EX-99 2 exhibit.htm EXHIBIT 99.1 Exhibit

GSR05-2F-1 - Dec - 1P1

   
      
      

Date

1

2

3

4

200 Pricing

28-Jan-05

100

100

100

100

100

25-Jan-06

96

80

80

80

72

25-Jan-07

92

60

60

51

32

25-Jan-08

88

42

42

26

11

25-Jan-09

84

27

27

13

2

25-Jan-10

79

15

15

5

0

25-Jan-11

74

7

7

2

0

25-Jan-12

69

1

2

*

0

25-Jan-13

63

0

0

0

0

25-Jan-14

57

0

0

0

0

25-Jan-15

50

0

0

0

0

25-Jan-16

43

0

0

0

0

25-Jan-17

35

0

0

0

0

25-Jan-18

26

0

0

0

0

25-Jan-19

17

0

0

0

0

25-Jan-20

7

0

0

0

0

25-Jan-21

0

0

0

0

0

      

WAL

9.32

2.85

2.86

2.31

1.69

Principal Window

Feb05-Sep20

Feb05-May12

Feb05-Jun12

Feb05-Oct12

Feb05-Aug09

      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      

Disclaimer:

     
      








GSR05-2F-1 - Dec - 1P2

   
      
      

Date

1

2

3

4

200 Pricing

28-Jan-05

100

100

100

100

100

25-Jan-06

96

80

80

80

72

25-Jan-07

92

60

60

51

32

25-Jan-08

88

42

42

26

11

25-Jan-09

84

27

27

13

2

25-Jan-10

79

15

15

5

0

25-Jan-11

74

7

7

2

0

25-Jan-12

69

1

2

*

0

25-Jan-13

63

0

0

0

0

25-Jan-14

57

0

0

0

0

25-Jan-15

50

0

0

0

0

25-Jan-16

43

0

0

0

0

25-Jan-17

35

0

0

0

0

25-Jan-18

26

0

0

0

0

25-Jan-19

17

0

0

0

0

25-Jan-20

7

0

0

0

0

25-Jan-21

0

0

0

0

0

      

WAL

9.32

2.85

2.86

2.31

1.69

Principal Window

Feb05-Sep20

Feb05-May12

Feb05-Jun12

Feb05-Oct12

Feb05-Aug09

      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      

Disclaimer:

     
      








GSR05-2F-1 - Dec - 1P3

   
      
      

Date

1

2

3

4

200 Pricing

28-Jan-05

100

100

100

100

100

25-Jan-06

96

80

80

80

72

25-Jan-07

92

60

60

51

32

25-Jan-08

88

42

42

26

11

25-Jan-09

84

27

27

13

2

25-Jan-10

79

15

15

5

0

25-Jan-11

74

7

7

2

0

25-Jan-12

69

1

2

*

0

25-Jan-13

63

0

0

0

0

25-Jan-14

57

0

0

0

0

25-Jan-15

50

0

0

0

0

25-Jan-16

43

0

0

0

0

25-Jan-17

35

0

0

0

0

25-Jan-18

26

0

0

0

0

25-Jan-19

17

0

0

0

0

25-Jan-20

7

0

0

0

0

25-Jan-21

0

0

0

0

0

      

WAL

9.32

2.85

2.86

2.31

1.69

Principal Window

Feb05-Sep20

Feb05-May12

Feb05-Jun12

Feb05-Oct12

Feb05-Aug09

      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      

Disclaimer:

     
      








GSR05-2F-1 - Dec - 1PK

  
      
      

Date

1

2

3

4

200 Pricing

28-Jan-05

100

100

100

100

100

25-Jan-06

96

80

80

80

72

25-Jan-07

92

60

60

51

32

25-Jan-08

88

42

42

26

11

25-Jan-09

84

27

27

13

2

25-Jan-10

79

15

15

5

0

25-Jan-11

74

7

7

2

0

25-Jan-12

69

1

2

*

0

25-Jan-13

63

0

0

0

0

25-Jan-14

57

0

0

0

0

25-Jan-15

50

0

0

0

0

25-Jan-16

43

0

0

0

0

25-Jan-17

35

0

0

0

0

25-Jan-18

26

0

0

0

0

25-Jan-19

17

0

0

0

0

25-Jan-20

7

0

0

0

0

25-Jan-21

0

0

0

0

0

      

WAL

9.32

2.85

2.86

2.31

1.69

Principal Window

    
      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      

Disclaimer:

     
      



GSR05-2F-1 - Dec - 1Z

   
      
      

Date

1

2

3

4

200 Pricing

28-Jan-05

100

100

100

100

100

25-Jan-06

106

106

64

21

0

25-Jan-07

113

112

37

0

0

25-Jan-08

120

116

22

0

0

25-Jan-09

127

118

18

0

0

25-Jan-10

135

118

19

0

0

25-Jan-11

143

113

20

0

0

25-Jan-12

152

106

22

0

0

25-Jan-13

161

91

17

0

0

25-Jan-14

171

76

12

0

0

25-Jan-15

182

63

8

0

0

25-Jan-16

193

52

5

0

0

25-Jan-17

205

43

4

0

0

25-Jan-18

218

35

2

0

0

25-Jan-19

231

29

2

0

0

25-Jan-20

245

23

1

0

0

25-Jan-21

251

19

1

0

0

25-Jan-22

237

15

*

0

0

25-Jan-23

222

12

*

0

0

25-Jan-24

206

10

*

0

0

25-Jan-25

190

7

*

0

0

25-Jan-26

172

6

*

0

0

25-Jan-27

153

4

*

0

0

25-Jan-28

132

3

*

0

0

25-Jan-29

110

2

*

0

0

25-Jan-30

87

2

*

0

0

25-Jan-31

62

1

*

0

0

25-Jan-32

36

*

*

0

0

25-Jan-33

16

*

*

0

0

25-Jan-34

7

*

*

0

0

25-Jan-35

0

0

0

0

0

      

WAL

22.91

11.56

3.16

0.66

0.4

Principal Window

Oct20-Dec34

Jul09-Dec34

Feb05~Dec34

Feb05-Jun06

Feb05-Nov05

      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      

Disclaimer:

     
      
      
      



GSR05-2F-1 - Dec - 1SUB

  
      
      

Date

1

2

3

4

200 Pricing

28-Jan-05

100

100

100

100

100

25-Jan-06

99

99

99

99

99

25-Jan-07

98

98

98

98

98

25-Jan-08

97

97

97

97

97

25-Jan-09

96

96

96

96

96

25-Jan-10

94

94

95

95

63

25-Jan-11

93

89

84

79

25

25-Jan-12

91

82

72

61

10

25-Jan-13

90

73

57

40

4

25-Jan-14

88

63

42

22

2

25-Jan-15

86

52

29

12

1

25-Jan-16

84

43

20

6

*

25-Jan-17

81

36

13

3

*

25-Jan-18

78

29

9

2

*

25-Jan-19

75

24

6

1

*

25-Jan-20

72

19

4

*

*

25-Jan-21

68

16

3

*

*

25-Jan-22

64

13

2

*

*

25-Jan-23

60

10

1

*

*

25-Jan-24

56

8

1

*

*

25-Jan-25

52

6

*

*

*

25-Jan-26

47

5

*

*

*

25-Jan-27

41

4

*

*

*

25-Jan-28

36

3

*

*

*

25-Jan-29

30

2

*

*

*

25-Jan-30

24

1

*

*

*

25-Jan-31

17

1

*

*

0

25-Jan-32

10

*

*

*

0

25-Jan-33

4

*

*

*

0

25-Jan-34

2

*

*

*

0

25-Jan-35

0

0

0

0

0

      

WAL

18.85

11.14

8.8

7.63

5.52

Principal Window

Feb05-Dec34

Feb05-Dec34

Feb05-Dec34

Feb05-Dec34

Feb05-Sep30

      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      

Disclaimer:

     
      
      



GSR05-2F-1 - Dec - #NETRATE

 
      
      

Date

1

2

3

4

200 Pricing

28-Jan-05

0

0

0

0

0

25-Jan-06

0

0

0

0

0

25-Jan-07

0

0

0

0

0

25-Jan-08

0

0

0

0

0

25-Jan-09

0

0

0

0

0

25-Jan-10

0

0

0

0

0

25-Jan-11

0

0

0

0

0

25-Jan-12

0

0

0

0

0

25-Jan-13

0

0

0

0

0

25-Jan-14

0

0

0

0

0

25-Jan-15

0

0

0

0

0

25-Jan-16

0

0

0

0

0

25-Jan-17

0

0

0

0

0

25-Jan-18

0

0

0

0

0

25-Jan-19

0

0

0

0

0

25-Jan-20

0

0

0

0

0

25-Jan-21

0

0

0

0

0

25-Jan-22

0

0

0

0

0

25-Jan-23

0

0

0

0

0

25-Jan-24

0

0

0

0

0

25-Jan-25

0

0

0

0

0

25-Jan-26

0

0

0

0

0

25-Jan-27

0

0

0

0

0

25-Jan-28

0

0

0

0

0

25-Jan-29

0

0

0

0

0

25-Jan-30

0

0

0

0

0

25-Jan-31

0

0

0

0

0

25-Jan-32

0

0

0

0

0

25-Jan-33

0

0

0

0

0

25-Jan-34

0

0

0

0

0

25-Jan-35

0

0

0

0

0

      

WAL

NA

NA

NA

NA

NA

Principal Window

    
      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      

Disclaimer:

     
      
      
      
      



GSR05-2F-1 - Dec - #1Z_ACC

 
      
      

Date

1

2

3

4

200 Pricing

28-Jan-05

0

0

0

0

0

25-Jan-06

0

0

0

0

0

25-Jan-07

0

0

0

0

0

25-Jan-08

0

0

0

0

0

25-Jan-09

0

0

0

0

0

25-Jan-10

0

0

0

0

0

25-Jan-11

0

0

0

0

0

25-Jan-12

0

0

0

0

0

25-Jan-13

0

0

0

0

0

25-Jan-14

0

0

0

0

0

25-Jan-15

0

0

0

0

0

25-Jan-16

0

0

0

0

0

25-Jan-17

0

0

0

0

0

25-Jan-18

0

0

0

0

0

25-Jan-19

0

0

0

0

0

25-Jan-20

0

0

0

0

0

25-Jan-21

0

0

0

0

0

25-Jan-22

0

0

0

0

0

25-Jan-23

0

0

0

0

0

25-Jan-24

0

0

0

0

0

25-Jan-25

0

0

0

0

0

25-Jan-26

0

0

0

0

0

25-Jan-27

0

0

0

0

0

25-Jan-28

0

0

0

0

0

25-Jan-29

0

0

0

0

0

25-Jan-30

0

0

0

0

0

25-Jan-31

0

0

0

0

0

25-Jan-32

0

0

0

0

0

25-Jan-33

0

0

0

0

0

25-Jan-34

0

0

0

0

0

25-Jan-35

0

0

0

0

0

      

WAL

NA

NA

NA

NA

NA

Principal Window

    
      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      

Disclaimer:

     
      
      
      



GSR05-2F-1 - Dec - DEAL_PLUGIN

 
      
      

Date

1

2

3

4

200 Pricing

28-Jan-05

100

100

100

100

100

25-Jan-06

99

88

76

65

54

25-Jan-07

98

75

55

39

25

25-Jan-08

97

63

38

21

10

25-Jan-09

96

53

26

11

4

25-Jan-10

94

44

18

6

2

25-Jan-11

93

37

13

3

1

25-Jan-12

91

31

9

2

*

25-Jan-13

90

26

6

1

*

25-Jan-14

88

22

4

1

*

25-Jan-15

86

18

3

*

*

25-Jan-16

84

15

2

*

*

25-Jan-17

81

12

1

*

*

25-Jan-18

78

10

1

*

*

25-Jan-19

75

8

1

*

*

25-Jan-20

72

7

*

*

*

25-Jan-21

68

5

*

*

*

25-Jan-22

64

4

*

*

*

25-Jan-23

60

3

*

*

*

25-Jan-24

56

3

*

*

*

25-Jan-25

52

2

*

*

*

25-Jan-26

47

2

*

*

*

25-Jan-27

41

1

*

*

*

25-Jan-28

36

1

*

*

*

25-Jan-29

30

1

*

*

*

25-Jan-30

24

*

*

*

*

25-Jan-31

17

*

*

*

0

25-Jan-32

10

*

*

*

0

25-Jan-33

4

*

*

*

0

25-Jan-34

2

*

*

*

0

25-Jan-35

0

0

0

0

0

      

WAL

18.85

5.85

3.06

2

1.45

Principal Window

Feb05-Dec34

Feb05-Dec34

Feb05-Dec34

Feb05-Dec34

Feb05-Sep30

      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      

Disclaimer:

     
      
      

GSR05-2F-1 - Dec - #RESIDCASH

      
      

Date

1

2

3

4

200 Pricing

28-Jan-05

0

0

0

0

0

25-Jan-06

0

0

0

0

0

25-Jan-07

0

0

0

0

0

25-Jan-08

0

0

0

0

0

25-Jan-09

0

0

0

0

0

25-Jan-10

0

0

0

0

0

25-Jan-11

0

0

0

0

0

25-Jan-12

0

0

0

0

0

25-Jan-13

0

0

0

0

0

25-Jan-14

0

0

0

0

0

25-Jan-15

0

0

0

0

0

25-Jan-16

0

0

0

0

0

25-Jan-17

0

0

0

0

0

25-Jan-18

0

0

0

0

0

25-Jan-19

0

0

0

0

0

25-Jan-20

0

0

0

0

0

25-Jan-21

0

0

0

0

0

25-Jan-22

0

0

0

0

0

25-Jan-23

0

0

0

0

0

25-Jan-24

0

0

0

0

0

25-Jan-25

0

0

0

0

0

25-Jan-26

0

0

0

0

0

25-Jan-27

0

0

0

0

0

25-Jan-28

0

0

0

0

0

25-Jan-29

0

0

0

0

0

25-Jan-30

0

0

0

0

0

25-Jan-31

0

0

0

0

0

25-Jan-32

0

0

0

0

0

25-Jan-33

0

0

0

0

0

25-Jan-34

0

0

0

0

0

25-Jan-35

0

0

0

0

0

      

WAL

NA

NA

NA

NA

NA

Principal Window

    
      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      

Disclaimer:

     
      


GSR05-2F-1 - Dec - Class-1PP

  
      
      

Date

1

2

3

4

200 Pricing

28-Jan-05

100

100

100

100

100

25-Jan-06

96

80

80

80

72

25-Jan-07

92

60

60

51

32

25-Jan-08

88

42

42

26

11

25-Jan-09

84

27

27

13

2

25-Jan-10

79

15

15

5

0

25-Jan-11

74

7

7

2

0

25-Jan-12

69

1

2

*

0

25-Jan-13

63

0

0

0

0

25-Jan-14

57

0

0

0

0

25-Jan-15

50

0

0

0

0

25-Jan-16

43

0

0

0

0

25-Jan-17

35

0

0

0

0

25-Jan-18

26

0

0

0

0

25-Jan-19

17

0

0

0

0

25-Jan-20

7

0

0

0

0

25-Jan-21

0

0

0

0

0

      

WAL

9.32

2.85

2.86

2.31

1.69

Principal Window

Feb05-Sep20

Feb05-May12

Feb05-Jun12

Feb05-Oct12

Feb05-Aug09

      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      

Disclaimer:

     
      








GSR05-2F-1 - Dec - Class-1P

  
      
      

Date

1

2

3

4

200 Pricing

28-Jan-05

100

100

100

100

100

25-Jan-06

96

80

80

80

72

25-Jan-07

92

60

60

51

32

25-Jan-08

88

42

42

26

11

25-Jan-09

84

27

27

13

2

25-Jan-10

79

15

15

5

0

25-Jan-11

74

7

7

2

0

25-Jan-12

69

1

2

*

0

25-Jan-13

63

0

0

0

0

25-Jan-14

57

0

0

0

0

25-Jan-15

50

0

0

0

0

25-Jan-16

43

0

0

0

0

25-Jan-17

35

0

0

0

0

25-Jan-18

26

0

0

0

0

25-Jan-19

17

0

0

0

0

25-Jan-20

7

0

0

0

0

25-Jan-21

0

0

0

0

0

      

WAL

9.32

2.85

2.86

2.31

1.69

Principal Window

Feb05-Sep20

Feb05-May12

Feb05-Jun12

Feb05-Oct12

Feb05-Aug09

      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      

Disclaimer:

     
      








GSR05-2F-1 - Dec - Class-SNR

  
      
      

Date

1

2

3

4

200 Pricing

28-Jan-05

100

100

100

100

100

25-Jan-06

99

87

76

64

53

25-Jan-07

98

74

54

37

23

25-Jan-08

97

62

37

19

8

25-Jan-09

96

52

25

9

2

25-Jan-10

94

43

16

4

0

25-Jan-11

93

36

11

1

0

25-Jan-12

91

30

7

*

0

25-Jan-13

90

25

5

0

0

25-Jan-14

88

21

3

0

0

25-Jan-15

86

17

2

0

0

25-Jan-16

84

14

1

0

0

25-Jan-17

81

12

1

0

0

25-Jan-18

78

10

1

0

0

25-Jan-19

75

8

*

0

0

25-Jan-20

72

6

*

0

0

25-Jan-21

68

5

*

0

0

25-Jan-22

64

4

*

0

0

25-Jan-23

60

3

*

0

0

25-Jan-24

56

3

*

0

0

25-Jan-25

52

2

*

0

0

25-Jan-26

47

2

*

0

0

25-Jan-27

41

1

*

0

0

25-Jan-28

36

1

*

0

0

25-Jan-29

30

1

*

0

0

25-Jan-30

24

*

*

0

0

25-Jan-31

17

*

*

0

0

25-Jan-32

10

*

*

0

0

25-Jan-33

4

*

*

0

0

25-Jan-34

2

*

*

0

0

25-Jan-35

0

0

0

0

0

      

WAL

18.85

5.71

2.92

1.86

1.34

Principal Window

Feb05-Dec34

Feb05-Dec34

Feb05-Dec34

Feb05-Oct12

Feb05-Aug09

      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      

Disclaimer:

     
      
      
      



GSR05-2F-1 - Dec - COLLAT

  
      
      

Date

1

2

3

4

200 Pricing

28-Jan-05

100

100

100

100

100

25-Jan-06

99

88

76

65

54

25-Jan-07

98

75

55

39

25

25-Jan-08

97

63

38

21

10

25-Jan-09

96

53

26

11

4

25-Jan-10

94

44

18

6

2

25-Jan-11

93

37

13

3

1

25-Jan-12

91

31

9

2

*

25-Jan-13

90

26

6

1

*

25-Jan-14

88

22

4

1

*

25-Jan-15

86

18

3

*

*

25-Jan-16

84

15

2

*

*

25-Jan-17

81

12

1

*

*

25-Jan-18

78

10

1

*

*

25-Jan-19

75

8

1

*

*

25-Jan-20

72

7

*

*

*

25-Jan-21

68

5

*

*

*

25-Jan-22

64

4

*

*

*

25-Jan-23

60

3

*

*

*

25-Jan-24

56

3

*

*

*

25-Jan-25

52

2

*

*

*

25-Jan-26

47

2

*

*

*

25-Jan-27

41

1

*

*

*

25-Jan-28

36

1

*

*

*

25-Jan-29

30

1

*

*

*

25-Jan-30

24

*

*

*

*

25-Jan-31

17

*

*

*

0

25-Jan-32

10

*

*

*

0

25-Jan-33

4

*

*

*

0

25-Jan-34

2

*

*

*

0

25-Jan-35

0

0

0

0

0

      

WAL

18.85

5.85

3.06

2

1.45

Principal Window

Feb05-Dec34

Feb05-Dec34

Feb05-Dec34

Feb05-Dec34

Feb05-May32

      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      

Disclaimer:

     
      



GSR05-2F-1 - Stack Price/Yield

  
      

Settle

1/28/2005

    

First Payment

2/25/2005

    
      
 

1

2

3

4

200 Pricing

COLLAT

     

Price

100

100

100

100

100

Yield

6.03727

5.98341

5.91959

5.84937

5.77118

WAL

18.85

5.85

3.06

2.00

1.45

Mod Durn

10.45

4.34

2.56

1.77

1.31

Mod Convexity

1.705

0.366

0.132

0.064

0.036

Principal Window

Feb05 - Dec34

Feb05 - Dec34

Feb05 - Dec34

Feb05 - Dec34

Feb05 - May32

1P1

     

Price

100

100

100

100

100

Yield

3.99737

3.93068

3.93085

3.90828

3.86617

WAL

9.32

2.85

2.86

2.31

1.69

Mod Durn

7.38

2.59

2.60

2.13

1.59

Mod Convexity

0.779

0.111

0.112

0.075

0.042

Principal Window

Feb05 - Sep20

Feb05 - May12

Feb05 - Jun12

Feb05 - Oct12

Feb05 - Aug09

1P2

     

Price

100

100

100

100

100

Yield

4.24891

4.17794

4.17812

4.15414

4.10937

WAL

9.32

2.85

2.86

2.31

1.69

Mod Durn

7.28

2.58

2.58

2.12

1.59

Mod Convexity

0.763

0.110

0.111

0.074

0.042

Principal Window

Feb05 - Sep20

Feb05 - May12

Feb05 - Jun12

Feb05 - Oct12

Feb05 - Aug09

1P3

     

Price

100

100

100

100

100

Yield

4.50065

4.42538

4.42558

4.40018

4.35276

WAL

9.32

2.85

2.86

2.31

1.69

Mod Durn

7.18

2.56

2.57

2.11

1.58

Mod Convexity

0.747

0.109

0.110

0.074

0.041

Principal Window

Feb05 - Sep20

Feb05 - May12

Feb05 - Jun12

Feb05 - Oct12

Feb05 - Aug09

1PK

     

Price

10

10

10

10

10

Yield

59.55342

30.09976

30.12779

19.83922

-1.98470

WAL

9.32

2.85

2.86

2.31

1.69

Mod Durn

1.36

1.31

1.32

1.25

1.19

Mod Convexity

0.041

0.035

0.035

0.032

0.028

Principal Window

NA - NA

NA - NA

NA - NA

NA - NA

NA - NA

1Z

     

Price

100

100

100

100

100

Yield

6.05618

6.03115

5.91024

5.43555

5.02838

WAL

22.91

11.56

3.16

0.66

0.40

Mod Durn

20.65

9.00

2.42

0.63

0.38

Mod Convexity

4.492

1.019

0.164

0.008

0.004

Principal Window

Oct20 - Dec34

Jul09 - Dec34

Feb05 - Dec34

Feb05 - Jun06

Feb05 - Nov05

1SUB

     

Price

100

100

100

100

100

Yield

6.03727

6.02273

6.01399

6.00746

5.98758

WAL

18.85

11.14

8.80

7.63

5.52

Mod Durn

10.45

7.57

6.49

5.87

4.54

Mod Convexity

1.705

0.835

0.576

0.453

0.261

Principal Window

Feb05 - Dec34

Feb05 - Dec34

Feb05 - Dec34

Feb05 - Dec34

Feb05 - Sep30

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      

Disclaimer:

     
      








     

Deal Summary Report

   

gstrack3up

  
            

 

 

 

 

 

Assumptions

 

 

 

 

 

Collateral

 

 

 

Settlement

 

31-Jan-05

Prepay

 

500 PSA

   

 

Balance

WAC

WAM

Age

WAL

Dur

1st Pay Date

 

25-Feb-05

Default

 

0 CDR

   

$205,894,092.56

6.532

335

21

3.05

 

 

 

 

Recovery

0

months

   

 

     

 

 

 

 

Severity

 

0%

 

 

 

 

 

 

 

 

 

 

                

Tranche

 

Balance

Coupon

Principal

Avg

Dur

Yield

Spread

Bench

Price

$@1bp

Accrued

NetNet

Dated

Notes

Name

 

 

 

Window

Life

 

 

bp

 

