is preliminary and will be superseded by the applicable prospectus supplement and any other information subsequently filed with the SEC. The information contained herein will be superseded by the description of the mortgage pool contained in the prospectus supplement relating to the certificates and supersedes all information contained in any collateral term sheets relating to the mortgage pool previously provided by Goldman, Sachs & Co. 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 imposing any limitation of any kind. Further information regarding this material may be obtained upon request. This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. All information in this Term Sheet, whether regarding assets backing any securities discussed herein or otherwise, will be superseded by the information contained in the final prospectus. Preliminary Structural and Collateral Term Sheet September 22, 2004 -------------------------------------------------------------------------------- Time Table Cut-Off Date: October 1, 2004 Settlement Date: October 18, 2004 Distribution Date: 25th of each month or the next business day First Distribution Date: November 26, 2004 Features of the Transaction o Offering consists of certificates totaling approximately $894,600,000 of which $873,000,000 are expected to be rated AAA by S&P, Moody's and/or Fitch. o The expected amount of credit support for each group of senior certificates will be approximately 3.00%. o In general, the collateral consists of 5/1 hybrid adjustable rate mortgage loans with most set to mature within 30 years of the date of origination, secured by first liens on one- to four-family residential properties and originated or acquired by Wells Fargo Bank, N.A. Structure of the Certificates Credit support for the transaction is in the form of a senior/subordinated, shifting interest structure. The Class B1, Class B2, Class B3, Class B4, Class B5 and Class B6 Certificates (collectively, the "Subordinate Certificates") will be subordinate in the right to receive payments of the principal and interest and, therefore, provide credit protection to the Class A-1, A-2, A-3, A-4, A-5, and A-6 Certificates (collectively the "Senior Certificates"). In addition, for the first seven years after the Settlement Date, subject to the exception described below, all principal prepayments will be used to pay down the Senior Certificates, which is intended to increase the relative proportion of Subordinate Certificates to the Senior Certificates and thereby increase the amount of subordination to the Senior Certificates. After such time, and subject to certain loss and delinquency criteria, the Subordinate Certificates will receive increasing portions of unscheduled principal prepayments from the Mortgage Loans. The prepayment percentages on the Subordinate Certificates are as follows: ----------------------------------------------------------- Distribution Date Pro Rata Share ----------------------------------------------------------- Nov 2004 - Oct 2011 0% Nov 2011 - Oct 2012 30% Nov 2012 - Oct 2013 40% Nov 2013 - Oct 2014 60% Nov 2014 - Oct 2015 80% Nov 2015 and after 100% ----------------------------------------------------------- If before the Distribution Date in November 2007 the credit support to the Senior Certificates is two times the original credit support percentage, then the Subordinate Certificates would be entitled to 50% of their pro rata share of principal prepayments proceeds subject to certain loss and delinquency criteria. If on or after the Distribution Date in November 2007 the credit support is two times the original credit support percentage, then the Subordinate Certificates would be entitled to 100% of their pro rata share of the principal prepayment proceeds, subject to certain loss and delinquency criteria. Key Terms Issuer: WFMBS 2004-W Trust Underwriter: Goldman, Sachs & Co. Seller: Wells Fargo Asset Securities Corporation Servicer: Wells Fargo Bank, NA Master Servicer: Wells Fargo Bank, NA Trustee: Wachovia Bank, NA Rating Agencies: Two of Fitch, S&P or Moody's Type of Issuance: Public Servicer Advancing: The Servicer is obligated to advance delinquent mortgagor payments through the date of liquidation of an REO property to the extent they are deemed recoverable. Compensating Interest: The Master Servicer is required to cover interest shortfall, for each Distribution Date, at the lesser of (i) the aggregate Prepayment Interest Shortfall with respect to such Distribution Date and (ii) the lesser of (X) the product of (A) 1/12th of 0.20% and (B) the aggregate Scheduled Principal Balance of the Mortgage Loans for such Distribution Date and (Y) the Available Master Servicing Compensation for such Distribution Date. Compensating Interest is not paid on curtailments. Interest Accrual: On a 30/360 basis; the accrual period is the calendar month preceding the month of each Distribution Date. 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. Neither the issuer of the certificates nor Goldman, Sachs & Co., nor any of their affiliates makes any representation as to the accuracy or completeness of the information herein. 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). This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the securities and the assets backing any securities discussed herein supersedes all prior information regarding such securities and assets. Any information in this material, whether regarding the assets backing any securities discussed herein or otherwise, is preliminary and will be superseded by the applicable prospectus supplement and any other information subsequently filed with the SEC. The information contained herein will be superseded by the description of the mortgage pool contained in the prospectus supplement relating to the certificates and supersedes all information contained in any collateral term sheets relating to the mortgage pool previously provided by Goldman, Sachs & Co. 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 imposing any limitation of any kind. Further information regarding this material may be obtained upon request. This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. All information in this Term Sheet, whether regarding assets backing any securities discussed herein or otherwise, will be superseded by the information contained in the final prospectus. Preliminary Structural and Collateral Term Sheet September 22, 2004 -------------------------------------------------------------------------------- The Mortgage Loans: The Mortgage Loans consist of 100% 5/1 One-Year CMT Hybrid ARMs secured by first lien, one-to-four family residential properties. The Mortgage Loans have a fixed interest rate for the first 5 years after origination and thereafter the Mortgage Loans have a variable interest rate. 80% of the Mortgage Loans require only the payment of interest until the month following the first rate adjustment date. The mortgage interest rate adjusts at the end of the initial fixed interest rate period and annually thereafter. The mortgage interest rates will be indexed to One-Year CMT and will adjust to that index plus a certain number of basis points (the "Gross Margin"). Most of the Mortgage Loans have Periodic Interest Rate Caps of 5% for the first adjustment date and 2% for every adjustment date thereafter. The mortgage loans are subject to lifetime maximum mortgage interest rates, which are generally 5% over the initial mortgage interest rate. None of the mortgage interest rates are subject to a lifetime minimum interest rate. Therefore, the effective minimum interest rate for each Mortgage Loan will be its Gross Margin. None of the Mortgage Loans have a prepayment fee as of the date of origination. Index: The One-Year CMT loan index will be determined based on the average weekly yield on U.S. Treasury securities during the last full week occurring in the month which occurs one month prior to the applicable bond reset date, as published in Federal Reserve Statistical Release H. 15(519), as applicable, and annually thereafter. Expected Subordination: 3.00% Other Certificates: The following Classes of "Other Certificates" will be issued in the indicated approximate original principal amounts, which will provide credit support to the related Offered Certificates, but are not offered hereby -------------------------------------------------------- Certificate Orig. Balance WAC -------------------------------------------------------- B4 $2,250,000 4.677% B5 $1,800,000 4.677% B6 $1,349,900 4.677% -------------------------------------------------------- Clean Up Call: 10% of the Cut-off Date principal balance of the Mortgage Loans. Tax Treatment: It is anticipated that the Offered Certificates will be treated as REMIC regular interests for tax purposes. ERISA Eligibility: The Offered Certificates are expected to be ERISA eligible. Prospective investors should review with their own legal advisors as to whether the purchase and holding of the Certificates could give rise to a transaction prohibited or not otherwise permissible under ERISA, the Code or other similar laws. SMMEA Eligibility: The Senior and Class B1 Certificates are expected to constitute "mortgage related securities" for purposes of SMMEA. Minimum Denomination: $25,000 for the Senior Certificates. Delivery: Class A1, A2, A3, A4, A5, A6, B1, B2 and B3 Certificates - DTC 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. Neither the issuer of the certificates nor Goldman, Sachs & Co., nor any of their affiliates makes any representation as to the accuracy or completeness of the information herein. 