%

 

Int(M)

(MM)

Date

 

3A1

 

143,000,000.00

4.25

02/05 - 07/12

2.88

        

1-Jan-05

  FIX

3A2

 

41,708,333.33

6

02/05 - 07/12

2.88

        

1-Jan-05

  IO

3A3

 

56,717,000.00

6

02/05 - 10/34

2.95

        

1-Jan-05

  FIX

3SUB

 

6,177,092.56

6

02/05 - 10/34

8.79

        

1-Jan-05

  FIX

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Yield Curve

Mat     6MO      2YR      3YR     5YR      10YR     30YR      

Yld  2.67500  3.24200  3.38900   3.71500  4.19500  4.68700   


Swaps

3MO     6MO    1YR    2YR     3YR    5YR    6YR    7YR    8YR    9YR   10YR   11YR   12YR   13YR   14YR   15YR   20YR   25YR   

2.4600 2.6525 2.9487 3.2675 3.4968 3.8831 4.0455 4.1883 4.3135 4.4236 4.5217 4.6100 4.6905 4.7627 4.8273 4.8833 5.0586 5.1249   


edsf           

0.5YR  1.25YR   

1.182  1.480   



Payrules:



Pay 3A3 accruals to 3A1 to schedule, then to 3A3

Pay 3A1 to schedule

Pay 3A3 to zero

Pay 3A1 to zero


Notionals:


3A2 ntl w/ 29.1666666643357% of 3A1




TRACK3 - Stack Price/Yield

   
      

Settle

1/31/2005

    

First Payment

2/25/2005

    
      
 

1

2

3

4

5

COLLAT_1

     

Price

100

100

100

100

100

Yield

6.04

5.98

5.91

5.84

5.75

WAL

18.65

5.83

3.05

1.98

1.42

Mod Durn

10.394

4.330

2.552

1.752

1.294

Mod Convexity

1.683

0.364

0.131

0.063

0.036

Principal Window

Feb05 - Oct34

Feb05 - Oct34

Feb05 - Oct34

Feb05 - Oct34

Feb05 - May32

Price

100-00

100-00

100-00

100-00

100-00

3A1

     

Price

100

100

100

100

100

Yield

4.25

4.17

4.17

4.15

4.10

WAL

9.02

2.86

2.88

2.28

1.67

Mod Durn

7.089

2.583

2.595

2.099

1.570

Mod Convexity

0.724

0.111

0.112

0.073

0.041

Principal Window

Feb05 - Apr20

Feb05 - Apr12

Feb05 - Jul12

Feb05 - Jan12

Feb05 - Jun09

Price

100-00

100-00

100-00

100-00

100-00

3A2

     

Price

10

10

10

10

10

Yield

59.14

30.08

30.20

19.24

-3.08

WAL

9.02

2.86

2.88

2.28

1.67

Mod Durn

1.361

1.314

1.319

1.238

1.178

Mod Convexity

0.041

0.035

0.035

0.031

0.027

Principal Window

NA - NA

NA - NA

NA - NA

NA - NA

NA - NA

Price

10-00

10-00

10-00

10-00

10-00

3A3

     

Price

100

100

100

100

100

Yield

6.05

6.03

5.89

5.39

4.89

WAL

22.54

11.53

2.95

0.64

0.37

Mod Durn

20.252

8.610

2.275

0.606

0.353

Mod Convexity

4.330

0.965

0.149

0.008

0.003

Principal Window

Apr20 - Oct34

Aug09 - Oct34

Feb05 - Oct34

Feb05 - Jun06

Feb05 - Nov05

Price

100-00

100-00

100-00

100-00

100-00

3SUB

     

Price

100

100

100

100

100

Yield

6.04

6.02

6.01

6.00

5.98

WAL

18.65

11.12

8.79

7.46

5.32

Mod Durn

10.394

7.560

6.488

5.774

4.404

Mod Convexity

1.683

0.832

0.576

0.436

0.246

Principal Window

Feb05 - Oct34

Feb05 - Oct34

Feb05 - Oct34

Feb05 - Oct34

Feb05 - Aug30

Price

100-00

100-00

100-00

100-00

100-00

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      




TRACK3 - Dec - 3A1

   
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

96

80

80

80

72

25-Jan-07

92

61

61

51

32

25-Jan-08

88

43

43

26

10

25-Jan-09

83

28

28

12

2

25-Jan-10

78

15

16

5

0

25-Jan-11

73

7

8

1

0

25-Jan-12

67

1

2

0

0

25-Jan-13

61

0

0

0

0

25-Jan-14

55

0

0

0

0

25-Jan-15

48

0

0

0

0

25-Jan-16

40

0

0

0

0

25-Jan-17

31

0

0

0

0

25-Jan-18

22

0

0

0

0

25-Jan-19

12

0

0

0

0

25-Jan-20

2

0

0

0

0

25-Jan-21

0

0

0

0

0

      

WAL

9.02

2.86

2.88

2.28

1.67

Principal Window

Feb05-Apr20

Feb05-Apr12

Feb05-Jul12

Feb05-Jan12

Feb05-Jun09

      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      



TRACK3 - Dec - 3A2

  
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

96

80

80

80

72

25-Jan-07

92

61

61

51

32

25-Jan-08

88

43

43

26

10

25-Jan-09

83

28

28

12

2

25-Jan-10

78

15

16

5

0

25-Jan-11

73

7

8

1

0

25-Jan-12

67

1

2

0

0

25-Jan-13

61

0

0

0

0

25-Jan-14

55

0

0

0

0

25-Jan-15

48

0

0

0

0

25-Jan-16

40

0

0

0

0

25-Jan-17

31

0

0

0

0

25-Jan-18

22

0

0

0

0

25-Jan-19

12

0

0

0

0

25-Jan-20

2

0

0

0

0

25-Jan-21

0

0

0

0

0

      

WAL

9.02

2.86

2.88

2.28

1.67

Principal Window

    
      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      



TRACK3 - Dec - 3A3

   
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

106

104

63

21

0

25-Jan-07

113

108

36

0

0

25-Jan-08

120

110

20

0

0

25-Jan-09

127

112

16

0

0

25-Jan-10

135

112

17

0

0

25-Jan-11

143

108

18

0

0

25-Jan-12

152

101

19

0

0

25-Jan-13

161

86

16

0

0

25-Jan-14

171

72

10

0

0

25-Jan-15

182

60

7

0

0

25-Jan-16

193

49

5

0

0

25-Jan-17

205

40

3

0

0

25-Jan-18

218

33

2

0

0

25-Jan-19

231

27

1

0

0

25-Jan-20

245

22

1

0

0

25-Jan-21

238

18

1

0

0

25-Jan-22

224

14

*

0

0

25-Jan-23

209

11

*

0

0

25-Jan-24

194

9

*

0

0

25-Jan-25

177

7

*

0

0

25-Jan-26

160

5

*

0

0

25-Jan-27

141

4

*

0

0

25-Jan-28

121

3

*

0

0

25-Jan-29

99

2

*

0

0

25-Jan-30

76

1

*

0

0

25-Jan-31

52

1

*

0

0

25-Jan-32

25

*

*

0

0

25-Jan-33

16

*

*

0

0

25-Jan-34

7

*

*

0

0

25-Jan-35

0

0

0

0

0

      

WAL

22.54

11.53

2.95

0.64

0.37

Principal Window

Apr20-Oct34

Aug09-Oct34

Feb05~Oct34

Feb05-Jun06

Feb05-Nov05

      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      



TRACK3 - Dec - 3SUB

   
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

99

99

99

99

99

25-Jan-07

98

98

98

98

98

25-Jan-08

97

97

97

97

97

25-Jan-09

96

96

96

96

97

25-Jan-10

94

94

95

95

52

25-Jan-11

93

89

84

79

21

25-Jan-12

91

82

72

61

8

25-Jan-13

90

73

57

33

3

25-Jan-14

88

63

42

18

1

25-Jan-15

86

52

29

10

1

25-Jan-16

83

43

20

5

*

25-Jan-17

81

35

13

3

*

25-Jan-18

78

29

9

1

*

25-Jan-19

74

24

6

1

*

25-Jan-20

71

19

4

*

*

25-Jan-21

67

16

3

*

*

25-Jan-22

64

12

2

*

*

25-Jan-23

59

10

1

*

*

25-Jan-24

55

8

1

*

*

25-Jan-25

50

6

*

*

*

25-Jan-26

45

5

*

*

*

25-Jan-27

40

3

*

*

*

25-Jan-28

34

3

*

*

*

25-Jan-29

28

2

*

*

*

25-Jan-30

22

1

*

*

*

25-Jan-31

15

1

*

*

0

25-Jan-32

7

*

*

*

0

25-Jan-33

5

*

*

*

0

25-Jan-34

2

*

*

*

0

25-Jan-35

0

0

0

0

0

      

WAL

18.65

11.12

8.79

7.46

5.32

Principal Window

Feb05-Oct34

Feb05-Oct34

Feb05-Oct34

Feb05-Oct34

Feb05-Aug30

      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      



Date

Balance

20050125

1.43E+08

20050225

1.41E+08

20050325

1.38E+08

20050425

1.36E+08

20050525

1.34E+08

20050625

1.31E+08

20050725

1.29E+08

20050825

1.27E+08

20050925

1.24E+08

20051025

1.22E+08

20051125

1.2E+08

20051225

1.17E+08

20060125

1.15E+08

20060225

1.13E+08

20060325

1.1E+08

20060425

1.08E+08

20060525

1.06E+08

20060625

1.03E+08

20060725

1.01E+08

20060825

98723262

20060925

96382435

20061025

94042685

20061125

91704552

20061225

89368613

20070125

87035478

20070225

84705789

20070325

82388616

20070425

80098449

20070525

77843793

20070625

75624106

20070725

73438857

20070825

71287521

20070925

69169581

20071025

67084528

20071125

65031861

20071225

63011087

20080125

61021720

20080225

59063281

20080325

57135299

20080425

55237309

20080525

53368854

20080625

51529485

20080725

49718756

20080825

47936232

20080925

46181482

20081025

44454083

20081125

42753617

20081225

41079674

20090125

39431849

20090225

37809743

20090325

36212963

20090425

34641124

20090525

33093844

20090625

31578176

20090725

30103112

20090825

28667578

20090925

27270529

20091025

25910947

20091125

24587839

20091225

23300241

20100125

22047212

20100225

20873184

20100325

19731468

20100425

18621199

20100525

17541536

20100625

16491659

20100725

15470770

20100825

14478094

20100925

13512875

20101025

12574375

20101125

11661879

20101225

10774690

20110125

9912128

20110225

9087109

20110325

8285135

20110425

7505582

20110525

6747845

20110625

6011335

20110725

5295476

20110825

4599710

20110925

3923492

20111025

3266294

20111125

2627600

20111225

2006908

20120125

1403730

20120225

841200.8

20120325

294575.9

20120425

0

  



TRACK3 - Dec - COLLAT

  
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

99

88

76

65

53

25-Jan-07

98

75

55

38

25

25-Jan-08

97

63

38

21

10

25-Jan-09

96

53

26

11

4

25-Jan-10

94

44

18

6

2

25-Jan-11

93

37

13

3

1

25-Jan-12

91

31

9

2

*

25-Jan-13

90

26

6

1

*

25-Jan-14

88

22

4

1

*

25-Jan-15

86

18

3

*

*

25-Jan-16

83

15

2

*

*

25-Jan-17

81

12

1

*

*

25-Jan-18

78

10

1

*

*

25-Jan-19

74

8

1

*

*

25-Jan-20

71

7

*

*

*

25-Jan-21

67

5

*

*

*

25-Jan-22

64

4

*

*

*

25-Jan-23

59

3

*

*

*

25-Jan-24

55

3

*

*

*

25-Jan-25

50

2

*

*

*

25-Jan-26

45

2

*

*

*

25-Jan-27

40

1

*

*

*

25-Jan-28

34

1

*

*

*

25-Jan-29

28

1

*

*

*

25-Jan-30

22

*

*

*

*

25-Jan-31

15

*

*

*

0

25-Jan-32

7

*

*

*

0

25-Jan-33

5

*

*

*

0

25-Jan-34

2

*

*

*

0

25-Jan-35

0

0

0

0

0

      

WAL

18.65

5.83

3.05

1.98

1.42

Principal Window

Feb05-Oct34

Feb05-Oct34

Feb05-Oct34

Feb05-Oct34

Feb05-May32

      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      







--------------------------------------------------

$          VERSION: 3.01 (BLOOMBERG CMO BOND FILE)

--------------------------------------------------

$          DEAL: gstrack3up

$       PRICING: 500 PSA

$    SETTLEMENT: 20050131

------------------------------------------

------------------------------------------

$                 BLOCK: 1

$            GROUP_LINK: 1

!{         TRANCHE NAME: 3A1 }

$       ORIGINAL_AMOUNT: 143000000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 4.25

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

$                 BLOCK: 2

$            GROUP_LINK: 1

!{         TRANCHE NAME: 3A3 }

$       ORIGINAL_AMOUNT: 56717000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 6

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

$                 BLOCK: 3

$            GROUP_LINK: 1

!{         TRANCHE NAME: 3SUB }

$       ORIGINAL_AMOUNT: 6177092.56

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 6

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

--------------------------------------------------

$               PHANTOM: 4

!{         TRANCHE NAME: 3A2 }

$       ORIGINAL_AMOUNT: 41708333.33

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 6

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

--------------------------------------------------

$               TRANCHE: 1

$                  NAME: "3A1"

$                 CSORT: 1

$                  TYPE: AD,PAC

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 1 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

$               TRANCHE: 2

$                  NAME: "3A2"

$                 CSORT: 2

$                  TYPE: AD,IO,NTL,PAC

$          RECORD_DELAY: 24

$              NOTIONAL:

$    COMPOSITION: BLOCK: 4 PRIN: 100.000000000 INT: 100.000000000

!  ( notional tranche name is 3A2 )

--------------------------------------------------

$               TRANCHE: 3

$                  NAME: "3A3"

$                 CSORT: 3

$                  TYPE: Z

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 2 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

$               TRANCHE: 4

$                  NAME: "3SUB"

$                 CSORT: 4

$                  TYPE: SUB

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 3 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

--------------------------------------------------

$     END_TRANCHES:

--------------------------------------------------

--------------------------------------------------

$      SCHEDULE: 1

$          PAYS: { TRANCHE(3A1,3A2) }


       20050125 143000000.00

       20050225 140682564.22

       20050325 138364669.69

       20050425 136045928.21

       20050525 133726006.48

       20050625 131404626.04

       20050725 129081563.10

       20050825 126756648.26

       20050925 124429766.12

       20051025 122100854.80

       20051125 119769905.36

       20051225 117436961.04

       20060125 115102116.48

       20060225 112765516.78

       20060325 110427356.48

       20060425 108087878.39

       20060525 105747372.39

       20060625 103406174.03

       20060725 101064663.17

       20060825 98723262.37

       20060925 96382435.30

       20061025 94042685.02

       20061125 91704552.18

       20061225 89368613.13

       20070125 87035477.97

       20070225 84705788.55

       20070325 82388616.17

       20070425 80098449.24

       20070525 77843792.94

       20070625 75624106.49

       20070725 73438857.32

       20070825 71287520.89

       20070925 69169580.61

       20071025 67084527.70

       20071125 65031861.09

       20071225 63011087.27

       20080125 61021720.23

       20080225 59063281.30

       20080325 57135299.05

       20080425 55237309.20

       20080525 53368854.49

       20080625 51529484.59

       20080725 49718755.99

       20080825 47936231.89

       20080925 46181482.12

       20081025 44454083.01

       20081125 42753617.32

       20081225 41079674.13

       20090125 39431848.73

       20090225 37809742.58

       20090325 36212963.14

       20090425 34641123.84

       20090525 33093843.96

       20090625 31578175.50

       20090725 30103111.63

       20090825 28667578.18

       20090925 27270529.29

       20091025 25910946.67

       20091125 24587838.86

       20091225 23300240.54

       20100125 22047211.84

       20100225 20873184.19

       20100325 19731468.06

       20100425 18621199.09

       20100525 17541535.73

       20100625 16491658.71

       20100725 15470770.42

       20100825 14478094.35

       20100925 13512874.53

       20101025 12574375.01

       20101125 11661879.30

       20101225 10774689.88

       20110125 9912127.70

       20110225 9087108.95

       20110325 8285134.56

       20110425 7505582.01

       20110525 6747845.30

       20110625 6011334.56

       20110725 5295475.60

       20110825 4599709.52

       20110925 3923492.27

       20111025 3266294.29

       20111125 2627600.12

       20111225 2006908.03

       20120125 1403729.65

       20120225 841200.80

       20120325 294575.91

       20120425 0.00

      END SCHEDULE: 1

--------------------------------------------------

     END OF BOND FILE


$         VERSION: 3.03 (BLOOMBERG CMO COLLATERAL FILE)

---------------------------------------------------

$    AGENCY_LIST:     Type   Factor Date    P/Y Delay     BV Delay

                    WHOLE 20050101 55 54

---------------------------------------------------

$     ASSUMED_POOLS:

--------------------------------------------------------------------------------

!G Pool Number  Pool Type    NET-CPN CURR--FACT ORIG--BALANCE  PY-FEE  BV-FEE PY/BV/BLN-W AGE

--------------------------------------------------------------------------------

1   M 1 WHOLE XX/XX 6.000000000 1.00000000 20084002.85 0.073872683 0.073872683 240 240 357 3

1   M 2 WHOLE XX/XX 6.000000000 1.00000000 32567486.05 0.373692196 0.373692196 240 240 356 4

1   M 3 WHOLE XX/XX 6.000000000 1.00000000 19837651.06 0.129508137 0.129508137 354 354 354 5

1   M 4 WHOLE XX/XX 6.000000000 1.00000000 133404952.60 0.698743469 0.698743469 324 324 324 31


--------------------------------------------------

$          VERSION: 3.01 (BLOOMBERG CMO BOND FILE)

--------------------------------------------------

$          DEAL: GSR05-2F-1

$       PRICING: 500 PSA

$    SETTLEMENT: 20050128

------------------------------------------

------------------------------------------

$                 BLOCK: 1

!{         TRANCHE NAME: 1P1 }

$       ORIGINAL_AMOUNT: 49000000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 4

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

$                 BLOCK: 2

!{         TRANCHE NAME: 1P2 }

$       ORIGINAL_AMOUNT: 50000000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 4.25

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

$                 BLOCK: 3

!{         TRANCHE NAME: 1P3 }

$       ORIGINAL_AMOUNT: 49000000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 4.5

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

$                 BLOCK: 4

!{         TRANCHE NAME: 1Z }

$       ORIGINAL_AMOUNT: 55280000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 6

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

$                 BLOCK: 5

!{         TRANCHE NAME: 1SUB }

$       ORIGINAL_AMOUNT: 5219541.85

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 6

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

--------------------------------------------------

$               PHANTOM: 6

!{         TRANCHE NAME: 1PK }

$       ORIGINAL_AMOUNT: 43166666.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 6

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

--------------------------------------------------

$               TRANCHE: 1

$                  NAME: "1P1"

$                 CSORT: 1

$                  TYPE: AD,PAC

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 1 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

$               TRANCHE: 2

$                  NAME: "1P2"

$                 CSORT: 2

$                  TYPE: AD,PAC

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 2 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

$               TRANCHE: 3

$                  NAME: "1P3"

$                 CSORT: 3

$                  TYPE: AD,PAC

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 3 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

$               TRANCHE: 4

$                  NAME: "1PK"

$                 CSORT: 4

$                  TYPE: AD,IO,NTL,PAC

$          RECORD_DELAY: 24

$              NOTIONAL:

$    COMPOSITION: BLOCK: 6 PRIN: 100.000000000 INT: 100.000000000

!  ( notional tranche name is 1PK )

--------------------------------------------------

$               TRANCHE: 5

$                  NAME: "1Z"

$                 CSORT: 5

$                  TYPE: Z

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 4 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

$               TRANCHE: 6

$                  NAME: "1SUB"

$                 CSORT: 6

$                  TYPE: SUB

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 5 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

--------------------------------------------------

$     END_TRANCHES:

--------------------------------------------------

--------------------------------------------------

$      SCHEDULE: 1

$          PAYS: { TRANCHE(1P1,1P2,1P3,1PK) }


       20050125 148000000.00

       20050225 145857208.73

       20050325 143633975.41

       20050425 141332823.94

       20050525 138956380.93

       20050625 136507370.79

       20050725 133988610.53

       20050825 131473202.92

       20050925 128961105.18

       20051025 126452324.29

       20051125 123946916.05

       20051225 121444984.14

       20060125 118946678.99

       20060225 116452196.62

       20060325 113961777.33

       20060425 111475704.37

       20060525 108994302.41

       20060625 106517936.06

       20060725 104047008.14

       20060825 101581958.07

       20060925 99123259.99

       20061025 96671420.93

       20061125 94226978.87

       20061225 91790500.78

       20070125 89362580.52

       20070225 86951381.52

       20070325 84557217.78

       20070425 82180421.08

       20070525 79840532.09

       20070625 77537005.67

       20070725 75270119.57

       20070825 73039307.89

       20070925 70844013.39

       20071025 68683687.32

       20071125 66557789.33

       20071225 64465787.30

       20080125 62407157.25

       20080225 60381383.21

       20080325 58387957.09

       20080425 56426378.56

       20080525 54496154.93

       20080625 52596801.08

       20080725 50727839.25

       20080825 48888799.03

       20080925 47079217.18

       20081025 45298637.57

       20081125 43546611.02

       20081225 41822695.24

       20090125 40126454.70

       20090225 38457460.55

       20090325 36815290.48

       20090425 35202535.62

       20090525 33634061.97

       20090625 32108678.58

       20090725 30625226.32

       20090825 29182576.96

       20090925 27779632.44

       20091025 26415324.00

       20091125 25088611.46

       20091225 23798482.39

       20100125 22543951.47

       20100225 21360674.66

       20100325 20210667.79

       20100425 19093025.19

       20100525 18006865.48

       20100625 16951330.88

       20100725 15925586.65

       20100825 14928820.39

       20100925 13960241.53

       20101025 13019080.70

       20101125 12104589.20

       20101225 11216038.39

       20110125 10352719.25

       20110225 9524771.37

       20110325 8720448.65

       20110425 7939101.29

       20110525 7180097.03

       20110625 6442820.65

       20110725 5726673.53

       20110825 5031073.20

       20110925 4355452.93

       20111025 3699261.29

       20111125 3061961.75

       20111225 2443032.27

       20120125 1841964.94

       20120225 1276844.20

       20120325 728038.12

       20120425 195091.20

       20120525 0.00

      END SCHEDULE: 1

--------------------------------------------------

     END OF BOND FILE

***************************************************

$         VERSION: 3.03 (BLOOMBERG CMO COLLATERAL FILE)

---------------------------------------------------

$    AGENCY_LIST:     Type   Factor Date    P/Y Delay     BV Delay

                    WHOLE 20050101 55 54

---------------------------------------------------

$     ASSUMED_POOLS:

--------------------------------------------------------------------------------

!G Pool Number  Pool Type    NET-CPN CURR--FACT ORIG--BALANCE  PY-FEE  BV-FEE PY/BV/BLN-W AGE

--------------------------------------------------------------------------------

   M 1 WHOLE XX/XX 6.000000000 1.00000000 2021000.00 0.031519050 0.031519050 240 240 240 1

   M 2 WHOLE XX/XX 6.000000000 1.00000000 47147720.81 0.487547006 0.487547006 240 240 240 3

   M 3 WHOLE XX/XX 6.000000000 1.00000000 17757948.81 0.011849948 0.011849948 354 354 354 6

   M 4 WHOLE XX/XX 6.000000000 1.00000000 141572872.23 0.609095722 0.609095722 331 331 331 24








GSR05-2F-1 - Summary

      
         

Balance

WAC

WAM

Age

WAL

Dur

   

$208,499,541.85

6.525

311

17

2.99

    
         
     

Assumptions

   

Settlement

 

28-Jan-2005

Prepay

 

500 PSA

   

1st Pay Date

 

25-Feb-2005

      
         
         
         

Tranche

Rating

Balance

Coupon

Principal

Avg

Dated

Notes

 

Name

   

Window

Life

Date

  

1P1

 

49,000,000.00

4

02/05 - 09/12

2.87

01-Jan-05

FIX

 

1P2

 

50,000,000.00

4.25

02/05 - 09/12

2.87

01-Jan-05

FIX

 

1P3

 

49,000,000.00

4.5

02/05 - 09/12

2.87

01-Jan-05

FIX

 

1PK

 

43,166,666.00

6

02/05 - 09/12

2.87

01-Jan-05

IO

 

1Z

 

55,280,000.00

6

02/05 - 07/34

2.88

01-Jan-05

FIX

 

1SUB

 

5,219,541.85

6

02/05 - 07/34

8.37

01-Jan-05

FIX

 
         

Payrules:

        
         

Pay 1Z accruals to 1P1, 1P2, 1P3 pro rata to schedule, then to 1Z

    
         

Pay 1P1, 1P2, 1P3 pro rata to schedule.