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). This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the securities and the assets backing any securities discussed herein supersedes all prior information regarding such securities and assets. Any information in this material, whether regarding the assets backing any securities discussed herein or otherwise, is preliminary and will be superseded by the applicable prospectus supplement and any other information subsequently filed with the SEC. The information contained herein will be superseded by the description of the mortgage pool contained in the prospectus supplement relating to the certificates and supersedes all information contained in any collateral term sheets relating to the mortgage pool previously provided by Goldman, Sachs & Co. 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 imposing any limitation of any kind. Further information regarding this material may be obtained upon request. This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. Page 3 of 3 Goldman, Sachs & Co. WFMBS 2004-W As of September 1, 2004 - Preliminary All records Selection Criteria: All records Table of Contents 1. Stats 2. ARM Type 3. Original Principal Balance 4. Current Mortgage Interest Rate 5. Remaining Terms to Stated Maturity 6. Original Loan-To-Value Ratio 7. FICO Score 8. Geographic Areas 9. Gross Margin 10. Rate Ceiling 11. Months to First Adjustment Date 12. Delinquency 13. Property Type 14. Occupancy Code 15. Purpose 16. Documentation Type 1. Stats Count: 1,874 Current Balance: $735,964,737 Average Current Balance: $392,724 Gross Weighted Average Mortgage Interest Rate: 4.937% Net Weighted Average Mortgage Interest Rate: 4.677% Original Term: 360 Remaining Term: 360 Age: 0 Weighted Average Original Loan-to-Value Ratio: 72.15% Gross Margin: 2.750% Initial Periodic Cap: 4.998% Subsequent Periodic Cap: 2.000% Maximum Interest Rate: 9.938% Months to First Adjustment Date: 60 Weighted Average FICO Score: 740 2. ARM Type -------------------------------------------------------------------------------- ARM Type Count Balance Percent -------------------------------------------------------------------------------- 5/1 ARMs 1,874 $735,964,737 100.00% -------------------------------------------------------------------------------- Total: 1,874 $735,964,737 100.00% -------------------------------------------------------------------------------- 3. Original Principal Balance -------------------------------------------------------------------------------- Original Principal Balance Count Balance Percent -------------------------------------------------------------------------------- Less than or equal to $200,000.00 350 $52,061,672 7.10% $200,000.01 to $300,000.00 390 97,578,972 13.3 $300,000.01 to $400,000.00 379 133,952,002 18.2 $400,000.01 to $500,000.00 322 145,694,638 19.8 $500,000.01 to $600,000.00 191 104,813,179 14.2 $600,000.01 to $700,000.00 112 72,272,407 9.8 $700,000.01 to $800,000.00 33 25,212,524 3.4 $800,000.01 to $900,000.00 31 26,942,568 3.7 $900,000.01 to $1,000,000.00 45 44,291,395 6 $1,000,000.01 and over 21 33,145,381 4.5 -------------------------------------------------------------------------------- Total: 1,874 $735,964,737 100.00% -------------------------------------------------------------------------------- 4. Current Mortgage Interest Rate -------------------------------------------------------------------------------- Current Mortgage Interest Rate Count Balance Percent -------------------------------------------------------------------------------- 2.500% to 2.749% 2 $316,260 0.00% 2.750% to 2.999% 5 1,299,666 0.2 3.250% to 3.499% 5 1,309,170 0.2 3.500% to 3.749% 13 6,178,683 0.8 3.750% to 3.999% 32 12,285,705 1.7 4.000% to 4.249% 63 33,222,409 4.5 4.250% to 4.499% 131 61,096,961 8.3 4.500% to 4.749% 177 75,153,528 10.2 4.750% to 4.999% 300 123,487,882 16.8 5.000% to 5.249% 415 177,652,670 24.1 5.250% to 5.499% 426 150,969,186 20.5 5.500% to 5.749% 263 83,088,098 11.3 5.750% to 5.999% 41 9,847,768 1.3 6.000% to 6.249% 1 56,750 0 -------------------------------------------------------------------------------- Total: 1,874 $735,964,737 100.00% -------------------------------------------------------------------------------- 5. Remaining Terms to Stated Maturity -------------------------------------------------------------------------------- Remaining Terms to Stated Maturity Count Balance Percent -------------------------------------------------------------------------------- 240 1 $231,920 0.00% 345 1 171,184 0 346 1 409,325 0.1 347 1 416,513 0.1 352 1 543,677 0.1 353 1 484,000 0.1 355 1 441,988 0.1 356 9 4,522,415 0.6 357 29 14,519,715 2 358 84 35,708,702 4.9 359 240 98,685,271 13.4 360 1,505 579,830,026 78.8 -------------------------------------------------------------------------------- Total: 1,874 $735,964,737 100.00% -------------------------------------------------------------------------------- 6. Original Loan-To-Value Ratio -------------------------------------------------------------------------------- Original Loan-To-Value Ratio Count Balance Percent -------------------------------------------------------------------------------- 0.001% to 50.000% 105 $51,830,140 7.00% 50.001% to 60.000% 122 66,858,140 9.1 60.001% to 70.000% 248 132,386,969 18 70.001% to 75.000% 146 65,102,815 8.8 75.001% to 80.000% 1,191 403,854,316 54.9 80.001% to 85.000% 5 1,540,018 0.2 85.001% to 90.000% 34 8,812,692 1.2 90.001% to 95.000% 23 5,579,646 0.8 -------------------------------------------------------------------------------- Total: 1,874 $735,964,737 100.00% -------------------------------------------------------------------------------- 7. FICO Score -------------------------------------------------------------------------------- FICO Score Count Balance Percent -------------------------------------------------------------------------------- N/A 5 $2,492,612 0.30% 600 to 649 20 9,566,881 1.3 650 to 699 288 110,412,791 15 700 to 749 711 276,214,667 37.5 750 to 799 805 320,307,868 43.5 800 to 849 45 16,969,917 2.3 -------------------------------------------------------------------------------- Total: 1,874 $735,964,737 100.00% -------------------------------------------------------------------------------- 8. Geographic Areas -------------------------------------------------------------------------------- Geographic Areas Count Balance Percent -------------------------------------------------------------------------------- AK 2 $443,595 0.10% AL 8 2,026,799 0.3 AR 1 288,000 0 AZ 52 16,489,747 2.2 CA 663 325,659,947 44.2 CO 57 18,355,339 2.5 CT 20 10,424,328 1.4 DC 9 3,634,646 0.5 DE 4 1,369,188 0.2 FL 128 37,342,464 5.1 GA 63 15,196,099 2.1 HI 3 1,130,000 0.2 IA 1 369,760 0.1 ID 6 1,782,801 0.2 IL 74 32,068,579 4.4 IN 6 1,443,191 0.2 KS 5 1,298,172 0.2 KY 8 1,980,774 0.3 LA 4 1,187,080 0.2 MA 39 20,692,325 2.8 MD 74 28,166,159 3.8 MI 25 7,599,001 1 MN 52 16,783,694 2.3 MO 8 2,050,786 0.3 MS 1 160,000 0 MT 1 171,920 0 NC 40 9,276,065 1.3 NE 5 1,285,167 0.2 NH 7 2,290,437 0.3 NJ 70 29,571,322 4 NM 4 770,400 0.1 NV 39 14,549,821 2 NY 45 23,250,195 3.2 OH 42 10,137,668 1.4 OK 2 302,400 0 OR 13 3,931,520 0.5 PA 33 10,877,721 1.5 RI 1 400,000 0.1 SC 18 4,132,525 