      

Pay 1Z to zero.

        

Pay 1P1, 1P2, 1P3 pro rata to zero.

      
         
         

Collateral replines:

        
 

WAC

Servicing Fee

NWAC

Balance

Orig Balance

WAM

Orig WAM

Age

Disc IO

6.032

0.03151905

6

2021000

2021000

240

240

1

Prem IO

6.488

0.487547006

6

47147720.81

47147720.81

240

240

3

Disc

6.012

0.011849948

6

17757948.81

17757948.81

354

360

6

Prem

6.609

0.609095722

6

141572872.2

141572872.2

331

360

24

         



GSR05-2F-1 - Dec - 1P1

   
      
      

Date

1

2

3

4

200 Pricing

28-Jan-05

100

100

100

100

100

25-Jan-06

95

80

80

80

72

25-Jan-07

91

60

60

50

31

25-Jan-08

86

42

42

25

10

25-Jan-09

80

27

27

12

2

25-Jan-10

74

15

15

5

0

25-Jan-11

68

7

8

2

0

25-Jan-12

62

1

2

*

0

25-Jan-13

55

0

0

0

0

25-Jan-14

47

0

0

0

0

25-Jan-15

39

0

0

0

0

25-Jan-16

31

0

0

0

0

25-Jan-17

22

0

0

0

0

25-Jan-18

13

0

0

0

0

25-Jan-19

2

0

0

0

0

25-Jan-20

0

0

0

0

0

      

WAL

8.19

2.85

2.87

2.28

1.68

Principal Window

Feb05-Apr19

Feb05-May12

Feb05-Sep12

Feb05-Oct12

Feb05-Aug09

      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      

Disclaimer:

     
      
      



GSR05-2F-1 - Dec - 1P2

   
      
      

Date

1

2

3

4

200 Pricing

28-Jan-05

100

100

100

100

100

25-Jan-06

95

80

80

80

72

25-Jan-07

91

60

60

50

31

25-Jan-08

86

42

42

25

10

25-Jan-09

80

27

27

12

2

25-Jan-10

74

15

15

5

0

25-Jan-11

68

7

8

2

0

25-Jan-12

62

1

2

*

0

25-Jan-13

55

0

0

0

0

25-Jan-14

47

0

0

0

0

25-Jan-15

39

0

0

0

0

25-Jan-16

31

0

0

0

0

25-Jan-17

22

0

0

0

0

25-Jan-18

13

0

0

0

0

25-Jan-19

2

0

0

0

0

25-Jan-20

0

0

0

0

0

      

WAL

8.19

2.85

2.87

2.28

1.68

Principal Window

Feb05-Apr19

Feb05-May12

Feb05-Sep12

Feb05-Oct12

Feb05-Aug09

      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      

Disclaimer:

     
      



GSR05-2F-1 - Dec - 1P3

   
      
      

Date

1

2

3

4

200 Pricing

28-Jan-05

100

100

100

100

100

25-Jan-06

95

80

80

80

72

25-Jan-07

91

60

60

50

31

25-Jan-08

86

42

42

25

10

25-Jan-09

80

27

27

12

2

25-Jan-10

74

15

15

5

0

25-Jan-11

68

7

8

2

0

25-Jan-12

62

1

2

*

0

25-Jan-13

55

0

0

0

0

25-Jan-14

47

0

0

0

0

25-Jan-15

39

0

0

0

0

25-Jan-16

31

0

0

0

0

25-Jan-17

22

0

0

0

0

25-Jan-18

13

0

0

0

0

25-Jan-19

2

0

0

0

0

25-Jan-20

0

0

0

0

0

      

WAL

8.19

2.85

2.87

2.28

1.68

Principal Window

Feb05-Apr19

Feb05-May12

Feb05-Sep12

Feb05-Oct12

Feb05-Aug09

      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      

Disclaimer:

     
      



GSR05-2F-1 - Dec - 1PK

  
      
      

Date

1

2

3

4

200 Pricing

28-Jan-05

100

100

100

100

100

25-Jan-06

95

80

80

80

72

25-Jan-07

91

60

60

50

31

25-Jan-08

86

42

42

25

10

25-Jan-09

80

27

27

12

2

25-Jan-10

74

15

15

5

0

25-Jan-11

68

7

8

2

0

25-Jan-12

62

1

2

*

0

25-Jan-13

55

0

0

0

0

25-Jan-14

47

0

0

0

0

25-Jan-15

39

0

0

0

0

25-Jan-16

31

0

0

0

0

25-Jan-17

22

0

0

0

0

25-Jan-18

13

0

0

0

0

25-Jan-19

2

0

0

0

0

25-Jan-20

0

0

0

0

0

      

WAL

8.19

2.85

2.87

2.28

1.68

Principal Window

    
      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      

Disclaimer:

     
      



GSR05-2F-1 - Dec - 1Z

   
      
      

Date

1

2

3

4

200 Pricing

28-Jan-05

100

100

100

100

100

25-Jan-06

106

104

62

19

0

25-Jan-07

113

108

34

0

0

25-Jan-08

120

111

19

0

0

25-Jan-09

127

112

15

0

0

25-Jan-10

135

111

16

0

0

25-Jan-11

143

106

17

0

0

25-Jan-12

152

100

18

0

0

25-Jan-13

161

84

16

0

0

25-Jan-14

171

69

10

0

0

25-Jan-15

182

57

7

0

0

25-Jan-16

193

46

5

0

0

25-Jan-17

205

38

3

0

0

25-Jan-18

218

30

2

0

0

25-Jan-19

231

24

1

0

0

25-Jan-20

223

19

1

0

0

25-Jan-21

207

15

1

0

0

25-Jan-22

191

12

*

0

0

25-Jan-23

173

9

*

0

0

25-Jan-24

154

7

*

0

0

25-Jan-25

134

5

*

0

0

25-Jan-26

120

4

*

0

0

25-Jan-27

105

3

*

0

0

25-Jan-28

90

2

*

0

0

25-Jan-29

73

1

*

0

0

25-Jan-30

56

1

*

0

0

25-Jan-31

37

1

*

0

0

25-Jan-32

16

*

*

0

0

25-Jan-33

3

*

*

0

0

25-Jan-34

1

*

*

0

0

25-Jan-35

0

0

0

0

0

      

WAL

21.3

11.17

2.88

0.64

0.39

Principal Window

May19-Jul34

Jun09-Jul34

Feb05~Jul34

Feb05-May06

Feb05-Oct05

      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      

Disclaimer:

     
      
      





GSR05-2F-1 - Dec - 1SUB

  
      
      

Date

1

2

3

4

200 Pricing

28-Jan-05

100

100

100

100

100

25-Jan-06

98

98

98

98

98

25-Jan-07

97

97

97

97

96

25-Jan-08

95

95

95

95

94

25-Jan-09

93

93

93

92

92

25-Jan-10

91

91

90

90

59

25-Jan-11

89

84

79

74

23

25-Jan-12

86

77

67

56

9

25-Jan-13

84

68

52

36

3

25-Jan-14

81

57

38

19

1

25-Jan-15

78

47

26

10

1

25-Jan-16

75

38

17

5

*

25-Jan-17

72

31

11

3

*

25-Jan-18

68

25

8

1

*

25-Jan-19

65

20

5

1

*

25-Jan-20

61

16

3

*

*

25-Jan-21

56

13

2

*

*

25-Jan-22

52

10

1

*

*

25-Jan-23

47

8

1

*

*

25-Jan-24

42

6

1

*

*

25-Jan-25

36

4

*

*

*

25-Jan-26

33

3

*

*

*

25-Jan-27

29

2

*

*

*

25-Jan-28

24

2

*

*

*

25-Jan-29

20

1

*

*

*

25-Jan-30

15

1

*

*

0

25-Jan-31

10

*

*

*

0

25-Jan-32

4

*

*

*

0

25-Jan-33

1

*

*

*

0

25-Jan-34

*

*

*

*

0

25-Jan-35

0

0

0

0

0

      

WAL

16.55

10.39

8.37

7.29

5.34

Principal Window

Feb05-Jul34

Feb05-Jul34

Feb05-Jul34

Feb05-Jul34

Feb05-Jan30

      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      

Disclaimer:

     
      
      



Date

Balance

20050125

1.48E+08

20050225

1.46E+08

20050325

1.44E+08

20050425

1.41E+08

20050525

1.39E+08

20050625

1.37E+08

20050725

1.34E+08

20050825

1.31E+08

20050925

1.29E+08

20051025

1.26E+08

20051125

1.24E+08

20051225

1.21E+08

20060125

1.19E+08

20060225

1.16E+08

20060325

1.14E+08

20060425

1.11E+08

20060525

1.09E+08

20060625

1.07E+08

20060725

1.04E+08

20060825

1.02E+08

20060925

99123260

20061025

96671421

20061125

94226979

20061225

91790501

20070125

89362581

20070225

86951382

20070325

84557218

20070425

82180421

20070525

79840532

20070625

77537006

20070725

75270120

20070825

73039308

20070925

70844013

20071025

68683687

20071125

66557789

20071225

64465787

20080125

62407157

20080225

60381383

20080325

58387957

20080425

56426379

20080525

54496155

20080625

52596801

20080725

50727839

20080825

48888799

20080925

47079217

20081025

45298638

20081125

43546611

20081225

41822695

20090125

40126455

20090225

38457461

20090325

36815290

20090425

35202536

20090525

33634062

20090625

32108679

20090725

30625226

20090825

29182577

20090925

27779632

20091025

26415324

20091125

25088611

20091225

23798482

20100125

22543951

20100225

21360675

20100325

20210668

20100425

19093025

20100525

18006865

20100625

16951331

20100725

15925587

20100825

14928820

20100925

13960242

20101025

13019081

20101125

12104589

20101225

11216038

20110125

10352719

20110225

9524771

20110325

8720449

20110425

7939101

20110525

7180097

20110625

6442821

20110725

5726674

20110825

5031073

20110925

4355453

20111025

3699261

20111125

3061962

20111225

2443032

20120125

1841965

20120225

1276844

20120325

728038.1

20120425

195091.2

20120525

0

  



GSR05-2F-1 - Dec - COLLAT

  
      
      

Date

1

2

3

4

200 Pricing

28-Jan-05

100

100

100

100

100

25-Jan-06

98

87

76

65

53

25-Jan-07

97

74

54

38

25

25-Jan-08

95

62

37

20

10

25-Jan-09

93

51

26

11

4

25-Jan-10

91

43

17

6

1

25-Jan-11

89

35

12

3

1

25-Jan-12

86

29

8

2

*

25-Jan-13

84

24

5

1

*

25-Jan-14

81

20

4

*

*

25-Jan-15

78

16

3

*

*

25-Jan-16

75

13

2

*

*

25-Jan-17

72

11

1

*

*

25-Jan-18

68

9

1

*

*

25-Jan-19

65

7

*

*

*

25-Jan-20

61

6

*

*

*

25-Jan-21

56

4

*

*

*

25-Jan-22

52

3

*

*

*

25-Jan-23

47

3

*

*

*

25-Jan-24

42

2

*

*

*

25-Jan-25

36

1

*

*

*

25-Jan-26

33

1

*

*

*

25-Jan-27

29

1

*

*

*

25-Jan-28

24

1

*

*

*

25-Jan-29

20

*

*

*

*

25-Jan-30

15

*

*

*

0

25-Jan-31

10

*

*

*

0

25-Jan-32

4

*

*

*

0

25-Jan-33

1

*

*

*

0

25-Jan-34

*

*

*

*

0

25-Jan-35

0

0

0

0

0

      

WAL

16.55

5.56

2.99

1.97

1.43

Principal Window

Feb05-Jul34

Feb05-Jul34

Feb05-Jul34

Feb05-Jul34

Feb05-Sep31

      

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      

Disclaimer:

     
      



GSR05-2F-1 - Stack Price/Yield

  
      

Settle

1/28/2005

    

First Payment

2/25/2005

    
      
 

1

2

3

4

200 Pricing

COLLAT

     

Price

100

100

100

100

100

Yield

6.03380

5.97989

5.91623

5.84596

5.76754

WAL

16.55

5.56

2.99

1.97

1.43

Mod Durn

9.58

4.18

2.51

1.74

1.30

Mod Convexity

1.455

0.338

0.126

0.062

0.035

Principal Window

Feb05 - Jul34

Feb05 - Jul34

Feb05 - Jul34

Feb05 - Jul34

Feb05 - Sep31

1P1

     

Price

100

100

100

100

100

Yield

3.99328

3.93065

3.93126

3.90683

3.86451

WAL

8.19

2.85

2.87

2.28

1.68

Mod Durn

6.63

2.59

2.61

2.10

1.58

Mod Convexity

0.634

0.111

0.113

0.073

0.041

Principal Window

Feb05 - Apr19

Feb05 - May12

Feb05 - Sep12

Feb05 - Oct12

Feb05 - Aug09

1P2

     

Price

100

100

100

100

100

Yield

4.24456

4.17792

4.17855

4.15259

4.10761

WAL

8.19

2.85

2.87

2.28

1.68

Mod Durn

6.55

2.58

2.59

2.09

1.57

Mod Convexity

0.622

0.110

0.112

0.073

0.041

Principal Window

Feb05 - Apr19

Feb05 - May12

Feb05 - Sep12

Feb05 - Oct12

Feb05 - Aug09

1P3

     

Price

100

100

100

100

100

Yield

4.49603

4.42536

4.42603

4.39853

4.35089

WAL

8.19

2.85

2.87

2.28

1.68

Mod Durn

6.46

2.56

2.58

2.08

1.57

Mod Convexity

0.610

0.109

0.111

0.072

0.041

Principal Window

Feb05 - Apr19

Feb05 - May12

Feb05 - Sep12

Feb05 - Oct12

Feb05 - Aug09

1PK

     

Price

10

10

10

10

10

Yield

58.18741

30.08121

30.22471

19.10871

-2.86859

WAL

8.19

2.85

2.87

2.28

1.68

Mod Durn

1.36

1.31

1.32

1.25

1.19

Mod Convexity

0.040

0.035

0.036

0.032

0.028

Principal Window

NA - NA

NA - NA

NA - NA

NA - NA

NA - NA

1Z

     

Price

100

100

100

100

100

Yield

6.05461

6.02819

5.89517

5.41836

5.01217

WAL

21.30

11.17

2.88

0.64

0.39

Mod Durn

19.11

8.44

2.22

0.61

0.38

Mod Convexity

3.879

0.922

0.144

0.008

0.004

Principal Window

May19 - Jul34

Jun09 - Jul34

Feb05 - Jul34

Feb05 - May06

Feb05 - Oct05

1SUB

     

Price

100

100

100

100

100

Yield

6.03380

6.01991

6.01135

6.00475

5.98488

WAL

16.55

10.39

8.37

7.29

5.34

Mod Durn

9.58

7.19

6.23

5.64

4.41

Mod Convexity

1.455

0.760

0.538

0.426

0.249

Principal Window

Feb05 - Jul34

Feb05 - Jul34

Feb05 - Jul34

Feb05 - Jul34

Feb05 - Jan30

Prepay

0 PSA

250 PSA

500 PSA

750 PSA

1000 PSA

      
      

Disclaimer:

     
      








CMO GSR 0521 1P1

Scenario Report (Intex)

Goldman

Sachs

Generated: 01/11/2005 11:15:26 Page 1 of 1

 

CUSIP

  

Monthly

 

As Of

1/05

Pricing

1/10/05

Original

148,000,000.00

Description:

Accretion Directed,Senior,Pac

  

Settle

1/31/05

Balance

148,000,000.00

Coupon:

4.250%

     

Next Proj

2/25/05

Factor

1.00000000

Collateral:

Cpn

6.00

WAC

6.53

WAM

311 WALA 17

Stated Final

0/0/00

Delay

24

Historical CPR’s:

1/05= 12/04=

11/04=

3mo=

6mo= 12mo= SI=

   

Curve: 3m=

6m=

1yr=

2yr= 3yr=

4yr= 5yr=

7yr= 10yr= 30yr=

    
            
   

Input

Output

PSA

PSA

PSA

PSA

PSA

 
  

PREPAY

  

500

100

200

300

400

 
    

Av Life

2.855

4.732

3.124

2.848

2.848

 
   

Price

Window

2/05-6/12

2/05-9/14

2/05-5/12

2/05-5/12

2/05-5/12

 
   

99-00

 

Yield

4.563

4.462

4.541

4.564

4.564

 
   

99-00+

 

Yield

4.557

4.458

4.535

4.558

4.558

 
            
   

99-01

 

Yield

4.551

4.454

4.529

4.552

4.552

 
   

99-01+

 

Yield

4.545

4.450

4.524

4.545

4.545

 
   

99-02

 

Yield

4.539

4.446

4.518

4.539

4.539

 
   

99-02+

 

Yield

4.533

4.442

4.512

4.533

4.533

 
   

99-03

 

Yield

4.527

4.438

4.507

4.527

4.527

 
            
   

99-03+

 

Yield

4.520

4.435

4.501

4.521

4.521

 
   

99-04

 

Yield

4.514

4.431

4.495

4.515

4.515

 
   

99-04+

 

Yield

4.508

4.427

4.490

4.509

4.509

 
   

99-05

 

Yield

4.502

4.423

4.484

4.502

4.502

 
   

99-05+

 

Yield

4.496

4.419

4.479

4.496

4.496

 
            
   

99-06

 

Yield

4.490

4.415

4.473

4.490

4.490

 
            
            
            
            

This material is for your private information, and we are not soliciting any action based upon it. Certain transactions, including those involving futures, options and high yield securities, give rise to substantial risk and are not suitable for all investors. Opinions expressed are our present opinions only. This material is based upon information that we consider reliable, but we do not represent it as accurate or complete. We or persons involved in the preparation or issuance of this material, may from time to time have positions or conduct transactions in the securities mentioned herein. This material has been issued by Goldman Sachs & Co. and has been approved by Goldman Sachs International, a member of The Securities and Futures Authority, in connection with distribution in the United Kingdom, and by Goldman Sachs Canada in connection with distribution in Canada. Additional information on any of the securities, futures or options mentioned in this material may be obtained upon request. For this purpose, persons in Italy should contact Goldman Sachs S.I.M. S.P.A. in Milan, or at its London branch office at 133 Fleet Street.  Goldman Sachs International may have acted upon or used this research prior to, or immediately following its publication.








CMO GSR 0521 1P1

Scenario Report (Intex)

Goldman

Sachs

Generated: 01/11/2005 11:11:05  Page 1 of 1

 

CUSIP

 

Monthly

As Of

1/05 Pricing

1/10/05 Original 148,000,000.00

Description:

Accretion Directed,Senior,Pac

  

Settle

1/31/05 Balance 148,000,000.00

Coupon:

4.250%

    

Next Proj

2/25/05 Factor 1.00000000

Collateral:

Cpn

6.00

WAC 6.53

WAM 311

WALA

17

Stated Final

0/0/00 Delay 24

Historical CPR’s:

1/05=

12/04=

11/04= 3mo= 6mo=

12mo=

SI=

  

Curve: 3m=

6m=

1yr= 2yr= 3yr= 4yr= 5yr= 7yr= 10yr=

30yr=

   
           
  

Input

Output

CPR

CPR

 

CPR

CPR

CPR

CPR

 

PREPAY

 

6

12

 

18

24

30

36

   

Av Life

4.542

2.974

 

2.848

2.848

3.042

2.614

  

Price

Window

2/05-7/14

2/05-5/12

2/05-5/12

2/05-5/12

2/05-11/15

2/05-7/34

  

99-00

Yield

4.468

4.553

 

4.564

4.564

4.550

4.589

  

99-00+

Yield

4.464

4.547

 

4.558

4.558

4.544

4.582

           
  

99-01

Yield

4.460

4.541

 

4.552

4.552

4.538

4.575

  

99-01+

Yield

4.456

4.535

 

4.545

4.545

4.532

4.568

  

99-02

Yield

4.452

4.529

 

4.539

4.539

4.526

4.562

  

99-02+

Yield

4.448

4.523

 

4.533

4.533

4.520

4.555

  

99-03

Yield

4.444

4.517

 

4.527

4.527

4.515

4.548

           
  

99-03+

Yield

4.440

4.512

 

4.521

4.521

4.509

4.542

  

99-04

Yield

4.436

4.506

 

4.515

4.515

4.503

4.535

  

99-04+

Yield

4.432

4.500

 

4.509

4.509

4.497

4.528

  

99-05

Yield

4.428

4.494

 

4.502

4.502

4.491

4.522

  

99-05+

Yield

4.424

4.488

 

4.496

4.496

4.485

4.515

           
  

99-06

Yield

4.420

4.482

 

4.490

4.490

4.480

4.508

           
           
           
           
           

This material is for your private information, and we are not soliciting any action based upon it. Certain transactions, including those involving futures, options and high yield securities, give rise to substantial risk and are not suitable for all investors. Opinions expressed are our present opinions only. This material is based upon information that we consider reliable, but we do not represent it as accurate or complete.  We or persons involved in the preparation or issuance of this material, may from time to time have positions or conduct transactions in the securities mentioned herein. This material has been issued by Goldman Sachs & Co. and has been approved by Goldman Sachs International, a member of The Securities and Futures Authority, in connection with distribution in the United Kingdom, and by Goldman Sachs Canada in connection with distribution in Canada. Additional information on any of the securities, futures or options mentioned in this material may be obtained upon request. For this purpose, persons in Italy should contact Goldman Sachs S.I.M. S.P.A. in Milan, or at its London branch office at 133 Fleet Street.  Goldman Sachs International may have acted upon or used this research prior to, or immediately following its publication.