0.6 TN 12 3,052,477 0.4 TX 39 13,831,244 1.9 UT 4 1,447,690 0.2 VA 119 39,007,729 5.3 WA 52 15,937,972 2.2 WI 12 3,114,447 0.4 WV 3 683,542 0.1 -------------------------------------------------------------------------------- Total: 1,874 $735,964,737 100.00% -------------------------------------------------------------------------------- 9. Gross Margin -------------------------------------------------------------------------------- Gross Margin Count Balance Percent -------------------------------------------------------------------------------- 2.75% 1,874 $735,964,737 100.00% -------------------------------------------------------------------------------- Total: 1,874 $735,964,737 100.00% -------------------------------------------------------------------------------- 10. Rate Ceiling -------------------------------------------------------------------------------- Rate Ceiling Count Balance Percent -------------------------------------------------------------------------------- 7.500% to 7.999% 7 $1,615,926 0.20% 8.000% to 8.499% 5 1,309,170 0.2 8.500% to 8.999% 45 18,464,388 2.5 9.000% to 9.499% 194 94,319,370 12.8 9.500% to 9.999% 477 198,641,410 27 10.000% to 10.499% 840 328,013,856 44.6 10.500% to 10.999% 304 92,935,866 12.6 11.000% to 11.499% 2 664,750 0.1 -------------------------------------------------------------------------------- Total: 1,874 $735,964,737 100.00% -------------------------------------------------------------------------------- 11. Months to First Adjustment Date -------------------------------------------------------------------------------- Months to First Adjustment Date Count Balance Percent -------------------------------------------------------------------------------- 45 1 $171,184 0.00% 46 1 409,325 0.1 47 1 416,513 0.1 52 1 543,677 0.1 53 1 484,000 0.1 55 1 441,988 0.1 56 9 4,522,415 0.6 57 29 14,519,715 2 58 84 35,708,702 4.9 59 240 98,685,271 13.4 60 1,506 580,061,946 78.8 -------------------------------------------------------------------------------- Total: 1,874 $735,964,737 100.00% -------------------------------------------------------------------------------- 12. Delinquency -------------------------------------------------------------------------------- Delinquency Count Balance Percent -------------------------------------------------------------------------------- Current 1,874 $735,964,737 100.00% -------------------------------------------------------------------------------- Total: 1,874 $735,964,737 100.00% -------------------------------------------------------------------------------- 13. Property Type -------------------------------------------------------------------------------- Property Type Count Balance Percent -------------------------------------------------------------------------------- Single Family Detached 1,451 $601,398,247 81.70% Low-rise Condominium 314 91,134,481 12.4 High-rise Condominium 87 33,931,129 4.6 Multi-family - 2 Units 8 3,788,500 0.5 Planned Unit Development 7 2,974,119 0.4 Co-op 7 2,738,262 0.4 -------------------------------------------------------------------------------- Total: 1,874 $735,964,737 100.00% -------------------------------------------------------------------------------- 14. Occupancy Code -------------------------------------------------------------------------------- Occupancy Code Count Balance Percent -------------------------------------------------------------------------------- Primary Residence 1,728 $691,516,859 94.00% Second Home 146 44,447,878 6 -------------------------------------------------------------------------------- Total: 1,874 $735,964,737 100.00% -------------------------------------------------------------------------------- 15. Purpose -------------------------------------------------------------------------------- Purpose Count Balance Percent -------------------------------------------------------------------------------- Purchase 1,531 $582,598,307 79.20% Rate-Term Refinance 226 107,120,808 14.6 Cash-Out Refinance 117 46,245,622 6.3 -------------------------------------------------------------------------------- Total: 1,874 $735,964,737 100.00% -------------------------------------------------------------------------------- 16. Documentation Type -------------------------------------------------------------------------------- Documentation Type Count Balance Percent -------------------------------------------------------------------------------- Full Documentation 1,196 $483,800,493 65.70% Asset Only 564 211,649,950 28.8 No Doc 100 35,285,732 4.8 Income Only 14 5,228,562 0.7 -------------------------------------------------------------------------------- Total: 1,874 $735,964,737 100.00% -------------------------------------------------------------------------------- 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. Neither the issuer of the certificates nor Goldman, Sachs & Co., nor any of their affiliates makes any representation as to the accuracy or completeness of the information herein. 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). This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the securities and the assets backing any securities discussed herein supersedes all prior information regarding such securities and assets. Any information in this material, whether regarding the assets backing any securities discussed herein or otherwise, is preliminary and will be superseded by the applicable prospectus supplement and any other information subsequently filed with the SEC. The information contained herein will be superseded by the description of the mortgage pool contained in the prospectus supplement relating to the certificates and supersedes all information contained in any collateral term sheets relating to the mortgage pool previously provided by Goldman, Sachs & Co. 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 imposing any limitation of any kind. Further information regarding this material may be obtained upon request.This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. All information in this Term Sheet, whether regarding assets backing any securities discussed herein or otherwise, will be superseded by the information contained in the final prospectus. Preliminary Structural and Collateral Term Sheet September 23, 2004 -------------------------------------------------------------------------------- [Goldman] $894,600,000 (approximate) of Offered Certificates Sachs Wells Fargo Mortgage Backed Securities 2004-W Trust, Issuer LOGO Mortgage Pass-Through Certificates, Series 2004-W [ ] Overview of the Offered Certificates
--------------------------------------------------------------------------------------------------------------------------------- Approximate Expected Credit Initial Pass- Estimated Estimated Principal Certificate Expected Ratings Enhancement Through Avg. Life Avg. Life Payment Certificates Balance ($)(1) S&P/Moody's/Fitch Percentage Rate (2) (yrs) (3) (yrs) (4) Window(3) --------------------------------------------------------------------------------------------------------------------------------- A1 436,500,000 AAA/Aaa/AAA 3.00% 4.677% 2.61 3.36 11/04-09/09 --------------------------------------------------------------------------------------------------------------------------------- A2 105,354,000 AAA/Aaa/AAA 3.00% 4.677% 0.50 0.50 11/04-10/05 --------------------------------------------------------------------------------------------------------------------------------- A3 51,231,000 AAA/Aaa/AAA 3.00% 4.677% 1.25 1.25 10/05-04/06 --------------------------------------------------------------------------------------------------------------------------------- A4 72,758,000 AAA/Aaa/AAA 3.00% 4.677% 2.00 2.00 04/06-04/07 --------------------------------------------------------------------------------------------------------------------------------- A5 54,573,000 AAA/Aaa/AAA 3.00% 4.677% 3.00 3.00 04/07-04/08 --------------------------------------------------------------------------------------------------------------------------------- A6 36,870,000 AAA/Aaa/AAA 3.00% 4.677% 4.00 4.00 04/08-04/09 --------------------------------------------------------------------------------------------------------------------------------- A7 115,714,000 AAA/Aaa/AAA 3.00% 4.677% 4.90 7.71 04/09-09/09 --------------------------------------------------------------------------------------------------------------------------------- B1 13,500,000 AA 1.50% 4.677% 4.33 6.02 11/04-09/09 --------------------------------------------------------------------------------------------------------------------------------- B2 5,400,000 A 0.90% 4.677% 4.33 6.02 11/04-09/09 --------------------------------------------------------------------------------------------------------------------------------- B3 2,700,000 BBB 0.60% 4.677% 4.33 6.02 11/04-09/09 --------------------------------------------------------------------------------------------------------------------------------- -------------------------- Principal Payment Certificates Window(4) -------------------------- A1 11/04-09/34 -------------------------- A2 11/04-10/05 -------------------------- A3 10/05-04/06 -------------------------- A4 04/06-04/07 -------------------------- A5 04/07-04/08 -------------------------- A6 04/08-04/09 -------------------------- A7 04/09-09/34 -------------------------- B1 11/04-09/34 -------------------------- B2 11/04-09/34 -------------------------- B3 11/04-09/34 --------------------------