      

Deal Summary Report

TRACK4

        

 

 

 

 

 

Assumptions

 

Collateral

Settlement

 

31-Jan-05

Prepay

 

600 PSA

 

WAC

WAM

Age

WAL

Dur

1st Pay Date

 

25-Feb-05

Default

 

0 CDR

 

7.075

309

41

2.19

 

 

 

 

Recovery

0

months

     

 

 

 

 

Severity

 

0%

 

 

 

 

 

 

 

 


                

Tranche

Rating

Balance

Coupon

Principal

Avg

Dur

Yield

Spread

Bench

Price

$@1bp

Accrued

NetNet

Dated

Notes

Name

 

 

 

Window

Life

 

 

bp

 

%

 

Int(M)

(MM)

Date

 

PO

 

7,798,150.96

0

02/05 - 10/30

2.19

        

1-Jan-05

  XRS_PO

4A1

 

57,599,000.00

2.75

02/05 - 10/30

1.98

        

25-Jan-05

  FLT

4A2

 

57,599,000.00

5.25

02/05 - 10/30

1.98

        

25-Jan-05

  INV_IO

4SUB

 

2,022,615.62

8

02/05 - 10/30

8.03

        

1-Jan-05

  FIX


Yield Curve                                           

Mat       6MO       2YR      3YR       5YR       10YR      30YR      

Yld    2.66100   3.21900   3.37200   3.71300   4.24500   4.78200   


Swaps

3MO      6MO    1YR    2YR    3YR    5YR    6YR    7YR    8YR    9YR   10YR   11YR   12YR   13YR   14YR   15YR   20YR   25YR

2.4600 2.6525 2.9487 3.2675 3.4968 3.8831 4.0455 4.1883 4.3135 4.4236 4.5217 4.6100 4.6905 4.7627 4.8273 4.8833 5.0586 5.1249


edsf           

0.5YR   1.25YR   

1.182    1.480   


    

Payrules:

   

Pay 4A1 to zero

   
    

Floaters:

   

The following use 2.45 start LIBOR and 0 delay:

4A1: 7.5c + 30

   

4A2: 7.7 - LIBOR, 0.5 floor

 
    

4A2 notional with 100% of 4A1

 
    

PO is discount strip PO, so that the coupon of the remainder is 8%


TRACK4BBG - Stack Price/Yield

Settle

1/31/2005

    

First Payment

2/25/2005

    
      
 

1

2

3

4

5

COLLAT

     

Price

100

100

100

100

100

Yield

7.12472

7.03477

6.91400

6.75406

6.51890

WAL

16.60

4.55

2.19

1.29

0.81

Mod Durn

8.912

3.387

1.849

1.155

0.744

Mod Convexity

1.278

0.237

0.076

0.032

0.014

Principal Window

Feb05 - Oct30

Feb05 - Oct30

Feb05 - Oct30

Feb05 - Oct30

Feb05 - Jul24

Price

100-00

100-00

100-00

100-00

100-00

PO

     

Price

80

80

80

80

80

Yield

1.37606

5.50276

11.70569

20.20783

33.26912

WAL

16.60

4.55

2.19

1.29

0.81

Mod Durn

15.827

3.622

1.668

0.949

0.562

Mod Convexity

3.075

0.270

0.062

0.022

0.008

Principal Window

Feb05 - Oct30

Feb05 - Oct30

Feb05 - Oct30

Feb05 - Jul29

Feb05 - May21

Price

80-00

80-00

80-00

80-00

80-00

4A1

     

Price

100

100

100

100

100

Yield

2.76520

2.76382

2.76169

2.75884

2.75475

WAL

16.60

4.36

1.98

1.15

0.71

Mod Durn

12.736

3.861

1.864

1.102

0.694

Mod Convexity

2.236

0.304

0.073

0.026

0.012

Principal Window

Feb05 - Oct30

Feb05 - Oct30

Feb05 - Oct30

Feb05 - Jun09

Feb05 - Sep07

Price

100-00

100-00

100-00

100-00

100-00

4A2

     

Price

10

10

10

10

10

Yield

56.43675

31.91065

2.12315

-38.19303

-88.34362

WAL

16.60

4.36

1.98

1.15

0.71

Mod Durn

1.530

1.663

1.754

1.713

1.907

Mod Convexity

0.052

0.061

0.066

0.056

0.068

Principal Window

NA - NA

NA - NA

NA - NA

NA - NA

NA - NA

Price

10-00

10-00

10-00

10-00

10-00

4SUB

     

Price

100

100

100

100

100

Yield

8.06788

8.04690

8.03478

8.00193

7.93903

WAL

16.60

9.99

8.03

5.40

3.38

Mod Durn

8.323

6.328

5.558

4.180

2.835

Mod Convexity

1.144

0.602

0.437

0.232

0.106

Principal Window

Feb05 - Oct30

Feb05 - Oct30

Feb05 - Oct30

Feb05 - Oct30

Feb05 - Jun24

Price

100-00

100-00

100-00

100-00

100-00

LIBOR_1MO

2.45

2.45

2.45

2.45

2.45

Prepay

0 PSA

300 PSA

600 PSA

900 PSA

1200 PSA



TRACK4BBG - Dec - PO

   
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

99

81

63

45

28

25-Jan-07

97

65

40

21

8

25-Jan-08

95

53

25

9

2

25-Jan-09

94

42

16

4

1

25-Jan-10

92

34

10

2

*

25-Jan-11

90

27

6

1

*

25-Jan-12

88

22

4

*

*

25-Jan-13

85

17

2

*

*

25-Jan-14

83

14

1

*

*

25-Jan-15

80

11

1

*

*

25-Jan-16

77

9

1

*

*

25-Jan-17

74

7

*

*

*

25-Jan-18

71

5

*

*

*

25-Jan-19

67

4

*

*

*

25-Jan-20

63

3

*

*

*

25-Jan-21

59

2

*

*

0

25-Jan-22

55

2

*

*

0

25-Jan-23

50

1

*

*

0

25-Jan-24

45

1

*

*

0

25-Jan-25

40

1

*

*

0

25-Jan-26

34

1

*

*

0

25-Jan-27

28

*

*

*

0

25-Jan-28

21

*

*

*

0

25-Jan-29

14

*

*

0

0

25-Jan-30

6

*

*

0

0

25-Jan-31

0

0

0

0

0

      

WAL

16.6

4.55

2.19

1.29

0.81

Principal Window

Feb05-Oct30

Feb05-Oct30

Feb05-Oct30

Feb05-Jul29

Feb05-May21

      

LIBOR_1MO

2.45

2.45

2.45

2.45

2.45

Prepay

0 PSA

300 PSA

600 PSA

900 PSA

1200 PSA



TRACK4BBG - Dec - 4A1

    
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

99

80

62

43

25

25-Jan-07

97

64

38

18

4

25-Jan-08

95

51

23

6

0

25-Jan-09

94

41

13

1

0

25-Jan-10

92

32

7

0

0

25-Jan-11

90

25

4

0

0

25-Jan-12

88

20

2

0

0

25-Jan-13

85

16

1

0

0

25-Jan-14

83

12

*

0

0

25-Jan-15

80

10

*

0

0

25-Jan-16

77

8

*

0

0

25-Jan-17

74

6

*

0

0

25-Jan-18

71

5

*

0

0

25-Jan-19

67

4

*

0

0

25-Jan-20

63

3

*

0

0

25-Jan-21

59

2

*

0

0

25-Jan-22

55

2

*

0

0

25-Jan-23

50

1

*

0

0

25-Jan-24

45

1

*

0

0

25-Jan-25

40

1

*

0

0

25-Jan-26

34

*

*

0

0

25-Jan-27

28

*

*

0

0

25-Jan-28

21

*

*

0

0

25-Jan-29

14

*

*

0

0

25-Jan-30

6

*

*

0

0

25-Jan-31

0

0

0

0

0

      

WAL

16.6

4.36

1.98

1.15

0.71

Principal Window

Feb05-Oct30

Feb05-Oct30

Feb05-Oct30

Feb05-Jun09

Feb05-Sep07

      

LIBOR_1MO

2.45

2.45

2.45

2.45

2.45

Prepay

0 PSA

300 PSA

600 PSA

900 PSA

1200 PSA



TRACK4BBG - Dec - 4A2

  
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

99

80

62

43

25

25-Jan-07

97

64

38

18

4

25-Jan-08

95

51

23

6

0

25-Jan-09

94

41

13

1

0

25-Jan-10

92

32

7

0

0

25-Jan-11

90

25

4

0

0

25-Jan-12

88

20

2

0

0

25-Jan-13

85

16

1

0

0

25-Jan-14

83

12

*

0

0

25-Jan-15

80

10

*

0

0

25-Jan-16

77

8

*

0

0

25-Jan-17

74

6

*

0

0

25-Jan-18

71

5

*

0

0

25-Jan-19

67

4

*

0

0

25-Jan-20

63

3

*

0

0

25-Jan-21

59

2

*

0

0

25-Jan-22

55

2

*

0

0

25-Jan-23

50

1

*

0

0

25-Jan-24

45

1

*

0

0

25-Jan-25

40

1

*

0

0

25-Jan-26

34

*

*

0

0

25-Jan-27

28

*

*

0

0

25-Jan-28

21

*

*

0

0

25-Jan-29

14

*

*

0

0

25-Jan-30

6

*

*

0

0

25-Jan-31

0

0

0

0

0

      

WAL

16.6

4.36

1.98

1.15

0.71

Principal Window

    
      

LIBOR_1MO

2.45

2.45

2.45

2.45

2.45

Prepay

0 PSA

300 PSA

600 PSA

900 PSA

1200 PSA

      



TRACK4BBG - Dec - 4SUB

  
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

99

99

99

99

99

25-Jan-07

97

97

97

97

97

25-Jan-08

95

95

95

95

62

25-Jan-09

94

94

94

94

17

25-Jan-10

92

92

92

56

5

25-Jan-11

90

85

79

25

1

25-Jan-12

88

76

64

11

*

25-Jan-13

85

66

48

5

*

25-Jan-14

83

55

33

2

*

25-Jan-15

80

43

20

1

*

25-Jan-16

77

34

12

*

*

25-Jan-17

74

27

8

*

*

25-Jan-18

71

21

5

*

*

25-Jan-19

67

16

3

*

*

25-Jan-20

63

13

2

*

*

25-Jan-21

59

10

1

*

*

25-Jan-22

55

7

1

*

*

25-Jan-23

50

6

*

*

0

25-Jan-24

45

4

*

*

0

25-Jan-25

40

3

*

*

0

25-Jan-26

34

2

*

*

0

25-Jan-27

28

1

*

*

0

25-Jan-28

21

1

*

*

0

25-Jan-29

14

*

*

*

0

25-Jan-30

6

*

*

*

0

25-Jan-31

0

0

0

0

0

      

WAL

16.6

9.99

8.03

5.4

3.38

Principal Window

Feb05-Oct30

Feb05-Oct30

Feb05-Oct30

Feb05-Oct30

Feb05-Jun24

      

LIBOR_1MO

2.45

2.45

2.45

2.45

2.45

Prepay

0 PSA

300 PSA

600 PSA

900 PSA

1200 PSA



TRACK4BBG - Dec - DEAL_PLUGIN

 
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

99

81

63

45

28

25-Jan-07

97

65

40

21

8

25-Jan-08

95

53

25

9

2

25-Jan-09

94

42

16

4

1

25-Jan-10

92

34

10

2

*

25-Jan-11

90

27

6

1

*

25-Jan-12

88

22

4

*

*

25-Jan-13

85

17

2

*

*

25-Jan-14

83

14

1

*

*

25-Jan-15

80

11

1

*

*

25-Jan-16

77

9

1

*

*

25-Jan-17

74

7

*

*

*

25-Jan-18

71

5

*

*

*

25-Jan-19

67

4

*

*

*

25-Jan-20

63

3

*

*

*

25-Jan-21

59

2

*

*

*

25-Jan-22

55

2

*

*

*

25-Jan-23

50

1

*

*

0

25-Jan-24

45

1

*

*

0

25-Jan-25

40

1

*

*

0

25-Jan-26

34

1

*

*

0

25-Jan-27

28

*

*

*

0

25-Jan-28

21

*

*

*

0

25-Jan-29

14

*

*

*

0

25-Jan-30

6

*

*

*

0

25-Jan-31

0

0

0

0

0

      

WAL

16.6

4.55

2.19

1.29

0.81

Principal Window

Feb05-Oct30

Feb05-Oct30

Feb05-Oct30

Feb05-Oct30

Feb05-Jun24

      

LIBOR_1MO

2.45

2.45

2.45

2.45

2.45

Prepay

0 PSA

300 PSA

600 PSA

900 PSA

1200 PSA


******************************

TRACK4BBG - Dec - #NETRATE

      
      

Date

1

2

3

4

5

31-Jan-05

0

0

0

0

0

25-Jan-06

0

0

0

0

0

25-Jan-07

0

0

0

0

0

25-Jan-08

0

0

0

0

0

25-Jan-09

0

0

0

0

0

25-Jan-10

0

0

0

0

0

25-Jan-11

0

0

0

0

0

25-Jan-12

0

0

0

0

0

25-Jan-13

0

0

0

0

0

25-Jan-14

0

0

0

0

0

25-Jan-15

0

0

0

0

0

25-Jan-16

0

0

0

0

0

25-Jan-17

0

0

0

0

0

25-Jan-18

0

0

0

0

0

25-Jan-19

0

0

0

0

0

25-Jan-20

0

0

0

0

0

25-Jan-21

0

0

0

0

0

25-Jan-22

0

0

0

0

0

25-Jan-23

0

0

0

0

0

25-Jan-24

0

0

0

0

0

25-Jan-25

0

0

0

0

0

25-Jan-26

0

0

0

0

0

25-Jan-27

0

0

0

0

0

25-Jan-28

0

0

0

0

0

25-Jan-29

0

0

0

0

0

25-Jan-30

0

0

0

0

0

25-Jan-31

0

0

0

0

0

      

WAL

NA

NA

NA

NA

NA

Principal Window

    
      

LIBOR_1MO

2.45

2.45

2.45

2.45

2.45

Prepay

0 PSA

300 PSA

600 PSA

900 PSA

1200 PSA


TRACK4BBG - Dec - #RESIDCASH

      
      

Date

1

2

3

4

5

31-Jan-05

0

0

0

0

0

25-Jan-06

0

0

0

0

0

25-Jan-07

0

0

0

0

0

25-Jan-08

0

0

0

0

0

25-Jan-09

0

0

0

0

0

25-Jan-10

0

0

0

0

0

25-Jan-11

0

0

0

0

0

25-Jan-12

0

0

0

0

0

25-Jan-13

0

0

0

0

0

25-Jan-14

0

0

0

0

0

25-Jan-15

0

0

0

0

0

25-Jan-16

0

0

0

0

0

25-Jan-17

0

0

0

0

0

25-Jan-18

0

0

0

0

0

25-Jan-19

0

0

0

0

0

25-Jan-20

0

0

0

0

0

25-Jan-21

0

0

0

0

0

25-Jan-22

0

0

0

0

0

25-Jan-23

0

0

0

0

0

25-Jan-24

0

0

0

0

0

25-Jan-25

0

0

0

0

0

25-Jan-26

0

0

0

0

0

25-Jan-27

0

0

0

0

0

25-Jan-28

0

0

0

0

0

25-Jan-29

0

0

0

0

0

25-Jan-30

0

0

0

0

0

25-Jan-31

0

0

0

0

0

      

WAL

NA

NA

NA

NA

NA

Principal Window

    
      

LIBOR_1MO

2.45

2.45

2.45

2.45

2.45

Prepay

0 PSA

300 PSA

600 PSA

900 PSA

1200 PSA


TRACK4BBG - Dec - Class-4A

  
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

99

80

62

43

25

25-Jan-07

97

64

38

18

4

25-Jan-08

95

51

23

6

0

25-Jan-09

94

41

13

1

0

25-Jan-10

92

32

7

0

0

25-Jan-11

90

25

4

0

0

25-Jan-12

88

20

2

0

0

25-Jan-13

85

16

1

0

0

25-Jan-14

83

12

*

0

0

25-Jan-15

80

10

*

0

0

25-Jan-16

77

8

*

0

0

25-Jan-17

74

6

*

0

0

25-Jan-18

71

5

*

0

0

25-Jan-19

67

4

*

0

0

25-Jan-20

63

3

*

0

0

25-Jan-21

59

2

*

0

0

25-Jan-22

55

2

*

0

0

25-Jan-23

50

1

*

0

0

25-Jan-24

45

1

*

0

0

25-Jan-25

40

1

*

0

0

25-Jan-26

34

*

*

0

0

25-Jan-27

28

*

*

0

0

25-Jan-28

21

*

*

0

0

25-Jan-29

14

*

*

0

0

25-Jan-30

6

*

*

0

0

25-Jan-31

0

0

0

0

0

      

WAL

16.6

4.36

1.98

1.15

0.71

Principal Window

Feb05-Oct30

Feb05-Oct30

Feb05-Oct30

Feb05-Jun09

Feb05-Sep07

      

LIBOR_1MO

2.45

2.45

2.45

2.45

2.45

Prepay

0 PSA

300 PSA

600 PSA

900 PSA

1200 PSA


TRACK4BBG - Dec - COLLAT

  
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

99

81

63

45

28

25-Jan-07

97

65

40

21

8

25-Jan-08

95

53

25

9

2

25-Jan-09

94

42

16

4

1

25-Jan-10

92

34

10

2

*

25-Jan-11

90

27

6

1

*

25-Jan-12

88

22

4

*

*

25-Jan-13

85

17

2

*

*

25-Jan-14

83

14

1

*

*

25-Jan-15

80

11

1

*

*

25-Jan-16

77

9

1

*

*

25-Jan-17

74

7

*

*

*

25-Jan-18

71

5

*

*

*

25-Jan-19

67

4

*

*

*

25-Jan-20

63

3

*

*

*

25-Jan-21

59

2

*

*

*

25-Jan-22

55

2

*

*

*

25-Jan-23

50

1

*

*

0

25-Jan-24

45

1

*

*

0

25-Jan-25

40

1

*

*

0

25-Jan-26

34

1

*

*

0

25-Jan-27

28

*

*

*

0

25-Jan-28

21

*

*

*

0

25-Jan-29

14

*

*

*

0

25-Jan-30

6

*

*

*

0

25-Jan-31

0

0

0

0

0

      

WAL

16.6

4.55

2.19

1.29

0.81

Principal Window

Feb05-Oct30

Feb05-Oct30

Feb05-Oct30

Feb05-Oct30

Feb05-Jul24

      

LIBOR_1MO

2.45

2.45

2.45

2.45

2.45

Prepay

0 PSA

300 PSA

600 PSA

900 PSA

1200 PSA


TRACK4BBG - Dec - COLLAT_PREM

      
      

Date

1

2

3

4

5

31-Jan-05

0

0

0

0

0

      

WAL

0

0

0

0

0

Principal Window

    
      

LIBOR_1MO

2.45

2.45

2.45

2.45

2.45

Prepay

0 PSA

300 PSA

600 PSA

900 PSA

1200 PSA


TRACK4BBG - Dec - COLLAT_DISC

 
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

99

81

63

45

28

25-Jan-07

97

65

40

21

8

25-Jan-08

95

53

25

9

2

25-Jan-09

94

42

16

4

1

25-Jan-10

92

34

10

2

*

25-Jan-11

90

27

6

1

*

25-Jan-12

88

22

4

*

*

25-Jan-13

85

17

2

*

*

25-Jan-14

83

14

1

*

*

25-Jan-15

80

11

1

*

*

25-Jan-16

77

9

1

*

*

25-Jan-17

74

7

*

*

*

25-Jan-18

71

5

*

*

*

25-Jan-19

67

4

*

*

*

25-Jan-20

63

3

*

*

*

25-Jan-21

59

2

*

*

*

25-Jan-22

55

2

*

*

*

25-Jan-23

50

1

*

*

0

25-Jan-24

45

1

*

*

0

25-Jan-25

40

1

*

*

0

25-Jan-26

34

1

*

*

0

25-Jan-27

28

*

*

*

0

25-Jan-28

21

*

*

*

0

25-Jan-29

14

*

*

*

0

25-Jan-30

6

*

*

*

0

25-Jan-31

0

0

0

0

0

      

WAL

16.6

4.55

2.19

1.29

0.81

Principal Window

Feb05-Oct30

Feb05-Oct30

Feb05-Oct30

Feb05-Oct30

Feb05-Jul24

      

LIBOR_1MO

2.45

2.45

2.45

2.45

2.45

Prepay

0 PSA

300 PSA

600 PSA

900 PSA

1200 PSA







     VERSION: 3.01 (BLOOMBERG CMO BOND FILE)

--------------------------------------------------

$          DEAL: TRACK4

$       PRICING: 600 PSA

$    SETTLEMENT: 20050131

------------------------------------------

------------------------------------------

$                 BLOCK: 1

!{         TRANCHE NAME: PO }

$       ORIGINAL_AMOUNT: 7798150.96

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 0

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

$                 BLOCK: 2

!{         TRANCHE NAME: 4A1 }

$       ORIGINAL_AMOUNT: 57599000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 2.75 Floater Bond

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 0

$            DATED_DATE: 20050125

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

Additional Floater Information

$        FLOATER_INDEX: LIBOR1MO

$        FLOATER_RESET:    Freq: 12; Next: 20050225

$      FLOATER_FORMULA: 0.00000 1.0 0.3

$ FLOATER_LIMITS:Thres: 20050125 Floor: 0.3 Cap: 7.5

--------------------------------------------------

$                 BLOCK: 3

!{         TRANCHE NAME: 4SUB }

$       ORIGINAL_AMOUNT: 2022615.62

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 8

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

--------------------------------------------------

$               PHANTOM: 4

!{         TRANCHE NAME: 4A2 }

$       ORIGINAL_AMOUNT: 57599000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 5.25 Floater Bond

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 0

$            DATED_DATE: 20050125

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

Additional Floater Information

$        FLOATER_INDEX: LIBOR1MO

$        FLOATER_RESET:    Freq: 12; Next: 20050225

$      FLOATER_FORMULA: 0.00000 -1 7.7

$ FLOATER_LIMITS:Thres: 20050125 Floor: 0.5 Cap: 7.7

--------------------------------------------------

--------------------------------------------------

$               TRANCHE: 1

$                  NAME: "PO"

$                 CSORT: 1

$                  TYPE:

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 1 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

$               TRANCHE: 2

$                  NAME: "4A1"

$                 CSORT: 2

$                  TYPE: FLT

$          RECORD_DELAY: 0

$    COMPOSITION: BLOCK: 2 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

$               TRANCHE: 3

$                  NAME: "4A2"

$                 CSORT: 3

$                  TYPE: FLT,NTL

$          RECORD_DELAY: 0

$              NOTIONAL:

$    COMPOSITION: BLOCK: 4 PRIN: 100.000000000 INT: 100.000000000

!  ( notional tranche name is 4A2 )

--------------------------------------------------

$               TRANCHE: 4

$                  NAME: "4SUB"

$                 CSORT: 4

$                  TYPE: SUB

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 3 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

--------------------------------------------------

$     END_TRANCHES:

--------------------------------------------------

--------------------------------------------------

     END OF BOND FILE

***************************************************

$         VERSION: 3.03 (BLOOMBERG CMO COLLATERAL FILE)

---------------------------------------------------

$    AGENCY_LIST:     Type   Factor Date    P/Y Delay     BV Delay

                    WHOLE 20050101 55 54

---------------------------------------------------

$     ASSUMED_POOLS:

--------------------------------------------------------------------------------

!G Pool Number  Pool Type    NET-CPN CURR--FACT ORIG--BALANCE  PY-FEE  BV-FEE PY/BV/BLN-W AGE

--------------------------------------------------------------------------------

   M 1 WHOLE XX/XX 7.074674819 1.00000000 67419766.58 0.000000000 0.000000000 309 309 309 41



CMO GSR 0514ARB 4A1

Goldman

Sachs


Scenario Report (Intex)

Generated:  01/18/2005 13:53:18 Page 1 of 1


CUSIP        Monthly                                   As Of                          1/05                             Pricing                          1/14/05                    Original      50,000,000.00

Description:                        Floater,Senior                                                                        Settle                            2/3/05                       Balance     50,000,000.00

Coupon:   2.750%  =  0.3 + 01mlib,   cap=7.5,   asof=1/05                                               Next Proj                      2/25/05                     Factor            1.00000000

Collateral:      Cpn  8.00    WAC  7.07    WAM  309    WALA  41                                      Stated Final                  0/0/00                         Delay                            0

Historical  CPR’s:     1/05=     12/04=     11/04=     3mo=     6mo=     12mo=     SI=

Curve:  3m=  6m=  1yr=  2yr=  3yr=  4yr=  5yr=  7yr=  10yr=  30yr=



Input

Output

PSA

PSA

PSA

PSA

PSA

PSA

PREPAY

 

600

100

200

300

400

500

01MLIB

2.480

+0

+0

+0

+0

+0

+0

 

Av Life

2.040

9.745

6.300

4.418

3.289

2.553

Price

Window

2/05-9/34

2/05-9/34

2/05-9/34

2/05-9/34

2/05-9/34

2/05-9/34

100-00

DM

30.0

30.0

30.0

30.0

30.0

30.0








 

 

 

 

 

 

 

Deal Summary Report

 

 

 

 

GSR0514ARB

 

 

 

              

 

 

 

 

 

 

Assumptions

 

 

 

 

 

Collateral

 

 

 

Settlement

 

31-Jan-05

Prepay

 

600 PSA

   

 

Balance

WAC

WAM

Age

WAL

Dur

1st Pay Date

 

25-Feb-05

Default

 

0 CDR

   

 

$60,386,897.98

7.074

309

41

2.228

 

 

 

 

Recovery

0

months

   

 

     

 

 

 

 

Severity

 

0%

 

 

 

 

 

 

 

 

 

 

 

              

 

Tranche

 

Balance

Coupon

Principal

Avg

Dur

Yield

Spread

Bench

Price

$@1bp

Accrued

NetNet

Dated

Notes

Name

 

 

 

Window

Life

 

 

bp

 

%

 

Int(M)

(MM)

Date

 

4A1

 

58,575,000.00

2.75

02/05 - 09/34

2.048

 

0

0

Interp

  

26.85

0

25-Jan-05

  FLT

4A2

 

58,575,000.00

5.25

02/05 - 09/34

2.048

 

0

0

Interp

  

51.25

0

25-Jan-05

  INV_IO

SUBORD

 

1,811,897.98

8

02/05 - 09/34

8.056

 

0

0

Interp

  

12.08

0

1-Jan-05

  FIX


Yield Curve

Mat     6MO       2YR     3YR      5YR        10YR    30YR

Yld   2.63900  3.18300   3.32900  3.67500   4.18700 4.71700


Swaps

3MO      6MO    1YR    2YR    3YR    5YR    6YR    7YR    8YR    9YR   10YR   11YR   12YR   13YR   14YR   15YR   20YR   25YR

2.4600 2.6525 2.9487 3.2675 3.4968 3.8831 4.0455 4.1883 4.3135 4.4236 4.5217 4.6100 4.6905 4.7627 4.8273 4.8833 5.0586 5.1249


edsf

0.5YR    1.25YR

1.182    1.480


GWAC

NWAC

BALANCE

rem amterm

age

rem ioterm

orig io term

6.6219556633

8

     2,640,148.15

240

4

116

120

7.0215359156

8

  55,359,557.94

309

41

-

 

8.7818337516

8

     2,387,191.89

249

78

-

 
       
       
       
       

Floater Formula:

     

Libor + 30bps, 7.5 cap

     
       

Inverse IO Formula:

     

7.7 - Libor, 0.5 Floor

     








----------------------------------------------

$          VERSION: 3.01 (BLOOMBERG CMO BOND FILE)

--------------------------------------------------

$          DEAL: GSR0514ARB

$       PRICING: 600 PSA

$    SETTLEMENT: 20050131

------------------------------------------

------------------------------------------

$                 BLOCK: 1

!{         TRANCHE NAME: 4A1 }

$       ORIGINAL_AMOUNT: 58575000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 2.75 Floater Bond

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 0

$            DATED_DATE: 20050125

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

Additional Floater Information

$        FLOATER_INDEX: LIBOR1MO

$        FLOATER_RESET:    Freq: 12; Next: 20050225

$      FLOATER_FORMULA: 0.00000 1.0 0.3

$ FLOATER_LIMITS:Thres: 20050125 Floor: 0.3 Cap: 7.5

--------------------------------------------------

$                 BLOCK: 2

!{         TRANCHE NAME: SUBORD }

$       ORIGINAL_AMOUNT: 1811897.98

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 8

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

--------------------------------------------------

$               PHANTOM: 3

!{         TRANCHE NAME: 4A2 }

$       ORIGINAL_AMOUNT: 58575000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 5.25 Floater Bond

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 0

$            DATED_DATE: 20050125

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

Additional Floater Information

$        FLOATER_INDEX: LIBOR1MO

$        FLOATER_RESET:    Freq: 12; Next: 20050225

$      FLOATER_FORMULA: 0.00000 -1 7.7

$ FLOATER_LIMITS:Thres: 20050125 Floor: 0.5 Cap: 7.7

--------------------------------------------------

--------------------------------------------------

$               TRANCHE: 1

$                  NAME: "4A1"

$                 CSORT: 1

$                  TYPE: FLT

$          RECORD_DELAY: 0

$    COMPOSITION: BLOCK: 1 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

$               TRANCHE: 2

$                  NAME: "4A2"

$                 CSORT: 2

$                  TYPE: FLT,NTL

$          RECORD_DELAY: 0

$              NOTIONAL:

$    COMPOSITION: BLOCK: 3 PRIN: 100.000000000 INT: 100.000000000

!  ( notional tranche name is 4A2 )

--------------------------------------------------

$               TRANCHE: 3

$                  NAME: "SUBORD"

$                 CSORT: 3

$                  TYPE: SUB

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 2 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

--------------------------------------------------

$     END_TRANCHES:

--------------------------------------------------

--------------------------------------------------

     END OF BOND FILE

***************************************************

$         VERSION: 3.03 (BLOOMBERG CMO COLLATERAL FILE)

---------------------------------------------------

$    AGENCY_LIST:     Type   Factor Date    P/Y Delay     BV Delay

                    WHOLE 20050101 55 54

---------------------------------------------------

$     ASSUMED_POOLS:

--------------------------------------------------------------------------------

!G Pool Number  Pool Type    NET-CPN CURR--FACT ORIG--BALANCE  PY-FEE  BV-FEE PY/BV/BLN-W AGE

--------------------------------------------------------------------------------

   M 1 WHOLE XX/XX 8.000000000 1.00000000 2640148.15 -1.378044337 -1.378044337 240 240 356 4

   M 2 WHOLE XX/XX 8.000000000 1.00000000 55359557.94 -0.978464084 -0.978464084 309 309 309 41

   M 3 WHOLE XX/XX 8.000000000 1.00000000 2387191.89 0.781833752 0.781833752 249 249 249 78







GSR05-2-4 - Summary

         
            
  

Collateral

         

Balance

WAC

WAM

Age

WAL

       

$241,444,952.72

5.967

357

1

5.64

       
            
    

Assumptions

       

Settlement

31-Jan-2005

Prepay

 

300 PSA

       

1st Pay Date

25-Feb-2005

          
            
            
            

Tranche

Balance

Coupon

Principal

Avg

Dated

Notes

     

Name

  

Window

Life

Date

      

4NAS

24,144,000.00

5.5

02/10 - 10/34

10.82

01-Jan-05

FIX

     

4G1

171,649,000.00

5.5

02/05 - 05/12

3.41

01-Jan-05

FIX

     

4G2

39,607,000.00

5.5

05/12 - 10/34

11.44

01-Jan-05

FIX

     

2SUB2

6,044,952.72

5.5

02/05 - 10/34

10.29

01-Jan-05

FIX

     
            

Pay Rules

           

1.  Pay 4NAS its scheduled and prepay principal amounts

        

2.  Pay 4G1 to zero

           

3. Pay 4G2 to zero

           

4.  Pay 4NAS to zero

          
            

The NAS is locked out of all payments for 60 months.

        

Starting in month 61, the NAS receives: Priority Payment Fraction*(Scheduled PrincipalPayments)+(NAS Shift Percentage)*(Unscheduled Principal Payments)

The Priority Payment Fraction is defined as (Balance of 3NAS)/(Balance of (3NAS+3A1+3A2))

     

The NAS Schift Schedule is defined as follows:

         
            

Month <=

NAS Shift %

          

60

0

          

72

30

          

84

40

          

96

60

          

108

80

          

120

100

          
            


GSR05-2-4 - Dec - 4G1

   
      
      

Date

1

2

3

4

200 Pricing

31-Jan-05

100

100

100

100

100

25-Jan-06

98

95

92

89

86

25-Jan-07

96

86

75

65

55

25-Jan-08

95

73

53

36

20

25-Jan-09

92

61

35

14

0

25-Jan-10

90

50

21

0

0

25-Jan-11

88

42

10

0

0

25-Jan-12

86

34

2

0

0

25-Jan-13

84

27

0

0

0

25-Jan-14

81

21

0

0

0

25-Jan-15

79

16

0

0

0

25-Jan-16

76

12

0

0

0

25-Jan-17

73

8

0

0

0

25-Jan-18

70

4

0

0

0

25-Jan-19

66

1

0

0

0

25-Jan-20

63

0

0

0

0

25-Jan-21

59

0

0

0

0

25-Jan-22

55

0

0

0

0

25-Jan-23

51

0

0

0

0

25-Jan-24

46

0

0

0

0

25-Jan-25

42

0

0

0

0

25-Jan-26

37

0

0

0

0

25-Jan-27

31

0

0

0

0

25-Jan-28

26

0

0

0

0

25-Jan-29

20

0

0

0

0

25-Jan-30

13

0

0

0

0

25-Jan-31

6

0

0

0

0

25-Jan-32

0

0

0

0

0

      

WAL

16.76

5.81

3.41

2.57

2.14

Principal Window

Feb05-Dec31

Feb05-Apr19

Feb05-May12

Feb05-Jan10

Feb05-Dec08

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA

      
      

Disclaimer:

     


GSR05-2-4 - Dec - 4G2

   
      
      

Date

1

2

3

4

200 Pricing

31-Jan-05

100

100

100

100

100

25-Jan-06

100

100

100

100

100

25-Jan-07

100

100

100

100

100

25-Jan-08

100

100

100

100

100

25-Jan-09

100

100

100

100

91

25-Jan-10

100

100

100

96

30

25-Jan-11

100

100

100

56

2

25-Jan-12

100

100

100

30

0

25-Jan-13

100

100

83

17

0

25-Jan-14

100

100

65

10

0

25-Jan-15

100

100

52

7

0

25-Jan-16

100

100

41

5

0

25-Jan-17

100

100

33

4

0

25-Jan-18

100

100

26

2

0

25-Jan-19

100

100

21

2

0

25-Jan-20

100

90

16

1

0

25-Jan-21

100

78

13

1

0

25-Jan-22

100

68

10

1

0

25-Jan-23

100

58

8

*

0

25-Jan-24

100

50

6

*

0

25-Jan-25

100

42

5

*

0

25-Jan-26

100

35

3

*

0

25-Jan-27

100

29

3

*

0

25-Jan-28

100

24

2

*

0

25-Jan-29

100

19

1

*

0

25-Jan-30

100

15

1

*

0

25-Jan-31

100

11

1

*

0

25-Jan-32

96

7

*

*

0

25-Jan-33

63

4

*

*

0

25-Jan-34

28

2

*

*

0

25-Jan-35

0

0

0

0

0

      

WAL

28.38

19.86

11.44

6.83

4.75

Principal Window

Dec31-Oct34

Apr19-Oct34

May12-Oct34

Jan10-Oct34

Dec08-Mar11

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA

      
      

Disclaimer:

     


GSR05-2-4 - Dec - 4NAS

   
      
      

Date

1

2

3

4

200 Pricing

31-Jan-05

100

100

100

100

100

25-Jan-06

100

100

100

100

100

25-Jan-07

100

100

100

100

100

25-Jan-08

100

100

100

100

100

25-Jan-09

100

100

100

100

100

25-Jan-10

100

100

100

100

100

25-Jan-11

98

95

92

89

85

25-Jan-12

96

90

83

76

51

25-Jan-13

94

83

72

61

30

25-Jan-14

92

75

60

46

18

25-Jan-15

90

67

48

33

11

25-Jan-16

87

59

38

23

7

25-Jan-17

85

52

30

16

4

25-Jan-18

82

46

24

12

3

25-Jan-19

79

40

19

8

2

25-Jan-20

76

35

15

6

1

25-Jan-21

73

31

12

4

1

25-Jan-22

69

27

9

3

*

25-Jan-23

65

23

7

2

*

25-Jan-24

61

20

5

1

*

25-Jan-25

57

17

4

1

*

25-Jan-26

53

14

3

1

*

25-Jan-27

48

12

2

*

*

25-Jan-28

43

9

2

*

*

25-Jan-29

38

7

1

*

*

25-Jan-30

32

6

1

*

*

25-Jan-31

26

4

1

*

*

25-Jan-32

20

3

*

*

*

25-Jan-33

13

2

*

*

*

25-Jan-34

6

1

*

*

*

25-Jan-35

0

0

0

0

0

      

WAL

20.34

13.69

10.82

9.33

7.64

Principal Window

Feb10-Oct34

Feb10-Oct34

Feb10-Oct34

Feb10-Oct34

Feb10-Oct34

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA

      
      

Disclaimer:

     


GSR05-2-4 - Dec - 2SUB2

  
      
      

Date

1

2

3

4

200 Pricing

31-Jan-05

100

100

100

100

100

25-Jan-06

99

99

99

99

99

25-Jan-07

97

97

97

97

97

25-Jan-08

96

96

96

96

96

25-Jan-09

94

94

94

94

94

25-Jan-10

93

93

93

93

93

25-Jan-11

91

89

86

83

80

25-Jan-12

89

84

78

72

66

25-Jan-13

87

77

68

58

49

25-Jan-14

85

70

56

44

34

25-Jan-15

83

62

45

32

21

25-Jan-16

81

55

36

22

13

25-Jan-17

79

49

29

16

8

25-Jan-18

76

43

23

11

5

25-Jan-19

73

38

18

8

3

25-Jan-20

70

33

14

6

2

25-Jan-21

67

29

11

4

1

25-Jan-22

64

25

9

3

1

25-Jan-23

61

21

7

2

*

25-Jan-24

57

18

5

1

*

25-Jan-25

53

15

4

1

*

25-Jan-26

49

13

3

1

*

25-Jan-27

45

11

2

*

*

25-Jan-28

40

9

2

*

*

25-Jan-29

35

7

1

*

*

25-Jan-30

30

5

1

*

*

25-Jan-31

24

4

1

*

*

25-Jan-32

18

3

*

*

*

25-Jan-33

12

2

*

*

*

25-Jan-34

5

1

*

*

*

25-Jan-35

0

0

0

0

0

      

WAL

19.08

12.92

10.29

8.94

8.14

Principal Window

Feb05-Oct34

Feb05-Oct34

Feb05-Oct34

Feb05-Oct34

Feb05-Oct34

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA

      
      

Disclaimer:

     


GSR05-2-4 - Dec - COLLAT

  
      
      

Date

1

2

3

4

200 Pricing

31-Jan-05

100

100

100

100

100

25-Jan-06

99

97

94

92

90

25-Jan-07

97

90

82

75

68

25-Jan-08

96

81

67

54

43

25-Jan-09

94

72

54

39

27

25-Jan-10

93

65

43

28

17

25-Jan-11

91

58

35

20

11

25-Jan-12

89

51

28

14

7

25-Jan-13

87

46

23

10

4

25-Jan-14

85

41

18

7

3

25-Jan-15

83

36

14

5

2

25-Jan-16

81

32

12

4

1

25-Jan-17

79

28

9

3

1

25-Jan-18

76

25

7

2

*

25-Jan-19

73

22

6

1

*

25-Jan-20

70

19

5

1

*

25-Jan-21

67

17

4

1

*

25-Jan-22

64

14

3

*

*

25-Jan-23

61

12

2

*

*

25-Jan-24

57

11

2

*

*

25-Jan-25

53

9

1

*

*

25-Jan-26

49

8

1

*

*

25-Jan-27

45

6

1

*

*

25-Jan-28

40

5

1

*

*

25-Jan-29

35

4

*

*

*

25-Jan-30

30

3

*

*

*

25-Jan-31

24

2

*

*

*

25-Jan-32

18

2

*

*

*

25-Jan-33

12

1

*

*

*

25-Jan-34

5

*

*

*

*

25-Jan-35

0

0

0

0

0

      

WAL

19.08

9.08

5.64

4.1

3.27

Principal Window

Feb05-Oct34

Feb05-Oct34

Feb05-Oct34

Feb05-Oct34

Feb05-Oct34

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA

      
      

Disclaimer:

     







--------------------------------------------------

$          VERSION: 3.01 (BLOOMBERG CMO BOND FILE)

--------------------------------------------------

$          DEAL: GSR05-2-4

$       PRICING: 300 PSA

$    SETTLEMENT: 20050131

------------------------------------------

------------------------------------------

$                 BLOCK: 1

!{         TRANCHE NAME: 4NAS }

$       ORIGINAL_AMOUNT: 24144000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 5.5

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

$                 BLOCK: 2

!{         TRANCHE NAME: 4G1 }

$       ORIGINAL_AMOUNT: 171649000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 5.5

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

$                 BLOCK: 3

!{         TRANCHE NAME: 4G2 }

$       ORIGINAL_AMOUNT: 39607000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 5.5

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

$                 BLOCK: 4

!{         TRANCHE NAME: 2SUB2 }

$       ORIGINAL_AMOUNT: 6044952.72

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 5.5

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

--------------------------------------------------

--------------------------------------------------

$               TRANCHE: 1

$                  NAME: "4NAS"

$                 CSORT: 1

$                  TYPE: NAS

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 1 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

$               TRANCHE: 2

$                  NAME: "4G1"

$                 CSORT: 2

$                  TYPE:

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 2 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

$               TRANCHE: 3

$                  NAME: "4G2"

$                 CSORT: 3

$                  TYPE:

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 3 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

$               TRANCHE: 4

$                  NAME: "2SUB2"

$                 CSORT: 4

$                  TYPE: SUB

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 4 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

--------------------------------------------------

$     END_TRANCHES:

--------------------------------------------------

--------------------------------------------------

     END OF BOND FILE

***************************************************

$         VERSION: 3.03 (BLOOMBERG CMO COLLATERAL FILE)

---------------------------------------------------

$    AGENCY_LIST:     Type   Factor Date    P/Y Delay     BV Delay

                    WHOLE 20050101 55 54

---------------------------------------------------

$     ASSUMED_POOLS:

--------------------------------------------------------------------------------

!G Pool Number  Pool Type    NET-CPN CURR--FACT ORIG--BALANCE  PY-FEE  BV-FEE PY/BV/BLN-W AGE

--------------------------------------------------------------------------------

   M 1 WHOLE XX/XX 5.500000000 1.00000000 241444952.72 0.467000000 0.467000000 357 357 357 1







       

Deal Summary Report

 

TRACK1

         

 

 

 

 

 

Assumptions

 

 

 

 

 

Collateral

Settlement

 

31-Jan-05

Prepay

 

300 PSA

   

 

Balance

WAC

WAM

Age

WAL

Dur

1st Pay Date

 

25-Feb-05

Default

 

0 CDR

   

 

$222,697,787.96

5.87

355

2

5.59

4.393

 

 

 

Recovery

0

months

   

 

     

 

 

 

 

Severity

 

0%

 

 

 

 

 

 

 

 

 

 

                

Tranche

Rating

Balance

Coupon

Principal

Avg

Dur

Yield

Spread

Bench

Price

$@1bp

Accrued

NetNet

Dated

Notes

Name

 

 

 

Window

Life

 

 

bp

 

%

 

Int(M)

(MM)

Date

 

1A3

 

11,135,000.00

5.5

02/10 - 11/34

10.83

        

1-Jan-05

  FIX

1A1

 

79,000,000.00

5.5

02/05 - 04/12

3.34

        

1-Jan-05

  FIX

1A2

 

17,858,000.00

5.5

04/12 - 11/34

11.35

        

1-Jan-05

  FIX

1A4

 

25,439,000.00

5.5

02/05 - 06/09

2.49

        

1-Jan-05

  FIX

1A5

 

19,857,000.00

5.5

06/09 - 10/12

5.99

        

1-Jan-05

  FIX

1A6

 

24,080,000.00

5.5

10/12 - 11/34

12.01

        

1-Jan-05

  FIX

1A7

 

38,617,000.00

5.5

02/05 - 11/34

2.99

        

1-Jan-05

  FIX

1SUB

 

6,711,787.96

5.5

02/05 - 11/34

10.35

        

1-Jan-05

  FIX


Yield Curve

Mat     6MO     2YR     3YR     5YR    10YR    30YR

Yld 2.67500 3.24200 3.38900 3.71500 4.19500 4.68700   


Swaps

3MO    6MO    1YR    2YR    3YR    5YR    6YR    7YR    8YR    9YR   10YR   11YR   12YR   13YR   14YR   15YR   20YR   25YR

2.4600 2.6525 2.9487 3.2675 3.4968 3.8831 4.0455 4.1883 4.3135 4.4236 4.5217 4.6100 4.6905 4.7627 4.8273 4.8833 5.0586 5.1249   


edsf

0.5YR 1.25YR   

1.182  1.480   


Payrules for Group 1:

 
  

Pay pro rata:

 

                 50% as follows:

 
 

Pay 1A3 to NAS schedule.

 

Pay 1A1, 1A2 sequentially to zero.

 

Pay 1A3  to zero.