(1) The Certificate Sizes are approximate and subject to a +/- 5% variance. The Certificate Sizes are based on the expected unpaid principal balance of the mortgage loans as of the October 1, 2004 cut-off date, which unpaid principal balance is expected to be approximately $900,000,000. (2) The Certificates will pay the Weighted Average Net Coupon, which after the bond reset date will equal 1 yr CMT + the weighted average net margin, subject to applicable loan periodic and lifetime rate caps. (3) Average Life and Payment Windows are calculated based upon a pricing prepayment speed of 25% CPB. (4) Average Life and Payment Windows are calculated based upon a pricing prepayment speed of 25% CPR to Maturity. Preliminary Collateral Description*
------------------------------------------------------------------------------ Preliminary Collateral Description (approximate) All Loans ------------------------------------------------------------------------------ Aggregate Unpaid Principal Balance $900,000,000 ------------------------------------------------------------------------------ Average Unpaid Principal Balance $392,724 ------------------------------------------------------------------------------ WA Months To First Adjustment Date 59 ------------------------------------------------------------------------------ Weighted Average FICO score 740 ------------------------------------------------------------------------------ Weighted Average Current Mortgage Interest Rate 4.94% ------------------------------------------------------------------------------ Servicing Fee 0.25% ------------------------------------------------------------------------------ Master Servicing Fee 0.01% ------------------------------------------------------------------------------ Gross Margin 2.75% ------------------------------------------------------------------------------ Weighted Average Rate Ceiling 9.94% ------------------------------------------------------------------------------ Range of Current Mortgage Interest Rates 2.500% - 6.000% ------------------------------------------------------------------------------ Mortgage Loan Cutoff Date 1-Oct-04 ------------------------------------------------------------------------------ Weighted Average Original Loan-to-Value Ratio 72% ------------------------------------------------------------------------------ Weighted Average Remaining Term to Stated Maturity 359 ------------------------------------------------------------------------------ Equity Take Out Refinance 6% ------------------------------------------------------------------------------ Primary Residence 94% ------------------------------------------------------------------------------ Single Family Dwellings 82% ------------------------------------------------------------------------------ Full Documentation 66% ------------------------------------------------------------------------------ Uninsured > 80% LTV 0.1% ------------------------------------------------------------------------------ Interest Only 80% ------------------------------------------------------------------------------ Relocation 9% ------------------------------------------------------------------------------ California 44% ------------------------------------------------------------------------------ Largest Individual Loan Balance 2,500,000 ------------------------------------------------------------------------------
* Current principal balance of the mortgage loans is $735,964,737, as reflected in the attached collateral tables. The aggregate unpaid principal balance of the mortgage loans as of the October 1, 2004 cut-off date is expected to be approximately $900,000,000. 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. Neither the issuer of the certificates nor Goldman, Sachs & Co., nor any of their affiliates makes any representation as to the accuracy or completeness of the information herein. 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). This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the securities and the assets backing any securities discussed herein supersedes all prior information regarding such securities and assets. Any information in this material, whether regarding the assets backing any securities discussed herein or otherwise, is preliminary and will be superseded by the applicable prospectus supplement and any other information subsequently filed with the SEC. The information contained herein will be superseded by the description of the mortgage pool contained in the prospectus supplement relating to the certificates and supersedes all information contained in any collateral term sheets relating to the mortgage pool previously provided by Goldman, Sachs & Co. 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 imposing any limitation of any kind. Further information regarding this material may be obtained upon request. This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. All information in this Term Sheet, whether regarding assets backing any securities discussed herein or otherwise, will be superseded by the information contained in the final prospectus. Preliminary Structural and Collateral Term Sheet September 23, 2004 -------------------------------------------------------------------------------- Time Table Cut-Off Date: October 1, 2004 Settlement Date: October 18, 2004 Distribution Date: 25th of each month or the next business day First Distribution Date: November 26, 2004 Features of the Transaction o Offering consists of certificates totaling approximately $894,600,000 of which $873,000,000 are expected to be rated AAA by S&P, Moody's and/or Fitch. o The expected amount of credit support for the senior certificates will be approximately 3.00%. o In general, the collateral consists of 5/1 hybrid adjustable rate mortgage loans with most set to mature within 30 years of the date of origination, secured by first liens on one- to four-family residential properties and originated or acquired by Wells Fargo Bank, N.A. Structure of the Certificates Credit support for the transaction is in the form of a senior/subordinated, shifting interest structure. The Class B1, Class B2, Class B3, Class B4, Class B5 and Class B6 Certificates (collectively, the "Subordinate Certificates") will be subordinate in the right to receive payments of the principal and interest and, therefore, provide credit protection to the Class A-1, A-2, A-3, A-4, A-5, A-6 and A-7 Certificates (collectively the "Senior Certificates"). In addition, for the first seven years after the Settlement Date, subject to the exception described below, all principal prepayments will be used to pay down the Senior Certificates, which is intended to increase the relative proportion of Subordinate Certificates to the Senior Certificates and thereby increase the amount of subordination to the Senior Certificates. After such time, and subject to certain loss and delinquency criteria, the Subordinate Certificates will receive increasing portions of unscheduled principal prepayments from the Mortgage Loans. The prepayment percentages on the Subordinate Certificates are as follows: ---------------------------------------------------------------- Distribution Date Pro Rata Share ---------------------------------------------------------------- Nov 2004 - Oct 2011 0% Nov 2011 - Oct 2012 30% Nov 2012 - Oct 2013 40% Nov 2013 - Oct 2014 60% Nov 2014 - Oct 2015 80% Nov 2015 and after 100% ---------------------------------------------------------------- If before the Distribution Date in November 2007 the credit support to the Senior Certificates is two times the original credit support percentage, then the Subordinate Certificates would be entitled to 50% of their pro rata share of principal prepayments proceeds subject to certain loss and delinquency criteria. If on or after the Distribution Date in November 2007 the credit support is two times the original credit support percentage, then the Subordinate Certificates would be entitled to 100% of their pro rata share of the principal prepayment proceeds, subject to certain loss and delinquency criteria. Key Terms Issuer: WFMBS 2004-W Trust Underwriter: Goldman, Sachs & Co. Seller: Wells Fargo Asset Securities Corporation Servicer: Wells Fargo Bank, NA Master Servicer: Wells Fargo Bank, NA Trustee: Wachovia Bank, NA Rating Agencies: Two of Fitch, S&P or Moody's Type of Issuance: Public 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. Neither the issuer of the certificates nor Goldman, Sachs & Co., nor any of their affiliates makes any representation as to the accuracy or completeness of the information herein. 