                 50% as follows:

 
 

1A4, 1A5, 1A6 sequentially to schedule

 

1A7 to zero

 

1A4, 1A5, 1A6 sequentially to zero


     

NAS schedule is defined as follows:

1. For months 0-60 the NAS is locked out of all payments.

2. Starting in month 61 the NAS receives Priority Payment Fraction*(Scheduled Principal Payments) + Shift schedule *(Unscheduled Principal Payments)

Priority Payment Fraction is defined as the balance of the NAS divided by the balance of (1A1+1A2+1A3)

 

NAS Shift Schedule is defined as follows:

Month <=

NAS Shift %

 

60

0

 

72

30

 

84

40

 

96

60

 

108

80

 

120

100

 


TRACK1 - Stack Price/Yield

   
      

Settle

1/31/2005

    

First Payment

2/25/2005

    
      
 

1

2

3

4

5

COLLAT

     

Price

100

100

100

100

100

Yield

5.53

5.50

5.48

5.45

5.42

WAL

19.16

9.06

5.59

4.04

3.19

Mod Durn

10.929

6.296

4.355

3.354

2.754

Mod Convexity

1.867

0.704

0.339

0.197

0.129

Principal Window

Feb05 - Nov34

Feb05 - Nov34

Feb05 - Nov34

Feb05 - Nov34

Feb05 - Nov34

Price

100-00

100-00

100-00

100-00

100-00

1A3

     

Price

100

100

100

100

100

Yield

5.53

5.52

5.51

5.51

5.50

WAL

20.34

13.71

10.83

9.32

7.44

Mod Durn

11.538

8.992

7.725

6.971

5.895

Mod Convexity

1.993

1.174

0.825

0.648

0.444

Principal Window

Feb10 - Nov34

Feb10 - Nov34

Feb10 - Nov34

Feb10 - Nov34

Feb10 - Nov34

Price

100-00

100-00

100-00

100-00

100-00

1A1

     

Price

100

100

100

100

100

Yield

5.53

5.48

5.43

5.39

5.36

WAL

16.92

5.80

3.34

2.49

2.06

Mod Durn

10.142

4.597

2.909

2.241

1.880

Mod Convexity

1.598

0.341

0.128

0.075

0.053

Principal Window

Feb05 - Dec31

Feb05 - May19

Feb05 - Apr12

Feb05 - Dec09

Feb05 - Nov08

Price

100-00

100-00

100-00

100-00

100-00

1A2

     

Price

100

100

100

100

100

Yield

5.54

5.53

5.52

5.49

5.47

WAL

28.31

19.88

11.35

6.64

4.62

Mod Durn

14.025

11.666

8.042

5.362

3.976

Mod Convexity

2.972

1.930

0.878

0.369

0.193

Principal Window

Dec31 - Nov34

May19 - Nov34

Apr12 - Nov34

Dec09 - Nov34

Nov08 - Dec10

Price

100-00

100-00

100-00

100-00

100-00

1A4

     

Price

100

100

100

100

100

Yield

5.50

5.39

5.39

5.39

5.37

WAL

7.59

2.49

2.49

2.39

2.13

Mod Durn

5.801

2.242

2.242

2.165

1.952

Mod Convexity

0.501

0.074

0.074

0.068

0.054

Principal Window

Feb05 - Mar18

Feb05 - Jun09

Feb05 - Jun09

Feb05 - Oct08

Feb05 - Jan08

Price

100-00

100-00

100-00

100-00

100-00

1A5

     

Price

100

100

100

100

100

Yield

5.53

5.49

5.49

5.46

5.44

WAL

16.15

5.99

5.99

4.47

3.54

Mod Durn

10.422

4.961

4.961

3.860

3.135

Mod Convexity

1.456

0.303

0.303

0.181

0.121

Principal Window

Mar18 - Nov23

Jun09 - Oct12

Jun09 - Oct12

Oct08 - Jun10

Jan08 - Mar09

Price

100-00

100-00

100-00

100-00

100-00

1A6

     

Price

100

100

100

100

100

Yield

5.53

5.52

5.52

5.50

5.49

WAL

21.47

12.01

12.01

8.19

6.05

Mod Durn

12.292

8.388

8.388

6.312

4.960

Mod Convexity

2.139

0.954

0.954

0.527

0.318

Principal Window

Nov23 - Nov34

Oct12 - Nov34

Oct12 - Nov34

Jun10 - Nov34

Mar09 - Nov34

Price

100-00

100-00

100-00

100-00

100-00

1A7

     

Price

100

100

100

100

100

Yield

5.54

5.52

5.42

5.34

5.29

WAL

26.88

12.79

2.99

1.88

1.49

Mod Durn

13.704

8.132

2.637

1.726

1.392

Mod Convexity

2.803

1.129

0.107

0.045

0.030

Principal Window

Oct28 - Nov34

Feb05 - Nov34

Feb05 - Nov34

Feb05 - Apr08

Feb05 - Jul07

Price

100-00

100-00

100-00

100-00

100-00

1SUB

     

Price

100

100

100

100

100

Yield

5.53

5.52

5.51

5.51

5.50

WAL

19.16

13.00

10.35

8.99

8.17

Mod Durn

10.929

8.565

7.399

6.729

6.290

Mod Convexity

1.867

1.105

0.783

0.623

0.530

Principal Window

Feb05 - Nov34

Feb05 - Nov34

Feb05 - Nov34

Feb05 - Nov34

Feb05 - Nov34

Price

100-00

100-00

100-00

100-00

100-00

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA


TRACK1 - Dec - 1A1

   
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

98

95

91

88

84

25-Jan-07

97

85

73

62

52

25-Jan-08

95

72

52

34

18

25-Jan-09

93

61

34

13

0

25-Jan-10

91

50

20

0

0

25-Jan-11

89

41

9

0

0

25-Jan-12

87

34

2

0

0

25-Jan-13

85

27

0

0

0

25-Jan-14

82

21

0

0

0

25-Jan-15

80

16

0

0

0

25-Jan-16

77

12

0

0

0

25-Jan-17

74

8

0

0

0

25-Jan-18

71

4

0

0

0

25-Jan-19

67

1

0

0

0

25-Jan-20

64

0

0

0

0

25-Jan-21

60

0

0

0

0

25-Jan-22

56

0

0

0

0

25-Jan-23

52

0

0

0

0

25-Jan-24

47

0

0

0

0

25-Jan-25

42

0

0

0

0

25-Jan-26

37

0

0

0

0

25-Jan-27

32

0

0

0

0

25-Jan-28

26

0

0

0

0

25-Jan-29

20

0

0

0

0

25-Jan-30

13

0

0

0

0

25-Jan-31

6

0

0

0

0

25-Jan-32

0

0

0

0

0

      

WAL

16.92

5.8

3.34

2.49

2.06

Principal Window

Feb05-Dec31

Feb05-May19

Feb05-Apr12

Feb05-Dec09

Feb05-Nov08

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA


TRACK1 - Dec - 1A2

   
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

100

100

100

100

100

25-Jan-07

100

100

100

100

100

25-Jan-08

100

100

100

100

100

25-Jan-09

100

100

100

100

84

25-Jan-10

100

100

100

91

24

25-Jan-11

100

100

100

52

0

25-Jan-12

100

100

100

27

0

25-Jan-13

100

100

82

14

0

25-Jan-14

100

100

64

8

0

25-Jan-15

100

100

51

6

0

25-Jan-16

100

100

41

4

0

25-Jan-17

100

100

32

3

0

25-Jan-18

100

100

26

2

0

25-Jan-19

100

100

20

1

0

25-Jan-20

100

91

16

1

0

25-Jan-21

100

79

12

1

0

25-Jan-22

100

68

10

*

0

25-Jan-23

100

59

8

*

0

25-Jan-24

100

50

6

*

0

25-Jan-25

100

42

4

*

0

25-Jan-26

100

36

3

*

0

25-Jan-27

100

29

2

*

0

25-Jan-28

100

24

2

*

0

25-Jan-29

100

19

1

*

0

25-Jan-30

100

15

1

*

0

25-Jan-31

100

11

1

*

0

25-Jan-32

95

7

*

*

0

25-Jan-33

60

4

*

*

0

25-Jan-34

24

2

*

*

0

25-Jan-35

0

0

0

0

0

      

WAL

28.31

19.88

11.35

6.64

4.62

Principal Window

Dec31-Nov34

May19-Nov34

Apr12-Nov34

Dec09-Nov34

Nov08-Dec10

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA


TRACK1 - Dec - 1A3

   
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

100

100

100

100

100

25-Jan-07

100

100

100

100

100

25-Jan-08

100

100

100

100

100

25-Jan-09

100

100

100

100

100

25-Jan-10

100

100

100

100

100

25-Jan-11

98

95

92

89

80

25-Jan-12

97

90

83

76

46

25-Jan-13

95

83

72

61

26

25-Jan-14

93

76

60

46

16

25-Jan-15

90

67

48

33

10

25-Jan-16

88

59

38

23

6

25-Jan-17

85

52

31

16

4

25-Jan-18

82

46

24

12

2

25-Jan-19

79

40

19

8

1

25-Jan-20

76

35

15

6

1

25-Jan-21

73

31

12

4

1

25-Jan-22

69

27

9

3

*

25-Jan-23

65

23

7

2

*

25-Jan-24

61

20

5

1

*

25-Jan-25

57

17

4

1

*

25-Jan-26

52

14

3

1

*

25-Jan-27

48

11

2

*

*

25-Jan-28

43

9

2

*

*

25-Jan-29

37

7

1

*

*

25-Jan-30

31

6

1

*

*

25-Jan-31

25

4

1

*

*

25-Jan-32

19

3

*

*

*

25-Jan-33

12

2

*

*

*

25-Jan-34

5

1

*

*

*

25-Jan-35

0

0

0

0

0

      

WAL

20.34

13.71

10.83

9.32

7.44

Principal Window

Feb10-Nov34

Feb10-Nov34

Feb10-Nov34

Feb10-Nov34

Feb10-Nov34

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA


TRACK1 - Dec - 1A4

   
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

95

88

88

88

88

25-Jan-07

90

65

65

65

65

25-Jan-08

84

36

36

36

0

25-Jan-09

78

9

9

0

0

25-Jan-10

72

0

0

0

0

25-Jan-11

65

0

0

0

0

25-Jan-12

58

0

0

0

0

25-Jan-13

50

0

0

0

0

25-Jan-14

42

0

0

0

0

25-Jan-15

34

0

0

0

0

25-Jan-16

24

0

0

0

0

25-Jan-17

13

0

0

0

0

25-Jan-18

2

0

0

0

0

25-Jan-19

0

0

0

0

0

      

WAL

7.59

2.49

2.49

2.39

2.13

Principal Window

Feb05-Mar18

Feb05-Jun09

Feb05-Jun09

Feb05-Oct08

Feb05-Jan08

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA


TRACK1 - Dec - 1A5

   
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

100

100

100

100

100

25-Jan-07

100

100

100

100

100

25-Jan-08

100

100

100

100

97

25-Jan-09

100

100

100

77

11

25-Jan-10

100

78

78

17

0

25-Jan-11

100

48

48

0

0

25-Jan-12

100

19

19

0

0

25-Jan-13

100

0

0

0

0

25-Jan-14

100

0

0

0

0

25-Jan-15

100

0

0

0

0

25-Jan-16

100

0

0

0

0

25-Jan-17

100

0

0

0

0

25-Jan-18

100

0

0

0

0

25-Jan-19

87

0

0

0

0

25-Jan-20

71

0

0

0

0

25-Jan-21

54

0

0

0

0

25-Jan-22

35

0

0

0

0

25-Jan-23

16

0

0

0

0

25-Jan-24

0

0

0

0

0

      

WAL

16.15

5.99

5.99

4.47

3.54

Principal Window

Mar18-Nov23

Jun09-Oct12

Jun09-Oct12

Oct08-Jun10

Jan08-Mar09

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA


TRACK1 - Dec - 1A6

   
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

100

100

100

100

100

25-Jan-07

100

100

100

100

100

25-Jan-08

100

100

100

100

100

25-Jan-09

100

100

100

100

100

25-Jan-10

100

100

100

100

64

25-Jan-11

100

100

100

79

37

25-Jan-12

100

100

100

55

21

25-Jan-13

100

94

94

38

12

25-Jan-14

100

75

75

27

7

25-Jan-15

100

60

60

19

4

25-Jan-16

100

48

48

14

3

25-Jan-17

100

38

38

10

2

25-Jan-18

100

30

30

7

1

25-Jan-19

100

24

24

5

1

25-Jan-20

100

19

19

3

*

25-Jan-21

100

15

15

2

*

25-Jan-22

100

11

11

2

*

25-Jan-23

100

9

9

1

*

25-Jan-24

96

7

7

1

*

25-Jan-25

78

5

5

1

*

25-Jan-26

59

4

4

*

*

25-Jan-27

39

3

3

*

*

25-Jan-28

18

2

2

*

*

25-Jan-29

2

2

2

*

*

25-Jan-30

1

1

1

*

*

25-Jan-31

1

1

1

*

*

25-Jan-32

*

*

*

*

*

25-Jan-33

*

*

*

*

*

25-Jan-34

*

*

*

*

*

25-Jan-35

0

0

0

0

0

      

WAL

21.47

12.01

12.01

8.19

6.05

Principal Window

Nov23-Nov34

Oct12-Nov34

Oct12-Nov34

Jun10-Nov34

Mar09-Nov34

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA


TRACK1 - Dec - 1A7

   
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

100

98

90

83

75

25-Jan-07

100

92

69

46

24

25-Jan-08

100

85

44

7

0

25-Jan-09

100

79

25

0

0

25-Jan-10

100

75

13

0

0

25-Jan-11

100

71

5

0

0

25-Jan-12

100

69

1

0

0

25-Jan-13

100

67

*

0

0

25-Jan-14

100

65

*

0

0

25-Jan-15

100

62

*

0

0

25-Jan-16

100

58

*

0

0

25-Jan-17

100

54

*

0

0

25-Jan-18

100

49

*

0

0

25-Jan-19

100

45

*

0

0

25-Jan-20

100

40

*

0

0

25-Jan-21

100

36

*

0

0

25-Jan-22

100

32

*

0

0

25-Jan-23

100

28

*

0

0

25-Jan-24

100

25

*

0

0

25-Jan-25

100

21

*

0

0

25-Jan-26

100

18

*

0

0

25-Jan-27

100

15

*

0

0

25-Jan-28

100

12

*

0

0

25-Jan-29

96

10

*

0

0

25-Jan-30

81

8

*

0

0

25-Jan-31

66

6

*

0

0

25-Jan-32

49

4

*

0

0

25-Jan-33

31

2

*

0

0

25-Jan-34

12

1

*

0

0

25-Jan-35

0

0

0

0

0

      

WAL

26.88

12.79

2.99

1.88

1.49

Principal Window

Oct28-Nov34

Feb05-Nov34

Feb05~Nov34

Feb05-Apr08

Feb05-Jul07

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA


TRACK1 - Dec - 1SUB

   
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

99

99

99

99

99

25-Jan-07

98

98

98

98

98

25-Jan-08

96

96

96

96

96

25-Jan-09

95

95

95

95

95

25-Jan-10

93

93

93

93

93

25-Jan-11

92

89

86

84

80

25-Jan-12

90

84

78

72

66

25-Jan-13

88

78

68

59

50

25-Jan-14

86

71

57

45

34

25-Jan-15

84

63

46

32

21

25-Jan-16

82

56

36

23

13

25-Jan-17

80

49

29

16

8

25-Jan-18

77

43

23

11

5

25-Jan-19

74

38

18

8

3

25-Jan-20

71

33

14

6

2

25-Jan-21

68

29

11

4

1

25-Jan-22

65

25

9

3

1

25-Jan-23

61

21

7

2

*

25-Jan-24

57

18

5

1

*

25-Jan-25

53

15

4

1

*

25-Jan-26

49

13

3

1

*

25-Jan-27

44

11

2

*

*

25-Jan-28

40

9

2

*

*

25-Jan-29

35

7

1

*

*

25-Jan-30

29

5

1

*

*

25-Jan-31

24

4

1

*

*

25-Jan-32

18

3

*

*

*

25-Jan-33

11

2

*

*

*

25-Jan-34

4

1

*

*

*

25-Jan-35

0

0

0

0

0

      

WAL

19.16

13

10.35

8.99

8.17

Principal Window

Feb05-Nov34

Feb05-Nov34

Feb05-Nov34

Feb05-Nov34

Feb05-Nov34

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA


TRACK1 - Dec - COLLAT

   
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

99

96

94

91

89

25-Jan-07

98

89

81

73

66

25-Jan-08

96

80

66

53

42

25-Jan-09

95

72

53

38

26

25-Jan-10

93

64

43

27

17

25-Jan-11

92

58

35

20

10

25-Jan-12

90

51

28

14

7

25-Jan-13

88

46

22

10

4

25-Jan-14

86

41

18

7

3

25-Jan-15

84

36

14

5

2

25-Jan-16

82

32

11

4

1

25-Jan-17

80

28

9

3

1

25-Jan-18

77

25

7

2

*

25-Jan-19

74

22

6

1

*

25-Jan-20

71

19

4

1

*

25-Jan-21

68

17

4

1

*

25-Jan-22

65

14

3

*

*

25-Jan-23

61

12

2

*

*

25-Jan-24

57

11

2

*

*

25-Jan-25

53

9

1

*

*

25-Jan-26

49

7

1

*

*

25-Jan-27

44

6

1

*

*

25-Jan-28

40

5

1

*

*

25-Jan-29

35

4

*

*

*

25-Jan-30

29

3

*

*

*

25-Jan-31

24

2

*

*

*

25-Jan-32

18

2

*

*

*

25-Jan-33

11

1

*

*

*

25-Jan-34

4

*

*

*

*

25-Jan-35

0

0

0

0

0

      

WAL

19.16

9.06

5.59

4.04

3.19

Principal Window

Feb05-Nov34

Feb05-Nov34

Feb05-Nov34

Feb05-Nov34

Feb05-Nov34

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA


Date

Balance

20050125

69376000

20050225

69214578

20050325

69034157

20050425

68834792

20050525

68616544

20050625

68379487

20050725

68123705

20050825

67849288

20050925

67556340

20051025

67244973

20051125

66915307

20051225

66567473

20060125

66201613

20060225

65817875

20060325

65416419

20060425

64997413

20060525

64561034

20060625

64107467

20060725

63636909

20060825

63149561

20060925

62645637

20061025

62125357

20061125

61588949

20061225

61036650

20070125

60468705

20070225

59885366

20070325

59286892

20070425

58673550

20070525

58047605

20070625

57424948

20070725

56805563

20070825

56189433

20070925

55576541

20071025

54966872

20071125

54360409

20071225

53757135

20080125

53157034

20080225

52560090

20080325

51966287

20080425

51375610

20080525

50788041

20080625

50203566

20080725

49622168

20080825

49043833

20080925

48468543

20081025

47896285

20081125

47327042

20081225

46760799

20090125

46197541

20090225

45637253

20090325

45079920

20090425

44525526

20090525

43974057

20090625

43425498

20090725

42879834

20090825

42337051

20090925

41797133

20091025

41260066

20091125

40725837

20091225

40194429

20100125

39665830

20100225

39144850

20100325

38626630

20100425

38111154

20100525

37598409

20100625

37088380

20100725

36581055

20100825

36076418

20100925

35574456

20101025

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23912213

20121125

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23048639

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22620281

20130225

22203233

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21793597

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21391245

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18419887

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14748761

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11536958

20160225

11319657

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10896658

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10690825

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7269945

20180225

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5630562

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5411407

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4341079

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4168933

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4085241

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4003100

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3922481

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3843358

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3765704

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3614699

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3469263

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476207.8

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438394.3

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426315.8

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414492

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402918.2

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391589.4

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380501.2

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369648.8

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359027.9

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348633.9

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338462.6

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328509.7

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318771

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309242.5

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299920

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290799.6

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281877.5

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273149.9

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264612.9

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256262.9

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248096.3

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240109.5

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232299.2

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224661.7

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217193.9

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202753.8

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195775.2

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188953.4

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182285.2

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175767.8

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169398.1

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163173.2

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157090.4

20310425

151146.7

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145339.6

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139666.2

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134124

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128710.3

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123422.6

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118258.5

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113215.4

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108290.9

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103482.7

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98788.53

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2186.25

20340925

289.9

20341025

67.17

20341125

0








----------------------------------------------

$          VERSION: 3.01 (BLOOMBERG CMO BOND FILE)

--------------------------------------------------

$          DEAL: TRACK1

$       PRICING: 300 PSA

$    SETTLEMENT: 20050131

------------------------------------------

------------------------------------------

$                 BLOCK: 1

!{         TRANCHE NAME: 1A3 }

$       ORIGINAL_AMOUNT: 11135000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 5.5

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

$                 BLOCK: 2

!{         TRANCHE NAME: 1A1 }

$       ORIGINAL_AMOUNT: 79000000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 5.5

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

$                 BLOCK: 3

!{         TRANCHE NAME: 1A2 }

$       ORIGINAL_AMOUNT: 17858000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 5.5

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

$                 BLOCK: 4

!{         TRANCHE NAME: 1A4 }

$       ORIGINAL_AMOUNT: 25439000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 5.5

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

$                 BLOCK: 5

!{         TRANCHE NAME: 1A5 }

$       ORIGINAL_AMOUNT: 19857000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 5.5

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

$                 BLOCK: 6

!{         TRANCHE NAME: 1A6 }

$       ORIGINAL_AMOUNT: 24080000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 5.5

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

$                 BLOCK: 7

!{         TRANCHE NAME: 1A7 }

$       ORIGINAL_AMOUNT: 38617000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 5.5

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

$                 BLOCK: 8

!{         TRANCHE NAME: 1SUB }

$       ORIGINAL_AMOUNT: 6711787.96

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 5.5

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

--------------------------------------------------

--------------------------------------------------

$               TRANCHE: 1

$                  NAME: "1A3"

$                 CSORT: 1

$                  TYPE: NAS

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 1 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

$               TRANCHE: 2

$                  NAME: "1A1"

$                 CSORT: 2

$                  TYPE:

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 2 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

$               TRANCHE: 3

$                  NAME: "1A2"

$                 CSORT: 3

$                  TYPE:

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 3 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

$               TRANCHE: 4

$                  NAME: "1A4"

$                 CSORT: 4

$                  TYPE: PAC

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 4 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

$               TRANCHE: 5

$                  NAME: "1A5"

$                 CSORT: 5

$                  TYPE: PAC

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 5 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

$               TRANCHE: 6

$                  NAME: "1A6"

$                 CSORT: 6

$                  TYPE: PAC

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 6 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

$               TRANCHE: 7

$                  NAME: "1A7"

$                 CSORT: 7

$                  TYPE: SUP

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 7 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

$               TRANCHE: 8

$                  NAME: "1SUB"

$                 CSORT: 8

$                  TYPE: SUB

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 8 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

--------------------------------------------------

$     END_TRANCHES:

--------------------------------------------------

--------------------------------------------------

$      SCHEDULE: 1

$          PAYS: { TRANCHE(1A4,1A5,1A6) }


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       20050225 69214577.95

       20050325 69034157.39

       20050425 68834791.70

       20050525 68616544.06

       20050625 68379487.46

       20050725 68123704.67

       20050825 67849288.18

       20050925 67556340.18

       20051025 67244972.50

       20051125 66915306.54

       20051225 66567473.23

       20060125 66201612.92

       20060225 65817875.30

       20060325 65416419.32

       20060425 64997413.08

       20060525 64561033.72

       20060625 64107467.29

       20060725 63636908.65

       20060825 63149561.31

       20060925 62645637.31

       20061025 62125357.06

       20061125 61588949.17

       20061225 61036650.30

       20070125 60468705.01

       20070225 59885365.55

       20070325 59286891.67

       20070425 58673550.48

       20070525 58047604.79

       20070625 57424947.72

       20070725 56805562.51

       20070825 56189432.51

       20070925 55576541.16

       20071025 54966871.96

       20071125 54360408.52

       20071225 53757134.53

       20080125 53157033.74

       20080225 52560090.03

       20080325 51966287.32

       20080425 51375609.65

       20080525 50788041.11

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       20080725 49622168.27

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       20080925 48468543.31

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       20081225 46760799.28

       20090125 46197541.47

       20090225 45637253.41

       20090325 45079920.03

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       20090525 43974057.32

       20090625 43425498.21

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       20090825 42337050.63

       20090925 41797132.83

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       20091125 40725836.50

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       20100525 37598408.96

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       20110725 30708140.29

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       20111125 28835376.18

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       20120125 27913843.74

       20120225 27459718.44

       20120325 27007996.83

       20120425 26558666.47

       20120525 26111715.00

       20120625 25667130.12

       20120725 25224899.60

       20120825 24785011.27

       20120925 24347453.01

       20121025 23912212.78

       20121125 23479278.59

       20121225 23048638.52

       20130125 22620280.72

       20130225 22203233.33

       20130325 21793597.49

       20130425 21391244.63

       20130525 20996048.37

       20130625 20607884.48

       20130725 20226630.87

       20130825 19852167.52

       20130925 19484376.46

       20131025 19123141.74

       20131125 18768349.40

       20131225 18419887.41

       20140125 18077645.67

       20140225 17747783.74

       20140325 17423719.09

       20140425 17105352.14

       20140525 16792585.00

       20140625 16485321.45

       20140725 16183466.87

       20140825 15886928.26

       20140925 15595614.21

       20141025 15309434.83

       20141125 15028301.76

       20141225 14748761.28

       20150125 14474188.76

       20150225 14204498.27

       20150325 13939605.35

       20150425 13679426.98

       20150525 13423881.54

       20150625 13172888.81

       20150725 12926369.93

       20150825 12684247.37

       20150925 12446444.95

       20151025 12212887.76

       20151125 11983502.17

       20151225 11758215.82

       20160125 11536957.55

       20160225 11319657.45

       20160325 11106246.79

       20160425 10896657.98

       20160525 10690824.63

       20160625 10488681.46

       20160725 10290164.29

       20160825 10095210.05

       20160925 9903756.76

       20161025 9715743.47

       20161125 9531110.29

       20161225 9349798.34

       20170125 9171749.75

       20170225 8996907.64

       20170325 8825216.11

       20170425 8656620.19

       20170525 8491065.88

       20170625 8328500.09

       20170725 8168870.64

       20170825 8012126.22

       20170925 7858216.44

       20171025 7707091.74

       20171125 7558703.42

       20171225 7413003.61

       20180125 7269945.26

       20180225 7129482.14

       20180325 6991568.78

       20180425 6856160.53

       20180525 6723213.48

       20180625 6592684.47

       20180725 6464531.09

       20180825 6338711.65

       20180925 6215185.19

       20181025 6093911.44

       20181125 5974850.82

       20181225 5857964.45

       20190125 5743214.08

       20190225 5630562.15

       20190325 5519971.74

       20190425 5411406.55

       20190525 5304830.92

       20190625 5200209.79

       20190725 5097508.72

       20190825 4996693.84

       20190925 4897731.89

       20191025 4800590.15

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       20191225 4611639.33

       20200125 4519767.63

       20200225 4429590.87

       20200325 4341079.08

       20200425 4254202.80

       20200525 4168933.06

       20200625 4085241.42

       20200725 4003099.92

       20200825 3922481.06

       20200925 3843357.85

       20201025 3765703.74

       20201125 3689492.65

       20201225 3614698.95

       20210125 3541297.46

       20210225 3469263.41

       20210325 3398572.49

       20210425 3329200.80

       20210525 3261124.84

       20210625 3194321.53

       20210725 3128768.19

       20210825 3064442.53

       20210925 3001322.65

       20211025 2939387.02

       20211125 2878614.49

       20211225 2818984.28

       20220125 2760475.97

       20220225 2703069.48

       20220325 2646745.10

       20220425 2591483.46

       20220525 2537265.50

       20220625 2484072.52

       20220725 2431886.14

       20220825 2380688.29

       20220925 2330461.22

       20221025 2281187.50

       20221125 2232849.97

       20221225 2185431.81

       20230125 2138916.47

       20230225 2093287.69

       20230325 2048529.49

       20230425 2004626.18

       20230525 1961562.35

       20230625 1919322.83

       20230725 1877892.74

       20230825 1837257.46

       20230925 1797402.60

       20231025 1758314.05

       20231125 1719977.94

       20231225 1682380.63

       20240125 1645508.73

       20240225 1609349.09

       20240325 1573888.77

       20240425 1539115.07

       20240525 1505015.52

       20240625 1471577.85

       20240725 1438790.02

       20240825 1406640.19

       20240925 1375116.75

       20241025 1344208.27

       20241125 1313903.52

       20241225 1284191.48

       20250125 1255061.33

       20250225 1226502.41

       20250325 1198504.29

       20250425 1171056.69

       20250525 1144149.53

       20250625 1117772.89

       20250725 1091917.04

       20250825 1066572.41

       20250925 1041729.62

       20251025 1017379.42

       20251125 993512.77

       20251225 970120.74

       20260125 947194.59

       20260225 924725.72

       20260325 902705.71

       20260425 881126.24

       20260525 859979.18

       20260625 839256.53

       20260725 818950.42

       20260825 799053.13

       20260925 779557.08

       20261025 760454.83

       20261125 741739.05

       20261225 723402.56

       20270125 705438.30

       20270225 687839.33

       20270325 670598.86

       20270425 653710.17

       20270525 637166.71

       20270625 620962.03

       20270725 605089.78

       20270825 589543.75

       20270925 574317.81

       20271025 559405.96

       20271125 544802.30

       20271225 530501.05

       20280125 516496.51

       20280225 502783.10

       20280325 489355.33

       20280425 476207.81

       20280525 463335.25

       20280625 450732.45

       20280725 438394.31

       20280825 426315.81

       20280925 414492.04

       20281025 402918.16

       20281125 391589.42

       20281225 380501.16

       20290125 369648.80

       20290225 359027.85

       20290325 348633.89

       20290425 338462.59

       20290525 328509.69

       20290625 318771.01

       20290725 309242.45

       20290825 299919.98

       20290925 290799.63

       20291025 281877.53

       20291125 273149.86

       20291225 264612.87

       20300125 256262.88

       20300225 248096.29

       20300325 240109.54

       20300425 232299.15

       20300525 224661.71

       20300625 217193.86

       20300725 209892.31

       20300825 202753.81

       20300925 195775.20

       20301025 188953.35

       20301125 182285.20

       20301225 175767.75

       20310125 169398.05

       20310225 163173.20

       20310325 157090.36

       20310425 151146.73

       20310525 145339.57

       20310625 139666.20

       20310725 134123.97

       20310825 128710.30

       20310925 123422.62

       20311025 118258.46

       20311125 113215.36

       20311225 108290.90

       20320125 103482.73

       20320225 98788.53

       20320325 94206.02

       20320425 89732.96

       20320525 85367.18

       20320625 81106.50

       20320725 76948.83

       20320825 72892.08

       20320925 68934.23

       20321025 65073.27

       20321125 61307.25

       20321225 57634.24

       20330125 54052.35

       20330225 50559.74

       20330325 47154.58

       20330425 43835.10

       20330525 40599.53

       20330625 37446.16

       20330725 34373.31

       20330825 31379.33

       20330925 28462.58

       20331025 25621.47

       20331125 22854.45

       20331225 20159.98

       20340125 17536.55

       20340225 14982.69

       20340325 12496.94

       20340425 10320.32

       20340525 8202.15

       20340625 6141.21

       20340725 4136.30

       20340825 2186.25

       20340925 289.90

       20341025 67.17

       20341125 0.00

      END SCHEDULE: 1

--------------------------------------------------

     END OF BOND FILE

***************************************************

$         VERSION: 3.03 (BLOOMBERG CMO COLLATERAL FILE)

---------------------------------------------------

$    AGENCY_LIST:     Type   Factor Date    P/Y Delay     BV Delay

                    WHOLE 20050101 55 54

---------------------------------------------------

$     ASSUMED_POOLS:

--------------------------------------------------------------------------------

!G Pool Number  Pool Type    NET-CPN CURR--FACT ORIG--BALANCE  PY-FEE  BV-FEE

PY/BV/BLN-W AGE

--------------------------------------------------------------------------------

   M 1 WHOLE XX/XX 5.500000000 1.00000000 19833337.52 0.501078043 0.501078043 240 240 358 2

   M 2 WHOLE XX/XX 5.500000000 1.00000000 25220366.97 0.041927653 0.041927653 350 350 350 3

   M 3 WHOLE XX/XX 5.500000000 1.00000000 177644083.47 0.402257357 0.402257357 356 356 356 2







       

Deal Summary Report

    

TRACK2

   
                

 

 

 

 

 

Assumptions

 

 

 

 

 

Collateral

 

 

 

Settlement

 

31-Jan-05

Prepay

 

300 PSA

   

 

Balance

WAC

WAM

Age

WAL

Dur

1st Pay Date

 

25-Feb-05

Default

 

0 CDR

   

 

$203,095,080.81

6.16

351

2

5.55

4.323

 

 

 

Recovery

0

months

   

 

     

 

 

 

 

Severity

 

0%

 

 

 

 

 

 

 

 

 

 

                

Tranche

Rating

Balance

Coupon

Principal

Avg

Dur

Yield

Spread

Bench

Price

$@1bp

Accrued

NetNet

Dated

Notes

Name

 

 

 

Window

Life

 

 

bp

 

%

 

Int(M)

(MM)

Date

 

2A3

 

19,700,000.00

6

02/10 - 11/34

10.81

        

1-Jan-05

  WAC

2A1

 

145,000,000.00

6

02/05 - 05/12

3.33

        

1-Jan-05

  WAC

2A2

 

32,300,000.00

6

05/12 - 11/34

11.39

        

1-Jan-05

  WAC

2SUB

 

6,095,080.81

6

02/05 - 11/34

10.31

        

1-Jan-05

  WAC


Yield Curve

Mat     6MO       2YR       3YR       5YR      10YR      30YR

Yld   2.67500   3.24200   3.38900   3.71500   4.19500   4.68700   


Swaps

3MO      6MO    1YR    2YR    3YR    5YR    6YR    7YR    8YR    9YR   10YR   11YR   12YR   13YR   14YR   15YR   20YR   25YR   

2.4600 2.6525 2.9487 3.2675 3.4968 3.8831 4.0455 4.1883 4.3135 4.4236 4.5217 4.6100 4.6905 4.7627 4.8273 4.8833 5.0586 5.1249   


edsf

0.5YR   1.25YR   

1.182    1.480   


Payrules

Pay 2A3 to NAS schedule

Pay 2A1, 2A2 sequentially to zero.

Pay 2A3 to zero.


The NAS is locked out of all payments for 60 months.

Starting in month 61, the NAS receives: Priority Payment Fraction*(Scheduled PrincipalPayments)+(NAS Shift Percentage)
*(Unscheduled Principal Payments)

 

The Priority Payment Fraction is defined as (Balance of 2A3)/(Balance of (2A3+2A1+2A2))

The NAS Schift Schedule is defined as follows:


  

Month <=

NAS Shift %

60

0

72

30

84

40

96

60

108

80

120

100


TRACK2 - Stack Price/Yield

   
      

Settle

1/31/2005

    

First Payment

2/25/2005

    
      
 

1

2

3

4

5

COLLAT

     

Price

100

100

100

100

100

Yield

6.04

6.01

5.98

5.95

5.92

WAL

18.93

9.00

5.55

4.01

3.17

Mod Durn

10.391

6.086

4.244

3.281

2.698

Mod Convexity

1.715

0.662

0.324

0.189

0.125

Principal Window

Feb05 - Nov34

Feb05 - Nov34

Feb05 - Nov34

Feb05 - Nov34

Feb05 - Nov34

Price

100-00

100-00

100-00

100-00

100-00

2A3

     

Price

100

100

100

100

100

Yield

6.04

6.03

6.02

6.01

6.00

WAL

20.12

13.65

10.81

9.31

7.46

Mod Durn

10.978

8.673

7.502

6.796

5.789

Mod Convexity

1.834

1.105

0.787

0.622

0.432

Principal Window

Feb10 - Nov34

Feb10 - Nov34

Feb10 - Nov34

Feb10 - Nov34

Feb10 - Nov34

Price

100-00

100-00

100-00

100-00

100-00

2A1

     

Price

100

100

100

100

100

Yield

6.03

5.98

5.93

5.89

5.85

WAL

16.75

5.79

3.33

2.48

2.05

Mod Durn

9.679

4.502

2.869

2.211

1.852

Mod Convexity

1.479

0.330

0.126

0.074

0.052

Principal Window

Feb05 - Aug31

Feb05 - May19

Feb05 - May12

Feb05 - Dec09

Feb05 - Nov08

Price

100-00

100-00

100-00

100-00

100-00

2A2

     

Price

100

100

100

100

100

Yield

6.04

6.04

6.02

6.00

5.97

WAL

27.99

19.84

11.39

6.69

4.64

Mod Durn

13.227

11.170

7.836

5.293

3.934

Mod Convexity

2.701

1.803

0.843

0.363

0.190

Principal Window

Aug31 - Nov34

May19 - Nov34

May12 - Nov34

Dec09 - Nov34

Nov08 - Dec10

Price

100-00

100-00

100-00

100-00

100-00

2SUB

     

Price

100

100

100

100

100

Yield

6.04

6.03

6.02

6.01

6.01

WAL

18.93

12.93

10.31

8.97

8.16

Mod Durn

10.391

8.255

7.180

6.555

6.141

Mod Convexity

1.715

1.038

0.745

0.597

0.511

Principal Window

Feb05 - Nov34

Feb05 - Nov34

Feb05 - Nov34

Feb05 - Nov34

Feb05 - Nov34

Price

100-00

100-00

100-00

100-00

100-00

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA


TRACK2 - Dec - 2A1

   
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

98

95

91

87

83

25-Jan-07

97

85

73

62

51

25-Jan-08

95

72

52

34

18

25-Jan-09

93

60

34

13

0

25-Jan-10

91

50

20

0

0

25-Jan-11

89

41

10

0

0

25-Jan-12

87

34

2

0

0

25-Jan-13

84

27

0

0

0

25-Jan-14

82

21

0

0

0

25-Jan-15

79

16

0

0

0

25-Jan-16

77

12

0

0

0

25-Jan-17

74

8

0

0

0

25-Jan-18

70

4

0

0

0

25-Jan-19

67

1

0

0

0

25-Jan-20

63

0

0

0

0

25-Jan-21

59

0

0

0

0

25-Jan-22

55

0

0

0

0

25-Jan-23

51

0

0

0

0

25-Jan-24

46

0

0

0

0

25-Jan-25

41

0

0

0

0

25-Jan-26

36

0

0

0

0

25-Jan-27

30

0

0

0

0

25-Jan-28

24

0

0

0

0

25-Jan-29

18

0

0

0

0

25-Jan-30

11

0

0

0

0

25-Jan-31

4

0

0

0

0

25-Jan-32

0

0

0

0

0

      

WAL

16.75

5.79

3.33

2.48

2.05

Principal Window

Feb05-Aug31

Feb05-May19

Feb05-May12

Feb05-Dec09

Feb05-Nov08

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA


TRACK2 - Dec - 2A2

   
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

100

100

100

100

100

25-Jan-07

100

100

100

100

100

25-Jan-08

100

100

100

100

100

25-Jan-09

100

100

100

100

85

25-Jan-10

100

100

100

92

25

25-Jan-11

100

100

100

53

0

25-Jan-12

100

100

100

28

0

25-Jan-13

100

100

83

15

0

25-Jan-14

100

100

64

8

0

25-Jan-15

100

100

52

6

0

25-Jan-16

100

100

41

4

0

25-Jan-17

100

100

33

3

0

25-Jan-18

100

100

26

2

0

25-Jan-19

100

100

20

2

0

25-Jan-20

100

91

16

1

0

25-Jan-21

100

79

13

1

0

25-Jan-22

100

68

10

1

0

25-Jan-23

100

59

8

*

0

25-Jan-24

100

50

6

*

0

25-Jan-25

100

42

4

*

0

25-Jan-26

100

35

3

*

0

25-Jan-27

100

29

2

*

0

25-Jan-28

100

23

2

*

0

25-Jan-29

100

18

1

*

0

25-Jan-30

100

14

1

*

0

25-Jan-31

100

10

1

*

0

25-Jan-32

84

6

*

*

0

25-Jan-33

48

3

*

*

0

25-Jan-34

14

1

*

*

0

25-Jan-35

0

0

0

0

0

      

WAL

27.99

19.84

11.39

6.69

4.64

Principal Window

Aug31-Nov34

May19-Nov34

May12-Nov34

Dec09-Nov34

Nov08-Dec10

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA


TRACK2 - Dec - 2A3

   
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

100

100

100

100

100

25-Jan-07

100

100

100

100

100

25-Jan-08

100

100

100

100

100

25-Jan-09

100

100

100

100

100

25-Jan-10

100

100

100

100

100

25-Jan-11

98

95

92

89

81

25-Jan-12

96

90

83

76

46

25-Jan-13

94

83

72

61

27

25-Jan-14

92

75

60

46

16

25-Jan-15

90

67

48

32

10

25-Jan-16

87

59

38

23

6

25-Jan-17

85

52

30

16

4

25-Jan-18

82

46

24

12

2

25-Jan-19

79

40

19

8

1

25-Jan-20

76

35

15

6

1

25-Jan-21

72

31

12

4

1

25-Jan-22

69

26

9

3

*

25-Jan-23

65

23

7

2

*

25-Jan-24

61

19

5

1

*

25-Jan-25

56

16

4

1

*

25-Jan-26

52

14

3

1

*

25-Jan-27

47

11

2

*

*

25-Jan-28

41

9

2

*

*

25-Jan-29

36

7

1

*

*

25-Jan-30

30

5

1

*

*

25-Jan-31

23

4

1

*

*

25-Jan-32

17

2

*

*

*

25-Jan-33

9

1

*

*

*

25-Jan-34

3

*

*

*

*

25-Jan-35

0

0

0

0

0

      

WAL

20.12

13.65

10.81

9.31

7.46

Principal Window

Feb10-Nov34

Feb10-Nov34

Feb10-Nov34

Feb10-Nov34

Feb10-Nov34

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA


TRACK2 - Dec - 2SUB

   
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

99

99

99

99

99

25-Jan-07

98

98

98

98

98

25-Jan-08

96

96

96

96

96

25-Jan-09

95

95

95

95

95

25-Jan-10

93

93

93

93

93

25-Jan-11

92

89

86

83

80

25-Jan-12

90

84

78

72

66

25-Jan-13

88

78

68

59

50

25-Jan-14

86

71

57

45

34

25-Jan-15

84

63

45

32

21

25-Jan-16

82

55

36

23

13

25-Jan-17

79

49

29

16

8

25-Jan-18

76

43

23

11

5

25-Jan-19

74

38

18

8

3

25-Jan-20

71

33

14

6

2

25-Jan-21

67

29

11

4

1

25-Jan-22

64

25

9

3

1

25-Jan-23

60

21

7

2

*

25-Jan-24

56

18

5

1

*

25-Jan-25

52

15

4

1

*

25-Jan-26

48

13

3

1

*

25-Jan-27

43

10

2

*

*

25-Jan-28

38

8

2

*

*

25-Jan-29

33

7

1

*

*

25-Jan-30

28

5

1

*

*

25-Jan-31

22

4

*

*

*

25-Jan-32

15

2

*

*

*

25-Jan-33

9

1

*

*

*

25-Jan-34

3

*

*

*

*

25-Jan-35

0

0

0

0

0

      

WAL

18.93

12.93

10.31

8.97

8.16

Principal Window

Feb05-Nov34

Feb05-Nov34

Feb05-Nov34

Feb05-Nov34

Feb05-Nov34

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA


TRACK2 - Dec - COLLAT

   
      
      

Date

1

2

3

4

5

31-Jan-05

100

100

100

100

100

25-Jan-06

99

96

93

91

88

25-Jan-07

98

89

81

73

65

25-Jan-08

96

80

65

53

41

25-Jan-09

95

72

53

38

26

25-Jan-10

93

64

43

27

16

25-Jan-11

92

57

34

19

10

25-Jan-12

90

51

28

14

6

25-Jan-13

88

46

22

10

4

25-Jan-14

86

41

18

7

3

25-Jan-15

84

36

14

5

2

25-Jan-16

82

32

11

4

1

25-Jan-17

79

28

9

3

1

25-Jan-18

76

25

7

2

*

25-Jan-19

74

22

6

1

*

25-Jan-20

71

19

4

1

*

25-Jan-21

67

16

3

1

*

25-Jan-22

64

14

3

*

*

25-Jan-23

60

12

2

*

*

25-Jan-24

56

10

2

*

*

25-Jan-25

52

9

1

*

*

25-Jan-26

48

7

1

*

*

25-Jan-27

43

6

1

*

*

25-Jan-28

38

5

*

*

*

25-Jan-29

33

4

*

*

*

25-Jan-30

28

3

*

*

*

25-Jan-31

22

2

*

*

*

25-Jan-32

15

1

*

*

*

25-Jan-33

9

1

*

*

*

25-Jan-34

3

*

*

*

*

25-Jan-35

0

0

0

0

0

      

WAL

18.93

9

5.55

4.01

3.17

Principal Window

Feb05-Nov34

Feb05-Nov34

Feb05-Nov34

Feb05-Nov34

Feb05-Nov34

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA







--------------------------------------------------

$          VERSION: 3.01 (BLOOMBERG CMO BOND FILE)

--------------------------------------------------

$          DEAL: gstrack3up

$       PRICING: 500 PSA

$    SETTLEMENT: 20050131

------------------------------------------

------------------------------------------

$                 BLOCK: 1

$            GROUP_LINK: 1

!{         TRANCHE NAME: 3A1 }

$       ORIGINAL_AMOUNT: 143000000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 4.25

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

$                 BLOCK: 2

$            GROUP_LINK: 1

!{         TRANCHE NAME: 3A3 }

$       ORIGINAL_AMOUNT: 56717000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 6

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

$                 BLOCK: 3

$            GROUP_LINK: 1

!{         TRANCHE NAME: 3SUB }

$       ORIGINAL_AMOUNT: 6177092.56

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 6

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

--------------------------------------------------

$               PHANTOM: 4

!{         TRANCHE NAME: 3A2 }

$       ORIGINAL_AMOUNT: 41708333.33

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 6

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

--------------------------------------------------

$               TRANCHE: 1

$                  NAME: "3A1"

$                 CSORT: 1

$                  TYPE: AD,PAC

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 1 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

$               TRANCHE: 2

$                  NAME: "3A2"

$                 CSORT: 2

$                  TYPE: AD,IO,NTL,PAC

$          RECORD_DELAY: 24

$              NOTIONAL:

$    COMPOSITION: BLOCK: 4 PRIN: 100.000000000 INT: 100.000000000

!  ( notional tranche name is 3A2 )

--------------------------------------------------

$               TRANCHE: 3

$                  NAME: "3A3"

$                 CSORT: 3

$                  TYPE: Z

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 2 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

$               TRANCHE: 4

$                  NAME: "3SUB"

$                 CSORT: 4

$                  TYPE: SUB

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 3 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

--------------------------------------------------

$     END_TRANCHES:

--------------------------------------------------

--------------------------------------------------

$      SCHEDULE: 1

$          PAYS: { TRANCHE(3A1,3A2) }


       20050125 143000000.00

       20050225 140682564.22

       20050325 138364669.69

       20050425 136045928.21

       20050525 133726006.48

       20050625 131404626.04

       20050725 129081563.10

       20050825 126756648.26

       20050925 124429766.12

       20051025 122100854.80

       20051125 119769905.36

       20051225 117436961.04

       20060125 115102116.48

       20060225 112765516.78

       20060325 110427356.48

       20060425 108087878.39

       20060525 105747372.39

       20060625 103406174.03

       20060725 101064663.17

       20060825 98723262.37

       20060925 96382435.30

       20061025 94042685.02

       20061125 91704552.18

       20061225 89368613.13

       20070125 87035477.97

       20070225 84705788.55

       20070325 82388616.17

       20070425 80098449.24

       20070525 77843792.94

       20070625 75624106.49

       20070725 73438857.32

       20070825 71287520.89

       20070925 69169580.61

       20071025 67084527.70

       20071125 65031861.09

       20071225 63011087.27

       20080125 61021720.23

       20080225 59063281.30

       20080325 57135299.05

       20080425 55237309.20

       20080525 53368854.49

       20080625 51529484.59

       20080725 49718755.99

       20080825 47936231.89

       20080925 46181482.12

       20081025 44454083.01

       20081125 42753617.32

       20081225 41079674.13

       20090125 39431848.73

       20090225 37809742.58

       20090325 36212963.14

       20090425 34641123.84

       20090525 33093843.96

       20090625 31578175.50

       20090725 30103111.63

       20090825 28667578.18

       20090925 27270529.29

       20091025 25910946.67

       20091125 24587838.86

       20091225 23300240.54

       20100125 22047211.84

       20100225 20873184.19

       20100325 19731468.06

       20100425 18621199.09

       20100525 17541535.73

       20100625 16491658.71

       20100725 15470770.42

       20100825 14478094.35

       20100925 13512874.53

       20101025 12574375.01

       20101125 11661879.30

       20101225 10774689.88

       20110125 9912127.70

       20110225 9087108.95

       20110325 8285134.56

       20110425 7505582.01

       20110525 6747845.30

       20110625 6011334.56

       20110725 5295475.60

       20110825 4599709.52

       20110925 3923492.27

       20111025 3266294.29

       20111125 2627600.12

       20111225 2006908.03

       20120125 1403729.65

       20120225 841200.80

       20120325 294575.91

       20120425 0.00

      END SCHEDULE: 1

--------------------------------------------------

     END OF BOND FILE

***************************************************

$         VERSION: 3.03 (BLOOMBERG CMO COLLATERAL FILE)

---------------------------------------------------

$    AGENCY_LIST:     Type   Factor Date    P/Y Delay     BV Delay

                    WHOLE 20050101 55 54

---------------------------------------------------

$     ASSUMED_POOLS:

--------------------------------------------------------------------------------

!G Pool Number  Pool Type    NET-CPN CURR--FACT ORIG--BALANCE  PY-FEE  BV-FEE

PY/BV/BLN-W AGE

--------------------------------------------------------------------------------

1   M 1 WHOLE XX/XX 6.000000000 1.00000000 20084002.85 0.073872683 0.073872683 240 240 357 3

1   M 2 WHOLE XX/XX 6.000000000 1.00000000 32567486.05 0.373692196 0.373692196 240 240 356 4

1   M 3 WHOLE XX/XX 6.000000000 1.00000000 19837651.06 0.129508137 0.129508137 354 354 354 5

1   M 4 WHOLE XX/XX 6.000000000 1.00000000 133404952.60 0.698743469 0.698743469 324 324 324 31







GSR05-2F-3 - Summary

        
           

Balance

WAC

WAM

Age

WAL

Dur

     

$201,680,316.84

6

357

2

5.57

4.33

     
           
     

Assumptions

    

Settlement

 

31-Jan-2005

Prepay

 

300 PSA

     

1st Pay Date

 

25-Feb-2005

        
           


Tranche

Rating

Balance

Coupon

Principal

Avg

Dated

Notes

  

Name

   

Window

Life

Date

    

3NAS

 

19,664,000.00

6

02/10 - 10/34

10.83

01-Jan-05

FIX

   

3A1

 

144,100,000.00

6

02/05 - 05/12

3.36

01-Jan-05

FIX

   

3A2

 

32,874,000.00

6

05/12 - 10/34

11.42

01-Jan-05

FIX

   

3SUB

 

5,042,316.84

6

02/05 - 10/34

10.29

01-Jan-05

WAC

   


Payrules:

          
           

Pay 3NAS to NAS schedule.