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). This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the securities and the assets backing any securities discussed herein supersedes all prior information regarding such securities and assets. Any information in this material, whether regarding the assets backing any securities discussed herein or otherwise, is preliminary and will be superseded by the applicable prospectus supplement and any other information subsequently filed with the SEC. The information contained herein will be superseded by the description of the mortgage pool contained in the prospectus supplement relating to the certificates and supersedes all information contained in any collateral term sheets relating to the mortgage pool previously provided by Goldman, Sachs & Co. 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 imposing any limitation of any kind. Further information regarding this material may be obtained upon request. This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. All information in this Term Sheet, whether regarding assets backing any securities discussed herein or otherwise, will be superseded by the information contained in the final prospectus. Preliminary Structural and Collateral Term Sheet September 23, 2004 -------------------------------------------------------------------------------- Servicer Advancing: The Servicer is obligated to advance delinquent mortgagor payments through the date of liquidation of an REO property to the extent they are deemed recoverable. Compensating Interest: The Master Servicer is required to cover interest shortfall, for each Distribution Date, at the lesser of (i) the aggregate Prepayment Interest Shortfall with respect to such Distribution Date and (ii) the lesser of (X) the product of (A) 1/12th of 0.20% and (B) the aggregate Scheduled Principal Balance of the Mortgage Loans for such Distribution Date and (Y) the Available Master Servicing Compensation for such Distribution Date. Compensating Interest is not paid on curtailments. Interest Accrual: On a 30/360 basis; the accrual period is the calendar month preceding the month of each Distribution Date. The Mortgage Loans: The Mortgage Loans consist of 100% 5/1 One-Year CMT Hybrid ARMs secured by first lien, one-to-four family residential properties. The Mortgage Loans have a fixed interest rate for the first 5 years after origination and thereafter the Mortgage Loans have a variable interest rate. 80% of the Mortgage Loans require only the payment of interest until the month following the first rate adjustment date. The mortgage interest rate adjusts at the end of the initial fixed interest rate period and annually thereafter. The mortgage interest rates will be indexed to One-Year CMT and will adjust to that index plus a certain number of basis points (the "Gross Margin"). Most of the Mortgage Loans have Periodic Interest Rate Caps of 5% for the first adjustment date and 2% for every adjustment date thereafter. The mortgage loans are subject to lifetime maximum mortgage interest rates, which are generally 5% over the initial mortgage interest rate. None of the mortgage interest rates are subject to a lifetime minimum interest rate. Therefore, the effective minimum interest rate for each Mortgage Loan will be its Gross Margin. None of the Mortgage Loans have a prepayment fee as of the date of origination. Index: The One-Year CMT loan index will be determined based on the average weekly yield on U.S. Treasury securities during the last full week occurring in the month which occurs one month prior to the applicable bond reset date, as published in Federal Reserve Statistical Release H. 15(519), as applicable, and annually thereafter. Expected Subordination: 3.00% Other Certificates: The following Classes of "Other Certificates" will be issued in the indicated approximate original principal amounts, which will provide credit support to the related Offered Certificates, but are not offered hereby -------------------------------------------------------- Certificate Orig. Balance Initial Pass-Through Rate -------------------------------------------------------- B4 $2,250,000 4.677% B5 $1,800,000 4.677% B6 $1,349,900 4.677% -------------------------------------------------------- Clean Up Call: 10% of the Cut-off Date principal balance of the Mortgage Loans. Tax Treatment: It is anticipated that the Offered Certificates will be treated as REMIC regular interests for tax purposes. ERISA Eligibility: The Offered Certificates are expected to be ERISA eligible. Prospective investors should review with their own legal advisors as to whether the purchase and holding of the Certificates could give rise to a transaction prohibited or not otherwise permissible under ERISA, the Code or other similar laws. SMMEA Eligibility: The Senior and Class B1 Certificates are expected to constitute "mortgage related securities" for purposes of SMMEA. Minimum Denomination: $25,000 for the Senior Certificates. Delivery: Class A1, A2, A3, A4, A5, A6, A7, B1, B2 and B3 Certificates - DTC 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. Neither the issuer of the certificates nor Goldman, Sachs & Co., nor any of their affiliates makes any representation as to the accuracy or completeness of the information herein. 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). This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the securities and the assets backing any securities discussed herein supersedes all prior information regarding such securities and assets. Any information in this material, whether regarding the assets backing any securities discussed herein or otherwise, is preliminary and will be superseded by the applicable prospectus supplement and any other information subsequently filed with the SEC. The information contained herein will be superseded by the description of the mortgage pool contained in the prospectus supplement relating to the certificates and supersedes all information contained in any collateral term sheets relating to the mortgage pool previously provided by Goldman, Sachs & Co. 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 imposing any limitation of any kind. Further information regarding this material may be obtained upon request. This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. Page 3 of 3 All information in this Term Sheet, whether regarding assets backing any securities discussed herein or otherwise, will be superseded by the information contained in the final prospectus. Preliminary Structural and Collateral Term Sheet September 28, 2004 -------------------------------------------------------------------------------- [Goldman] $894,600,000 (approximate) of Offered Certificates Sachs Wells Fargo Mortgage Backed Securities 2004-W Trust, Issuer LOGO Mortgage Pass-Through Certificates, Series 2004-W [ ] Overview of the Offered Certificates
-------------------------------------------------------------------------------------------------------------------------------- Approximate Expected Ratings Expected Credit Initial Pass Estimated Principal Certificate Two of Enhancement Through Avg. Life Estimated Avg. Payment Certificates Balance ($)(1) S&P/Moody's/Fitch Percentage Rate (2) (yrs) (3) Life (yrs) (4) Window(3) -------------------------------------------------------------------------------------------------------------------------------- A1 436,500,000 AAA/Aaa 3.00% 4.677% 2.61 3.36 11/04-09/09 -------------------------------------------------------------------------------------------------------------------------------- A2 105,354,000 AAA/Aaa 3.00% 4.677% 0.50 0.50 11/04-10/05 -------------------------------------------------------------------------------------------------------------------------------- A3 51,231,000 AAA/Aaa 3.00% 4.677% 1.25 1.25 10/05-04/06 -------------------------------------------------------------------------------------------------------------------------------- A4 72,758,000 AAA/Aaa 3.00% 4.677% 2.00 2.00 04/06-04/07 -------------------------------------------------------------------------------------------------------------------------------- A5 54,573,000 AAA/Aaa 3.00% 4.677% 3.00 3.00 04/07-04/08 -------------------------------------------------------------------------------------------------------------------------------- A6 36,870,000 AAA/Aaa 3.00% 4.677% 4.00 4.00 04/08-04/09 -------------------------------------------------------------------------------------------------------------------------------- A7 115,714,000 AAA/Aaa 3.00% 4.677% 4.90 7.71 04/09-09/09 -------------------------------------------------------------------------------------------------------------------------------- B1 13,500,000 AA 1.50% 4.677% 4.33 6.02 11/04-09/09 -------------------------------------------------------------------------------------------------------------------------------- B2 5,400,000 A 0.90% 4.677% 4.33 6.02 11/04-09/09 -------------------------------------------------------------------------------------------------------------------------------- B3 2,700,000 BBB 0.60% 4.677% 4.33 6.02 11/04-09/09 -------------------------------------------------------------------------------------------------------------------------------- -------------------------------- Principal Payment Certificates Window(4) -------------------------------- A1 11/04-09/34 -------------------------------- A2 11/04-10/05 -------------------------------- A3 10/05-04/06 -------------------------------- A4 04/06-04/07 -------------------------------- A5 04/07-04/08 -------------------------------- A6 04/08-04/09 -------------------------------- A7 04/09-09/34 -------------------------------- B1 11/04-09/34 -------------------------------- B2 11/04-09/34 -------------------------------- B3 11/04-09/34 --------------------------------
(1) The Certificate Sizes are approximate and subject to a +/- 5% variance. The Certificate Sizes are based on the expected unpaid principal balance of the mortgage loans as of the October 1, 2004 cut-off date, which unpaid principal balance is expected to be approximately $900,000,000. (2) The Certificates will pay the Weighted Average Net Coupon, which after the bond reset date will equal 1 yr CMT + the weighted average net margin, subject to applicable loan periodic and lifetime rate caps. (3) Average Life and Payment Windows are calculated based upon a pricing prepayment speed of 25% CPB. (4) Average Life and Payment Windows are calculated based upon a pricing prepayment speed of 25% CPR to Maturity. Preliminary Collateral Description*
------------------------------------------------------------------------------------------------------------------------------------ Preliminary Collateral Description (approximate) All Loans Tolerance ------------------------------------------------------------------------------------------------------------------------------------ Aggregate Unpaid Principal Balance $900,000,000 (+/- 7.00%) ------------------------------------------------------------------------------------------------------------------------------------ Average Unpaid Principal Balance $392,724 (maximum +$25,000) ------------------------------------------------------------------------------------------------------------------------------------ WA Months To First Adjustment Date 59 (+ / - 3 months) ------------------------------------------------------------------------------------------------------------------------------------ Weighted Average FICO score 740 (minimum -5) ------------------------------------------------------------------------------------------------------------------------------------ Weighted Average Current Mortgage Interest Rate 4.94% (+ / - 10 bps) ------------------------------------------------------------------------------------------------------------------------------------ Servicing Fee 0.25% N/A ------------------------------------------------------------------------------------------------------------------------------------ Master Servicing Fee 0.01% N/A ------------------------------------------------------------------------------------------------------------------------------------ Gross Margin 2.75% (+ / - 5 bps) ------------------------------------------------------------------------------------------------------------------------------------ Weighted Average Rate Ceiling 9.94% (+ / - 10 bps) ------------------------------------------------------------------------------------------------------------------------------------ Range of Current Mortgage Interest Rates 2.500% - 6.000% N/A ------------------------------------------------------------------------------------------------------------------------------------ Mortgage Loan Cutoff Date 1-Oct-04 N/A ------------------------------------------------------------------------------------------------------------------------------------ Weighted Average Original Loan-to-Value Ratio 72% (maximum +5%) ------------------------------------------------------------------------------------------------------------------------------------ Weighted Average Remaining Term to Stated Maturity 359 (+/- 2 months) ------------------------------------------------------------------------------------------------------------------------------------ Equity Take Out Refinance 6% (maximum +5%) ------------------------------------------------------------------------------------------------------------------------------------ Primary Residence 94% (minimum -5%) ------------------------------------------------------------------------------------------------------------------------------------ Single Family Dwellings 82% (minimum -5%) ------------------------------------------------------------------------------------------------------------------------------------ Full Documentation 66% (minimum -5%) ------------------------------------------------------------------------------------------------------------------------------------ Uninsured > 80% LTV 0.0% (maximum +3%) ------------------------------------------------------------------------------------------------------------------------------------ Interest Only 80% (maximum +5%) ------------------------------------------------------------------------------------------------------------------------------------ Relocation 9% (minimum -2%) ------------------------------------------------------------------------------------------------------------------------------------ California 44% (maximum +5%) ------------------------------------------------------------------------------------------------------------------------------------ Largest Individual Loan Balance 2,500,000 (maximum $2,000,000) ------------------------------------------------------------------------------------------------------------------------------------