         

Pay 3A1, 3A2 sequentially to zero

        

Pay 3NAS to zero.

          
           

The NAS schedule id defined as follows:

        
           

The NAS is locked out of all payments for 60 months.

        

Starting in month 61, the NAS receives: Priority Payment Fraction*(Scheduled PrincipalPayments)+(NAS Shift Percentage)*(Unscheduled Principal Payments)

The Priority Payment Fraction is defined as (Balance of 3NAS)/(Balance of (3NAS+3A1+3A2))

     

The NAS Schift Schedule is defined as follows:

        
           

Month <=

NAS Shift %

        

60

0

         

72

30

         

84

40

         

96

60

         

108

80

         

120

100

         


GSR05-2F-3 - Dec - 3A1

   
      
      

Date

1

2

3

4

200 Pricing

31-Jan-05

100

100

100

100

100

25-Jan-06

98

95

91

88

84

25-Jan-07

96

85

74

63

52

25-Jan-08

95

72

52

34

19

25-Jan-09

93

61

34

14

0

25-Jan-10

90

50

20

0

0

25-Jan-11

88

41

10

0

0

25-Jan-12

86

34

2

0

0

25-Jan-13

84

27

0

0

0

25-Jan-14

81

21

0

0

0

25-Jan-15

79

16

0

0

0

25-Jan-16

76

12

0

0

0

25-Jan-17

73

8

0

0

0

25-Jan-18

70

4

0

0

0

25-Jan-19

67

1

0

0

0

25-Jan-20

63

0

0

0

0

25-Jan-21

59

0

0

0

0

25-Jan-22

55

0

0

0

0

25-Jan-23

51

0

0

0

0

25-Jan-24

47

0

0

0

0

25-Jan-25

42

0

0

0

0

25-Jan-26

37

0

0

0

0

25-Jan-27

32

0

0

0

0

25-Jan-28

26

0

0

0

0

25-Jan-29

20

0

0

0

0

25-Jan-30

13

0

0

0

0

25-Jan-31

7

0

0

0

0

25-Jan-32

0

0

0

0

0

      

WAL

16.81

5.78

3.36

2.51

2.07

Principal Window

Feb05-Jan32

Feb05-Apr19

Feb05-May12

Feb05-Dec09

Feb05-Dec08

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA

      
      

Disclaimer:

     


GSR05-2F-3 - Dec - 3A2

   
      
      

Date

1

2

3

4

200 Pricing

31-Jan-05

100

100

100

100

100

25-Jan-06

100

100

100

100

100

25-Jan-07

100

100

100

100

100

25-Jan-08

100

100

100

100

100

25-Jan-09

100

100

100

100

88

25-Jan-10

100

100

100

94

28

25-Jan-11

100

100

100

54

1

25-Jan-12

100

100

100

30

0

25-Jan-13

100

100

83

16

0

25-Jan-14

100

100

65

10

0

25-Jan-15

100

100

52

7

0

25-Jan-16

100

100

41

5

0

25-Jan-17

100

100

33

3

0

25-Jan-18

100

100

26

2

0

25-Jan-19

100

100

21

2

0

25-Jan-20

100

90

16

1

0

25-Jan-21

100

78

13

1

0

25-Jan-22

100

68

10

1

0

25-Jan-23

100

59

8

*

0

25-Jan-24

100

50

6

*

0

25-Jan-25

100

42

5

*

0

25-Jan-26

100

36

3

*

0

25-Jan-27

100

29

3

*

0

25-Jan-28

100

24

2

*

0

25-Jan-29

100

19

1

*

0

25-Jan-30

100

15

1

*

0

25-Jan-31

100

11

1

*

0

25-Jan-32

97

8

*

*

0

25-Jan-33

64

4

*

*

0

25-Jan-34

28

2

*

*

0

25-Jan-35

0

0

0

0

0

      

WAL

28.4

19.88

11.42

6.79

4.7

Principal Window

Jan32-Oct34

Apr19-Oct34

May12-Oct34

Dec09-Oct34

Dec08-Feb11

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA

      
      

Disclaimer:

     


GSR05-2F-3 - Dec - 3NAS

  
      
      

Date

1

2

3

4

200 Pricing

31-Jan-05

100

100

100

100

100

25-Jan-06

100

100

100

100

100

25-Jan-07

100

100

100

100

100

25-Jan-08

100

100

100

100

100

25-Jan-09

100

100

100

100

100

25-Jan-10

100

100

100

100

100

25-Jan-11

98

95

92

89

84

25-Jan-12

96

90

83

76

50

25-Jan-13

94

83

72

61

29

25-Jan-14

92

75

60

46

18

25-Jan-15

90

67

48

33

11

25-Jan-16

87

59

38

23

7

25-Jan-17

85

52

30

16

4

25-Jan-18

82

46

24

12

3

25-Jan-19

79

40

19

8

2

25-Jan-20

76

35

15

6

1

25-Jan-21

73

31

12

4

1

25-Jan-22

69

27

9

3

*

25-Jan-23

65

23

7

2

*

25-Jan-24

61

20

6

1

*

25-Jan-25

57

17

4

1

*

25-Jan-26

53

14

3

1

*

25-Jan-27

48

12

2

*

*

25-Jan-28

43

9

2

*

*

25-Jan-29

38

7

1

*

*

25-Jan-30

32

6

1

*

*

25-Jan-31

26

4

1

*

*

25-Jan-32

20

3

*

*

*

25-Jan-33

13

2

*

*

*

25-Jan-34

6

1

*

*

*

25-Jan-35

0

0

0

0

0

      

WAL

20.35

13.69

10.83

9.33

7.61

Principal Window

Feb10-Oct34

Feb10-Oct34

Feb10-Oct34

Feb10-Oct34

Feb10-Oct34

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA

      
      

Disclaimer:

     


GSR05-2F-3 - Dec - 3SUB

  
      
      

Date

1

2

3

4

200 Pricing

31-Jan-05

100

100

100

100

100

25-Jan-06

99

99

99

99

99

25-Jan-07

97

97

97

97

97

25-Jan-08

96

96

96

96

96

25-Jan-09

95

95

95

95

95

25-Jan-10

93

93

93

93

93

25-Jan-11

91

89

86

83

80

25-Jan-12

89

84

78

72

66

25-Jan-13

88

77

68

58

49

25-Jan-14

86

70

56

44

34

25-Jan-15

83

62

45

32

21

25-Jan-16

81

55

36

22

13

25-Jan-17

79

49

29

16

8

25-Jan-18

76

43

23

11

5

25-Jan-19

73

38

18

8

3

25-Jan-20

71

33

14

6

2

25-Jan-21

67

29

11

4

1

25-Jan-22

64

25

9

3

1

25-Jan-23

61

21

7

2

*

25-Jan-24

57

18

5

1

*

25-Jan-25

53

15

4

1

*

25-Jan-26

49

13

3

1

*

25-Jan-27

45

11

2

*

*

25-Jan-28

40

9

2

*

*

25-Jan-29

35

7

1

*

*

25-Jan-30

30

5

1

*

*

25-Jan-31

24

4

1

*

*

25-Jan-32

18

3

*

*

*

25-Jan-33

12

2

*

*

*

25-Jan-34

5

1

*

*

*

25-Jan-35

0

0

0

0

0

      

WAL

19.1

12.93

10.29

8.95

8.14

Principal Window

Feb05-Oct34

Feb05-Oct34

Feb05-Oct34

Feb05-Oct34

Feb05-Oct34

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA

      
      

Disclaimer:

     


GSR05-2F-3 - Dec - #NETRATE

 
      
      

Date

1

2

3

4

200 Pricing

31-Jan-05

0

0

0

0

0

25-Jan-06

0

0

0

0

0

25-Jan-07

0

0

0

0

0

25-Jan-08

0

0

0

0

0

25-Jan-09

0

0

0

0

0

25-Jan-10

0

0

0

0

0

25-Jan-11

0

0

0

0

0

25-Jan-12

0

0

0

0

0

25-Jan-13

0

0

0

0

0

25-Jan-14

0

0

0

0

0

25-Jan-15

0

0

0

0

0

25-Jan-16

0

0

0

0

0

25-Jan-17

0

0

0

0

0

25-Jan-18

0

0

0

0

0

25-Jan-19

0

0

0

0

0

25-Jan-20

0

0

0

0

0

25-Jan-21

0

0

0

0

0

25-Jan-22

0

0

0

0

0

25-Jan-23

0

0

0

0

0

25-Jan-24

0

0

0

0

0

25-Jan-25

0

0

0

0

0

25-Jan-26

0

0

0

0

0

25-Jan-27

0

0

0

0

0

25-Jan-28

0

0

0

0

0

25-Jan-29

0

0

0

0

0

25-Jan-30

0

0

0

0

0

25-Jan-31

0

0

0

0

0

25-Jan-32

0

0

0

0

0

25-Jan-33

0

0

0

0

0

25-Jan-34

0

0

0

0

0

25-Jan-35

0

0

0

0

0

      

WAL

NA

NA

NA

NA

NA

Principal Window

    
      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA

      
      

Disclaimer:

     


GSR05-2F-3 - Dec - DEAL_PLUGIN

 
      
      

Date

1

2

3

4

200 Pricing

31-Jan-05

100

100

100

100

100

25-Jan-06

99

96

94

91

89

25-Jan-07

97

89

81

73

66

25-Jan-08

96

80

66

53

42

25-Jan-09

95

72

53

38

26

25-Jan-10

93

64

43

27

17

25-Jan-11

91

57

34

20

10

25-Jan-12

89

51

28

14

7

25-Jan-13

88

46

22

10

4

25-Jan-14

86

40

18

7

3

25-Jan-15

83

36

14

5

2

25-Jan-16

81

32

11

4

1

25-Jan-17

79

28

9

3

1

25-Jan-18

76

25

7

2

*

25-Jan-19

73

22

6

1

*

25-Jan-20

71

19

4

1

*

25-Jan-21

67

16

3

1

*

25-Jan-22

64

14

3

*

*

25-Jan-23

61

12

2

*

*

25-Jan-24

57

11

2

*

*

25-Jan-25

53

9

1

*

*

25-Jan-26

49

7

1

*

*

25-Jan-27

45

6

1

*

*

25-Jan-28

40

5

1

*

*

25-Jan-29

35

4

*

*

*

25-Jan-30

30

3

*

*

*

25-Jan-31

24

2

*

*

*

25-Jan-32

18

2

*

*

*

25-Jan-33

12

1

*

*

*

25-Jan-34

5

*

*

*

*

25-Jan-35

0

0

0

0

0

      

WAL

19.1

9.03

5.57

4.03

3.19

Principal Window

Feb05-Oct34

Feb05-Oct34

Feb05-Oct34

Feb05-Oct34

Feb05-Oct34

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA

      
      

Disclaimer:

     


GSR05-2F-3 - Dec - #RESIDCASH

      
      

Date

1

2

3

4

200 Pricing

31-Jan-05

0

0

0

0

0

25-Jan-06

0

0

0

0

0

25-Jan-07

0

0

0

0

0

25-Jan-08

0

0

0

0

0

25-Jan-09

0

0

0

0

0

25-Jan-10

0

0

0

0

0

25-Jan-11

0

0

0

0

0

25-Jan-12

0

0

0

0

0

25-Jan-13

0

0

0

0

0

25-Jan-14

0

0

0

0

0

25-Jan-15

0

0

0

0

0

25-Jan-16

0

0

0

0

0

25-Jan-17

0

0

0

0

0

25-Jan-18

0

0

0

0

0

25-Jan-19

0

0

0

0

0

25-Jan-20

0

0

0

0

0

25-Jan-21

0

0

0

0

0

25-Jan-22

0

0

0

0

0

25-Jan-23

0

0

0

0

0

25-Jan-24

0

0

0

0

0

25-Jan-25

0

0

0

0

0

25-Jan-26

0

0

0

0

0

25-Jan-27

0

0

0

0

0

25-Jan-28

0

0

0

0

0

25-Jan-29

0

0

0

0

0

25-Jan-30

0

0

0

0

0

25-Jan-31

0

0

0

0

0

25-Jan-32

0

0

0

0

0

25-Jan-33

0

0

0

0

0

25-Jan-34

0

0

0

0

0

25-Jan-35

0

0

0

0

0

      

WAL

NA

NA

NA

NA

NA

Principal Window

    
      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA

      
      

Disclaimer:

     


GSR05-2F-3 - Dec - Class-3AS

  
      
      

Date

1

2

3

4

200 Pricing

31-Jan-05

100

100

100

100

100

25-Jan-06

99

96

93

90

87

25-Jan-07

97

88

78

70

61

25-Jan-08

96

77

61

47

34

25-Jan-09

94

68

47

30

16

25-Jan-10

92

59

35

17

5

25-Jan-11

90

52

27

10

*

25-Jan-12

89

46

20

5

0

25-Jan-13

87

40

15

3

0

25-Jan-14

85

36

12

2

0

25-Jan-15

83

32

10

1

0

25-Jan-16

80

28

8

1

0

25-Jan-17

78

25

6

1

0

25-Jan-18

75

22

5

*

0

25-Jan-19

73

19

4

*

0

25-Jan-20

70

17

3

*

0

25-Jan-21

67

15

2

*

0

25-Jan-22

64

13

2

*

0

25-Jan-23

60

11

1

*

0

25-Jan-24

57

9

1

*

0

25-Jan-25

53

8

1

*

0

25-Jan-26

49

7

1

*

0

25-Jan-27

44

5

*

*

0

25-Jan-28

40

4

*

*

0

25-Jan-29

35

4

*

*

0

25-Jan-30

30

3

*

*

0

25-Jan-31

24

2

*

*

0

25-Jan-32

18

1

*

*

0

25-Jan-33

12

1

*

*

0

25-Jan-34

5

*

*

*

0

25-Jan-35

0

0

0

0

0

      

WAL

18.96

8.4

4.85

3.31

2.56

Principal Window

Feb05-Oct34

Feb05-Oct34

Feb05-Oct34

Feb05-Oct34

Feb05-Feb11

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA

      
      

Disclaimer:

     


GSR05-2F-3 - Dec - Class-SNR

  
      
      

Date

1

2

3

4

200 Pricing

31-Jan-05

100

100

100

100

100

25-Jan-06

99

96

94

91

88

25-Jan-07

97

89

81

73

65

25-Jan-08

96

80

65

52

40

25-Jan-09

95

71

52

37

25

25-Jan-10

93

63

41

26

15

25-Jan-11

91

57

33

18

9

25-Jan-12

89

50

26

13

5

25-Jan-13

88

45

21

9

3

25-Jan-14

86

40

17

6

2

25-Jan-15

83

35

13

4

1

25-Jan-16

81

31

11

3

1

25-Jan-17

79

28

9

2

*

25-Jan-18

76

24

7

2

*

25-Jan-19

73

21

5

1

*

25-Jan-20

71

19

4

1

*

25-Jan-21

67

16

3

1

*

25-Jan-22

64

14

3

*

*

25-Jan-23

61

12

2

*

*

25-Jan-24

57

10

2

*

*

25-Jan-25

53

9

1

*

*

25-Jan-26

49

7

1

*

*

25-Jan-27

45

6

1

*

*

25-Jan-28

40

5

*

*

*

25-Jan-29

35

4

*

*

*

25-Jan-30

30

3

*

*

*

25-Jan-31

24

2

*

*

*

25-Jan-32

18

2

*

*

*

25-Jan-33

12

1

*

*

*

25-Jan-34

5

*

*

*

*

25-Jan-35

0

0

0

0

0

      

WAL

19.1

8.93

5.45

3.91

3.07

Principal Window

Feb05-Oct34

Feb05-Oct34

Feb05-Oct34

Feb05-Oct34

Feb05-Oct34

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA

      
      

Disclaimer:

     


GSR05-2F-3 - Dec - COLLAT

  
      
      

Date

1

2

3

4

200 Pricing

31-Jan-05

100

100

100

100

100

25-Jan-06

99

96

94

91

89

25-Jan-07

97

89

81

73

66

25-Jan-08

96

80

66

53

42

25-Jan-09

95

72

53

38

26

25-Jan-10

93

64

43

27

17

25-Jan-11

91

57

34

20

10

25-Jan-12

89

51

28

14

7

25-Jan-13

88

46

22

10

4

25-Jan-14

86

40

18

7

3

25-Jan-15

83

36

14

5

2

25-Jan-16

81

32

11

4

1

25-Jan-17

79

28

9

3

1

25-Jan-18

76

25

7

2

*

25-Jan-19

73

22

6

1

*

25-Jan-20

71

19

4

1

*

25-Jan-21

67

16

3

1

*

25-Jan-22

64

14

3

*

*

25-Jan-23

61

12

2

*

*

25-Jan-24

57

11

2

*

*

25-Jan-25

53

9

1

*

*

25-Jan-26

49

7

1

*

*

25-Jan-27

45

6

1

*

*

25-Jan-28

40

5

1

*

*

25-Jan-29

35

4

*

*

*

25-Jan-30

30

3

*

*

*

25-Jan-31

24

2

*

*

*

25-Jan-32

18

2

*

*

*

25-Jan-33

12

1

*

*

*

25-Jan-34

5

*

*

*

*

25-Jan-35

0

0

0

0

0

      

WAL

19.1

9.03

5.57

4.03

3.19

Principal Window

Feb05-Oct34

Feb05-Oct34

Feb05-Oct34

Feb05-Oct34

Feb05-Oct34

      

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA

      
      

Disclaimer:

     
      


GSR05-2F-3 - Stack Price/Yield

  
      

Settle

1/31/2005

    

First Payment

2/25/2005

    
      
 

1

2

3

4

200 Pricing

COLLAT

     

Price

100

100

100

100

100

Yield

6.03555

6.00720

5.97775

5.94938

5.92249

WAL

19.10

9.03

5.57

4.03

3.19

Mod Durn

10.42

6.10

4.26

3.30

2.72

Mod Convexity

1.734

0.665

0.325

0.191

0.126

Principal Window

Feb05 - Oct34

Feb05 - Oct34

Feb05 - Oct34

Feb05 - Oct34

Feb05 - Oct34

3NAS

     

Price

100

100

100

100

100

Yield

6.03777

6.02758

6.02008

6.01440

6.00473

WAL

20.35

13.69

10.83

9.33

7.61

Mod Durn

11.03

8.68

7.51

6.81

5.88

Mod Convexity

1.858

1.109

0.788

0.624

0.446

Principal Window

Feb10 - Oct34

Feb10 - Oct34

Feb10 - Oct34

Feb10 - Oct34

Feb10 - Oct34

3A1

     

Price

100

100

100

100

100

Yield

6.03248

5.98301

5.93140

5.88926

5.85389

WAL

16.81

5.78

3.36

2.51

2.07

Mod Durn

9.67

4.50

2.89

2.23

1.88

Mod Convexity

1.486

0.328

0.127

0.075

0.053

Principal Window

Feb05 - Jan32

Feb05 - Apr19

Feb05 - May12

Feb05 - Dec09

Feb05 - Dec08

3A2

     

Price

100

100

100

100

100

Yield

6.04422

6.03828

6.02249

5.99781

5.97106

WAL

28.40

19.88

11.42

6.79

4.70

Mod Durn

13.30

11.18

7.85

5.35

3.98

Mod Convexity

2.742

1.807

0.846

0.373

0.195

Principal Window

Jan32 - Oct34

Apr19 - Oct34

May12 - Oct34

Dec09 - Oct34

Dec08 - Feb11

3SUB

     

Price

100

100

100

100

100

Yield

6.03555

6.02504

6.01745

6.01191

6.00764

WAL

19.10

12.93

10.29

8.95

8.14

Mod Durn

10.42

8.25

7.17

6.54

6.13

Mod Convexity

1.734

1.040

0.744

0.596

0.509

Principal Window

Feb05 - Oct34

Feb05 - Oct34

Feb05 - Oct34

Feb05 - Oct34

Feb05 - Oct34

Prepay

0 PSA

150 PSA

300 PSA

450 PSA

600 PSA

      
      

Disclaimer:

     





--------------------------------------------------

$          VERSION: 3.01 (BLOOMBERG CMO BOND FILE)

--------------------------------------------------

$          DEAL: GSR05-2F-3

$       PRICING: 300 PSA

$    SETTLEMENT: 20050131

------------------------------------------

------------------------------------------

$                 BLOCK: 1

!{         TRANCHE NAME: 3NAS }

$       ORIGINAL_AMOUNT: 19664000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 6

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

$                 BLOCK: 2

!{         TRANCHE NAME: 3A1 }

$       ORIGINAL_AMOUNT: 144100000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 6

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

$                 BLOCK: 3

!{         TRANCHE NAME: 3A2 }

$       ORIGINAL_AMOUNT: 32874000.00

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 6

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

$                 BLOCK: 4

!{         TRANCHE NAME: 3SUB }

$       ORIGINAL_AMOUNT: 5042316.84

$        CURRENT_FACTOR: 1.000000000

$        CURRENT_COUPON: 6

$        PRINCIPAL_FREQ: 12

$         PAYMENT_DELAY: 24

$            DATED_DATE: 20050101

$    FIRST_PAYMENT_DATE: 20050225

$     NEXT_PAYMENT_DATE: 20050225

$        ACCRUAL_METHOD: THIRTY_360

--------------------------------------------------

--------------------------------------------------

--------------------------------------------------

$               TRANCHE: 1

$                  NAME: "3NAS"

$                 CSORT: 1

$                  TYPE: NAS

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 1 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

$               TRANCHE: 2

$                  NAME: "3A1"

$                 CSORT: 2

$                  TYPE:

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 2 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

$               TRANCHE: 3

$                  NAME: "3A2"

$                 CSORT: 3

$                  TYPE:

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 3 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

$               TRANCHE: 4

$                  NAME: "3SUB"

$                 CSORT: 4

$                  TYPE: CSTR,SUB

$          RECORD_DELAY: 24

$    COMPOSITION: BLOCK: 4 PRIN: 100.000000000 INT: 100.000000000

--------------------------------------------------

--------------------------------------------------

$     END_TRANCHES:

--------------------------------------------------

--------------------------------------------------

     END OF BOND FILE

***************************************************

$         VERSION: 3.03 (BLOOMBERG CMO COLLATERAL FILE)

---------------------------------------------------

$    AGENCY_LIST:     Type   Factor Date    P/Y Delay     BV Delay

                    WHOLE 20050101 55 54

---------------------------------------------------

$     ASSUMED_POOLS:

--------------------------------------------------------------------------------

!G Pool Number  Pool Type    NET-CPN CURR--FACT ORIG--BALANCE  PY-FEE  BV-FEE

PY/BV/BLN-W AGE

--------------------------------------------------------------------------------

   M 1 WHOLE XX/XX 6.000000000 1.00000000 201680316.84 0.000000000 0.000000000 357

357 357 2