* Current principal balance of the mortgage loans is $735,964,737, as reflected in the attached collateral tables. The aggregate unpaid principal balance of the mortgage loans as of the October 1, 2004 cut-off date is expected to be approximately $900,000,000. 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. Neither the issuer of the certificates nor Goldman, Sachs & Co., nor any of their affiliates makes any representation as to the accuracy or completeness of the information herein. 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). This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the securities and the assets backing any securities discussed herein supersedes all prior information regarding such securities and assets. Any information in this material, whether regarding the assets backing any securities discussed herein or otherwise, is preliminary and will be superseded by the applicable prospectus supplement and any other information subsequently filed with the SEC. The information contained herein will be superseded by the description of the mortgage pool contained in the prospectus supplement relating to the certificates and supersedes all information contained in any collateral term sheets relating to the mortgage pool previously provided by Goldman, Sachs & Co. 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 imposing any limitation of any kind. Further information regarding this material may be obtained upon request. This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. All information in this Term Sheet, whether regarding assets backing any securities discussed herein or otherwise, will be superseded by the information contained in the final prospectus. Preliminary Structural and Collateral Term Sheet September 28, 2004 -------------------------------------------------------------------------------- Time Table Cut-Off Date: October 1, 2004 Settlement Date: October 18, 2004 Distribution Date: 25th of each month or the next business day First Distribution Date: November 26, 2004 Features of the Transaction o Offering consists of certificates totaling approximately $894,600,000 of which $873,000,000 are expected to be rated AAA by two of S&P, Moody's and Fitch. o The expected amount of credit support for the senior certificates will be approximately 3.00%. o In general, the collateral consists of 5/1 hybrid adjustable rate mortgage loans with most set to mature within 30 years of the date of origination, secured by first liens on one- to four-family residential properties and originated or acquired by Wells Fargo Bank, N.A. Structure of the Certificates Credit support for the transaction is in the form of a senior/subordinated, shifting interest structure. The Class B1, Class B2, Class B3, Class B4, Class B5 and Class B6 Certificates (collectively, the "Subordinate Certificates") will be subordinate in the right to receive payments of the principal and interest and, therefore, provide credit protection to the Class A-1, A-2, A-3, A-4, A-5, A-6 and A-7 Certificates (collectively the "Senior Certificates"). In addition, for the first seven years after the Settlement Date, subject to the exception described below, all principal prepayments will be used to pay down the Senior Certificates, which is intended to increase the relative proportion of Subordinate Certificates to the Senior Certificates and thereby increase the amount of subordination to the Senior Certificates. After such time, and subject to certain loss and delinquency criteria, the Subordinate Certificates will receive increasing portions of unscheduled principal prepayments from the Mortgage Loans. The prepayment percentages on the Subordinate Certificates are as follows: ------------------------------------------------------------- Distribution Date Pro Rata Share ------------------------------------------------------------- Nov 2004 - Oct 2011 0% Nov 2011 - Oct 2012 30% Nov 2012 - Oct 2013 40% Nov 2013 - Oct 2014 60% Nov 2014 - Oct 2015 80% Nov 2015 and after 100% ------------------------------------------------------------- If before the Distribution Date in November 2007 the credit support to the Senior Certificates is two times the original credit support percentage, then the Subordinate Certificates would be entitled to 50% of their pro rata share of principal prepayments proceeds subject to certain loss and delinquency criteria. If on or after the Distribution Date in November 2007 the credit support is two times the original credit support percentage, then the Subordinate Certificates would be entitled to 100% of their pro rata share of the principal prepayment proceeds, subject to certain loss and delinquency criteria. Key Terms Issuer: WFMBS 2004-W Trust Underwriter: Goldman, Sachs & Co. Seller: Wells Fargo Asset Securities Corporation Servicer: Wells Fargo Bank, NA Master Servicer: Wells Fargo Bank, NA Trustee: Wachovia Bank, NA Rating Agencies: Two of Fitch, S&P or Moody's Type of Issuance: Public 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. Neither the issuer of the certificates nor Goldman, Sachs & Co., nor any of their affiliates makes any representation as to the accuracy or completeness of the information herein. 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). This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the securities and the assets backing any securities discussed herein supersedes all prior information regarding such securities and assets. Any information in this material, whether regarding the assets backing any securities discussed herein or otherwise, is preliminary and will be superseded by the applicable prospectus supplement and any other information subsequently filed with the SEC. The information contained herein will be superseded by the description of the mortgage pool contained in the prospectus supplement relating to the certificates and supersedes all information contained in any collateral term sheets relating to the mortgage pool previously provided by Goldman, Sachs & Co. 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 imposing any limitation of any kind. Further information regarding this material may be obtained upon request. This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. All information in this Term Sheet, whether regarding assets backing any securities discussed herein or otherwise, will be superseded by the information contained in the final prospectus. Preliminary Structural and Collateral Term Sheet September 28, 2004 -------------------------------------------------------------------------------- Servicer Advancing: The Servicer is obligated to advance delinquent mortgagor payments through the date of liquidation of an REO property to the extent they are deemed recoverable. Compensating Interest: The Master Servicer is required to cover interest shortfall, for each Distribution Date, at the lesser of (i) the aggregate Prepayment Interest Shortfall with respect to such Distribution Date and (ii) the lesser of (X) the product of (A) 1/12th of 0.20% and (B) the aggregate Scheduled Principal Balance of the Mortgage Loans for such Distribution Date and (Y) the Available Master Servicing Compensation for such Distribution Date. Compensating Interest is not paid on curtailments. Interest Accrual: On a 30/360 basis; the accrual period is the calendar month preceding the month of each Distribution Date. The Mortgage Loans: The Mortgage Loans consist of 100% 5/1 One-Year CMT Hybrid ARMs secured by first lien, one-to-four family residential properties. The Mortgage Loans have a fixed interest rate for the first 5 years after origination and thereafter the Mortgage Loans have a variable interest rate. 80% of the Mortgage Loans require only the payment of interest until the month following the first rate adjustment date. The mortgage interest rate adjusts at the end of the initial fixed interest rate period and annually thereafter. The mortgage interest rates will be indexed to One-Year CMT and will adjust to that index plus a certain number of basis points (the "Gross Margin"). Most of the Mortgage Loans have Periodic Interest Rate Caps of 5% for the first adjustment date and 2% for every adjustment date thereafter. The mortgage loans are subject to lifetime maximum mortgage interest rates, which are generally 5% over the initial mortgage interest rate. None of the mortgage interest rates are subject to a lifetime minimum interest rate. Therefore, the effective minimum interest rate for each Mortgage Loan will be its Gross Margin. None of the Mortgage Loans have a prepayment fee as of the date of origination. Index: The One-Year CMT loan index will be determined based on the average weekly yield on U.S. Treasury securities during the last full week occurring in the month which occurs one month prior to the applicable bond reset date, as published in Federal Reserve Statistical Release H. 15(519), as applicable, and annually thereafter. Expected Subordination: 3.00% Other Certificates: The following Classes of "Other Certificates" will be issued in the indicated approximate original principal amounts, which will provide credit support to the related Offered Certificates, but are not offered hereby
------------------------------------------------------------- Certificate Orig. Balance Initial Pass-Through Rate ------------------------------------------------------------- B4 $2,250,000 4.677% B5 $1,800,000 4.677% B6 $1,349,900 4.677% -------------------------------------------------------------
Clean Up Call: 10% of the Cut-off Date principal balance of the Mortgage Loans. Tax Treatment: It is anticipated that the Offered Certificates will be treated as REMIC regular interests for tax purposes. ERISA Eligibility: The Offered Certificates are expected to be ERISA eligible. Prospective investors should review with their own legal advisors as to whether the purchase and holding of the Certificates could give rise to a transaction prohibited or not otherwise permissible under ERISA, the Code or other similar laws. SMMEA Eligibility: The Senior and Class B1 Certificates are expected to constitute "mortgage related securities" for purposes of SMMEA. Minimum Denomination: $25,000 for the Senior Certificates. Delivery: Class A1, A2, A3, A4, A5, A6, A7, B1, B2 and B3 Certificates - DTC 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. Neither the issuer of the certificates nor Goldman, Sachs & Co., nor any of their affiliates makes any representation as to the accuracy or completeness of the information herein. 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). This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the securities and the assets backing any securities discussed herein supersedes all prior information regarding such securities and assets. Any information in this material, whether regarding the assets backing any securities discussed herein or otherwise, is preliminary and will be superseded by the applicable prospectus supplement and any other information subsequently filed with the SEC. The information contained herein will be superseded by the description of the mortgage pool contained in the prospectus supplement relating to the certificates and supersedes all information contained in any collateral term sheets relating to the mortgage pool previously provided by Goldman, Sachs & Co. 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 imposing any limitation of any kind. Further information regarding this material may be obtained upon request. This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. Page 3 of 3 Goldman, Sachs & Co. WFMBS 2004-W As of September 1, 2004 - Preliminary All records Selection Criteria: All records Table of Contents 1. Current Mortgage Interest Rate 1. Current Mortgage Interest Rate
------------------------------------------------------------------------------------------------------------------------------------ Weighted Avg. Weighted Avg. Original Current Pct. Full Current Mortgage Interest Rate Count Balance Percent LTV FICO Doc IO LOANS ------------------------------------------------------------------------------------------------------------------------------------ 2.500% to 2.624% 2 $316,260 0.00% 80.00% 736 100.00% 100.00% 2.750% to 2.874% 3 787,730 0.1 80 743 100 51.34 2.875% to 2.999% 2 511,936 0.1 76.32 742 0 100 3.250% to 3.374% 1 249,526 0 79.99 777 100 0 3.375% to 3.499% 4 1,059,644 0.1 80 727 74.29 100 3.500% to 3.624% 6 2,520,080 0.3 69.46 748 0 100 3.625% to 3.749% 7 3,658,603 0.5 68.01 759 46.9 100 3.750% to 3.874% 8 2,152,204 0.3 77.03 736 64.02 75.17 3.875% to 3.999% 24 10,133,501 1.4 72.97 767 20.59 95.89 4.000% to 4.124% 24 11,739,047 1.6 67.91 744 57.26 72.26 4.125% to 4.249% 39 21,483,361 2.9 67.18 749 74.87 84.48 4.250% to 4.374% 59 31,433,554 4.3 68.55 747 60.64 89.04 4.375% to 4.499% 72 29,663,407 4 74.4 735 67.17 73.72 4.500% to 4.624% 85 37,037,517 5 73.75 742 50.92 66.54 4.625% to 4.749% 92 38,116,011 5.2 70.35 743 62.74 71.79 4.750% to 4.874% 112 43,426,701 5.9 73.96 745 63.63 81.17 4.875% to 4.999% 188 80,061,180 10.9 71.78 741 68.76 76.03 5.000% to 5.124% 208 90,893,619 12.4 69.64 738 68.66 80.72 5.125% to 5.249% 207 86,759,051 11.8 72.98 738 74.96 79.24 5.250% to 5.374% 245 86,927,729 11.8 73.39 737 66.06 87.41 5.375% to 5.499% 181 64,041,456 8.7 72.2 742 66.82 83.67 5.500% to 5.624% 199 62,228,454 8.5 74.22 730 67.84 81.21 5.625% to 5.749% 64 20,859,644 2.8 73.79 731 66.27 78.05 5.750% to 5.874% 33 7,590,308 1 75.96 737 51.74 81.54 5.875% to 5.999% 8 2,257,460 0.3 73.19 718 68.25 100 6.000% to 6.124% 1 56,750 0 21.83 795 100 100 ------------------------------------------------------------------------------------------------------------------------------------ Total: 1,874 $735,964,737 100.00% 72.15% 740 65.74% 80.36% ------------------------------------------------------------------------------------------------------------------------------------
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. Neither the issuer of the certificates nor Goldman, Sachs & Co., nor any of their affiliates makes any representation as to the accuracy or completeness of the information herein. 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). This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the securities and the assets backing any securities discussed herein supersedes all prior information regarding such securities and assets. Any information in this material, whether regarding the assets backing any securities discussed herein or otherwise, is preliminary and will be superseded by the applicable prospectus supplement and any other information subsequently filed with the SEC. The information contained herein will be superseded by the description of the mortgage pool contained in the prospectus supplement relating to the certificates and supersedes all information contained in any collateral term sheets relating to the mortgage pool previously provided by Goldman, Sachs & Co. 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 imposing any limitation of any kind. Further information regarding this material may be obtained upon request.This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer. Goldman, Sachs & Co. WFMBS 2004-W As of September 1, 2004 - Preliminary SCHEDULED_BALANCE gt 1000000 Selection Criteria: SCHEDULED_BALANCE gt 1000000 Table of Contents 1. Original Principal Balance 1. Original Principal Balance
-------------------------------------------------------------------------------------------------------------- Weighted Avg. Weighted Avg. Original Current Original Principal Balance Count Balance Percent LTV FICO -------------------------------------------------------------------------------------------------------------- $1,000,000.01 to $1,250,000.00 7 $8,104,500 24.50% 51.79% 730 $1,250,000.01 to $1,500,000.00 7 10,190,258 30.7 58.51 749 $1,500,000.01 to $1,750,000.00 2 3,228,644 9.7 57.43 704 $1,750,000.01 to $2,000,000.00 1 1,795,000 5.4 59.83 661 $2,250,000.01 to $2,500,000.00 4 9,826,979 29.6 58.77 745 -------------------------------------------------------------------------------------------------------------- Total: 21 $33,145,381 100.00% 56.91% 734 --------------------------------------------------------------------------------------------------------------
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. Neither the issuer of the certificates nor Goldman, Sachs & Co., nor any of their affiliates makes any representation as to the accuracy or completeness of the information herein. 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). This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the securities and the assets backing any securities discussed herein supersedes all prior information regarding such securities and assets. Any information in this material, whether regarding the assets backing any securities discussed herein or otherwise, is preliminary and will be superseded by the applicable prospectus supplement and any other information subsequently filed with the SEC. The information contained herein will be superseded by the description of the mortgage pool contained in the prospectus supplement relating to the certificates and supersedes all information contained in any collateral term sheets relating to the mortgage pool previously provided by Goldman, Sachs & Co. 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 imposing any limitation of any kind. Further information regarding this material may be obtained upon request.This material is furnished to you solely by Goldman, Sachs & Co., acting as underwriter and not as agent of the issuer.